GMO Quality Fund (GQETX) NPORT-P GMO Small Cap Quality Fund (Nov 2024 report)

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 95.7%
		Australia — 0.2%
	320,055	Clean TeQ Water Ltd. * (a)		67,103
	451,213	IGO Ltd.		1,435,954
	1,399,037	Sunrise Energy Metals Ltd. * (a)		220,157
		Total Australia		1,723,214
		Brazil — 1.1%
	709,500	Suzano SA		7,358,197
		Canada — 7.8%
	476,293	Anaergia, Inc. *		312,981
	606,038	First Quantum Minerals Ltd. *		8,280,781
	1,925,700	Greenlane Renewables, Inc. *		144,422
	2,263,787	Ivanhoe Mines Ltd. – Class A*		30,479,186
	1,008,392	Largo, Inc. *		2,095,940
	166,688	Li-Cycle Holdings Corp. * (a)		351,712
	957,100	NexGen Energy Ltd. *		8,141,896
	172,400	Northland Power, Inc.		2,500,942
		Total Canada		52,307,860
		China — 0.7%
	1,278,000	CMOC Group Ltd. – Class H		957,641
	1,335,176	Yutong Bus Co. Ltd. – Class A		4,047,075
		Total China		5,004,716
		Denmark — 1.7%
	7,480	Rockwool AS – B Shares		2,735,128
	545,922	Vestas Wind Systems AS *		8,547,727
		Total Denmark		11,282,855
		Finland — 2.9%
	167,145	Kemira OYJ		3,286,357
	1,047,113	Neste OYJ		15,938,378
		Total Finland		19,224,735
		France — 8.7%
	29,646	Legrand SA		2,974,665
	150,208	Nexans SA		17,046,802
	10,405	Schneider Electric SE		2,680,545
	126,799	STMicroelectronics NV		3,253,921
	1,811,765	Valeo SE		15,089,676
	529,288	Veolia Environnement SA		15,429,083
	114,522	Waga Energy SA * (a)		1,879,460
		Total France		58,354,152
		Germany — 3.0%
	177,301	E.ON SE		2,285,209
	338,732	Infineon Technologies AG		11,041,598
	86,323	Knorr-Bremse AG		6,599,001
		Total Germany		19,925,808

Shares		Description	Value ($)
		Ireland — 0.4%
	33,780	Kingspan Group PLC		2,545,258
		Italy — 0.4%
	348,420	Enel SpA		2,509,142
		Japan — 3.3%
	58,100	Daikin Industries Ltd.		7,029,221
	213,200	GS Yuasa Corp.		3,684,198
	142,700	Kansai Electric Power Co., Inc.		1,838,594
	492,100	Renesas Electronics Corp.		6,454,426
	143,700	Yokogawa Electric Corp.		3,211,017
		Total Japan		22,217,456
		Mexico — 2.6%
	3,035,369	Grupo Mexico SAB de CV – Series B		14,786,065
	2,801,626	Orbia Advance Corp. SAB de CV		2,518,254
		Total Mexico		17,304,319
		Netherlands — 0.5%
	49,228	Arcadis NV		3,245,456
		Norway — 1.8%
	670,625	Austevoll Seafood ASA		6,145,311
	61,123	Bakkafrost P/F		3,623,622
	137,655	Mowi ASA		2,504,562
		Total Norway		12,273,495
		Russia — 0.0%
	7,221,500	GMK Norilskiy Nickel PAO (b) (c)		—
	120,856	PhosAgro PJSC (b) (c)		—
	2,335	PhosAgro PJSC GDR * (b) (c)		—
		Total Russia		—
		South Korea — 6.3%
	32,998	CS Wind Corp.		951,992
	147,744	LG Chem Ltd.		30,227,506
	60,159	Samsung SDI Co. Ltd.		11,009,773
		Total South Korea		42,189,271
		Spain — 2.9%
	20,833	Acciona SA		2,650,600
	137,622	Endesa SA		3,016,977
	209,497	Iberdrola SA		2,987,343
	145,558	Redeia Corp. SA		2,599,949
	882,112	Solaria Energia y Medio Ambiente SA * (a)		8,449,130
		Total Spain		19,703,999
		Switzerland — 0.3%
	25,328	Landis & Gyr Group AG		1,840,896
		Ukraine — 0.1%
	219,994	Kernel Holding SA *		722,182

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — 0.9%
	460,000	Lifezone Metals Ltd. *		3,266,000
	233,676	National Grid PLC		2,949,611
		Total United Kingdom		6,215,611
		United States — 50.1%
	60,800	Advanced Drainage Systems, Inc.		8,225,632
	342,762	Aemetis, Inc. * (a)		1,401,897
	75,132	AGCO Corp.		7,604,110
	22,200	Air Products & Chemicals, Inc.		7,422,126
	100,400	Albemarle Corp. (a)		10,813,080
	1,004,370	Ameresco, Inc. – Class A*		28,293,103
	2,375,700	Array Technologies, Inc. *		15,940,947
	64,100	Avangrid, Inc.		2,314,010
	95,700	Axcelis Technologies, Inc. *		7,104,768
	292,591	BorgWarner, Inc.		10,041,723
	51,400	Carrier Global Corp.		3,976,818
	4,704,289	Clean Energy Fuels Corp. *		14,489,210
	26,200	Consolidated Edison, Inc.		2,635,458
	12,400	Constellation Energy Corp.		3,181,344
	172,639	Corteva, Inc.		10,745,051
	777,210	Darling Ingredients, Inc. *		31,500,321
	8,722	Deere & Co.		4,063,580
	34,967	Edison International		3,068,354
	37,803	EnerSys		3,654,038
	99,222	Enphase Energy, Inc. *		7,079,490
	69,739	Exelon Corp.		2,758,875
	57,995	First Solar, Inc. *		11,556,664
	172,456	Freeport-McMoRan, Inc.		7,622,555
	1,171,395	Gevo, Inc. * (a)		1,932,802
	5,259,191	GrafTech International Ltd. *		10,308,014
	1,140,121	Green Plains, Inc. *		12,313,307
	17,900	Hubbell, Inc.		8,235,611
	233,700	NEXTracker, Inc. – Class A*		8,917,992
	146,848	ON Semiconductor Corp. *		10,443,830
	82,800	Ormat Technologies, Inc.		6,758,136
	25,109	Owens Corning		5,162,912
	32,072	Pentair PLC		3,495,527
	52,150	PotlatchDeltic Corp. – (REIT)		2,338,406
	1,138,176	SolarEdge Technologies, Inc. *		17,983,181
	2,474,819	Sunrun, Inc. *		28,534,663
	26,395	TE Connectivity PLC		3,988,812

Shares		Description	Value ($)
		United States — continued
	9,000	Trane Technologies PLC		3,745,980
	9,500	Valmont Industries, Inc.		3,304,670
	32,700	Veralto Corp.		3,537,813
		Total United States		336,494,810
		TOTAL COMMON STOCKS (COST $855,122,418)		642,443,432
		PREFERRED STOCKS (d) — 2.7%
		Chile — 2.7%
	463,304	Sociedad Quimica y Minera de Chile SA Sponsored ADR (a)		17,818,672
		TOTAL PREFERRED STOCKS (COST $21,412,091)		17,818,672
		MUTUAL FUNDS — 0.0%
		United States — 0.0%
		Affiliated Issuers — 0.0%
	5,588	GMO U.S. Treasury Fund, Class VI (formerly Core Class) (e)		27,942
		Total United States		27,942
		TOTAL MUTUAL FUNDS (COST $27,934)		27,942
		TOTAL INVESTMENTS — 98.4% (Cost $876,562,443)		660,290,046
		Other Assets and Liabilities (net) — 1.6%		10,743,833
		TOTAL NET ASSETS — 100.0%		$671,033,879

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 November 30, 2024
GMK Norilskiy Nickel PAO	04/11/18	$	21,636,323	0.0%	$	—
PhosAgro PJSC	08/09/19		5,614,147	0.0%		—
PhosAgro PJSC GDR	08/09/19		36,037	0.0%		—
					$	—

GMO Climate Change Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

(a) All or a portion of this security is out on loan.

(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.

(c) The security is restricted as to resale.

(d) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(e) All or a portion of this security is purchased with collateral from securities loaned.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

 

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.5%
		Brazil — 4.3%
	35,010	Banco do Brasil SA		144,129
	62,687	Cia de Saneamento de Minas Gerais Copasa MG		264,426
	28,162	Cia De Sanena Do Parana		141,587
	135,431	CPFL Energia SA		734,237
	34,510	Cury Construtora e Incorporadora SA		117,924
	34,980	Engie Brasil Energia SA		220,922
	40,800	JBS SA		253,067
	13,700	Lojas Renner SA		34,291
	15,687	Petroleo Brasileiro SA Sponsored ADR		224,010
	49,921	Petroleo Brasileiro SA		353,615
	8,557	Transmissora Alianca de Energia Eletrica SA		48,482
	25,751	Ultrapar Participacoes SA		76,781
	189,700	Vibra Energia SA		650,431
		Total Brazil		3,263,902
		Chile — 0.1%
	587,942	Colbun SA		74,231
		Czech Republic — 0.2%
	6,689	Moneta Money Bank AS		34,456
	235	Philip Morris CR AS		159,317
		Total Czech Republic		193,773
		Egypt — 0.7%
	51,221	Abou Kir Fertilizers & Chemical Industries		54,526
	138,712	Commercial International Bank - Egypt (CIB)		227,690
	293,698	Eastern Co. SAE		160,678
	46,203	EFG Holding SAE *		19,054
	35,621	ElSewedy Electric Co.		64,157
		Total Egypt		526,105
		Hungary — 4.4%
	33,308	Magyar Telekom Telecommunications PLC		105,743
	31,884	MOL Hungarian Oil & Gas PLC		218,532
	6,280	Opus Global Nyrt		8,075
	49,522	OTP Bank Nyrt		2,684,288
	11,280	Richter Gedeon Nyrt		300,040
		Total Hungary		3,316,678
		India — 18.9%
	805	Amara Raja Energy & Mobility Ltd.		12,249
	2,795	Ashoka Buildcon Ltd. *		8,284
	11,258	Aurobindo Pharma Ltd.		168,063
	487,598	Bharat Petroleum Corp. Ltd.		1,695,960
	78,754	Brightcom Group Ltd. *		7,549
	933	Caplin Point Laboratories Ltd.		24,350
	46,554	Castrol India Ltd.		110,961
	43,102	Chambal Fertilisers & Chemicals Ltd.		263,984
	17,343	Chennai Petroleum Corp. Ltd.		128,615

Shares		Description	Value ($)
		India — continued
	26,070	Cipla Ltd.		473,447
	4,381	Coromandel International Ltd.		92,699
	36,364	Dr. Reddy’s Laboratories Ltd.		518,203
	16,776	Firstsource Solutions Ltd.		73,090
	12,255	GHCL Ltd.		87,200
	10,404	Glenmark Pharmaceuticals Ltd.		188,455
	32,800	Godawari Power & Ispat Ltd.		73,554
	14,778	Great Eastern Shipping Co. Ltd.		193,031
	11,605	Gujarat Narmada Valley Fertilizers & Chemicals Ltd.		87,681
	30,217	Gujarat Pipavav Port Ltd.		67,142
	86,768	Gujarat State Fertilizers & Chemicals Ltd.		230,887
	4,027	Gujarat State Petronet Ltd.		16,964
	4,838	Hero MotoCorp Ltd.		273,443
	5,914	Hindalco Industries Ltd.		46,120
	1,184	ICICI Securities Ltd.		12,207
	375,377	Indian Oil Corp. Ltd.		618,753
	6,227	Indus Towers Ltd. *		25,829
	97,417	ITC Ltd.		551,113
	51,870	JM Financial Ltd.		84,068
	1,075	Kaveri Seed Co. Ltd.		10,990
	1,754	KNR Constructions Ltd.		6,795
	1,459	KRBL Ltd.		5,329
	5,082	LT Foods Ltd.		23,942
	2,784	Lupin Ltd.		67,688
	10,914	Mahanagar Gas Ltd. (Registered)		155,501
	379,478	Manappuram Finance Ltd.		704,849
	7,024	Marksans Pharma Ltd.		28,657
	2,866	Motilal Oswal Financial Services Ltd.		31,309
	7,299	Muthoot Finance Ltd.		166,313
	11,559	Natco Pharma Ltd.		189,098
	1,982	Nippon Life India Asset Management Ltd.		16,088
	434,554	NMDC Ltd.		1,188,022
	516,652	Oil & Natural Gas Corp. Ltd.		1,575,844
	181,797	Petronet LNG Ltd.		727,087
	394,408	Power Grid Corp. of India Ltd.		1,538,689
	38,986	PTC India Ltd.		80,380
	312,635	Sammaan Capital Ltd.		622,948
	164	Sanofi India Ltd.		12,530
	12,049	Shipping Corp. of India Ltd.		33,550
	11,096	Shriram Finance Ltd.		396,585
	6,296	Sun Pharmaceutical Industries Ltd.		133,122
	25,930	Sun TV Network Ltd.		234,263
	6,728	Suven Pharmaceuticals Ltd. *		103,572
	724	Torrent Pharmaceuticals Ltd.		28,576
	1,873	West Coast Paper Mills Ltd.		12,722
	16,439	Zydus Lifesciences Ltd.		188,203
		Total India		14,416,553
		Indonesia — 6.3%
	1,465,800	AKR Corporindo Tbk. PT		113,864
	634,900	Aneka Tambang Tbk. PT		57,423
	1,089,500	Astra International Tbk. PT		350,999

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Indonesia — continued
	193,400	Bank BTPN Syariah Tbk. PT		11,104
	2,456,000	Bank Central Asia Tbk. PT		1,550,873
	1,883,200	Bank Mandiri Persero Tbk. PT		732,221
	3,094,200	Bank Negara Indonesia Persero Tbk. PT		973,791
	1,199,700	Bank Rakyat Indonesia Persero Tbk. PT		323,193
	513,000	Dharma Satya Nusantara Tbk. PT		36,729
	30,100	Indah Kiat Pulp & Paper Tbk. PT		13,788
	20,900	Indofood CBP Sukses Makmur Tbk. PT		15,703
	349,400	Indofood Sukses Makmur Tbk. PT		166,513
	257,500	Japfa Comfeed Indonesia Tbk. PT		27,815
	530,800	Kalbe Farma Tbk. PT		50,244
	558,800	Medco Energi Internasional Tbk. PT		38,480
	3,974,300	Panin Financial Tbk. PT *		107,865
	1,500,600	Perusahaan Gas Negara Tbk. PT		144,155
	608,700	Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT		41,877
	412,400	Triputra Agro Persada PT		21,064
	113,200	Unilever Indonesia Tbk. PT		13,333
		Total Indonesia		4,791,034
		Mexico — 4.4%
	215,400	America Movil SAB de CV – Series B		160,177
	58,260	Arca Continental SAB de CV		494,560
	63,964	Banco del Bajio SA		133,649
	7,283	Bolsa Mexicana de Valores SAB de CV		11,435
	7,501	Coca-Cola Femsa SAB de CV Sponsored ADR		597,305
	539,400	Credito Real SAB de CV SOFOM ER * (a)		—
	9,700	El Puerto de Liverpool SAB de CV – Class C1		49,230
	88,600	Genomma Lab Internacional SAB de CV – Class B		117,886
	11,135	Gentera SAB de CV		14,058
	2,012	Gruma SAB de CV – Class B		34,405
	42	Grupo Aeroportuario del Centro Norte SAB de CV ADR		2,740
	2,190	Grupo Aeroportuario del Centro Norte SAB de CV		16,950
	700	Grupo Aeroportuario del Sureste SAB de CV ADR		182,098
	4,571	Grupo Aeroportuario del Sureste SAB de CV – Class B		116,281
	3,100	Grupo Comercial Chedraui SA de CV		20,136
	169,112	Grupo Financiero Banorte SAB de CV – Class O		1,115,135
	29,605	Grupo Mexico SAB de CV – Series B		144,214
	72,032	Kimberly-Clark de Mexico SAB de CV – Class A		96,587
	1,495	Qualitas Controladora SAB de CV (b)		11,299
	3,514	Regional SAB de CV		19,594
		Total Mexico		3,337,739
		Pakistan — 1.0%
	36,017	Attock Refinery Ltd.		65,211
	116,668	Engro Fertilizers Ltd.		83,937

Shares		Description	Value ($)
		Pakistan — continued
	131,129	Fauji Fertilizer Bin Qasim Ltd.		35,884
	74,465	Fauji Fertilizer Co. Ltd.		86,643
	27,396	Habib Bank Ltd.		17,863
	3,509	Lucky Cement Ltd.		12,905
	17,236	Mari Petroleum Co. Ltd.		28,710
	261,677	Oil & Gas Development Co. Ltd.		183,116
	6,540	Pakistan Oilfields Ltd.		13,553
	273,853	Pakistan Petroleum Ltd.		165,543
	92,344	SUI Northern Gas Pipeline		29,080
	32,472	United Bank Ltd.		39,550
		Total Pakistan		761,995
		Poland — 0.0%
	961	XTB SA		16,764
		Qatar — 0.9%
	155,152	Industries Qatar QSC		553,487
	2,517	Qatar Electricity & Water Co. QSC		10,965
	3,518	Qatar Fuel QSC		14,309
	18,932	Qatar National Bank QPSC		88,897
		Total Qatar		667,658
		Russia — 0.0%
	4,036,000	Alrosa PJSC (a) (c)		—
	131,280	Evraz PLC * (a)		—
	236,860,000	Federal Grid Co-Rosseti PJSC * (a) (c)		2
	102,255	Gazprom Neft PJSC (a) (c)		—
	897,812	Gazprom PJSC (a) (c)		—
	783,200	GMK Norilskiy Nickel PAO (a) (c)		—
	6,151,400	Inter RAO UES PJSC (a) (c)		—
	122,088	LUKOIL PJSC (a) (c)		—
	4,327,340	Magnitogorsk Iron & Steel Works PJSC (a) (c)		—
	88,090	Moscow Exchange MICEX-Rates PJSC (a) (c)		—
	93,370	Novatek PJSC (a) (c)		—
	1,403,510	Novolipetsk Steel PJSC (a) (c)		—
	4,917	PhosAgro PJSC (a) (c)		—
	95	PhosAgro PJSC GDR * (a) (c)		—
	11,902	Polyus PJSC * (a) (c)		—
	1	Polyus PJSC GDR * (a) (c)		—
	50,074,400	RusHydro PJSC * (a) (c)		1
	3,446,432	Sberbank of Russia PJSC (a) (c)		—
	140,607	Severstal PAO GDR (Registered) * (a) (c)		—
	2,387,800	Surgutneftegas PJSC (a) (c)		—
	657,084	Tatneft PJSC (a) (c)		—
		Total Russia		3
		South Africa — 3.4%
	7,507	Anglo American Platinum Ltd. (b)		250,234
	36,058	AVI Ltd.		220,330
	30,747	Clicks Group Ltd.		674,056
	7,877	Coronation Fund Managers Ltd.		17,682
	143,040	FirstRand Ltd.		613,732
	13,392	Foschini Group Ltd.		127,101

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		South Africa — continued
	7,120	Investec Ltd.		50,858
	17,709	Mr. Price Group Ltd.		283,798
	56,222	Ninety One Ltd.		115,812
	10,910	Omnia Holdings Ltd.		44,238
	10,363	Tiger Brands Ltd.		145,781
	11,084	Truworths International Ltd.		62,950
		Total South Africa		2,606,572
		South Korea — 12.1%
	584	BGF retail Co. Ltd.		45,406
	6,627	Cheil Worldwide, Inc.		86,538
	1,716	Coway Co. Ltd.		81,318
	10,777	Daou Data Corp.		83,740
	1,428	DB Insurance Co. Ltd.		112,034
	763	Doosan Bobcat, Inc.		21,371
	1,008	GS Holdings Corp.		30,340
	6,843	Hana Financial Group, Inc.		306,860
	902	Hankook Tire & Technology Co. Ltd.		24,448
	3,221	Hyundai Glovis Co. Ltd.		284,791
	4,093	Hyundai Marine & Fire Insurance Co. Ltd.		78,175
	2,598	Hyundai Mobis Co. Ltd.		447,384
	161	Hyundai Motor Co.		25,376
	3,680	JB Financial Group Co. Ltd.		51,967
	5,956	KB Financial Group, Inc.		411,351
	1,341	KCC Glass Corp.		37,127
	28,645	Kia Corp.		1,918,151
	466	Korea Investment Holdings Co. Ltd.		25,038
	18,218	KT&G Corp.		1,594,584
	566	Kyung Dong Navien Co. Ltd.		30,651
	2,186	LG Electronics, Inc.		141,295
	1,264	LOTTE Fine Chemical Co. Ltd.		31,200
	799	LS Electric Co. Ltd.		83,248
	1,930	Mirae Asset Securities Co. Ltd.		11,880
	5,657	NH Investment & Securities Co. Ltd.		54,226
	990	Orion Corp.		73,058
	1,345	S-1 Corp.		60,715
	39,982	Samsung Electronics Co. Ltd.		1,572,220
	166	Samsung Fire & Marine Insurance Co. Ltd.		46,964
	2,963	Samsung Securities Co. Ltd.		101,600
	7,807	Shinhan Financial Group Co. Ltd.		299,142
	1,602	T&L Co. Ltd.		69,238
	2,951	TKG Huchems Co. Ltd.		39,212
	77,619	Woori Financial Group, Inc.		931,961
		Total South Korea		9,212,609
		Taiwan — 31.7%
	13,000	Acter Group Corp. Ltd.		126,308
	10,000	Asustek Computer, Inc.		182,421
	22,000	Capital Securities Corp.		15,546
	191,000	Catcher Technology Co. Ltd.		1,160,697
	50,000	Cathay Financial Holding Co. Ltd.		101,718
	79,000	Chicony Electronics Co. Ltd.		384,220
	5,000	Chicony Power Technology Co. Ltd.		19,775

Shares		Description	Value ($)
		Taiwan — continued
	85,000	Chipbond Technology Corp.		169,244
	6,000	Darfon Electronics Corp.		9,320
	26,000	Dynapack International Technology Corp.		159,193
	40,000	Elitegroup Computer Systems Co. Ltd.		29,382
	233,600	Evergreen Marine Corp. Taiwan Ltd.		1,569,416
	48,000	Everlight Electronics Co. Ltd.		115,506
	14,000	Feng Hsin Steel Co. Ltd.		32,373
	65,000	FIT Hon Teng Ltd. * (b)		26,811
	37,000	Formosa Advanced Technologies Co. Ltd.		34,913
	52,897	Foxconn Technology Co. Ltd.		131,935
	41,000	Fubon Financial Holding Co. Ltd.		111,724
	6,000	Fusheng Precision Co. Ltd.		57,858
	8,000	Giant Manufacturing Co. Ltd.		37,694
	3,000	Grape King Bio Ltd.		14,348
	28,000	Greatek Electronics, Inc.		49,083
	429,000	Hon Hai Precision Industry Co. Ltd.		2,612,474
	72,000	King’s Town Bank Co. Ltd.		107,563
	35,000	Kung Long Batteries Industrial Co. Ltd.		170,782
	29,000	MediaTek, Inc.		1,138,663
	12,000	Merry Electronics Co. Ltd.		39,463
	66,000	Micro-Star International Co. Ltd.		349,843
	77,528	Nantex Industry Co. Ltd.		81,397
	11,000	Nien Made Enterprise Co. Ltd.		136,400
	54,000	Novatek Microelectronics Corp.		810,085
	5,000	Pixart Imaging, Inc.		33,177
	143,000	Pou Chen Corp.		180,313
	69,000	Primax Electronics Ltd.		168,334
	126,000	Radiant Opto-Electronics Corp.		742,859
	53,000	Simplo Technology Co. Ltd.		618,326
	13,000	Sinon Corp.		18,146
	8,750	Sporton International, Inc.		55,055
	79,000	T3EX Global Holdings Corp.		191,999
	23,000	TaiDoc Technology Corp.		104,648
	15,000	Taiwan Hon Chuan Enterprise Co. Ltd.		68,117
	301,000	Taiwan Semiconductor Manufacturing Co. Ltd.		9,379,324
	33,000	Taiwan Surface Mounting Technology Corp.		105,833
	4,000	Topkey Corp.		24,242
	2,000	Transcend Information, Inc.		5,668
	34,000	Tripod Technology Corp.		199,393
	29,000	Tung Ho Steel Enterprise Corp.		63,158
	3,000	Wah Lee Industrial Corp.		11,312
	36,000	Wan Hai Lines Ltd.		92,572
	83,000	Wisdom Marine Lines Co. Ltd.		191,173
	808,000	Yang Ming Marine Transport Corp.		1,831,159
	39,000	Yuanta Financial Holding Co. Ltd.		40,078
		Total Taiwan		24,111,041
		Thailand — 2.2%
	86,900	AP Thailand PCL NVDR		21,959
	90,400	Kasikornbank PCL NVDR		397,180
	332,200	Krung Thai Bank PCL NVDR		194,139
	214,900	PTT Exploration & Production PCL NVDR		800,598

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Thailand — continued
	197,000	PTT PCL NVDR		185,518
	9,300	Regional Container Lines PCL NVDR		7,689
	64,300	Sri Trang Agro-Industry PCL NVDR		34,610
	103,200	Sri Trang Gloves Thailand PCL NVDR		32,861
		Total Thailand		1,674,554
		Turkey — 0.0%
	1,885	Dogus Otomotiv Servis ve Ticaret AS		11,619
		United Arab Emirates — 0.6%
	37,168	Emaar Development PJSC		115,027
	78,053	Emaar Properties PJSC		203,054
	18,545	Emirates NBD Bank PJSC		101,043
	6,243	Orascom Construction PLC		37,130
		Total United Arab Emirates		456,254
		Vietnam — 1.3%
	8,800	Dong Phu Rubber JSC		13,227
	107,665	Duc Giang Chemicals JSC		465,988
	6,700	IDICO Corp. JSC		14,647
	76,000	PetroVietNam Ca Mau Fertilizer JSC		110,899
	17,300	Petrovietnam Fertilizer & Chemicals JSC		24,162
	81,700	Vietnam Dairy Products JSC		208,381
	242,075	VNDirect Securities Corp.		131,578
		Total Vietnam		968,882
		TOTAL COMMON STOCKS (COST $134,380,987)		70,407,966
		PREFERRED STOCKS (d) —6.6%
		Brazil — 5.8%
	219,657	Bradespar SA		673,559
	11,495	Cia de Ferro Ligas da Bahia FERBASA		14,902
	1,251,667	Cia Energetica de Minas Gerais		2,475,540
	23,200	Gerdau SA		78,274
	127,431	Itausa SA		206,497
	38,100	Marcopolo SA		54,394
	123,184	Petroleo Brasileiro SA		796,413

Shares		Description	Value ($)
		Brazil — continued
	10,354	Randon SA Implementos e Participacoes		17,931
	10,931	Unipar Carbocloro SA – Class B		94,474
		Total Brazil		4,411,984
		Colombia — 0.8%
	17,643	Bancolombia SA Sponsored ADR		576,926
		Russia — 0.0%
	3,948,700	Surgutneftegas PJSC (a) (c)		—
	31,500	Transneft PJSC (a) (c)		—
		Total Russia		—
		TOTAL PREFERRED STOCKS (COST $7,994,598)		4,988,910
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers — 0.8%
	122,637	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		613,185
		Total United States		613,185
		TOTAL MUTUAL FUNDS (COST $613,185)		613,185
		SHORT-TERM INVESTMENTS — 0.4%
		Money Market Funds — 0.4%
	307,628	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (e)		307,628
		TOTAL SHORT-TERM INVESTMENTS (COST $307,628)		307,628
		TOTAL INVESTMENTS — 100.3% (Cost $143,296,398)		76,317,689
		Other Assets and Liabilities (net) — (0.3)%		(245,988	)
		TOTAL NET ASSETS — 100.0%		$76,071,701

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 November 30, 2024
Alrosa PJSC	10/18/21	$	7,054,956	0.0%	$	—
Federal Grid Co-Rosseti PJSC	10/18/21		599,930	0.0%		2
Gazprom Neft PJSC	10/18/21		736,459	0.0%		—
Gazprom PJSC	10/18/21		4,325,759	0.0%		—
GMK Norilskiy Nickel PAO	10/18/21		2,530,663	0.0%		—
Inter RAO UES PJSC	10/18/21		435,323	0.0%		—
LUKOIL PJSC	10/18/21		11,826,036	0.0%		—

GMO Emerging Markets ex-China Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Issuer Description — (Continued)	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of November 30, 2024
Magnitogorsk Iron & Steel Works PJSC	10/18/21	$	4,011,995	0.0%	$	—
Moscow Exchange MICEX-Rates PJSC	10/18/21		226,996	0.0%		—
Novatek PJSC	10/18/21		2,410,423	0.0%		—
Novolipetsk Steel PJSC	10/18/21		4,328,348	0.0%		—
PhosAgro PJSC	10/18/21		383,565	0.0%		—
PhosAgro PJSC GDR	10/18/21		2,465	0.0%		—
Polyus PJSC	10/18/21		2,285,367	0.0%		—
Polyus PJSC GDR	12/14/22		4	0.0%		—
RusHydro PJSC	10/18/21		555,352	0.0%		1
Sberbank of Russia PJSC	10/18/21		16,614,391	0.0%		—
Severstal PAO GDR (Registered)	10/18/21		3,190,235	0.0%		—
Surgutneftegas PJSC	10/18/21		1,213,218	0.0%		—
Surgutneftegas PJSC	10/18/21		2,172,137	0.0%		—
Tatneft PJSC	10/18/21		4,839,124	0.0%		—
Transneft PJSC	10/18/21		645,776	0.0%		—
					$	3

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) All or a portion of this security is out on loan.

(c) The security is restricted as to resale.

(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 November 30, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

 

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 92.4%
		Brazil — 4.3%
	270,400	Cia de Saneamento de Minas Gerais Copasa MG		1,140,598
	48,800	Cia De Sanena Do Parana		245,346
	637,000	CPFL Energia SA		3,453,487
	134,400	Cury Construtora e Incorporadora SA		459,258
	177,800	Engie Brasil Energia SA		1,122,923
	98,800	Grupo SBF SA		202,139
	261,500	JBS SA		1,621,988
	516,100	Petroleo Brasileiro SA		3,655,794
	156,100	Transmissora Alianca de Energia Eletrica SA		884,432
	32,100	Ultrapar Participacoes SA		95,711
	911,400	Vibra Energia SA		3,124,947
		Total Brazil		16,006,623
		Chile — 0.0%
	1,252	Inversiones La Construccion SA		9,411
		China — 23.7%
	1,150,000	361 Degrees International Ltd.		590,942
	106,000	3SBio, Inc.		78,045
	833,000	Agricultural Bank of China Ltd. – Class H		417,289
	80,800	Alibaba Group Holding Ltd. Sponsored ADR		7,059,496
	57,869	Autohome, Inc. ADR		1,591,976
	6,194,000	Bosideng International Holdings Ltd.		3,234,242
	900,000	China BlueChemical Ltd. – Class H		231,656
	3,103,878	China Communications Services Corp. Ltd. – Class H		1,635,772
	8,442,148	China Construction Bank Corp. – Class H		6,382,762
	54,000	China Everbright Environment Group Ltd.		24,449
	8,745,000	China Feihe Ltd.		6,466,636
	2,132,500	China Hongqiao Group Ltd.		3,131,967
	1,334,000	China Lesso Group Holdings Ltd.		604,574
	419,000	China Medical System Holdings Ltd.		423,543
	725,500	China Overseas Land & Investment Ltd.		1,253,573
	2,678,000	China Reinsurance Group Corp. – Class H		286,746
	28,000	China Resources Land Ltd.		83,703
	103,000	China Resources Pharmaceutical Group Ltd.		69,638
	59,000	China Shineway Pharmaceutical Group Ltd.		73,935
	2,961,700	China State Construction Engineering Corp. Ltd. – Class A		2,460,105
	154,000	China State Construction International Holdings Ltd.		215,018
	445,800	China Taiping Insurance Holdings Co. Ltd.		707,438
	686,000	Consun Pharmaceutical Group Ltd.		714,977
	142,000	COSCO Shipping International Hong Kong Co. Ltd.		73,685
	10,684,000	CSPC Pharmaceutical Group Ltd.		6,991,144

Shares		Description	Value ($)
		China — continued
	51,500	ENN Energy Holdings Ltd.		350,026
	132,000	Geely Automobile Holdings Ltd.		237,678
	10,248,000	Hua Han Health Industry Holdings Ltd. * (a)		1
	3,576,000	Industrial & Commercial Bank of China Ltd. – Class H		2,108,413
	255,900	JD.com, Inc. ADR		9,565,542
	39,500	JNBY Design Ltd.		74,596
	670,000	Kunlun Energy Co. Ltd.		634,077
	295,500	Longfor Group Holdings Ltd.		419,766
	453,000	Lonking Holdings Ltd.		82,952
	74,862	Lufax Holding Ltd. ADR		183,412
	70,400	Midea Real Estate Holding Ltd. (b)		26,623
	405,000	Orient Overseas International Ltd.		5,192,832
	1,168,000	PICC Property & Casualty Co. Ltd. – Class H		1,773,381
	25,000	Shanghai Conant Optical Co. Ltd. – Class H (b)		46,288
	10,000	Shanghai Industrial Holdings Ltd.		14,868
	745,000	Sino Biopharmaceutical Ltd.		313,879
	2,151,500	Sinopec Engineering Group Co. Ltd. – Class H		1,585,745
	514,800	Sinopharm Group Co. Ltd. – Class H		1,349,447
	267,500	Sinotruk Hong Kong Ltd.		742,799
	26,000	Skyworth Group Ltd.		10,065
	12,500	Sun Art Retail Group Ltd.		4,178
	740,000	TCL Electronics Holdings Ltd.		491,613
	6,957	Tencent Holdings Ltd. ADR		358,981
	213,000	Tencent Holdings Ltd.		11,000,015
	508,933	Vipshop Holdings Ltd. ADR		7,028,365
	153,000	Zhongsheng Group Holdings Ltd.		303,532
		Total China		88,702,385
		Czech Republic — 0.4%
	218,719	Moneta Money Bank AS		1,126,653
	558	Philip Morris CR AS		378,294
		Total Czech Republic		1,504,947
		Egypt — 0.2%
	538,701	Commercial International Bank - Egypt (CIB)		884,256
	42	Eastern Co. SAE		23
		Total Egypt		884,279
		Hungary — 4.3%
	273,700	Magyar Telekom Telecommunications PLC		868,920
	163,719	MOL Hungarian Oil & Gas PLC		1,122,126
	20,505	Opus Global Nyrt		26,364
	233,963	OTP Bank Nyrt		12,681,717
	48,668	Richter Gedeon Nyrt		1,294,536
		Total Hungary		15,993,663

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		India — 11.6%
	875	Ashoka Buildcon Ltd. *		2,593
	42,146	Aurobindo Pharma Ltd.		629,170
	1,863,389	Bharat Petroleum Corp. Ltd.		6,481,228
	317,184	Brightcom Group Ltd. *		30,406
	154,167	Chambal Fertilisers & Chemicals Ltd.		944,215
	36,679	Chennai Petroleum Corp. Ltd.		272,011
	69,842	Cipla Ltd.		1,268,372
	109,355	Dr. Reddy’s Laboratories Ltd.		1,558,356
	26,114	GAIL India Ltd.		61,850
	111,427	GHCL Ltd.		792,854
	61,680	Great Eastern Shipping Co. Ltd.		805,668
	26,955	Gujarat Narmada Valley Fertilizers & Chemicals Ltd.		203,656
	4,985	Gujarat Pipavav Port Ltd.		11,077
	343,831	Gujarat State Fertilizers & Chemicals Ltd.		914,923
	15,901	Hero MotoCorp Ltd.		898,721
	4,311	Hindalco Industries Ltd.		33,619
	1,312,704	Indian Oil Corp. Ltd.		2,163,797
	226	ITC Ltd.		1,279
	8,602	Kaveri Seed Co. Ltd.		87,943
	25,400	LT Foods Ltd.		119,662
	2,224	Lupin Ltd.		54,072
	12,045	Mahanagar Gas Ltd. (Registered)		171,616
	2,042,162	Manappuram Finance Ltd.		3,793,150
	6,909	Muthoot Finance Ltd.		157,426
	5,640	Natco Pharma Ltd.		92,267
	1,516,001	NMDC Ltd.		4,144,577
	1,526,283	Oil & Natural Gas Corp. Ltd.		4,655,327
	962,671	Petronet LNG Ltd.		3,850,151
	825,490	Power Grid Corp. of India Ltd.		3,220,453
	183,060	PTC India Ltd.		377,426
	1,520,060	Sammaan Capital Ltd.		3,028,828
	27,472	Shriram Finance Ltd.		981,885
	3,772	Sun Pharmaceutical Industries Ltd.		79,755
	98,431	Sun TV Network Ltd.		889,270
	4,805	Suven Pharmaceuticals Ltd. *		73,969
	3	UTI Asset Management Co. Ltd.		46
	271	West Coast Paper Mills Ltd.		1,841
	63,984	Zydus Lifesciences Ltd.		732,525
		Total India		43,585,984
		Indonesia — 3.7%
	4,087,500	AKR Corporindo Tbk. PT		317,519
	682,100	Aspirasi Hidup Indonesia Tbk. PT		33,191
	5,753,000	Astra International Tbk. PT		1,853,415
	236,000	Astra Otoparts Tbk. PT		34,442
	116,400	Bank BTPN Syariah Tbk. PT		6,683
	6,610,900	Bank Central Asia Tbk. PT		4,174,538
	3,689,100	Bank Mandiri Persero Tbk. PT		1,434,386
	9,911,100	Bank Negara Indonesia Persero Tbk. PT		3,119,171

Shares		Description	Value ($)
		Indonesia — continued
	6,494,000	Bank Pembangunan Daerah Jawa Timur Tbk. PT		223,364
	471,000	Bank Rakyat Indonesia Persero Tbk. PT		126,885
	176,000	Bumi Serpong Damai Tbk. PT *		11,101
	2,476,700	Dharma Satya Nusantara Tbk. PT		177,324
	1,121,000	Erajaya Swasembada Tbk. PT		29,321
	19,600	Gudang Garam Tbk. PT *		15,871
	23,500	Indofood CBP Sukses Makmur Tbk. PT		17,657
	1,049,400	Indofood Sukses Makmur Tbk. PT		500,111
	764,300	Industri Jamu Dan Farmasi Sido Muncul Tbk. PT		27,735
	916,600	Japfa Comfeed Indonesia Tbk. PT		99,011
	525,200	Kalbe Farma Tbk. PT		49,714
	7,551,400	Lippo Karawaci Tbk. PT *		50,992
	16,778,900	Panin Financial Tbk. PT *		455,390
	4,087,200	Perusahaan Gas Negara Tbk. PT		392,636
	2,839,700	Perusahaan Perkebunan London Sumatra
		Indonesia Tbk. PT		195,366
	447,100	Saratoga Investama Sedaya Tbk. PT		59,786
	1,557,200	Telkom Indonesia Persero Tbk. PT		267,007
	559,800	Tempo Scan Pacific Tbk. PT		89,042
	2,037,800	Triputra Agro Persada PT		104,086
		Total Indonesia		13,865,744
		Kuwait — 0.1%
	35,310	Humansoft Holding Co. KSC		284,509
		Mexico — 4.5%
	658,600	America Movil SAB de CV – Series B		489,751
	235,419	Arca Continental SAB de CV		1,998,437
	232,941	Banco del Bajio SA		486,717
	182,605	Bolsa Mexicana de Valores SAB de CV		286,697
	36,730	Coca-Cola Femsa SAB de CV Sponsored ADR		2,924,810
	315,700	Credito Real SAB de CV SOFOM ER * (a) (b)		—
	15,600	El Puerto de Liverpool SAB de CV – Class C1		79,174
	257,600	Genomma Lab Internacional SAB de CV – Class B		342,747
	352,663	Gentera SAB de CV (b)		445,250
	5,314	Grupo Aeroportuario del Centro Norte SAB de CV ADR		346,632
	60,284	Grupo Aeroportuario del Centro Norte SAB de CV		466,586
	7,909	Grupo Aeroportuario del Sureste SAB de CV ADR		2,057,447
	17,361	Grupo Aeroportuario del Sureste SAB de CV – Class B		441,646
	1,000	Grupo Comercial Chedraui SA de CV (b)		6,495
	882,642	Grupo Financiero Banorte SAB de CV – Class O		5,820,196
	120,496	Grupo Mexico SAB de CV – Series B		586,967
		Total Mexico		16,779,552
		Pakistan — 1.1%
	92,310	Attock Refinery Ltd.		167,133
	54,383	Bank Alfalah Ltd.		16,147

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Pakistan — continued
	519,927	Engro Fertilizers Ltd.		374,063
	797,062	Fauji Fertilizer Bin Qasim Ltd.		218,120
	368,807	Fauji Fertilizer Co. Ltd.		429,121
	106,490	International Steels Ltd.		28,733
	144,099	Kot Addu Power Co. Ltd.		18,825
	47,461	Mari Petroleum Co. Ltd.		79,057
	41,178	MCB Bank Ltd.		40,002
	1,495,243	Oil & Gas Development Co. Ltd.		1,046,337
	45,240	Pakistan Oilfields Ltd.		93,750
	2,540,340	Pakistan Petroleum Ltd.		1,535,624
	218,762	SUI Northern Gas Pipeline		68,891
		Total Pakistan		4,115,803
		Philippines — 0.1%
	54,200	Manila Water Co., Inc.		23,719
	6,376,800	Megaworld Corp.		221,994
		Total Philippines		245,713
		Qatar — 0.7%
	786,145	Industries Qatar QSC		2,804,483
		Russia — 0.0%
	31,701,260	Alrosa PJSC (a) (c)		—
	39,977	Evraz PLC * (a)		—
	1,432,600,000	Federal Grid Co-Rosseti PJSC * (a) (c)		13
	219,070	Gazprom Neft PJSC (a) (c)		—
	1,250,860	Gazprom PJSC (a) (c)		—
	3,721,200	GMK Norilskiy Nickel PAO (a) (c)		—
	78,536,400	Inter RAO UES PJSC (a) (c)		1
	239,440	LSR Group PJSC (a) (c)		—
	3	LSR Group PJSC GDR * (a) (c)		—
	285,469	LUKOIL PJSC (a) (c)		—
	17,490,987	Magnitogorsk Iron & Steel Works PJSC (a) (c)		—
	474,800	Mechel PJSC * (a) (c)		—
	4,133,417	Moscow Exchange MICEX-Rates PJSC (a) (c)		—
	10,015,560	Novolipetsk Steel PJSC (a) (c)		—
	11,924	PhosAgro PJSC (a) (c)		—
	230	PhosAgro PJSC GDR * (a) (c)		—
	80,094	Polyus PJSC * (a) (c)		—
	24,938,000	RusHydro PJSC * (a)  (c)		—
	13,125,612	Sberbank of Russia PJSC (a)  (c)		—
	706,464	Severstal PAO GDR (Registered) * (a) (c)		1
	68,353	SFI PJSC (a) (c)		—
	63,500,900	Surgutneftegas PJSC (a) (c)		1
	2,860,038	Tatneft PJSC (a) (c)		—
	8,118,000	Unipro PJSC * (a) (c)		—
	556,430	United Co. Rusal International PJSC * (a) (c)		—
		Total Russia		16
		Saudi Arabia — 0.0%
	1,118	Jamjoom Pharmaceuticals Factory Co.		46,770

Shares		Description	Value ($)
		South Africa — 1.8%
	82,619	AVI Ltd.		504,837
	78,689	Clicks Group Ltd.		1,725,071
	482,925	FirstRand Ltd.		2,072,055
	22,948	Foschini Group Ltd.		217,796
	87,282	Investec Ltd.		623,447
	56,503	Mr. Price Group Ltd.		905,498
	365,732	Ninety One Ltd.		753,372
	34,412	Sanlam Ltd.		168,542
		Total South Africa		6,970,618
		South Korea — 7.4%
	5,508	Coway Co. Ltd.		261,013
	2,145	Daewoong Co. Ltd.		32,669
	24,638	Daou Data Corp.		191,444
	12,011	Doosan Bobcat, Inc.		336,416
	412	DoubleUGames Co. Ltd.		15,213
	30,344	Hana Financial Group, Inc.		1,360,715
	1,489	Hanwha Systems Co. Ltd.		24,737
	16,498	Hyundai Glovis Co. Ltd.		1,458,701
	1,319	Hyundai Marine & Fire Insurance Co. Ltd.		25,192
	12,204	Hyundai Mobis Co. Ltd.		2,101,569
	3,783	Hyundai Motor Co.		596,254
	39,044	JB Financial Group Co. Ltd.		551,361
	22,163	KB Financial Group, Inc.		1,530,687
	133,313	Kia Corp.		8,927,018
	1,771	Korea Investment Holdings Co. Ltd.		95,156
	585	Krafton, Inc. *		131,475
	49,596	KT&G Corp.		4,341,035
	1,492	Kyung Dong Navien Co. Ltd.		80,797
	10,743	LG Electronics, Inc.		694,390
	2,417	LS Electric Co. Ltd.		251,829
	670	PharmaResearch Co. Ltd.		95,695
	26,754	Samsung Electronics Co. Ltd.		1,052,053
	2,378	Samsung Fire & Marine Insurance Co. Ltd.		672,778
	291	Samsung Life Insurance Co. Ltd.		22,419
	15,177	Samsung Securities Co. Ltd.		520,410
	39,049	Shinhan Financial Group Co. Ltd.		1,496,244
	4,864	T&L Co. Ltd.		210,221
	48,870	Woori Financial Group, Inc.		586,776
		Total South Korea		27,664,267
		Sri Lanka — 0.1%
	103,983,101	Anilana Hotels & Properties Ltd. * (d) (e)		322,151
		Taiwan — 24.5%
	6,000	Acter Group Corp. Ltd.		58,296
	64,000	Asustek Computer, Inc.		1,167,497
	41,000	Capital Securities Corp.		28,972
	522,000	Catcher Technology Co. Ltd.		3,172,165
	248,000	Cathay Financial Holding Co. Ltd.		504,523
	423,000	Chicony Electronics Co. Ltd.		2,057,279
	301,000	Chipbond Technology Corp.		599,324

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Taiwan — continued
	15,000	Darfon Electronics Corp.		23,299
	115,000	Dynapack International Technology Corp.		704,124
	1,042,200	Evergreen Marine Corp. Taiwan Ltd.		7,001,905
	67,000	Everlight Electronics Co. Ltd.		161,227
	254,000	Farglory Land Development Co. Ltd.		514,323
	410,778	Foxconn Technology Co. Ltd.		1,024,556
	260,000	Fubon Financial Holding Co. Ltd.		708,497
	10,000	Fusheng Precision Co. Ltd.		96,430
	1,892,000	Hon Hai Precision Industry Co. Ltd.		11,521,682
	161,000	Kung Long Batteries Industrial Co. Ltd.		785,597
	145,000	MediaTek, Inc.		5,693,314
	5,000	Merry Electronics Co. Ltd.		16,443
	57,000	Micro-Star International Co. Ltd.		302,137
	307,000	Nantex Industry Co. Ltd.		322,320
	32,000	Nien Made Enterprise Co. Ltd.		396,800
	231,810	Novatek Microelectronics Corp.		3,477,514
	19,000	Pegatron Corp.		55,500
	26,000	Pixart Imaging, Inc.		172,520
	185,000	Pou Chen Corp.		233,272
	134,000	Powertech Technology, Inc.		509,753
	304,000	Primax Electronics Ltd.		741,646
	658,936	Radiant Opto-Electronics Corp.		3,884,893
	238,000	Shinkong Insurance Co. Ltd.		734,761
	314,000	Simplo Technology Co. Ltd.		3,663,289
	26,000	Sinon Corp.		36,292
	130,000	T3EX Global Holdings Corp.		315,947
	120,000	TaiDoc Technology Corp.		545,991
	977,000	Taiwan Semiconductor Manufacturing Co. Ltd.		30,443,853
	128,000	Taiwan Surface Mounting Technology Corp.		410,504
	38,000	TCI Co. Ltd.		147,341
	150,000	Transcend Information, Inc.		425,112
	134,160	Tripod Technology Corp.		786,780
	316,000	Wan Hai Lines Ltd.		812,577
	3,117,000	Yang Ming Marine Transport Corp.		7,064,014
	241,000	Yuanta Financial Holding Co. Ltd.		247,660
	37,000	YungShin Global Holding Corp.		64,188
		Total Taiwan		91,634,117
		Thailand — 2.1%
	66,500	AP Thailand PCL		16,804
	434,700	Kasikornbank PCL		1,909,890
	1,538,800	Krung Thai Bank PCL		899,279
	1,436,600	Pruksa Holding PCL (Foreign Registered)		354,469
	992,300	PTT Exploration & Production PCL		3,696,760
	1,221,500	PTT PCL		1,150,307
	70,500	Sri Trang Gloves Thailand PCL		22,449
		Total Thailand		8,049,958
		United Arab Emirates — 0.4%
	64,938	Emaar Development PJSC		200,970
	496,299	Emaar Properties PJSC		1,291,116

Shares		Description	Value ($)
		United Arab Emirates — continued
	22,506	Orascom Construction PLC		133,851
		Total United Arab Emirates		1,625,937
		Vietnam — 1.4%
	32,200	CNG Vietnam JSC		40,557
	583,500	Duc Giang Chemicals JSC		2,525,463
	91,100	PetroVietNam Ca Mau Fertilizer JSC		132,933
	148,200	Pha Lai Thermal Power JSC		64,939
	15,500	Quang Ngai Sugar JSC		31,116
	402,400	Vietnam Dairy Products JSC		1,026,346
	5,600	Vietnam Engine & Agricultural Machinery Corp.		8,459
	32,100	Vietnam Petroleum Transport JSC		17,894
	2,479,250	VNDirect Securities Corp.		1,347,575
		Total Vietnam		5,195,282
		TOTAL COMMON STOCKS (COST $666,161,571)		346,292,212
		PREFERRED STOCKS (f) — 5.6%
		Brazil — 4.7%
	1,458,900	Bradespar SA		4,473,591
	5,716,880	Cia Energetica de Minas Gerais		11,306,820
	129,800	Gerdau SA		437,931
	190,347	Petroleo Brasileiro SA		1,230,637
	24,130	Unipar Carbocloro SA – Class B		208,543
		Total Brazil		17,657,522
		Colombia — 0.5%
	55,769	Bancolombia SA Sponsored ADR		1,823,646
		Russia — 0.0%
	194,570	Nizhnekamskneftekhim PJSC (a) (c)		—
	79,676,700	Surgutneftegas PJSC (a) (c)		1
	86,900	Transneft PJSC (a) (c)		—
		Total Russia		1
		South Korea — 0.4%
	38,953	Samsung Electronics Co. Ltd.		1,301,999
		TOTAL PREFERRED STOCKS (COST $71,627,986)		20,783,168
		MUTUAL FUNDS — 0.8%
		United States — 0.8%
		Affiliated Issuers — 0.8%
	614,103	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		3,070,516
		Total United States		3,070,516
		TOTAL MUTUAL FUNDS (COST $3,070,516)		3,070,516

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	556,039	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (g)		556,039
		TOTAL SHORT-TERM INVESTMENTS (COST $556,039)		556,039
		TOTAL INVESTMENTS — 99.0% (Cost $741,416,112)		370,701,935
		Other Assets and Liabilities (net) — 1.0%		3,886,293
		TOTAL NET ASSETS — 100.0%		$374,588,228

 

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 November 30, 2024
Alrosa PJSC	09/14/17	$	46,779,239	0.0%	$	—
Federal Grid Co-Rosseti PJSC	01/16/20		3,566,461	0.0%		13
Gazprom Neft PJSC	02/11/22		1,504,524	0.0%		—
Gazprom PJSC	02/15/22		5,498,440	0.0%		—
GMK Norilskiy Nickel PAO	12/09/19		10,928,119	0.0%		—
Inter RAO UES PJSC	04/04/18		5,427,962	0.0%		1
LSR Group PJSC	03/01/19		2,449,446	0.0%		—
LSR Group PJSC GDR	05/06/21		7	0.0%		—
LUKOIL PJSC	08/31/21		26,859,350	0.0%		—
Magnitogorsk Iron & Steel Works PJSC	02/13/18		14,388,116	0.0%		—
Mechel PJSC	11/12/21		883,911	0.0%		—
Moscow Exchange MICEX-Rates PJSC	10/23/17		8,713,968	0.0%		—
Nizhnekamskneftekhim PJSC	03/24/20		204,612	0.0%		—
Novolipetsk Steel PJSC	10/11/17		26,618,404	0.0%		—
PhosAgro PJSC	02/09/22		802,829	0.0%		—
PhosAgro PJSC GDR	02/09/22		5,151	0.0%		—
Polyus PJSC	07/23/20		17,665,998	0.0%		—
RusHydro PJSC	02/09/22		256,737	0.0%		—
Sberbank of Russia PJSC	11/10/17		51,393,929	0.0%		—
Severstal PAO GDR (Registered)	10/12/17		13,249,420	0.0%		1
SFI PJSC	09/11/18		747,895	0.0%		—
Surgutneftegas PJSC	09/17/15		36,354,554	0.0%		1
Surgutneftegas PJSC	11/01/18		47,551,568	0.0%		1
Tatneft PJSC	11/02/18		25,364,999	0.0%		—
Transneft PJSC	05/29/20		1,711,599	0.0%		—
Unipro PJSC	03/29/18		400,147	0.0%		—
United Co. Rusal International PJSC	11/12/21		569,611	0.0%		—
					$	17

GMO Emerging Markets Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Notes to Schedule of Investments:

* Non-income producing security.

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

(b) All or a portion of this security is out on loan.

(c) The security is restricted as to resale.

(d) Affiliated company.

(e) Investment valued using significant unobservable inputs.

(f) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(g) The rate disclosed is the 7 day net yield as of November 30, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

PJSC - Private Joint-Stock Company

QSC - Qatari Shareholding Company

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company)

 

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.6%
		Australia — 3.7%
	21,587	Aristocrat Leisure Ltd.		957,303
	148,617	BHP Group Ltd.		3,918,915
	131,246	BlueScope Steel Ltd.		1,901,735
	750,398	Brambles Ltd.		9,342,748
	395,303	Fortescue Ltd.		4,900,721
	173,489	GrainCorp Ltd. – Class A		886,030
	69,828	JB Hi-Fi Ltd.		4,155,517
	65,687	Rio Tinto Ltd.		5,084,610
	154,801	Super Retail Group Ltd.		1,492,766
	58,213	Wesfarmers Ltd.		2,736,239
		Total Australia		35,376,584
		Austria — 0.5%
	85,929	Erste Group Bank AG		4,716,681
		Belgium — 1.6%
	203,891	Ageas SA		10,306,248
	25,386	Bekaert SA		880,895
	11,691	Groupe Bruxelles Lambert NV		809,876
	18,036	Melexis NV		1,084,336
	29,381	Proximus SADP		190,767
	30,543	Syensqo SA		2,273,863
		Total Belgium		15,545,985
		Denmark — 0.1%
	9,637	Novo Nordisk AS – Class B		1,032,795
	1,474	Schouw & Co. AS		116,399
		Total Denmark		1,149,194
		Finland — 1.2%
	2,635,117	Nokia OYJ		11,068,648
		France — 10.4%
	433,997	AXA SA		15,126,034
	263,661	Cie de Saint-Gobain SA		24,074,721
	101,591	Coface SA		1,571,491
	68,762	Credit Agricole SA		920,920
	100,483	Derichebourg SA		485,790
	1,990	Fnac Darty SA		55,827
	16,175	Ipsen SA		1,870,632
	25,959	IPSOS SA		1,213,884
	34,139	Metropole Television SA		392,928
	368,940	Orange SA		3,932,171
	79,344	Publicis Groupe SA		8,619,128
	39,738	Rubis SCA		954,615
	256,188	Sanofi SA		24,882,817
	12,341	Schneider Electric SE		3,179,299
	14,681	Societe BIC SA		979,399
	248,851	STMicroelectronics NV - NY Shares		6,345,700
	106,457	Television Francaise 1 SA (a)		814,596
	80,157	TotalEnergies SE		4,658,736

Shares		Description	Value ($)
		France — continued
	65,484	Vivendi SE		601,998
		Total France		100,680,686
		Germany — 5.3%
	44,212	Allianz SE (Registered)		13,686,460
	511,646	Deutsche Bank AG (Registered)		8,702,198
	220,301	Deutsche Telekom AG		7,047,632
	51,687	Heidelberg Materials AG		6,535,988
	2,953	Hornbach Holding AG & Co. KGaA		252,451
	5,326	Indus Holding AG		122,015
	40,876	Kloeckner & Co. SE		203,452
	120,151	ProSiebenSat.1 Media SE		587,494
	15,233	RTL Group SA		392,268
	33,105	Salzgitter AG		575,083
	14,517	SAP SE		3,447,290
	46,875	Siemens AG (Registered)		9,105,826
	8,759	Talanx AG		742,596
		Total Germany		51,400,753
		Hong Kong — 2.5%
	52,600	ASMPT Ltd.		524,567
	158,000	BOC Hong Kong Holdings Ltd.		487,509
	501,000	CK Asset Holdings Ltd.		2,055,409
	1,177,500	CK Hutchison Holdings Ltd.		6,157,739
	202,800	Dah Sing Banking Group Ltd.		187,496
	26,869	Dah Sing Financial Holdings Ltd.		86,410
	1,107,707	Esprit Holdings Ltd. *		20,098
	156,000	Henderson Land Development Co. Ltd.		489,948
	1,045,585	IGG, Inc.		478,055
	122,901	Johnson Electric Holdings Ltd.		171,536
	215,640	Kerry Logistics Network Ltd.		203,730
	144,326	Luk Fook Holdings International Ltd.		273,087
	1,009,331	Pacific Textiles Holdings Ltd.		189,966
	383,023	Shun Tak Holdings Ltd. *		32,691
	236,000	Sun Hung Kai Properties Ltd.		2,358,569
	287,500	Swire Pacific Ltd. – Class A		2,367,246
	264,000	Techtronic Industries Co. Ltd.		3,757,541
	730,000	VSTECS Holdings Ltd.		475,511
	72,700	VTech Holdings Ltd.		497,753
	3,766,515	WH Group Ltd.		3,002,503
		Total Hong Kong		23,817,364
		Ireland — 0.3%
	38,793	Kingspan Group PLC		2,922,978
		Italy — 3.9%
	67,555	Anima Holding SpA		445,325
	55,598	Banca IFIS SpA		1,172,545
	66,604	Esprinet SpA *		313,639
	626,345	Generali		17,919,817
	917,799	Intesa Sanpaolo SpA (a)		3,523,006
	253,051	MFE-MediaForEurope NV – Class A		754,932
	2,362	Sesa SpA		192,852

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	89,330	UniCredit SpA		3,431,327
	831,533	Unipol Gruppo SpA		10,034,886
		Total Italy		37,788,329
		Japan — 26.6%
	49,420	AOKI Holdings, Inc.		411,925
	207,996	Brother Industries Ltd.		3,667,250
	13,800	Canon Marketing Japan, Inc.		442,785
	302,600	Canon, Inc. (a)		9,858,035
	92,300	Credit Saison Co. Ltd.		2,211,866
	102,000	Daido Steel Co. Ltd.		800,776
	66,290	Daiwabo Holdings Co. Ltd.		1,357,472
	608,100	ENEOS Holdings, Inc.		3,292,763
	104,800	FUJIFILM Holdings Corp.		2,371,242
	94,000	Fujitsu Ltd.		1,805,994
	9,706	Fuyo General Lease Co. Ltd.		727,160
	15,453	Gunze Ltd.		535,676
	214,600	Hitachi Ltd.		5,408,099
	181,345	Honda Motor Co. Ltd. Sponsored ADR		4,696,835
	27,800	Horiba Ltd.		1,594,662
	466,654	ITOCHU Corp.		23,089,133
	777,504	Japan Tobacco, Inc.		21,933,311
	52,000	Kaga Electronics Co. Ltd.		913,065
	62,044	Kanematsu Corp.		1,057,960
	295,096	KDDI Corp.		9,753,610
	29,293	Komeri Co. Ltd.		628,689
	6,400	Konami Group Corp.		632,768
	49,157	MCJ Co. Ltd.		455,350
	226,800	Mitsubishi Corp.		3,840,648
	344,176	Mitsui & Co. Ltd.		7,232,644
	39,684	Modec, Inc.		844,691
	200,800	NEC Corp.		17,168,072
	49,426	Nichias Corp.		1,919,213
	22,600	Nippon Yusen KK		724,571
	328,500	ORIX Corp.		7,394,590
	196,500	Otsuka Holdings Co. Ltd.		11,417,783
	1,456,400	Panasonic Holdings Corp.		14,208,666
	82,324	Press Kogyo Co. Ltd.		291,576
	37,219	Prima Meat Packers Ltd.		542,595
	264,100	Recruit Holdings Co. Ltd.		18,370,181
	11,966	San-A Co. Ltd.		218,661
	64,400	Sanwa Holdings Corp.		1,945,065
	213,700	Seiko Epson Corp.		3,807,585
	47,795	Seiko Group Corp.		1,319,869
	391,112	Sekisui Chemical Co. Ltd.		6,332,872
	726,200	Sekisui House Ltd.		17,221,494
	135,300	Shionogi & Co. Ltd.		1,919,192
	420,400	Sumitomo Forestry Co. Ltd.		16,046,091
	101,975	Tokyu Construction Co. Ltd.		470,448
	12,428	Towa Pharmaceutical Co. Ltd.		233,951
	659,165	Toyota Tsusho Corp.		11,278,124
	19,069	TPR Co. Ltd.		299,319
	24,369	Valor Holdings Co. Ltd.		351,743

Shares		Description	Value ($)
		Japan — continued
	20,256	Warabeya Nichiyo Holdings Co. Ltd.		268,579
	1,488,300	Yamaha Motor Co. Ltd.		12,967,154
	22,800	Yokogawa Electric Corp.		509,472
		Total Japan		256,791,275
		Netherlands — 7.8%
	99,907	EXOR NV		9,867,778
	346,793	Koninklijke Ahold Delhaize NV		11,970,249
	1,192,662	Koninklijke KPN NV		4,623,501
	21,901	Koninklijke Philips NV *		599,073
	304,583	NN Group NV		14,135,211
	268,874	Prosus NV		10,945,267
	57,903	Randstad NV		2,542,794
	123,702	Wolters Kluwer NV		20,644,799
		Total Netherlands		75,328,672
		Norway — 1.0%
	411,726	Elkem ASA *		680,735
	153,855	Equinor ASA		3,729,061
	35,331	Europris ASA		211,925
	102,693	Hoegh Autoliners ASA		1,197,760
	304,774	Orkla ASA		2,815,221
	52,299	Storebrand ASA		575,008
	38,577	Wallenius Wilhelmsen ASA		376,648
		Total Norway		9,586,358
		Portugal — 0.2%
	30,571	CTT-Correios de Portugal SA		144,297
	253,973	Navigator Co. SA		921,758
	156,820	REN – Redes Energeticas Nacionais SGPS SA		407,825
	757,857	Sonae SGPS SA		755,519
		Total Portugal		2,229,399
		Singapore — 5.1%
	730,000	ComfortDelGro Corp. Ltd.		795,857
	352,300	DBS Group Holdings Ltd.		11,179,124
	381,100	First Resources Ltd.		424,152
	1,610,800	Oversea-Chinese Banking Corp. Ltd.		19,578,778
	428,300	Sheng Siong Group Ltd.		527,733
	334,500	United Overseas Bank Ltd.		9,081,921
	87,700	Venture Corp. Ltd.		843,029
	214,900	Wilmar International Ltd.		494,569
	882,722	Yangzijiang Financial Holding Ltd.		263,705
	3,488,522	Yangzijiang Shipbuilding Holdings Ltd.		6,277,537
		Total Singapore		49,466,405
		Spain — 6.4%
	2,029,623	Banco Bilbao Vizcaya Argentaria SA		19,172,113
	9,685,235	Banco de Sabadell SA		18,261,870
	185,375	Iberdrola SA		2,643,373
	306,333	Industria de Diseno Textil SA		16,904,438

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Spain — continued
	981,823	Telefonica SA (a)		4,447,857
		Total Spain		61,429,651
		Sweden — 2.1%
	134,654	Betsson AB – Class B		1,726,426
	321,284	Investor AB – B Shares		8,814,916
	395,411	Volvo AB – B Shares		9,848,684
		Total Sweden		20,390,026
		Switzerland — 6.4%
	70,409	ABB Ltd. (Registered)		4,019,593
	26,707	Adecco Group AG (Registered)		713,173
	209	Forbo Holding AG (Registered)		185,143
	6,988	Logitech International SA (Registered) (b)		565,259
	154,776	Logitech International SA (Registered) (b)		12,578,407
	4,104	Novartis AG Sponsored ADR		434,080
	47,781	Novartis AG (Registered)		5,065,712
	119,112	Roche Holding AG		34,608,079
	57,953	Sandoz Group AG ADR		2,642,309
	9,501	u-blox Holding AG (a)		747,193
	3,995	Zehnder Group AG – Class RG		209,183
		Total Switzerland		61,768,131
		United Kingdom — 13.5%
	596,428	3i Group PLC		28,184,344
	1,698,476	Barratt Redrow PLC		9,249,992
	121,982	Bellway PLC		3,894,299
	180,909	British American Tobacco PLC Sponsored ADR		6,863,687
	5,468,659	BT Group PLC (a)		11,091,228
	133,312	Coca-Cola HBC AG		4,758,530
	83,864	Crest Nicholson Holdings PLC		176,623
	488,845	Ferrexpo PLC *		505,831
	49,060	Galliford Try Holdings PLC		235,941
	345,636	GSK PLC		5,871,770
	490,104	GSK PLC Sponsored ADR		16,727,250
	103,137	Halfords Group PLC		197,041
	143,489	IG Group Holdings PLC		1,748,687
	126,077	Imperial Brands PLC		4,123,511
	76,115	Investec PLC		553,186
	189,041	J Sainsbury PLC		628,668
	1,327,492	Kingfisher PLC		4,186,899
	67,053	Next PLC		8,611,766
	981,216	Taylor Wimpey PLC		1,637,336
	10,493	Unilever PLC Sponsored ADR		627,901
	109,244	Vesuvius PLC		579,359
	2,139,413	Vodafone Group PLC Sponsored ADR		19,190,535
		Total United Kingdom		129,644,384
		TOTAL COMMON STOCKS (COST $888,632,037)		951,101,503

Shares / Par Value†		Description	Value ($)
		PREFERRED STOCKS (c) — 0.2%
		Germany — 0.2%
	17,694	Bayerische Motoren Werke AG		1,212,174
	3,755	Draegerwerk AG & Co. KGaA		173,282
		Total Germany		1,385,456
		TOTAL PREFERRED STOCKS (COST $1,887,935)		1,385,456
		DEBT OBLIGATIONS — 0.1%
		United States — 0.1%
	1,300,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.61%, due 04/30/26		1,299,894
		TOTAL DEBT OBLIGATIONS (COST $1,300,261)		1,299,894
		MUTUAL FUNDS — 6.3%
		United States — 6.3%
		Affiliated Issuers — 6.3%
	12,110,649	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		60,553,248
		Total United States		60,553,248
		TOTAL MUTUAL FUNDS (COST $60,553,248)		60,553,248
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	1,257,375	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (d)		1,257,375
		TOTAL SHORT-TERM INVESTMENTS (COST $1,257,375)		1,257,375
		TOTAL INVESTMENTS — 105.3% (Cost $953,630,856)		1,015,597,476
		Other Assets and Liabilities (net) — (5.3)%		(50,918,221	)
		TOTAL NET ASSETS — 100.0%		$ 964,679,255

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.

(b) Securities are traded on separate exchanges for the same entity.

(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 November 30, 2024.

GMO International Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

 

GMO International Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.0%
		Australia — 5.5%
	160,681	ANZ Group Holdings Ltd.		3,274,901
	431,808	BHP Group Ltd.		11,386,443
	180,062	BlueScope Steel Ltd.		2,609,072
	297,809	Fortescue Ltd.		3,692,051
	7,445	Rio Tinto Ltd.		576,293
		Total Australia		21,538,760
		Austria — 1.0%
	61,506	OMV AG		2,466,085
	64,703	Raiffeisen Bank International AG		1,263,745
		Total Austria		3,729,830
		Belgium — 1.7%
	52,746	Ageas SA		2,666,196
	10,147	Groupe Bruxelles Lambert NV		702,918
	44,731	KBC Group NV		3,234,497
	8,249	Proximus SADP		53,560
		Total Belgium		6,657,171
		Canada — 13.8%
	52,600	B2Gold Corp. (a)		153,286
	87,548	B2Gold Corp. (a)		252,138
	12,600	Bank of Montreal		1,201,457
	38,900	Bank of Nova Scotia (a)		2,218,610
	97,901	Bank of Nova Scotia (a)		5,582,315
	26,895	Canadian Imperial Bank of Commerce		1,741,720
	9,900	Canadian Tire Corp. Ltd. – Class A		1,091,577
	22,274	Cenovus Energy, Inc.		351,261
	9,600	CI Financial Corp.		212,907
	20,400	Empire Co. Ltd. – Class A		611,687
	1,300	Fairfax Financial Holdings Ltd.		1,844,355
	36,600	Great-West Lifeco, Inc. (b)		1,317,814
	32,900	iA Financial Corp., Inc.		3,144,893
	4,700	Imperial Oil Ltd.		348,090
	14,749	Magna International, Inc. (a)		665,770
	25,100	Magna International, Inc. (a) (b)		1,140,754
	81,174	Manulife Financial Corp. (a)		2,608,121
	163,800	Manulife Financial Corp. (a)		5,273,002
	25,639	Nutrien Ltd. (a)		1,196,316
	57,200	Nutrien Ltd. (a)		2,671,962
	85,600	Parex Resources, Inc.		915,276
	111,500	Power Corp. of Canada		3,755,823
	9,700	Russel Metals, Inc.		318,426
	8,600	Sun Life Financial, Inc. (a)		529,311
	67,772	Sun Life Financial, Inc. (a) (b)		4,160,523
	10,626	Suncor Energy, Inc. (a)		419,514
	15,400	Suncor Energy, Inc. (a)		612,788
	161,300	Toronto-Dominion Bank		9,128,102
	7,600	West Fraser Timber Co. Ltd.		746,510
		Total Canada		54,214,308

Shares		Description	Value ($)
		Denmark — 0.9%
	861	AP Moller - Maersk AS – Class A		1,415,250
	1,116	AP Moller - Maersk AS – Class B		1,899,286
	51,720	H Lundbeck AS		322,730
		Total Denmark		3,637,266
		Finland — 1.4%
	935,847	Nokia OYJ		3,930,968
	166,184	Outokumpu OYJ		558,108
	12,348	TietoEVRY OYJ		220,523
	36,531	Valmet OYJ		855,870
		Total Finland		5,565,469
		France — 11.0%
	7,507	Aperam SA		214,876
	4,936	Arkema SA		391,654
	104,649	BNP Paribas SA		6,255,468
	80,145	Carrefour SA		1,220,522
	57,921	Cie de Saint-Gobain SA		5,288,730
	7,845	Ipsen SA		907,271
	313,705	Orange SA (b)		3,343,475
	88,192	Sanofi SA		8,565,840
	119,187	Societe Generale SA		3,159,939
	49,917	STMicroelectronics NV - NY Shares		1,272,883
	2,533	Teleperformance SE		238,520
	181,706	TotalEnergies SE		10,560,778
	27,190	Valeo SE		226,458
	184,657	Vivendi SE		1,697,561
		Total France		43,343,975
		Germany — 4.0%
	17,603	Bayerische Motoren Werke AG		1,309,232
	94,069	Daimler Truck Holding AG		3,565,595
	289,139	Deutsche Bank AG (Registered)		4,917,746
	5,141	Henkel AG & Co. KGaA		390,738
	88,478	Mercedes-Benz Group AG		4,974,168
	74,475	ProSiebenSat.1 Media SE		364,155
		Total Germany		15,521,634
		Hong Kong — 3.4%
	315,500	BOC Hong Kong Holdings Ltd.		973,476
	689,000	CK Asset Holdings Ltd.		2,826,700
	671,500	CK Hutchison Holdings Ltd.		3,511,611
	66,000	Kerry Properties Ltd.		132,789
	358,500	Sun Hung Kai Properties Ltd.		3,582,826
	109,500	Swire Pacific Ltd. – Class A		901,612
	1,800	VTech Holdings Ltd.		12,324
	1,968,000	WH Group Ltd.		1,568,804
		Total Hong Kong		13,510,142
		Italy — 4.7%
	81,192	Banco BPM SpA (b)		618,675
	271,185	BPER Banca SpA		1,655,030

GMO International Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Italy — continued
	137,208	Eni SpA		1,941,380
	28,900	Generali		826,833
	24,859	Iveco Group NV		248,687
	109,436	Leonardo SpA		2,947,176
	315,375	Stellantis NV		4,186,254
	20,000	Tenaris SA		383,703
	73,896	Tenaris SA ADR		2,832,434
	246,093	Unipol Gruppo SpA		2,969,834
		Total Italy		18,610,006
		Japan — 18.5%
	107,900	Bridgestone Corp.		3,859,486
	62,000	Brother Industries Ltd.		1,093,144
	18,800	Credit Saison Co. Ltd.		450,521
	121,300	Daiwa House Industry Co. Ltd.		3,819,091
	491,600	ENEOS Holdings, Inc.		2,661,934
	71,800	Honda Motor Co. Ltd.		619,489
	170,424	Honda Motor Co. Ltd. Sponsored ADR		4,413,982
	170,500	Idemitsu Kosan Co. Ltd.		1,139,111
	227,100	Inpex Corp.		2,976,371
	95,400	Isuzu Motors Ltd.		1,272,582
	60,300	ITOCHU Corp.		2,983,527
	5,900	Japan Tobacco, Inc.		166,438
	47,000	Kawasaki Kisen Kaisha Ltd.		626,260
	4,700	KDDI Corp.		155,346
	208,700	Kirin Holdings Co. Ltd.		2,916,295
	131,500	Komatsu Ltd.		3,560,502
	79,100	Marubeni Corp.		1,193,890
	38,500	Mazda Motor Corp.		245,519
	6,000	Mitsubishi Gas Chemical Co., Inc.		113,224
	120,900	Mitsui & Co. Ltd.		2,540,638
	62,000	Mitsui OSK Lines Ltd. (b)		2,125,661
	4,710,400	Nippon Telegraph & Telephone Corp.		4,833,767
	88,400	Nippon Yusen KK		2,834,164
	176,800	Ono Pharmaceutical Co. Ltd.		2,031,282
	155,100	ORIX Corp.		3,491,327
	51,200	Otsuka Holdings Co. Ltd.		2,975,015
	459,600	Panasonic Holdings Corp.		4,483,866
	31,400	Sekisui Chemical Co. Ltd.		508,428
	208,800	Shionogi & Co. Ltd.		2,961,769
	29,800	Sojitz Corp.		608,560
	72,100	Sumitomo Corp.		1,547,564
	44,600	Sumitomo Forestry Co. Ltd.		1,702,321
	7,100	Sumitomo Heavy Industries Ltd.		150,622
	41,700	Tosoh Corp.		575,528
	163,400	Toyota Tsusho Corp.		2,795,727
	248,100	Yamaha Motor Co. Ltd.		2,161,628
		Total Japan		72,594,579
		Netherlands — 4.5%
	5,002	Akzo Nobel NV		292,061
	25,202	EXOR NV		2,489,192
	329,412	ING Groep NV		5,085,250

Shares		Description	Value ($)
		Netherlands — continued
	131,577	Koninklijke Ahold Delhaize NV		4,541,641
	65,757	NN Group NV		3,051,677
	11,567	Randstad NV		507,962
	84,384	Signify NV		1,886,615
		Total Netherlands		17,854,398
		Norway — 1.2%
	183,084	Equinor ASA		4,437,499
	33,145	Orkla ASA		306,163
		Total Norway		4,743,662
		Portugal — 0.0%
	4,483	Sonae SGPS SA		4,469
		Russia — 0.0%
	9,800	Surgutneftegas PJSC (c) (d)		—
		Singapore — 1.7%
	382,700	Oversea-Chinese Banking Corp. Ltd.		4,651,601
	68,300	United Overseas Bank Ltd.		1,854,395
		Total Singapore		6,505,996
		Spain — 4.5%
	48,842	Acerinox SA		490,881
	539,814	Banco Bilbao Vizcaya Argentaria SA		5,099,161
	1,701,823	Banco de Sabadell SA		3,208,850
	1,278,560	Banco Santander SA		5,902,611
	226,370	Repsol SA		2,833,430
		Total Spain		17,534,933
		Sweden — 1.2%
	43,071	SSAB AB – B Shares		195,120
	61,411	Swedbank AB – Class A		1,202,981
	5,033	Volvo AB – A Shares		126,071
	129,888	Volvo AB – B Shares		3,235,180
		Total Sweden		4,759,352
		Switzerland — 8.4%
	75,069	Adecco Group AG (Registered)		2,004,612
	15,317	Novartis AG (Registered)		1,623,899
	109,291	Novartis AG Sponsored ADR		11,559,709
	3,267	Roche Holding AG (a)		1,005,773
	45,771	Roche Holding AG (a)		13,298,798
	13,024	Sandoz Group AG ADR		593,816
	1,052	Swatch Group AG		191,726
	4,438	Swisscom AG (Registered)		2,563,575
		Total Switzerland		32,841,908
		United Kingdom — 10.6%
	87,804	3i Group PLC		4,149,198
	114,595	abrdn PLC		205,650
	2,031,903	BT Group PLC (b)		4,120,992

GMO International Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	206,033	GSK PLC Sponsored ADR		7,031,906
	154,136	HSBC Holdings PLC Sponsored ADR (b)		7,227,437
	1,093,396	ITV PLC		1,011,919
	556,429	Kingfisher PLC		1,754,973
	7,949,773	Lloyds Banking Group PLC		5,359,639
	66,952	Rio Tinto PLC Sponsored ADR		4,207,264
	216,038	Standard Chartered PLC		2,670,873
	411,345	Vodafone Group PLC Sponsored ADR		3,689,765
		Total United Kingdom		41,429,616
		TOTAL COMMON STOCKS (COST $370,795,737)		384,597,474
		PREFERRED STOCKS (e) — 0.6%
		Germany — 0.6%
	4,681	Bayerische Motoren Werke AG		320,684
	2,434	Henkel AG & Co. KGaA		207,825
	22,734	Volkswagen AG		1,948,869
		Total Germany		2,477,378
		TOTAL PREFERRED STOCKS (COST $3,070,338)		2,477,378

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.1%
		United States — 1.1%
		Affiliated Issuers — 1.1%
	847,771	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		4,238,858
		Total United States		4,238,858
		TOTAL MUTUAL FUNDS (COST $4,238,858)		4,238,858
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	269,669	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (f)		269,669
		TOTAL SHORT-TERM INVESTMENTS (COST $269,669)		269,669
		TOTAL INVESTMENTS — 99.8% (Cost $378,374,602)		391,583,379
		Other Assets and Liabilities (net) — 0.2%		899,087
		TOTAL NET ASSETS — 100.0%		$392,482,466

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 November 30, 2024
Surgutneftegas PJSC	05/12/20	$	4,974	0.0%	$	—

Notes to Schedule of Investments:

(a) Securities are traded on separate exchanges for the same entity.

(b) All or a portion of this security is out on loan.

(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.

(d) The security is restricted as to resale.

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(f) The rate disclosed is the 7 day net yield as of November 30, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

PJSC - Private Joint-Stock Company

GMO-Usonian Japan Value Creation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.0%
		Automobiles & Components — 6.8%
	492,200	Isuzu Motors Ltd.		6,565,671
	325,500	Stanley Electric Co. Ltd.		5,485,001
		Total Automobiles & Components		12,050,672
		Banks — 8.6%
	326,000	Sumitomo Mitsui Financial Group, Inc.		8,045,945
	286,500	Sumitomo Mitsui Trust Group, Inc.		7,183,063
		Total Banks		15,229,008
		Capital Goods — 24.1%
	211,600	EXEO Group, Inc.		2,478,307
	313,000	Fuji Corp.		4,549,606
	388,200	Kanematsu Corp.		6,619,497
	86,000	Kyudenko Corp.		2,956,903
	458,700	Mitsubishi Electric Corp.		7,788,427
	1,168,100	Penta-Ocean Construction Co. Ltd.		4,791,718
	188,000	THK Co. Ltd.		4,548,488
	152,200	TOTO Ltd.		4,112,809
	66,600	Toyota Industries Corp.		4,978,373
		Total Capital Goods		42,824,128
		Consumer Durables & Apparel — 8.7%
	75,500	Mizuno Corp.		4,124,835
	353,400	Sega Sammy Holdings, Inc.		6,215,477
	698,700	Yamaha Corp.		5,150,755
		Total Consumer Durables & Apparel		15,491,067
		Financial Services — 5.6%
	240,400	Credit Saison Co. Ltd.		5,760,918
	116,300	Zenkoku Hosho Co. Ltd.		4,169,619
		Total Financial Services		9,930,537
		Food, Beverage & Tobacco — 9.3%
	280,900	Kirin Holdings Co. Ltd.		3,925,191
	221,400	Morinaga & Co. Ltd.		4,052,756
	248,800	NH Foods Ltd.		8,571,055
		Total Food, Beverage & Tobacco		16,549,002
		Health Care Equipment & Services — 3.9%
	425,500	H.U. Group Holdings, Inc.		6,975,188
		Insurance — 4.5%
	422,100	T&D Holdings, Inc.		8,000,977
		Materials — 6.9%
	279,100	Denka Co. Ltd.		3,962,046
	159,800	Maruichi Steel Tube Ltd.		3,467,134
	782,600	Tokai Carbon Co. Ltd.		4,752,368
		Total Materials		12,181,548

Shares		Description	Value ($)
		Media & Entertainment — 0.0%
	200	Macromill, Inc.		1,614
		Semiconductors & Semiconductor Equipment — 3.9%
	292,800	Rohm Co. Ltd.		2,745,715
	505,500	SUMCO Corp.		4,086,987
		Total Semiconductors & Semiconductor Equipment		6,832,702
		Software & Services — 2.5%
	52,000	NEC Corp.		4,445,915
		Technology Hardware & Equipment — 10.2%
	187,200	Amano Corp.		5,346,129
	276,700	Daiwabo Holdings Co. Ltd.		5,666,200
	237,400	FUJIFILM Holdings Corp.		5,371,497
	146,700	Maxell Ltd.		1,679,115
		Total Technology Hardware & Equipment		18,062,941
		Transportation — 2.0%
	100,700	Sankyu, Inc.		3,485,713
		TOTAL COMMON STOCKS (COST $169,882,841)		172,061,012
		MUTUAL FUNDS — 2.1%
		Affiliated Issuers — 2.1%
	753,591	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		3,767,956
		TOTAL MUTUAL FUNDS (COST $3,767,956)		3,767,956
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	114,565	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (a)		114,565
		TOTAL SHORT-TERM INVESTMENTS (COST $114,565)		114,565
		TOTAL INVESTMENTS — 99.1% (Cost $173,765,362)		175,943,533
		Other Assets and Liabilities (net) — 0.9%		1,531,529
		TOTAL NET ASSETS — 100.0%		$177,475,062

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2024.

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 98.6%
		Brazil — 0.1%
	8,951	Vale SA		87,445
		Canada — 3.9%
	48,013	Brookfield Corp.		2,947,518
		Finland — 1.2%
	60,956	Neste OYJ		927,827
		France — 5.6%
	2,263	LVMH Moet Hennessy Louis Vuitton SE		1,418,649
	12,027	Safran SA		2,806,430
		Total France		4,225,079
		Germany — 2.6%
	7,133	Beiersdorf AG		925,467
	13,850	Knorr-Bremse AG		1,058,770
		Total Germany		1,984,237
		Ireland — 4.2%
	8,395	Kerry Group PLC – Class A		812,100
	54,634	Ryanair Holdings PLC Sponsored ADR		2,406,082
		Total Ireland		3,218,182
		Mexico — 5.1%
	225,771	Fomento Economico Mexicano SAB de CV		1,986,073
	387,436	Grupo Mexico SAB de CV – Series B		1,887,300
		Total Mexico		3,873,373
		Netherlands — 1.9%
	956	ASML Holding NV		653,243
	5,407	IMCD NV		811,221
		Total Netherlands		1,464,464
		Russia — 0.0%
	33,541	LUKOIL PJSC (a) (b)		—
	72,920	Novatek PJSC (a) (b)		—
		Total Russia		—
		Spain — 7.0%
	32,218	Amadeus IT Group SA		2,262,687
	54,992	Industria de Diseno Textil SA		3,034,635
		Total Spain		5,297,322
		Sweden — 0.7%
	16,187	Assa Abloy AB – Class B		497,138
		United Kingdom — 12.3%
	14,114	Ashtead Group PLC		1,131,180
	24,819	Berkeley Group Holdings PLC		1,311,663
	89,997	Compass Group PLC		3,083,633

Shares		Description	Value ($)
		United Kingdom — continued
	78,626	Howden Joinery Group PLC		817,643
	71,987	Persimmon PLC		1,153,197
	57,091	Shell PLC		1,834,737
		Total United Kingdom		9,332,053
		United States — 54.0%
	11,944	Alphabet, Inc. – Class A		2,017,939
	9,273	American Express Co.		2,825,298
	734	Booking Holdings, Inc.		3,818,253
	43,408	BorgWarner, Inc.		1,489,763
	18,556	CarMax, Inc. *		1,558,147
	9,516	Chevron Corp.		1,540,926
	34,604	Darling Ingredients, Inc. *		1,402,500
	2,715	Enphase Energy, Inc. *		193,715
	17,270	EOG Resources, Inc.		2,301,400
	19,833	Green Plains, Inc. *		214,196
	9,132	Hilton Worldwide Holdings, Inc.		2,314,414
	19,787	Intercontinental Exchange, Inc.		3,184,916
	16,573	Lam Research Corp.		1,224,413
	39,618	Las Vegas Sands Corp.		2,102,131
	1,305	Markel Group, Inc. *		2,326,711
	4,430	Meta Platforms, Inc. – Class A		2,544,238
	14,156	Micron Technology, Inc.		1,386,580
	13,878	Otis Worldwide Corp.		1,429,156
	10,637	SolarEdge Technologies, Inc. *		168,065
	10,192	Texas Instruments, Inc.		2,048,898
	36,686	U.S. Bancorp		1,954,997
	39,854	Wells Fargo & Co.		3,035,679
		Total United States		41,082,335
		TOTAL COMMON STOCKS (COST $55,599,840)		74,936,973
		PREFERRED STOCKS (c) — 0.8%
		Brazil — 0.8%
	209,284	Bradespar SA		641,751
		TOTAL PREFERRED STOCKS (COST $931,750)		641,751
		MUTUAL FUNDS — 0.4%
		United States — 0.4%
		Affiliated Issuers — 0.4%
	61,265	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		306,328
		Total United States		306,328
		TOTAL MUTUAL FUNDS (COST $306,328)		306,328

GMO Quality Cyclicals Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	105,883	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (d)		105,883
		TOTAL SHORT-TERM INVESTMENTS (COST $105,883)		105,883
		TOTAL INVESTMENTS — 100.0% (Cost $56,943,801)		75,990,935
		Other Assets and Liabilities (net) — 0.0%		22,646
		TOTAL NET ASSETS — 100.0%		$76,013,581

   

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 November 30, 2024
LUKOIL PJSC	05/12/20	$	2,312,150	0.0%	$	—
Novatek PJSC	02/24/22		622,075	0.0%		—
					$	—

Notes to Schedule of Investments:

^*  Non-income producing security.

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

(b) The security is restricted as to resale.

(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 November 30, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

PJSC - Private Joint-Stock Company

 

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.5%
		Banks — 4.6%
	4,764,801	U.S. Bancorp		253,916,245
	3,229,297	Wells Fargo & Co.		245,975,553
		Total Banks		499,891,798
		Capital Goods — 4.8%
	480,068	Knorr-Bremse AG		36,699,020
	1,892,810	Otis Worldwide Corp.		194,921,574
	1,252,144	Safran SA		292,180,487
		Total Capital Goods		523,801,081
		Consumer Discretionary Distribution & Retail — 4.7%
	1,301,545	Amazon.com, Inc. *		270,578,190
	1,942,509	TJX Cos., Inc.		244,153,956
		Total Consumer Discretionary Distribution & Retail		514,732,146
		Consumer Durables & Apparel — 1.2%
	211,552	LVMH Moet Hennessy Louis Vuitton SE		132,619,540
		Consumer Services — 4.9%
	1,036,168	Amadeus IT Group SA		72,770,604
	8,055,112	Compass Group PLC		275,998,229
	707,920	Hilton Worldwide Holdings, Inc.		179,415,245
		Total Consumer Services		528,184,078
		Financial Services — 3.3%
	1,128,857	Visa, Inc. – Class A		355,680,263
		Food, Beverage & Tobacco — 6.3%
	4,010,646	Coca-Cola Co.		257,002,196
	775,834	Constellation Brands, Inc. – Class A		186,937,202
	3,323,000	Diageo PLC		99,273,879
	1,621,849	Nestle SA (Registered)		140,840,844
		Total Food, Beverage & Tobacco		684,054,121
		Health Care Equipment & Services — 14.3%
	2,946,285	Abbott Laboratories		349,930,270
	519,711	Cigna Group		175,558,376
	628,844	Elevance Health, Inc.		255,914,354
	422,640	Intuitive Surgical, Inc. *		229,070,880
	853,909	Quest Diagnostics, Inc.		138,896,838
	649,947	UnitedHealth Group, Inc.		396,597,659
		Total Health Care Equipment & Services		1,545,968,377
		Household & Personal Products — 4.0%
	39,457,307	Haleon PLC		188,216,001
	4,094,142	Unilever PLC		245,165,070
		Total Household & Personal Products		433,381,071

Shares		Description	Value ($)
		Media & Entertainment — 8.5%
	2,683,617	Alphabet, Inc. – Class A		453,397,092
	814,961	Meta Platforms, Inc. – Class A		468,048,402
		Total Media & Entertainment		921,445,494
		Pharmaceuticals, Biotechnology & Life Sciences — 8.7%
	163,883	Eli Lilly & Co.		130,344,344
	2,267,185	Johnson & Johnson		351,436,347
	2,098,279	Merck & Co., Inc.		213,269,077
	392,389	Roche Holding AG		114,008,911
	244,640	Thermo Fisher Scientific, Inc.		129,568,683
		Total Pharmaceuticals, Biotechnology & Life Sciences		938,627,362
		Semiconductors & Semiconductor Equipment — 10.2%
	139,702	ASML Holding NV		95,459,543
	197,981	KLA Corp.		128,099,646
	2,991,120	Lam Research Corp.		220,983,946
	10,830,740	Taiwan Semiconductor Manufacturing Co. Ltd.		337,491,763
	1,587,001	Texas Instruments, Inc.		319,034,811
		Total Semiconductors & Semiconductor Equipment		1,101,069,709
		Software & Services — 18.8%
	844,044	Accenture PLC – Class A		305,856,224
	1,588,919	Dassault Systemes SE		54,844,418
	1,526,971	Microsoft Corp.		646,611,140
	2,252,464	Oracle Corp.		416,345,446
	869,116	Salesforce, Inc.		286,799,589
	1,368,883	SAP SE		325,062,783
		Total Software & Services		2,035,519,600
		Technology Hardware & Equipment — 5.2%
	2,368,232	Apple, Inc.		562,052,500
		TOTAL COMMON STOCKS (COST $5,596,020,660)		10,777,027,140
		MUTUAL FUNDS — 0.5%
		Affiliated Issuers — 0.5%
	11,440,585	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		57,202,921
		TOTAL MUTUAL FUNDS (COST $57,153,216)		57,202,921

GMO Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	358,477	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (a)		358,477
		TOTAL SHORT-TERM INVESTMENTS (COST $358,477)		358,477
		TOTAL INVESTMENTS — 100.0% (Cost $5,653,532,353)		10,834,588,538
		Other Assets and Liabilities (net) — (0.0)%		(4,267,091	)
		TOTAL NET ASSETS — 100.0%		$10,830,321,447

Notes to Schedule of Investments:

^*  Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2024.

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 88.8%
		Argentina — 0.7%
	78,620	Adecoagro SA (a)		856,958
		Australia — 0.1%
	578,245	Sunrise Energy Metals Ltd. *		90,994
		Brazil — 5.8%
	190,700	Sao Martinho SA		805,043
	142,900	Suzano SA		1,482,010
	453,500	Vale SA		4,430,383
		Total Brazil		6,717,436
		Canada — 15.2%
	273,200	Anaergia, Inc. * (a)		179,525
	161,600	First Quantum Minerals Ltd. *		2,208,070
	290,754	Greenlane Renewables, Inc. *		21,806
	678,600	Ivanhoe Mines Ltd. – Class A* (a)		9,136,538
	531,300	Largo, Inc. *		1,104,306
	21,437	Li-Cycle Holdings Corp. * (a)		45,232
	269,700	NexGen Energy Ltd. *		2,294,294
	6,700	Precision Drilling Corp. *		424,669
	22,200	Teck Resources Ltd. – Class B (b)		1,036,296
	22,300	Teck Resources Ltd. – Class B (b)		1,041,213
		Total Canada		17,491,949
		China — 1.9%
	353,100	Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A		794,318
	598,369	Western Mining Co. Ltd. – Class A		1,404,515
		Total China		2,198,833
		Denmark — 0.8%
	59,604	Vestas Wind Systems AS *		933,244
		Finland — 3.5%
	261,464	Neste OYJ		3,979,811
		France — 2.6%
	9,577	Eramet SA (a)		513,284
	85,158	Veolia Environnement SA		2,482,410
		Total France		2,995,694
		Italy — 1.4%
	81,308	Tenaris SA		1,559,907
		Mexico — 3.6%
	861,900	Grupo Mexico SAB de CV – Series B		4,198,537
		Norway — 1.6%
	107,587	Austevoll Seafood ASA		985,880
	74,825	DOF Group ASA *		576,957
	22,984	TGS ASA		225,250
		Total Norway		1,788,087

Shares		Description	Value ($)
		South Africa — 1.8%
	102,104	African Rainbow Minerals Ltd.		901,010
	1,148,987	Sibanye Stillwater Ltd. *		1,153,030
		Total South Africa		2,054,040
		Spain — 1.4%
	166,744	Solaria Energia y Medio Ambiente SA * (a)		1,597,123
		Sweden — 2.1%
	81,464	Boliden AB		2,432,558
		United Kingdom — 5.7%
	1,351,525	Glencore PLC *		6,544,366
		United States — 40.6%
	8,900	Advanced Drainage Systems, Inc.		1,204,081
	77,319	Aemetis, Inc. * (a)		316,235
	21,500	AGCO Corp.		2,176,015
	27,900	Albemarle Corp.		3,004,830
	162,890	Ameresco, Inc. – Class A*		4,588,611
	381,600	Array Technologies, Inc. *		2,560,536
	394,520	Clean Energy Fuels Corp. *		1,215,122
	43,400	Corteva, Inc.		2,701,216
	190,700	Darling Ingredients, Inc. *		7,729,071
	1,800	Deere & Co.		838,620
	20,600	Enphase Energy, Inc. *		1,469,810
	10,400	First Solar, Inc. *		2,072,408
	55,000	Freeport-McMoRan, Inc.		2,431,000
	484,566	GrafTech International Ltd. * (a)		949,749
	195,300	Green Plains, Inc. *		2,109,240
	46,100	Liberty Energy, Inc.		848,240
	39,700	NEXTracker, Inc. – Class A*		1,514,952
	10,200	PotlatchDeltic Corp. – (REIT)		457,368
	47,300	ProPetro Holding Corp. *		397,320
	175,000	SolarEdge Technologies, Inc. *		2,765,000
	356,037	Sunrun, Inc. *		4,105,107
	1,800	Valmont Industries, Inc.		626,148
	5,300	Veralto Corp.		573,407
		Total United States		46,654,086
		TOTAL COMMON STOCKS (COST $155,119,226)		102,093,623
		PREFERRED STOCKS (c) — 9.4%
		Brazil — 4.7%
	1,764,265	Bradespar SA		5,409,967
		Chile — 4.7%
	139,600	Sociedad Quimica y Minera de Chile SA Sponsored ADR		5,369,016
		TOTAL PREFERRED STOCKS (COST $19,122,227)		10,778,983

GMO Resource Transition Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 1.7%
		United States — 1.7%
		Affiliated Issuers — 1.7%
	402,642	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		2,013,211
		Total United States		2,013,211
		TOTAL MUTUAL FUNDS (COST $2,013,211)		2,013,211
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	196,454	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (d)		196,454
		TOTAL SHORT-TERM INVESTMENTS (COST $196,454)		196,454
		TOTAL INVESTMENTS — 100.1% (Cost $176,451,118)		115,082,271
		Other Assets and Liabilities (net) — (0.1)%		(140,506	)
		TOTAL NET ASSETS — 100.0%		$114,941,765

Notes to Schedule of Investments:

^*  Non-income producing security.

(a) All or a portion of this security is out on loan.

(b) Securities are traded on separate exchanges for the same entity.

(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 November 30, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

   

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 89.0%
		Argentina — 7.8%
	715,622	Adecoagro SA (a)		7,800,280
	1,103,208	Vista Energy SAB de CV ADR *		58,723,762
	1,815,142	YPF SA Sponsored ADR *		73,150,222
		Total Argentina		139,674,264
		Australia — 0.5%
	735,000	Clean TeQ Water Ltd. * (a)		154,100
	1,834,224	Santos Ltd.		7,928,894
	1,938,657	Sunrise Energy Metals Ltd. *		305,073
		Total Australia		8,388,067
		Austria — 0.9%
	395,676	OMV AG		15,864,639
		Brazil — 3.4%
	343,270	PRIO SA		2,290,064
	1,733,482	Sao Martinho SA		7,317,917
	1,260,452	Suzano SA		13,072,099
	3,992,880	Vale SA		39,007,693
		Total Brazil		61,687,773
		Canada — 10.1%
	654,900	Anaergia, Inc. *		430,348
	627,679	ARC Resources Ltd.		11,571,297
	1,422,377	First Quantum Minerals Ltd. *		19,435,072
	696,749	Greenlane Renewables, Inc. *		52,254
	5,973,482	Ivanhoe Mines Ltd. – Class A* (a)		80,425,796
	1,273,509	Largo, Inc. * (a)		2,646,985
	217,512	Li-Cycle Holdings Corp. * (a)		458,950
	409,165	Logan Energy Corp. *		229,416
	2,396,039	NexGen Energy Ltd. * (a)		20,382,718
	213,000	NuVista Energy Ltd. *		2,064,505
	59,500	Precision Drilling Corp. * (a)		3,771,315
	1,538,400	Tamarack Valley Energy Ltd. (a)		4,900,728
	200,702	Teck Resources Ltd. – Class B (b)		9,368,769
	200,991	Teck Resources Ltd. – Class B (b)		9,384,509
	881,275	Vermilion Energy, Inc. (a)		9,024,256
	952,945	Whitecap Resources, Inc. (a)		6,963,057
		Total Canada		181,109,975
		China — 1.1%
	3,112,700	Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A		7,002,189
	5,268,745	Western Mining Co. Ltd. – Class A		12,367,006
		Total China		19,369,195
		Denmark — 0.5%
	581,338	Vestas Wind Systems AS *		9,102,250
		Finland — 2.0%
	2,349,560	Neste OYJ		35,763,261

Shares		Description	Value ($)
		France — 1.5%
	84,706	Eramet SA (a)		4,539,860
	749,788	Veolia Environnement SA		21,856,799
		Total France		26,396,659
		Hong Kong — 0.2%
	110,042,000	United Energy Group Ltd. (a)		4,108,909
		Hungary — 0.5%
	1,235,075	MOL Hungarian Oil & Gas PLC		8,465,175
		Israel — 0.0%
	1	Equital Ltd. *		26
		Italy — 1.9%
	1,479,581	Eni SpA		20,934,851
	716,378	Tenaris SA		13,743,826
		Total Italy		34,678,677
		Japan — 0.3%
	719,100	Japan Petroleum Exploration Co. Ltd.		5,203,680
		Mexico — 2.1%
	7,600,672	Grupo Mexico SAB de CV – Series B (a)		37,024,833
		Norway — 3.2%
	775,254	Aker BP ASA		15,941,039
	948,515	Austevoll Seafood ASA		8,691,772
	666,380	DOF Group ASA *		5,138,292
	1,060,445	Equinor ASA		25,702,541
	205,223	TGS ASA		2,011,244
		Total Norway		57,484,888
		Portugal — 2.8%
	3,096,835	Galp Energia SGPS SA		50,914,706
		Russia — 0.0%
	3,574,704	Gazprom Neft PJSC (c) (d)		—
	14,145,410	Gazprom PJSC (c) (d)		—
	23,291,700	GMK Norilskiy Nickel PAO (c) (d)		—
	248,399	LUKOIL PJSC (c) (d)		—
	338,098	PhosAgro PJSC (c) (d)		—
	6,533	PhosAgro PJSC GDR * (c) (d)		—
	3,476,399	Tatneft PJSC (c) (d)		—
		Total Russia		—
		Singapore — 0.0%
	2,725,600	Ezra Holdings Ltd. * (a) (c)		2
		South Africa — 1.0%
	901,378	African Rainbow Minerals Ltd.		7,954,146
	10,126,510	Sibanye Stillwater Ltd. *		10,162,144
		Total South Africa		18,116,290

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Spain — 2.1%
	1,840,680	Repsol SA		23,039,435
	1,495,064	Solaria Energia y Medio Ambiente SA * (a)		14,320,165
		Total Spain		37,359,600
		Sweden — 1.2%
	747,080	Boliden AB		22,308,200
		Ukraine — 0.1%
	501,341	Kernel Holding SA *		1,645,769
		United Kingdom — 11.1%
	14,045,811	BP PLC		68,782,982
	11,897,843	Glencore PLC *		57,611,836
	4,162,530	Harbour Energy PLC		13,736,320
	1,221,000	Lifezone Metals Ltd. *		8,669,100
	1,588,380	Shell PLC		51,045,879
		Total United Kingdom		199,846,117
		United States — 34.7%
	81,087	Advanced Drainage Systems, Inc.		10,970,260
	687,620	Aemetis, Inc. * (a)		2,812,366
	188,896	AGCO Corp.		19,118,164
	247,098	Albemarle Corp. (a)		26,612,455
	1,080,185	Ameresco, Inc. – Class A*		30,428,811
	3,421,761	Array Technologies, Inc. * (a)		22,960,016
	281,800	Berry Corp.		1,149,744
	744,160	California Resources Corp.		44,024,506
	3,475,488	Clean Energy Fuels Corp. *		10,704,503
	423,791	ConocoPhillips		45,913,517
	382,207	Corteva, Inc.		23,788,564
	389,533	Crescent Energy Co. – Class A		5,792,356
	1,686,933	Darling Ingredients, Inc. *		68,371,394
	16,176	Deere & Co.		7,536,398
	185,881	Enphase Energy, Inc. *		13,262,609
	93,000	First Solar, Inc. *		18,532,110
	484,308	Freeport-McMoRan, Inc.		21,406,414
	4,751,331	GrafTech International Ltd. * (a)		9,312,609
	1,816,385	Green Plains, Inc. *		19,616,958
	65,750	Gulfport Energy Corp. *		11,558,850
	22,740,486	Kosmos Energy Ltd. *		89,597,515
	419,703	Liberty Energy, Inc.		7,722,535
	357,765	NEXTracker, Inc. – Class A*		13,652,312
	67,497	Northern Oil & Gas, Inc.		2,935,445
	93,496	PotlatchDeltic Corp. – (REIT)		4,192,361
	433,967	ProPetro Holding Corp. *		3,645,323
	189,205	SM Energy Co.		8,550,174
	1,566,359	SolarEdge Technologies, Inc. * (a)		24,748,472
	3,167,387	Sunrun, Inc. * (a)		36,519,972
	16,060	Valmont Industries, Inc.		5,586,632
	48,721	Veralto Corp.		5,271,125

Shares		Description	Value ($)
		United States — continued
	113,892	Viper Energy, Inc.		6,162,696
		Total United States		622,457,166
		TOTAL COMMON STOCKS (COST $1,870,301,308)		1,596,970,121
		PREFERRED STOCKS (e) — 8.8%
		Brazil — 6.1%
	15,535,672	Bradespar SA		47,638,803
	9,607,348	Petroleo Brasileiro SA		62,113,721
		Total Brazil		109,752,524
		Chile — 2.7%
	1,241,862	Sociedad Quimica y Minera de Chile SA Sponsored ADR (a)		47,762,013
		Russia — 0.0%
	20,237,584	Surgutneftegas PJSC (c) (d)		—
	7,494,797	Tatneft PJSC (c) (d)		—
		Total Russia		—
		TOTAL PREFERRED STOCKS (COST $237,829,787)		157,514,537
		MUTUAL FUNDS — 2.3%
		United States — 2.3%
		Affiliated Issuers — 2.3%
	8,191,797	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		40,958,984
		Total United States		40,958,984
		TOTAL MUTUAL FUNDS (COST $40,953,647)		40,958,984
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	264,469	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (f)		264,469
		TOTAL SHORT-TERM INVESTMENTS (COST $264,469)		264,469
		TOTAL INVESTMENTS — 100.1% (Cost $2,149,349,211)		1,795,708,111
		Other Assets and Liabilities (net) — (0.1)%		(1,073,629	)
		TOTAL NET ASSETS — 100.0%		$1,794,634,482

GMO Resources Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of November 30, 2024
Gazprom Neft PJSC	09/18/15	$	17,308,985	0.0%	$	—
Gazprom PJSC	09/21/21		65,108,289	0.0%		—
GMK Norilskiy Nickel PAO	04/11/18		66,379,494	0.0%		—
LUKOIL PJSC	10/15/14		14,600,074	0.0%		—
PhosAgro PJSC	08/26/16		14,566,965	0.0%		—
PhosAgro PJSC GDR	08/26/16		93,496	0.0%		—
Surgutneftegas PJSC	08/11/16		10,546,925	0.0%		—
Tatneft PJSC	08/12/20		24,585,036	0.0%		—
Tatneft PJSC	09/28/15		47,831,491	0.0%		—
					$	—

Notes to Schedule of Investments:

^*  Non-income producing security.

(a) All or a portion of this security is out on loan.

(b) Securities are traded on separate exchanges for the same entity.

(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.

(d) The security is restricted as to resale.

(e) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(f) The rate disclosed is the 7 day net yield as of November 30, 2024.

Portfolio Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

 

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.8%
		Automobiles & Components — 3.7%
	403,749	Gentex Corp.		12,338,569
	80,913	XPEL, Inc.*		3,519,716
		Total Automobiles & Components		15,858,285
		Capital Goods — 16.3%
	71,181	AAON, Inc.		9,704,818
	42,345	Allegion PLC		5,963,870
	39,518	Atkore, Inc.		3,726,943
	174,469	AZEK Co., Inc.*		9,267,793
	8,857	Curtiss-Wright Corp.		3,309,241
	17,980	Kadant, Inc.		7,421,964
	19,156	Preformed Line Products Co.		2,605,599
	51,275	RBC Bearings, Inc.*		17,182,765
	56,606	Woodward, Inc.		10,207,194
		Total Capital Goods		69,390,187
		Commercial & Professional Services — 1.6%
	33,590	FTI Consulting, Inc.*		6,802,647
		Consumer Discretionary Distribution & Retail — 2.9%
	122,480	Ollie’s Bargain Outlet Holdings, Inc.*		12,119,396
		Consumer Durables & Apparel — 8.7%
	229,761	Acushnet Holdings Corp.		16,797,827
	44,061	Installed Building Products, Inc.		10,078,513
	238,747	Malibu Boats, Inc. – Class A*		10,349,682
		Total Consumer Durables & Apparel		37,226,022
		Consumer Services — 1.2%
	126,579	Aramark		5,150,499
		Consumer Staples Distribution & Retail — 2.0%
	96,489	PriceSmart, Inc.		8,658,923
		Energy — 2.4%
	149,143	Cactus, Inc. – Class A		10,240,158
		Financial Services — 10.8%
	80,110	Cohen & Steers, Inc.		8,384,313
	187,086	Essent Group Ltd.		10,809,829
	59,284	Houlihan Lokey, Inc.		11,210,011
	233,516	StepStone Group, Inc. – Class A		15,386,369
		Total Financial Services		45,790,522
		Food, Beverage & Tobacco — 7.0%
	77,991	J&J Snack Foods Corp.		13,554,056
	23,337	John B Sanfilippo & Son, Inc.		2,015,150
	77,064	Lancaster Colony Corp.		14,321,574
		Total Food, Beverage & Tobacco		29,890,780

Shares		Description	Value ($)
		Health Care Equipment & Services — 6.8%
	215,873	Globus Medical, Inc. – Class A*		18,480,887
	734,098	Neogen Corp.*		10,409,510
		Total Health Care Equipment & Services		28,890,397
		Materials — 6.6%
	90,897	AptarGroup, Inc.		15,721,545
	67,865	Balchem Corp.		12,250,990
		Total Materials		27,972,535
		Media & Entertainment — 3.7%
	286,195	New York Times Co. – Class A		15,528,941
		Pharmaceuticals, Biotechnology & Life Sciences — 0.5%
	5,711	Medpace Holdings, Inc.*		1,945,338
		Semiconductors & Semiconductor Equipment — 9.0%
	145,373	Axcelis Technologies, Inc.*		10,792,492
	101,403	Cirrus Logic, Inc.*		10,591,543
	169,969	Power Integrations, Inc.		11,134,669
	36,323	Universal Display Corp.		5,975,860
		Total Semiconductors & Semiconductor Equipment		38,494,564
		Software & Services — 3.5%
	114,826	ASGN, Inc.*		10,512,320
	58,118	Dolby Laboratories, Inc. – Class A		4,551,802
		Total Software & Services		15,064,122
		Technology Hardware & Equipment — 5.3%
	226,338	Ciena Corp.*		15,780,286
	29,404	Fabrinet*		6,897,590
		Total Technology Hardware & Equipment		22,677,876
		Transportation — 5.8%
	85,555	ArcBest Corp.		9,862,780
	79,803	Landstar System, Inc.		14,836,974
		Total Transportation		24,699,754
		TOTAL COMMON STOCKS (COST $374,852,460)		416,400,946
		MUTUAL FUNDS — 2.2%
		Affiliated Issuers — 2.2%
	1,883,739	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		9,418,695
		TOTAL MUTUAL FUNDS (COST $9,418,695)		9,418,695

GMO Small Cap Quality Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	122,476	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (a)		122,476
		TOTAL SHORT-TERM INVESTMENTS (COST $122,476)		122,476
		TOTAL INVESTMENTS — 100.0% (Cost $384,393,631)		425,942,117
		Other Assets and Liabilities (net) — (0.0)%		(180,985	)
		TOTAL NET ASSETS — 100.0%		$425,761,132

Notes to Schedule of Investments:

^*  Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2024.

 

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.3%
		Automobiles & Components — 2.9%
	6,526	BorgWarner, Inc.		223,973
	84,433	Ford Motor Co.		939,739
	52,897	General Motors Co.		2,940,544
		Total Automobiles & Components		4,104,256
		Banks — 3.9%
	55,217	Bank of America Corp.		2,623,360
	1,900	Capital City Bank Group, Inc.		74,784
	9,594	Citigroup, Inc.		679,927
	2,000	Community Trust Bancorp, Inc.		117,960
	5,400	Farmers National Banc Corp.		84,510
	1,500	First Financial Corp.		73,260
	4,100	Independent Bank Corp.		154,283
	5,580	JPMorgan Chase & Co.		1,393,437
	5,407	Truist Financial Corp.		257,806
		Total Banks		5,459,327
		Capital Goods — 2.9%
	213	Acuity Brands, Inc.		68,307
	296	AGCO Corp.		29,958
	2,016	Allison Transmission Holdings, Inc.		238,896
	2,214	Core & Main, Inc. – Class A *		107,490
	5,942	Cummins, Inc.		2,228,488
	10,000	Masterbrand, Inc. *		173,000
	661	Tennant Co.		58,412
	2,431	Trane Technologies PLC		1,011,831
	213	WW Grainger, Inc.		256,737
		Total Capital Goods		4,173,119
		Commercial & Professional Services — 4.3%
	37,097	ACCO Brands Corp.		215,905
	2,400	Barrett Business Services, Inc.		102,984
	5,008	Booz Allen Hamilton Holding Corp.		742,085
	287	Brady Corp. – Class A		21,493
	2,306	CACI International, Inc. – Class A *		1,060,483
	1,470	Cimpress PLC *		118,041
	9,600	Deluxe Corp.		222,432
	2,700	Heidrick & Struggles International, Inc.		124,578
	2,388	HNI Corp.		135,280
	2,743	ICF International, Inc.		380,098
	8,506	Leidos Holdings, Inc.		1,406,892
	3,160	Parsons Corp. *		303,076
	1,806	Republic Services, Inc.		394,250
	12,800	Resources Connection, Inc.		108,032
	486	Science Applications International Corp.		60,385
	18,998	Steelcase, Inc. – Class A		255,903
	3,000	TrueBlue, Inc.*		22,560
	3,835	Veralto Corp.		414,909
		Total Commercial & Professional Services		6,089,386

Shares		Description	Value ($)
		Consumer Discretionary Distribution & Retail — 6.2%
	26,000	Amazon.com, Inc. *		5,405,140
	2,281	Best Buy Co., Inc.		205,290
	40,820	eBay, Inc.		2,583,498
	2,022	Ferguson Enterprises, Inc.		436,610
	9,794	Macy’s, Inc.		159,055
		Total Consumer Discretionary Distribution & Retail		8,789,593
		Consumer Durables & Apparel — 4.5%
	5,933	DR Horton, Inc.		1,001,372
	3,898	Ethan Allen Interiors, Inc.		119,786
	7,529	Garmin Ltd.		1,600,665
	965	Johnson Outdoors, Inc. – Class A		32,482
	3,723	KB Home		308,041
	3,221	Lennar Corp. – Class A		561,710
	1,898	M/I Homes, Inc. *		313,227
	2,850	MasterCraft Boat Holdings, Inc. *		60,420
	957	Meritage Homes Corp.		182,854
	4,850	PulteGroup, Inc.		656,060
	7,922	Taylor Morrison Home Corp. *		585,198
	1,591	Toll Brothers, Inc.		262,785
	10,588	Tri Pointe Homes, Inc. *		460,896
	1,977	Whirlpool Corp.		220,277
		Total Consumer Durables & Apparel		6,365,773
		Consumer Services — 2.4%
	5,626	Adtalem Global Education, Inc. *		514,272
	1,877	Frontdoor, Inc. *		109,992
	148	Graham Holdings Co. – Class B		137,806
	1,220	Grand Canyon Education, Inc. *		200,800
	18,242	H&R Block, Inc.		1,081,386
	23,369	Perdoceo Education Corp.		641,479
	6,667	Stride, Inc. *		712,502
		Total Consumer Services		3,398,237
		Consumer Staples Distribution & Retail — 2.0%
	31,680	Kroger Co.		1,935,014
	2,010	Maplebear, Inc. *		87,777
	9,352	Walmart, Inc.		865,060
		Total Consumer Staples Distribution & Retail		2,887,851
		Energy — 0.2%
	12,730	Kinder Morgan, Inc.		359,877
		Financial Services — 12.0%
	4,048	American Express Co.		1,233,345
	22,560	Bank of New York Mellon Corp.		1,846,987
	1,551	Berkshire Hathaway, Inc. – Class B *		749,164
	2,760	Discover Financial Services		503,507
	2,880	Enact Holdings, Inc.		101,405

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Financial Services — continued
	5,404	Enova International, Inc. *		570,176
	962	Essent Group Ltd.		55,584
	2,616	Federated Hermes, Inc.		111,834
	3,776	Goldman Sachs Group, Inc.		2,297,960
	10,002	Jackson Financial, Inc. – Class A		1,002,100
	13,491	Janus Henderson Group PLC		610,873
	2,605	LendingTree, Inc. *		115,167
	46,716	MGIC Investment Corp.		1,226,762
	3,222	Morgan Stanley		424,048
	943	Mr. Cooper Group, Inc. *		93,046
	3,188	Nasdaq, Inc.		264,572
	6,070	NMI Holdings, Inc. *		242,739
	1,494	PayPal Holdings, Inc. *		129,634
	4,567	PROG Holdings, Inc.		222,230
	23,805	Radian Group, Inc.		851,981
	2,269	Raymond James Financial, Inc.		384,096
	7,769	SLM Corp.		212,715
	13,160	State Street Corp.		1,296,392
	20,208	Synchrony Financial		1,364,444
	5,527	T. Rowe Price Group, Inc.		684,464
	3,437	Victory Capital Holdings, Inc. – Class A		238,803
	3,435	Virtu Financial, Inc. – Class A		128,160
		Total Financial Services		16,962,188
		Food, Beverage & Tobacco — 1.2%
	22,391	Altria Group, Inc.		1,292,856
	500	Archer-Daniels-Midland Co.		27,300
	2,056	Philip Morris International, Inc.		273,572
	892	Universal Corp.		50,951
		Total Food, Beverage & Tobacco		1,644,679
		Health Care Equipment & Services — 1.1%
	2,753	Centene Corp. *		165,180
	2,111	Cigna Group		713,096
	1,679	CVS Health Corp.		100,488
	271	Elevance Health, Inc.		110,286
	5,117	GE HealthCare Technologies, Inc.		425,837
		Total Health Care Equipment & Services		1,514,887
		Insurance — 3.4%
	2,969	Aflac, Inc.		338,466
	1,249	Allstate Corp.		259,030
	15,619	Arch Capital Group Ltd.		1,573,146
	1,986	Brown & Brown, Inc.		224,617
	10,082	Hartford Financial Services Group, Inc.		1,243,211
	14,858	Unum Group		1,142,580
		Total Insurance		4,781,050
		Materials — 0.1%
	5,006	Ryerson Holding Corp.		128,654

Shares		Description	Value ($)
		Media & Entertainment — 9.6%
	22,098	Alphabet, Inc. – Class A		3,733,457
	22,613	Alphabet, Inc. – Class C		3,855,290
	2,715	Cargurus, Inc. *		102,681
	13,890	Comcast Corp. – Class A		599,909
	9,189	Meta Platforms, Inc. – Class A		5,277,427
		Total Media & Entertainment		13,568,764
		Pharmaceuticals, Biotechnology & Life Sciences — 5.5%
	12,554	Johnson & Johnson		1,945,996
	34,691	Merck & Co., Inc.		3,525,993
	81,382	Pfizer, Inc.		2,133,022
	218	Regeneron Pharmaceuticals, Inc. *		163,548
		Total Pharmaceuticals, Biotechnology & Life Sciences		7,768,559
		Real Estate Management & Development — 1.5%
	13,020	CBRE Group, Inc. – Class A *		1,822,670
	783	Jones Lang LaSalle, Inc. *		219,710
	9,265	Newmark Group, Inc. – Class A		143,422
		Total Real Estate Management & Development		2,185,802
		Semiconductors & Semiconductor Equipment — 10.5%
	7,505	Applied Materials, Inc.		1,311,199
	4,738	Cirrus Logic, Inc. *		494,884
	103,567	Intel Corp.		2,490,786
	46,937	NVIDIA Corp.		6,489,040
	6,040	NXP Semiconductors NV		1,385,395
	13,564	QUALCOMM, Inc.		2,150,301
	5,949	Skyworks Solutions, Inc.		521,073
		Total Semiconductors & Semiconductor Equipment		14,842,678
		Software & Services — 10.8%
	3,029	Accenture PLC – Class A		1,097,619
	413	Adobe, Inc. *		213,079
	4,889	Amdocs Ltd.		423,974
	2,203	ASGN, Inc. *		201,685
	14,070	Cognizant Technology Solutions Corp. – Class A		1,132,494
	738	GoDaddy, Inc. – Class A *		145,807
	15,678	International Business Machines Corp.		3,565,334
	14,545	Microsoft Corp.		6,159,226
	5,741	Oracle Corp.		1,061,166
	2,453	Progress Software Corp.		167,810
	13,925	Zoom Communications, Inc. – Class A *		1,151,458
		Total Software & Services		15,319,652
		Technology Hardware & Equipment — 11.5%
	39,478	Apple, Inc.		9,369,314
	3,667	Arista Networks, Inc. *		1,488,142

GMO U.S. Equity Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares / Par Value†		Description	Value ($)
		Technology Hardware & Equipment — continued
	61,561	Cisco Systems, Inc.		3,645,027
	6,465	Hewlett Packard Enterprise Co.		137,187
	38,534	HP, Inc.		1,365,259
	1,934	TE Connectivity PLC		292,266
		Total Technology Hardware & Equipment		16,297,195
		Telecommunication Services — 1.6%
	50,478	Verizon Communications, Inc.		2,238,195
		Transportation — 1.2%
	1,845	CH Robinson Worldwide, Inc.		194,795
	17,852	CSX Corp.		652,491
	125	FedEx Corp.		37,834
	1,194	Matson, Inc.		182,897
	442	Union Pacific Corp.		108,140
	4,427	United Parcel Service, Inc. – Class B		600,832
		Total Transportation		1,776,989
		TOTAL COMMON STOCKS (COST $114,118,172)		140,656,711
		DEBT OBLIGATIONS — 0.3%
		U.S. Government — 0.3%
	25,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.65%, due 07/31/26		25,014

Shares		Description	Value ($)
		U.S. Government — continued
	400,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.21%, 4.67%, due 10/31/26 (a)		400,388
		Total U.S. Government		425,402
		TOTAL DEBT OBLIGATIONS (COST $425,191)		425,402
		MUTUAL FUNDS — 0.2%
		Affiliated Issuers — 0.2%
	61,312	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		306,559
		TOTAL MUTUAL FUNDS (COST $306,559)		306,559
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	117,084	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (b)		117,084
		TOTAL SHORT-TERM INVESTMENTS (COST $117,084)		117,084
		TOTAL INVESTMENTS — 99.9% (Cost $114,967,006)		141,505,756
		Other Assets and Liabilities (net) — 0.1%		122,179
		TOTAL NET ASSETS — 100.0%		$141,627,935

A summary of outstanding financial instruments at November 30, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1	S&P 500 E-Mini		December 2024	$	302,575	$	14,664

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

 

As of November 30, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

^*  Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of November 30, 2024.

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.7%
		Automobiles & Components — 3.4%
	18,825	Aptiv PLC *		1,045,352
	10,509	Autoliv, Inc.		1,041,652
	106,273	BorgWarner, Inc.		3,647,289
	465,580	Ford Motor Co.		5,181,906
	97,441	General Motors Co.		5,416,745
	26,687	Lear Corp.		2,611,056
		Total Automobiles & Components		18,944,000
		Banks — 9.7%
	330,324	Bank of America Corp.		15,693,693
	146,373	Citigroup, Inc.		10,373,455
	19,854	First Horizon Corp.		419,515
	68,325	JPMorgan Chase & Co.		17,062,119
	27,801	M&T Bank Corp.		6,115,942
	28,161	Regions Financial Corp.		767,669
	69,550	U.S. Bancorp		3,706,319
		Total Banks		54,138,712
		Capital Goods — 4.7%
	24,518	AGCO Corp.		2,481,467
	11,717	Allison Transmission Holdings, Inc.		1,388,464
	5,667	Atkore, Inc.		534,455
	2,232	Boise Cascade Co.		329,443
	34,984	CNH Industrial NV		439,399
	23,491	Cummins, Inc.		8,810,065
	13,950	Mueller Industries, Inc.		1,126,741
	18,695	Oshkosh Corp.		2,123,939
	5,724	Owens Corning		1,176,969
	47,496	PACCAR, Inc.		5,557,032
	929	Snap-on, Inc.		343,442
	5,154	Terex Corp.		282,388
	13,140	UFP Industries, Inc.		1,785,726
		Total Capital Goods		26,379,530
		Commercial & Professional Services — 0.2%
	6,581	Concentrix Corp.		295,816
	8,215	ManpowerGroup, Inc.		528,799
	6,596	Robert Half, Inc.		492,128
		Total Commercial & Professional Services		1,316,743
		Consumer Discretionary Distribution & Retail — 3.4%
	31,533	Academy Sports & Outdoors, Inc.		1,553,000
	10,181	AutoNation, Inc.*		1,821,279
	45,427	Best Buy Co., Inc.		4,088,430
	87,308	eBay, Inc.		5,525,723
	5,111	Foot Locker, Inc.*		128,542
	4,049	Group 1 Automotive, Inc.		1,724,064
	18,287	Kohl’s Corp. (a)		273,756
	29,735	LKQ Corp.		1,168,288

Shares		Description	Value ($)
		Consumer Discretionary Distribution & Retail — continued
	29,398	Macy’s, Inc.		477,424
	20,434	Signet Jewelers Ltd.		2,047,487
		Total Consumer Discretionary Distribution & Retail		18,807,993
		Consumer Durables & Apparel — 3.8%
	4,475	Brunswick Corp.		360,282
	8,423	Carter’s, Inc.		459,643
	24,253	Crocs, Inc. *		2,561,117
	18,582	KB Home		1,537,475
	8,526	La-Z-Boy, Inc.		385,972
	21,583	Polaris, Inc.		1,489,227
	10,567	PulteGroup, Inc.		1,429,398
	23,440	PVH Corp.		2,540,193
	43,218	Skechers USA, Inc. – Class A *		2,758,173
	76,515	Tapestry, Inc.		4,765,354
	4,627	Toll Brothers, Inc.		764,241
	21,486	Whirlpool Corp.		2,393,970
		Total Consumer Durables & Apparel		21,445,045
		Consumer Services — 0.7%
	4,417	Adtalem Global Education, Inc. *		403,758
	490	Graham Holdings Co. – Class B		456,249
	50,140	H&R Block, Inc.		2,972,299
		Total Consumer Services		3,832,306
		Consumer Staples Distribution & Retail — 2.2%
	43,601	Dollar General Corp.		3,369,049
	91,285	Kroger Co.		5,575,688
	21,262	Target Corp.		2,813,175
	40,137	Walgreens Boots Alliance, Inc.		362,036
		Total Consumer Staples Distribution & Retail		12,119,948
		Energy — 7.6%
	101,509	Chevron Corp.		16,437,352
	52,621	EOG Resources, Inc.		7,012,275
	146,237	Exxon Mobil Corp.		17,250,117
	38,339	Ovintiv, Inc.		1,741,357
	302	Valero Energy Corp.		42,002
		Total Energy		42,483,103
		Financial Services — 14.5%
	9,068	Affiliated Managers Group, Inc.		1,700,613
	89,288	Ally Financial, Inc.		3,569,734
	1,400	American Express Co.		426,552
	89,417	Bank of New York Mellon Corp.		7,320,570
	40,116	Capital One Financial Corp.		7,702,673
	36,759	Discover Financial Services		6,705,944
	41,267	Federated Hermes, Inc.		1,764,164
	60,034	Franklin Resources, Inc.		1,366,374

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Financial Services — continued
	20,167	Goldman Sachs Group, Inc.		12,273,031
	67,653	Invesco Ltd.		1,223,843
	27,893	Janus Henderson Group PLC		1,262,995
	126,693	MGIC Investment Corp.		3,326,958
	35,901	Morgan Stanley		4,724,931
	18,682	OneMain Holdings, Inc.		1,071,413
	56,685	PayPal Holdings, Inc. *		4,918,557
	79,216	Radian Group, Inc.		2,835,141
	47,279	SLM Corp.		1,294,499
	52,197	State Street Corp.		5,141,926
	84,868	Synchrony Financial		5,730,287
	36,739	T. Rowe Price Group, Inc.		4,549,758
	212,971	Western Union Co.		2,344,811
		Total Financial Services		81,254,774
		Food, Beverage & Tobacco — 4.2%
	75,591	Archer-Daniels-Midland Co.		4,127,269
	38,423	Bunge Global SA		3,448,080
	84,814	Conagra Brands, Inc.		2,336,626
	66,323	General Mills, Inc.		4,394,562
	10,616	Ingredion, Inc.		1,564,161
	127,067	Kraft Heinz Co.		4,062,332
	49,876	Molson Coors Beverage Co. – Class B		3,095,304
	6,536	Tyson Foods, Inc. – Class A		421,572
		Total Food, Beverage & Tobacco		23,449,906
		Health Care Equipment & Services — 8.3%
	73,558	Centene Corp. *		4,413,480
	33,845	Cigna Group		11,432,841
	111,841	CVS Health Corp.		6,693,684
	18,488	Elevance Health, Inc.		7,523,876
	14,896	Humana, Inc.		4,414,876
	68,498	Medtronic PLC		5,927,817
	17,060	Premier, Inc. – Class A		390,674
	75,411	Solventum Corp. *		5,392,641
		Total Health Care Equipment & Services		46,189,889
		Household & Personal Products — 0.1%
	5,188	Kimberly-Clark Corp.		722,948
	126	Procter & Gamble Co.		22,587
		Total Household & Personal Products		745,535
		Insurance — 2.7%
	5,382	Allstate Corp.		1,116,173
	14,544	Arch Capital Group Ltd.		1,464,872
	6,931	Everest Group Ltd.		2,686,178
	8,007	Fidelity National Financial, Inc.		507,564
	44,604	Hartford Financial Services Group, Inc.		5,500,119
	49,560	Unum Group		3,811,164
		Total Insurance		15,086,070
		Materials — 2.9%
	16,824	Commercial Metals Co.		1,037,873
	72,865	LyondellBasell Industries NV – Class A		6,072,569

Shares		Description	Value ($)
		Materials — continued
	25,671	Mosaic Co.		679,255
	543	NewMarket Corp.		289,723
	16,831	Nucor Corp.		2,603,587
	12,355	PPG Industries, Inc.		1,536,591
	8,508	Sealed Air Corp.		311,393
	26,517	Steel Dynamics, Inc.		3,852,125
		Total Materials		16,383,116
		Media & Entertainment — 6.6%
	77,633	Alphabet, Inc. – Class A		13,116,095
	239,313	Comcast Corp. – Class A		10,335,928
	18,141	Fox Corp. – Class A		854,804
	21,689	Meta Platforms, Inc. – Class A		12,456,427
		Total Media & Entertainment		36,763,254
		Pharmaceuticals, Biotechnology & Life Sciences — 10.1%
	58,757	Exelixis, Inc. *		2,142,280
	31,878	Incyte Corp. *		2,377,780
	7,205	Jazz Pharmaceuticals PLC *		876,056
	109,894	Johnson & Johnson		17,034,669
	130,980	Merck & Co., Inc.		13,312,807
	403,691	Pfizer, Inc.		10,580,741
	6,834	Regeneron Pharmaceuticals, Inc. *		5,127,004
	4,178	United Therapeutics Corp.*		1,547,907
	267,583	Viatris, Inc.		3,502,662
		Total Pharmaceuticals, Biotechnology & Life Sciences		56,501,906
		Semiconductors & Semiconductor Equipment — 2.8%
	314,870	Intel Corp.		7,572,624
	29,372	QUALCOMM, Inc.		4,656,343
	42,627	Skyworks Solutions, Inc.		3,733,699
		Total Semiconductors & Semiconductor Equipment		15,962,666
		Software & Services — 3.9%
	65,450	Cognizant Technology Solutions Corp. – Class A		5,268,071
	53,930	International Business Machines Corp.		12,264,221
	49,042	Zoom Communications, Inc. – Class A *		4,055,283
		Total Software & Services		21,587,575
		Technology Hardware & Equipment — 5.9%
	24,803	Arrow Electronics, Inc. *		2,980,328
	50,175	Avnet, Inc.		2,745,074
	247,398	Cisco Systems, Inc.		14,648,436
	328,672	Hewlett Packard Enterprise Co.		6,974,420
	151,980	HP, Inc.		5,384,651
	3,811	TD SYNNEX Corp.		453,471
		Total Technology Hardware & Equipment		33,186,380
		Telecommunication Services — 2.0%
	252,455	Verizon Communications, Inc.		11,193,855

GMO U.S. Opportunistic Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Transportation — 0.0%
	1,868	Matson, Inc.		286,140
		TOTAL COMMON STOCKS (COST $491,088,419)		558,058,446
		MUTUAL FUNDS — 0.1%
		Affiliated Issuers — 0.1%
	104,383	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		521,918
		TOTAL MUTUAL FUNDS (COST $521,918)		521,918
		SHORT-TERM INVESTMENTS — 0.0%
		Money Market Funds — 0.0%
	95,661	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (b)		95,661
		TOTAL SHORT-TERM INVESTMENTS (COST $95,661)		95,661
		TOTAL INVESTMENTS — 99.8% (Cost $491,705,998)		558,676,025
		Other Assets and Liabilities (net) — 0.2%		911,253
		TOTAL NET ASSETS — 100.0%		$559,587,278

Notes to Schedule of Investments:

^*  Non-income producing security.

(a) All or a portion of this security is out on loan.

(b) The rate disclosed is the 7 day net yield as of November 30, 2024.

 

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 99.2%
		Automobiles & Components — 1.7%
	15,221	BorgWarner, Inc.		522,385
	6,780	Dana, Inc.		67,800
	633	Patrick Industries, Inc.		85,069
		Total Automobiles & Components		675,254
		Banks — 11.3%
	2,330	1st Source Corp.		151,194
	4,458	Amalgamated Financial Corp.		158,839
	1,366	Arrow Financial Corp.		45,051
	15,708	Associated Banc-Corp.		419,246
	12,221	BankUnited, Inc.		514,137
	1,531	Banner Corp.		114,197
	600	Capital City Bank Group, Inc.		23,616
	2,895	Central Pacific Financial Corp.		92,408
	470	Civista Bancshares, Inc.		10,754
	2,452	Community Trust Bancorp, Inc.		144,619
	900	Community West Bancshares		19,728
	2,970	Customers Bancorp, Inc. *		167,656
	2,387	Eagle Bancorp, Inc.		70,082
	2,058	East West Bancorp, Inc.		225,721
	1,228	Enterprise Financial Services Corp.		74,405
	277	FB Financial Corp.		15,637
	1,004	Financial Institutions, Inc.		27,269
	13,538	First BanCorp		279,966
	984	First Busey Corp.		26,263
	1,441	First Community Bankshares, Inc.		66,531
	691	First Financial Bancorp		20,405
	2,252	First Financial Corp.		109,988
	1,833	First Horizon Corp.		38,731
	295	First Merchants Corp.		12,906
	1,450	Fulton Financial Corp.		31,291
	400	Great Southern Bancorp, Inc.		25,628
	8,589	Hanmi Financial Corp.		227,179
	5,053	Hope Bancorp, Inc.		68,822
	3,074	Independent Bank Corp.		115,675
	2,700	International Bancshares Corp.		197,451
	1,117	Midland States Bancorp, Inc.		29,991
	1,200	MidWestOne Financial Group, Inc.		39,540
	2,032	OceanFirst Financial Corp.		42,022
	4,260	OFG Bancorp		193,489
	693	Peoples Bancorp, Inc.		24,310
	2,031	Popular, Inc.		201,800
	468	Preferred Bank		44,146
	882	Premier Financial Corp.		24,440
	407	QCR Holdings, Inc.		37,489
	1,403	Renasant Corp.		52,781
	613	Republic Bancorp, Inc. – Class A		46,757
	1,715	Simmons First National Corp. – Class A		41,949
	738	Southside Bancshares, Inc.		25,919
	2,218	Trustmark Corp.		86,746

Shares		Description	Value ($)
		Banks — continued
	1,839	Veritex Holdings, Inc.		55,924
		Total Banks		4,442,698
		Capital Goods — 11.2%
	753	Acuity Brands, Inc.		241,480
	2,818	AGCO Corp.		285,210
	4,355	Allison Transmission Holdings, Inc.		516,067
	854	American Woodmark Corp. *		77,526
	5,100	Apogee Enterprises, Inc.		429,471
	2,225	AZZ, Inc.		207,236
	1,272	BlueLinx Holdings, Inc. *		159,890
	384	DXP Enterprises, Inc. *		28,136
	15,063	Gates Industrial Corp. PLC *		333,796
	1,489	Greenbrier Cos., Inc.		101,252
	1,159	Hyster-Yale, Inc.		65,182
	7,363	JELD-WEN Holding, Inc. *		80,183
	6,269	Kennametal, Inc.		179,920
	16,589	Masterbrand, Inc. *		286,990
	1,621	Matrix Service Co. *		21,494
	1,340	Miller Industries, Inc.		98,651
	6,089	MRC Global, Inc. *		85,063
	4,428	Mueller Water Products, Inc. – Class A		110,877
	832	Oshkosh Corp.		94,524
	1,152	Park-Ohio Holdings Corp.		37,060
	539	Preformed Line Products Co.		73,315
	2,641	Primoris Services Corp.		221,078
	395	Quanex Building Products Corp.		11,755
	13,070	Resideo Technologies, Inc. *		355,243
	300	Rush Enterprises, Inc. – Class B		17,103
	1,769	Tennant Co.		156,327
	2,068	Terex Corp.		113,306
	743	Wabash National Corp.		14,734
		Total Capital Goods		4,402,869
		Commercial & Professional Services — 8.8%
	5,957	ABM Industries, Inc.		340,562
	33,149	ACCO Brands Corp.		192,927
	3,200	Barrett Business Services, Inc.		137,312
	6,053	Brady Corp. – Class A		453,309
	7,123	BrightView Holdings, Inc. *		121,803
	1,168	Cimpress PLC*		93,790
	1,762	Concentrix Corp.		79,202
	10,995	Deluxe Corp.		254,754
	18,065	GEO Group, Inc. *		515,033
	4,971	Heidrick & Struggles International, Inc.		229,362
	4,128	HNI Corp.		233,851
	7,939	Interface, Inc.		210,781
	7,365	Kelly Services, Inc. – Class A		107,897
	476	Korn Ferry		37,290
	13,485	Pitney Bowes, Inc.		108,689
	10,690	Resources Connection, Inc.		90,224
	16,536	Steelcase, Inc. – Class A		222,740
	5,005	TrueBlue, Inc. *		37,638
		Total Commercial & Professional Services		3,467,164

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Consumer Discretionary Distribution & Retail — 2.3%
	3,090	Cato Corp. – Class A		9,857
	2,639	Genesco, Inc. *		88,644
	6,526	Kohl’s Corp.		97,694
	414	Lands’ End, Inc. *		6,603
	25,366	Macy’s, Inc.		411,944
	5,078	Sally Beauty Holdings, Inc. *		70,737
	5,363	Shoe Carnival, Inc.		181,055
	274	Upbound Group, Inc.		9,423
	494	Weyco Group, Inc.		17,641
		Total Consumer Discretionary Distribution & Retail		893,598
		Consumer Durables & Apparel — 7.5%
	1,107	Beazer Homes USA, Inc. *		38,690
	728	Century Communities, Inc.		65,782
	5,911	Ethan Allen Interiors, Inc.		181,645
	5,746	G-III Apparel Group Ltd. *		170,254
	1,368	Hooker Furnishings Corp.		25,623
	1,124	Johnson Outdoors, Inc. – Class A		37,834
	6,859	KB Home		567,514
	4,157	La-Z-Boy, Inc.		188,187
	2,704	M/I Homes, Inc. *		446,241
	1,977	Polaris, Inc.		136,413
	3,028	Sonos, Inc. *		41,211
	3,065	Taylor Morrison Home Corp. *		226,411
	5,386	Tri Pointe Homes, Inc. *		234,453
	2,400	Universal Electronics, Inc. *		27,792
	5,168	Whirlpool Corp.		575,818
		Total Consumer Durables & Apparel		2,963,868
		Consumer Services — 5.0%
	8,052	Adtalem Global Education, Inc. *		736,033
	7,748	H&R Block, Inc.		459,302
	16,861	Perdoceo Education Corp.		462,835
	2,310	Rush Street Interactive, Inc. *		33,310
	2,638	Stride, Inc. *		281,923
		Total Consumer Services		1,973,403
		Consumer Staples Distribution & Retail — 1.3%
	2,161	Ingles Markets, Inc. – Class A		159,698
	5,461	SpartanNash Co.		103,650
	4,993	United Natural Foods, Inc. *		123,976
	1,140	Village Super Market, Inc. – Class A		36,902
	1,144	Weis Markets, Inc.		83,317
		Total Consumer Staples Distribution & Retail		507,543
		Energy — 1.5%
	1,524	Excelerate Energy, Inc. – Class A		47,198
	9,097	FutureFuel Corp.		47,395
	5,776	Solaris Energy Infrastructure, Inc. – Class A		142,379
	12,635	World Kinect Corp.		365,783
		Total Energy		602,755

Shares		Description	Value ($)
		Equity Real Estate Investment Trusts (REITs) — 6.2%
	4,094	American Assets Trust, Inc. – (REIT)		116,433
	5,273	Brandywine Realty Trust – (REIT)		29,529
	7,690	Brixmor Property Group, Inc. – (REIT)		231,238
	8,627	Broadstone Net Lease, Inc. – (REIT)		151,059
	50,617	Diversified Healthcare Trust – (REIT)		131,604
	9,572	Douglas Emmett, Inc. – (REIT), REIT		185,314
	2,204	Empire State Realty Trust, Inc. – Class A (REIT)		24,156
	9,451	EPR Properties – (REIT)		428,792
	7,648	Highwoods Properties, Inc. – (REIT)		248,254
	5,121	Hudson Pacific Properties, Inc. – (REIT)		19,716
	13,716	Industrial Logistics Properties Trust – (REIT)		53,081
	615	Innovative Industrial Properties, Inc. – (REIT)		67,047
	3,575	Kilroy Realty Corp. – (REIT)		148,470
	418	National Health Investors, Inc. – (REIT)		32,040
	4,920	Outfront Media, Inc. – (REIT), REIT		94,513
	27,400	Piedmont Office Realty Trust, Inc. – Class A (REIT)		260,848
	5,162	Safehold, Inc. – (REIT)		110,260
	5,974	Service Properties Trust – (REIT)		16,608
	5,027	Summit Hotel Properties, Inc. – (REIT)		33,078
	2,995	Whitestone – (REIT)		44,086
		Total Equity Real Estate Investment Trusts (REITs)		2,426,126
		Financial Services — 13.3%
	2,509	Bread Financial Holdings, Inc.		147,604
	2,059	Brightsphere Investment Group, Inc.		64,200
	379	Enact Holdings, Inc.		13,345
	1,009	Encore Capital Group, Inc. *		49,628
	8,656	Enova International, Inc. *		913,295
	9,679	Jackson Financial, Inc. – Class A		969,739
	2,597	LendingTree, Inc. *		114,813
	30,235	MGIC Investment Corp.		793,971
	7,200	Navient Corp.		112,176
	8,186	NMI Holdings, Inc. *		327,358
	1,054	Oppenheimer Holdings, Inc. – Class A		65,042
	6,962	PROG Holdings, Inc.		338,771
	17,415	Radian Group, Inc.		623,283
	1,499	Regional Management Corp.		45,764
	10,944	SLM Corp.		299,647
	3,034	Victory Capital Holdings, Inc. – Class A		210,802
	2,781	Virtu Financial, Inc. – Class A		103,759
	2,039	Waterstone Financial, Inc.		30,769
	588	Westwood Holdings Group, Inc.		9,290
		Total Financial Services		5,233,256
		Food, Beverage & Tobacco — 1.4%
	265	Cal-Maine Foods, Inc.		25,867
	1,288	Seneca Foods Corp. – Class A *		92,865
	1,721	Turning Point Brands, Inc.		106,530
	5,353	Universal Corp.		305,763
		Total Food, Beverage & Tobacco		531,025

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Health Care Equipment & Services — 1.4%
	4,165	AMN Healthcare Services, Inc. *		108,415
	3,915	Community Health Systems, Inc. *		13,468
	927	National HealthCare Corp.		116,060
	13,628	Premier, Inc. – Class A		312,081
		Total Health Care Equipment & Services		550,024
		Household & Personal Products — 0.4%
	2,312	Edgewell Personal Care Co.		84,573
	9,988	Nu Skin Enterprises, Inc. – Class A		72,912
		Total Household & Personal Products		157,485
		Insurance — 6.9%
	6,877	CNO Financial Group, Inc.		274,392
	2,000	Employers Holdings, Inc.		106,720
	42,906	Genworth Financial, Inc. *		334,667
	94	Investors Title Co.		26,932
	16,979	Lincoln National Corp.		603,434
	2,429	Old Republic International Corp.		94,658
	5,897	Stewart Information Services Corp.		442,806
	2,723	Universal Insurance Holdings, Inc.		61,622
	10,056	Unum Group		773,306
		Total Insurance		2,718,537
		Materials — 3.2%
	1,514	AdvanSix, Inc.		49,160
	6,023	Commercial Metals Co.		371,559
	132	Hawkins, Inc.		17,755
	3,519	Koppers Holdings, Inc.		135,341
	2,109	Minerals Technologies, Inc.		172,031
	2,981	Radius Recycling, Inc.		59,083
	1,808	Ryerson Holding Corp.		46,466
	4,164	Sylvamo Corp.		384,295
		Total Materials		1,235,690
		Media & Entertainment — 0.9%
	4,922	AMC Networks, Inc. – Class A *		46,365
	190	Cable One, Inc.		79,842
	1,789	Cargurus, Inc. *		67,660
	240	Lee Enterprises, Inc. *		3,917
	4,469	Shutterstock, Inc.		141,578
	438	Ziff Davis, Inc. *		25,776
		Total Media & Entertainment		365,138
		Pharmaceuticals, Biotechnology & Life Sciences —2.2%
	3,206	Jazz Pharmaceuticals PLC *		389,818
	17,306	Organon & Co.		274,646
	700	Phibro Animal Health Corp. – Class A		16,359
	5,264	Supernus Pharmaceuticals, Inc. *		192,504
		Total Pharmaceuticals, Biotechnology & Life Sciences		873,327

Shares		Description	Value ($)
		Real Estate Management & Development — 3.0%
	2,102	Cushman & Wakefield PLC *		32,161
	12,743	Douglas Elliman, Inc. *		32,367
	2,117	Forestar Group, Inc. *		63,192
	2,331	Jones Lang LaSalle, Inc. *		654,079
	23,236	Newmark Group, Inc. – Class A		359,693
	1,889	RE/MAX Holdings, Inc. – Class A *		24,859
		Total Real Estate Management & Development		1,166,351
		Semiconductors & Semiconductor Equipment — 2.6%
	1,090	Alpha & Omega Semiconductor Ltd. *		45,203
	6,245	Cirrus Logic, Inc. *		652,290
	2,070	Diodes, Inc. *		134,550
	6,722	Photronics, Inc. *		167,445
		Total Semiconductors & Semiconductor Equipment		999,488
		Software & Services — 1.7%
	4,386	ASGN, Inc. *		401,538
	2,931	Progress Software Corp.		200,510
	6,386	Unisys Corp. *		50,960
		Total Software & Services		653,008
		Technology Hardware & Equipment — 3.3%
	821	Arrow Electronics, Inc. *		98,651
	10,729	Avnet, Inc.		586,984
	5,241	Benchmark Electronics, Inc.		254,136
	5,275	Immersion Corp.		47,158
	2,139	Kimball Electronics, Inc. *		41,946
	405	PC Connection, Inc.		29,395
	9,295	TTM Technologies, Inc. *		226,612
	1,368	Turtle Beach Corp. *		23,680
		Total Technology Hardware & Equipment		1,308,562
		Telecommunication Services — 0.3%
	5,621	Spok Holdings, Inc.		92,241
	886	Telephone & Data Systems, Inc.		30,283
		Total Telecommunication Services		122,524
		Transportation — 0.8%
	1,998	Matson, Inc.		306,054
		Utilities — 1.0%
	943	MDU Resources Group, Inc.		18,898
	1,111	Northwest Natural Holding Co.		48,684
	10,966	UGI Corp.		333,037
		Total Utilities		400,619
		TOTAL COMMON STOCKS (COST $31,891,424)		38,976,366

GMO U.S. Small Cap Value Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 0.3%
		Affiliated Issuers — 0.3%
	22,845	GMO U.S. Treasury Fund, Class VI
		(formerly Core Class)		114,228
		TOTAL MUTUAL FUNDS (COST $114,228)		114,228
		SHORT-TERM INVESTMENTS — 0.5%
		Money Market Funds — 0.5%
	220,019	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (a)		220,019
		TOTAL SHORT-TERM INVESTMENTS (COST $220,019)		220,019
		TOTAL INVESTMENTS — 100.0% (Cost $32,225,671)		39,310,613
		Other Assets and Liabilities (net) — (0.0)%		(11,515	)
		TOTAL NET ASSETS — 100.0%		$39,299,098

 

A summary of outstanding financial instruments at November 30, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
1	E-mini Russell 2000 Index		December 2024	$	122,230	$	7,703

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

 

As of November 30, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

^*  Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2024.

Portfolio Abbreviations:

REIT - Real Estate Investment Trust

Organization

Each of Climate Change Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, International Equity Fund, International Opportunistic Value Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Quality Fund, Resource Transition Fund, Resources Fund, Small Cap Quality Fund, U.S. Equity Fund, U.S. Opportunistic Value 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.

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. 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.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

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 closing 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 valued at the price generally determined by an industry standard model. Unlisted non-fixed income 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 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, prices 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 changes in valuation 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 November 30, 2024, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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

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

The three levels are defined as follows:

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

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).

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

The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; and certain foreign equity 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 that are valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain equity securities valued off the last traded price with a discount for liquidity; 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 November 30, 2024:

Description	Level 1		Level 2		Level 3		Total
Climate Change Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,723,214	$	—	$	1,723,214
Brazil		—		7,358,197		—		7,358,197
Canada		52,307,860		—		—		52,307,860
China		—		5,004,716		—		5,004,716
Denmark		—		11,282,855		—		11,282,855
Finland		—		19,224,735		—		19,224,735
France		—		58,354,152		—		58,354,152
Germany		—		19,925,808		—		19,925,808
Ireland		—		2,545,258		—		2,545,258
Italy		—		2,509,142		—		2,509,142
Japan		—		22,217,456		—		22,217,456

Description	Level 1		Level 2		Level 3			Total
Climate Change Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Mexico	$	17,304,319	$	—	$	—		$	17,304,319
Netherlands		—		3,245,456		—			3,245,456
Norway		—		12,273,495		—			12,273,495
Russia		—		—		0	§		0	§
South Korea		—		42,189,271		—			42,189,271
Spain		—		19,703,999		—			19,703,999
Switzerland		—		1,840,896		—			1,840,896
Ukraine		—		722,182		—			722,182
United Kingdom		3,266,000		2,949,611		—			6,215,611
United States		336,494,810		—		—			336,494,810
TOTAL COMMON STOCKS		409,372,989		233,070,443		0	§		642,443,432
Preferred Stocks
Chile		17,818,672		—		—			17,818,672
TOTAL PREFERRED STOCKS		17,818,672		—		—			17,818,672
Mutual Funds
United States		27,942		—		—			27,942
TOTAL MUTUAL FUNDS		27,942		—		—			27,942
Total Investments		427,219,603		233,070,443		0	§		660,290,046
Total	$	427,219,603	$	233,070,443	$	0	§	$	660,290,046
Emerging Markets ex-China Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	224,010	$	3,039,892	$	—		$	3,263,902
Chile		—		74,231		—			74,231
Czech Republic		—		193,773		—			193,773
Egypt		—		526,105		—			526,105
Hungary		—		3,316,678		—			3,316,678
India		—		14,416,553		—			14,416,553
Indonesia		—		4,791,034		—			4,791,034
Mexico		3,337,739		—		0	§		3,337,739
Pakistan		—		761,995		—			761,995
Poland		—		16,764		—			16,764
Qatar		—		667,658		—			667,658
Russia		—		—		3			3
South Africa		—		2,606,572		—			2,606,572
South Korea		—		9,212,609		—			9,212,609
Taiwan		—		24,111,041		—			24,111,041
Thailand		—		1,674,554		—			1,674,554
Turkey		—		11,619		—			11,619
United Arab Emirates		—		456,254		—			456,254
Vietnam		—		968,882		—			968,882
TOTAL COMMON STOCKS		3,561,749		66,846,214		3			70,407,966
Preferred Stocks
Brazil		—		4,411,984		—			4,411,984
Colombia		576,926		—		—			576,926
Russia		—		—		0	§		0	§
TOTAL PREFERRED STOCKS		576,926		4,411,984		0	§		4,988,910
Mutual Funds
United States		613,185		—		—			613,185
TOTAL MUTUAL FUNDS		613,185		—		—			613,185
Short-Term Investments		307,628		—		—			307,628
Total Investments		5,059,488		71,258,198		3			76,317,689
Total	$	5,059,488	$	71,258,198	$	3		$	76,317,689

Description	Level 1		Level 2		Level 3			Total
Emerging Markets Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	16,006,623	$	—		$	16,006,623
Chile		—		9,411		—			9,411
China		25,787,772		62,914,612		1			88,702,385
Czech Republic		—		1,504,947		—			1,504,947
Egypt		—		884,279		—			884,279
Hungary		—		15,993,663		—			15,993,663
India		—		43,585,984		—			43,585,984
Indonesia		—		13,865,744		—			13,865,744
Kuwait		—		284,509		—			284,509
Mexico		16,779,552		—		0	§		16,779,552
Pakistan		—		4,115,803		—			4,115,803
Philippines		—		245,713		—			245,713
Qatar		—		2,804,483		—			2,804,483
Russia		—		—		16			16
Saudi Arabia		—		46,770		—			46,770
South Africa		—		6,970,618		—			6,970,618
South Korea		—		27,664,267		—			27,664,267
Sri Lanka		—		—		322,151			322,151
Taiwan		—		91,634,117		—			91,634,117
Thailand		—		8,049,958		—			8,049,958
United Arab Emirates		—		1,625,937		—			1,625,937
Vietnam		—		5,195,282		—			5,195,282
TOTAL COMMON STOCKS		42,567,324		303,402,720		322,168			346,292,212
Preferred Stocks
Brazil		—		17,657,522		—			17,657,522
Colombia		1,823,646		—		—			1,823,646
Russia		—		—		1			1
South Korea		—		1,301,999		—			1,301,999
TOTAL PREFERRED STOCKS		1,823,646		18,959,521		1			20,783,168
Mutual Funds
United States		3,070,516		—		—			3,070,516
TOTAL MUTUAL FUNDS		3,070,516		—		—			3,070,516
Short-Term Investments		556,039		—		—			556,039
Total Investments		48,017,525		322,362,241		322,169			370,701,935
Total	$	48,017,525	$	322,362,241	$	322,169		$	370,701,935
International Equity Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	35,376,584	$	—		$	35,376,584
Austria		—		4,716,681		—			4,716,681
Belgium		—		15,545,985		—			15,545,985
Denmark		—		1,149,194		—			1,149,194
Finland		—		11,068,648		—			11,068,648
France		6,345,700		94,334,986		—			100,680,686
Germany		—		51,400,753		—			51,400,753
Hong Kong		—		23,817,364		—			23,817,364
Ireland		—		2,922,978		—			2,922,978
Italy		—		37,788,329		—			37,788,329
Japan		4,696,835		252,094,440		—			256,791,275
Netherlands		—		75,328,672		—			75,328,672
Norway		—		9,586,358		—			9,586,358
Portugal		—		2,229,399		—			2,229,399
Singapore		—		49,466,405		—			49,466,405
Spain		—		61,429,651		—			61,429,651
Sweden		—		20,390,026		—			20,390,026
Switzerland		3,641,648		58,126,483		—			61,768,131

Description	Level 1		Level 2		Level 3			Total
International Equity Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United Kingdom	$	43,409,373	$	86,235,011	$	—		$	129,644,384
TOTAL COMMON STOCKS		58,093,556		893,007,947		—			951,101,503
Preferred Stocks
Germany		—		1,385,456		—			1,385,456
TOTAL PREFERRED STOCKS		—		1,385,456		—			1,385,456
Debt Obligations
United States		1,299,894		—		—			1,299,894
TOTAL DEBT OBLIGATIONS		1,299,894		—		—			1,299,894
Mutual Funds
United States		60,553,248		—		—			60,553,248
TOTAL MUTUAL FUNDS		60,553,248		—		—			60,553,248
Short-Term Investments		1,257,375		—		—			1,257,375
Total Investments		121,204,073		894,393,403		—			1,015,597,476
Total	$	121,204,073	$	894,393,403	$	—		$	1,015,597,476
International Opportunistic Value Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	21,538,760	$	—		$	21,538,760
Austria		—		3,729,830		—			3,729,830
Belgium		—		6,657,171		—			6,657,171
Canada		54,214,308		—		—			54,214,308
Denmark		—		3,637,266		—			3,637,266
Finland		—		5,565,469		—			5,565,469
France		1,272,883		42,071,092		—			43,343,975
Germany		—		15,521,634		—			15,521,634
Hong Kong		—		13,510,142		—			13,510,142
Italy		2,832,434		15,777,572		—			18,610,006
Japan		4,413,982		68,180,597		—			72,594,579
Netherlands		—		17,854,398		—			17,854,398
Norway		—		4,743,662		—			4,743,662
Portugal		—		4,469		—			4,469
Russia		—		—		0	§		0	§
Singapore		—		6,505,996		—			6,505,996
Spain		—		17,534,933		—			17,534,933
Sweden		—		4,759,352		—			4,759,352
Switzerland		12,153,525		20,688,383		—			32,841,908
United Kingdom		22,156,372		19,273,244		—			41,429,616
TOTAL COMMON STOCKS		97,043,504		287,553,970		0	§		384,597,474
Preferred Stocks
Germany		—		2,477,378		—			2,477,378
TOTAL PREFERRED STOCKS		—		2,477,378		—			2,477,378
Mutual Funds
United States		4,238,858		—		—			4,238,858
TOTAL MUTUAL FUNDS		4,238,858		—		—			4,238,858
Short-Term Investments		269,669		—		—			269,669
Total Investments		101,552,031		290,031,348		0	§		391,583,379
Total	$	101,552,031	$	290,031,348	$	0	§	$	391,583,379
Japan Value Creation Fund
Asset Valuation Inputs
Common Stocks	$	—	$	172,061,012	$	—		$	172,061,012
Mutual Funds		3,767,956		—		—			3,767,956

Description	Level 1		Level 2		Level 3			Total
Japan Value Creation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Short-Term Investments	$	114,565	$	—	$	—		$	114,565
Total Investments		3,882,521		172,061,012		—			175,943,533
Total	$	3,882,521	$	172,061,012	$	—		$	175,943,533
Quality Cyclicals Fund
Asset Valuation Inputs
Common Stocks
Brazil	$	—	$	87,445	$	—		$	87,445
Canada		2,947,518		—		—			2,947,518
Finland		—		927,827		—			927,827
France		—		4,225,079		—			4,225,079
Germany		—		1,984,237		—			1,984,237
Ireland		2,406,082		812,100		—			3,218,182
Mexico		3,873,373		—		—			3,873,373
Netherlands		—		1,464,464		—			1,464,464
Russia		—		—		0	§		0	§
Spain		—		5,297,322		—			5,297,322
Sweden		—		497,138		—			497,138
United Kingdom		—		9,332,053		—			9,332,053
United States		41,082,335		—		—			41,082,335
TOTAL COMMON STOCKS		50,309,308		24,627,665		0	§		74,936,973
Preferred Stocks
Brazil		—		641,751		—			641,751
TOTAL PREFERRED STOCKS		—		641,751		—			641,751
Mutual Funds
United States		306,328		—		—			306,328
TOTAL MUTUAL FUNDS		306,328		—		—			306,328
Short-Term Investments		105,883		—		—			105,883
Total Investments		50,721,519		25,269,416		0	§		75,990,935
Total	$	50,721,519	$	25,269,416	$	0	§	$	75,990,935
Quality Fund
Asset Valuation Inputs
Common Stocks
France	$	—	$	479,644,445	$	—		$	479,644,445
Germany		—		361,761,803		—			361,761,803
Netherlands		—		95,459,543		—			95,459,543
Spain		—		72,770,604		—			72,770,604
Switzerland		—		254,849,755		—			254,849,755
Taiwan		—		337,491,763		—			337,491,763
United Kingdom		—		808,653,179		—			808,653,179
United States		8,366,396,048		—		—			8,366,396,048
TOTAL COMMON STOCKS		8,366,396,048		2,410,631,092		—			10,777,027,140
Mutual Funds
United States		57,202,921		—		—			57,202,921
TOTAL MUTUAL FUNDS		57,202,921		—		—			57,202,921
Short-Term Investments		358,477		—		—			358,477
Total Investments		8,423,957,446		2,410,631,092		—			10,834,588,538
Total	$	8,423,957,446	$	2,410,631,092	$	—		$	10,834,588,538

Description	Level 1		Level 2		Level 3			Total
Resource Transition Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	856,958	$	—	$	—		$	856,958
Australia		—		90,994		—			90,994
Brazil		—		6,717,436		—			6,717,436
Canada		17,491,949		—		—			17,491,949
China		—		2,198,833		—			2,198,833
Denmark		—		933,244		—			933,244
Finland		—		3,979,811		—			3,979,811
France		—		2,995,694		—			2,995,694
Italy		—		1,559,907		—			1,559,907
Mexico		4,198,537		—		—			4,198,537
Norway		—		1,788,087		—			1,788,087
South Africa		—		2,054,040		—			2,054,040
Spain		—		1,597,123		—			1,597,123
Sweden		—		2,432,558		—			2,432,558
United Kingdom		—		6,544,366		—			6,544,366
United States		46,654,086		—		—			46,654,086
TOTAL COMMON STOCKS		69,201,530		32,892,093		—			102,093,623
Preferred Stocks
Brazil		—		5,409,967		—			5,409,967
Chile		5,369,016		—		—			5,369,016
TOTAL PREFERRED STOCKS		5,369,016		5,409,967		—			10,778,983
Mutual Funds
United States		2,013,211		—		—			2,013,211
TOTAL MUTUAL FUNDS		2,013,211		—		—			2,013,211
Short-Term Investments		196,454		—		—			196,454
Total Investments		76,780,211		38,302,060		—			115,082,271
Total	$	76,780,211	$	38,302,060	$	—		$	115,082,271
Resources Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	139,674,264	$	—	$	—		$	139,674,264
Australia		—		8,388,067		—			8,388,067
Austria		—		15,864,639		—			15,864,639
Brazil		—		61,687,773		—			61,687,773
Canada		181,109,975		—		—			181,109,975
China		—		19,369,195		—			19,369,195
Denmark		—		9,102,250		—			9,102,250
Finland		—		35,763,261		—			35,763,261
France		—		26,396,659		—			26,396,659
Hong Kong		—		4,108,909		—			4,108,909
Hungary		—		8,465,175		—			8,465,175
Israel		—		26		—			26
Italy		—		34,678,677		—			34,678,677
Japan		—		5,203,680		—			5,203,680
Mexico		37,024,833		—		—			37,024,833
Norway		—		57,484,888		—			57,484,888
Portugal		—		50,914,706		—			50,914,706
Russia		—		—		0	§		0	§
Singapore		—		—		2			2
South Africa		—		18,116,290		—			18,116,290
Spain		—		37,359,600		—			37,359,600
Sweden		—		22,308,200		—			22,308,200
Ukraine		—		1,645,769		—			1,645,769
United Kingdom		8,669,100		191,177,017		—			199,846,117

Description	Level 1		Level 2		Level 3			Total
Resources Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
United States	$	622,457,166	$	—	$	—		$	622,457,166
TOTAL COMMON STOCKS		988,935,338		608,034,781		2			1,596,970,121
Preferred Stocks
Brazil		—		109,752,524		—			109,752,524
Chile		47,762,013		—		—			47,762,013
Russia		—		—		0	§		0	§
TOTAL PREFERRED STOCKS		47,762,013		109,752,524		0	§		157,514,537
Mutual Funds
United States		40,958,984		—		—			40,958,984
TOTAL MUTUAL FUNDS		40,958,984		—		—			40,958,984
Short-Term Investments		264,469		—		—			264,469
Total Investments		1,077,920,804		717,787,305		2			1,795,708,111
Total	$	1,077,920,804	$	717,787,305	$	2		$	1,795,708,111
Small Cap Quality Fund
Asset Valuation Inputs
Common Stocks	$	416,400,946	$	—	$	—		$	416,400,946
Mutual Funds		9,418,695		—		—			9,418,695
Short-Term Investments		122,476		—		—			122,476
Total Investments		425,942,117		—		—			425,942,117
Total	$	425,942,117	$	—	$	—		$	425,942,117
U.S. Equity Fund
Asset Valuation Inputs
Common Stocks	$	140,656,711	$	—	$	—		$	140,656,711
Debt Obligations		425,402		—		—			425,402
Mutual Funds		306,559		—		—			306,559
Short-Term Investments		117,084		—		—			117,084
Total Investments		141,505,756		—		—			141,505,756
Derivatives^
Futures Contracts
Equity Risk		302,575		—		—			302,575
Total	$	141,808,331	$	—	$	—		$	141,808,331
U.S. Opportunistic Value Fund
Asset Valuation Inputs
Common Stocks	$	558,058,446	$	—	$	—		$	558,058,446
Mutual Funds		521,918		—		—			521,918
Short-Term Investments		95,661		—		—			95,661
Total Investments		558,676,025		—		—			558,676,025
Total	$	558,676,025	$	—	$	—		$	558,676,025
U.S. Small Cap Value Fund
Asset Valuation Inputs
Common Stocks	$	38,976,366	$	—	$	—		$	38,976,366
Mutual Funds		114,228		—		—			114,228
Short-Term Investments		220,019		—		—			220,019
Total Investments		39,310,613		—		—			39,310,613
Derivatives^
Futures Contracts
Equity Risk		7,703		—		—			7,703
Total	$	39,318,316	$	—	$	—		$	39,318,316

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2024.

^ 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’ financial statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

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 November 30, 2024 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
Climate Change Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	22,390,770	$	283,029,869	$	305,397,630	$	401,815	**	$	—	$	4,925		$	8	$	27,942
Emerging Markets ex-China Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	4,681,209	$	17,872,942	$	21,940,600	$	48,575		$	—	$	(366	)	$	—	$	613,185
Emerging Markets Fund
Anilana Hotels & Properties Ltd.	$	303,354	$	—	$	—	$	—		$	—	$	—		$	18,797	$	322,151
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)		1,004,664		59,723,695		57,657,000		74,381			—		(843	)		—		3,070,516
Totals	$	1,308,018	$	59,723,695	$	57,657,000	$	74,381		$	—	$	(843	)	$	18,797	$	3,392,667
International Equity Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	71,846,735	$	136,100,000	$	147,400,000	$	2,461,962		$	—	$	6,513		$	—	$	60,553,248
International Opportunistic Value Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	7,130,000	$	21,350,000	$	24,245,000	$	209,556		$	—	$	3,858		$	—	$	4,238,858

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
Japan Value Creation Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	—	$	15,670,958	$	11,902,000	$	71,991	$	—	$	(1,002	)	$	—		$	3,767,956
Quality Cyclicals Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	501,028	$	4,700,000	$	4,895,000	$	16,582	$	—	$	300		$	—		$	306,328
Quality Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	278,669,053	$	791,500,000	$	1,013,175,000	$	8,042,960	$	—	$	208,981		$	(113	)	$	57,202,921
Resource Transition Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	2,049,511	$	10,864,288	$	10,900,000	$	64,201	$	—	$	(588	)	$	—		$	2,013,211
Resources Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	56,231,789	$	464,200,000	$	479,470,000	$	1,533,214	$	—	$	(2,260	)	$	(545	)	$	40,958,984
Small Cap Quality Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	7,392,442	$	82,484,793	$	80,450,000	$	385,122	$	—	$	(8,540	)	$	—		$	9,418,695
U.S. Equity Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	1,994,361	$	9,200,000	$	10,887,000	$	26,428	$	—	$	(802	)	$	—		$	306,559
U.S. Opportunistic Value Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	9,902,208	$	21,812,382	$	31,195,000	$	164,330	$	—	$	2,328		$	—		$	521,918

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
U.S. Small Cap Value Fund
GMO U.S. Treasury Fund,
Class VI (formerly Core Class)	$	573,827	$	940,000	$	1,400,000	$	21,899	$	—	$	401	$	—	$	114,228

^*  The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2024 through November 30, 2024. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2025.

^**  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 $113,290 in Climate Change Fund during the period.

Subsequent events

On December 16, 2024, GMO International Equity Fund and GMO International Opportunistic Value Fund, along with a number of other funds managed by GMO, recognized litigation settlement proceeds related to Bausch Health Companies Inc. (formerly, Valeant Pharmaceuticals International Inc.). On this date, contingencies related to the settlement proceeds were no longer material and the Funds’ net asset value reflected the settlement amounts. Costs in respect of this matter are borne by the Funds along with the other affected funds managed by GMO.

^***

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value† / Shares		Description	Value ($)
		DEBT OBLIGATIONS — 17.3%
		U.S. Government — 17.3%
	6,910,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.65%, due 07/31/26 (a)		6,913,794
		TOTAL DEBT OBLIGATIONS (COST $6,909,927)		6,913,794
		SHORT-TERM INVESTMENTS — 81.6%
		Sovereign and Sovereign Agency Issuers — 4.5%
JPY	270,000,000	Japan Treasury Discount Bills, Zero Coupon, due 12/09/24		1,804,580
		Repurchase Agreements — 70.2%
	27,999,394	Nomura Securities International, Inc. Repurchase Agreement, dated, 11/29/24 maturing on 12/02/24 with a maturity value of $28,010,034 and an effective yield of 4.56%, collateralized by a U.S. Treasury Note with maturity date 05/31/27 and a market value of $28,214,005.		27,999,394
		Money Market Funds — 6.9%
	2,757,301	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (b)		2,757,301
		TOTAL SHORT-TERM INVESTMENTS (COST $32,654,928)		32,561,275
		TOTAL INVESTMENTS — 98.9% (Cost $39,564,855)		39,475,069
		Other Assets and Liabilities (net) — 1.1%		423,265
		TOTAL NET ASSETS — 100.0%		$39,898,334

A summary of outstanding financial instruments at November 30, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
12/09/2024	BCLY	JPY	270,000,000		USD	1,933,055	$	127,085

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
116	U.S. Long Bond (CBT)		March 2025		13,862,000		338,700
108	U.S. Treasury Note 10 Yr. (CBT)		March 2025		12,008,250		77,453
71	U.S. Treasury Note 2 Yr. (CBT)		March 2025		14,633,766		43,736
250	U.S. Treasury Note 5 Yr. (CBT)		March 2025		26,900,391		222,339
259	U.S. Treasury Ultra 10 Yr. (CBT)		March 2025		29,732,391		176,000
73	U.S. Ultra Bond (CBT)		March 2025		9,284,687		301,467
				$	106,421,485	$	1,159,695

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

GMO Asset Allocation Bond Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

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^:

CDX.EM.S42

USD 12,300,000

1.00%

1.57%

N/A

12/20/2029

Quarterly

$

370,230

$

307,045

$

(63,185

)

^ 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 November 30, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

As of November 30, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of November 30, 2024.

The rates shown on variable rate notes are the current November 30, 2024, which are subject to change based on the terms of the security.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

  

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 94.3%
		Albania — 1.8%
		Sovereign and Sovereign Agency Issuers — 1.8%
	36,649,849	Albania Government International Bonds, Zero Coupon, due 08/31/25 (a) (b)		35,309,198
EUR	5,400,000	Albania Government International Bonds, Reg S, 3.50%, due 11/23/31		5,389,797
		Total Albania		40,698,995
		Angola — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	13,200,000	Angola Government International Bonds, Reg S, 9.38%, due 05/08/48		11,030,316
		Argentina — 4.6%
		Sovereign and Sovereign Agency Issuers — 4.6%
	19,790,713	Argentina Republic Government International Bonds, 1.00%, due 07/09/29		15,339,956
	22,976,153	Argentina Republic Government International Bonds, Step Up, 0.75%, due 07/09/30		16,944,913
JPY	285,280,317	Argentina Republic Government International Bonds, Variable Rate, 4.33%, due 12/31/33 (c)		305,082
EUR	7,800,000	Argentina Republic Government International Bonds, Step Up, 3.88%, due 07/09/35		4,760,129
EUR	22,930,000	Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38 (d)		14,887,206
	34,312,437	Argentina Republic Government International Bonds, Step Up, 5.00%, due 01/09/38 (d)		23,118,005
JPY	246,273,000	Argentina Republic Government International Bonds, 0.67%, due 12/31/38 (c)		205,756
EUR	6,060,000	Argentina Republic Government International Bonds, Step Up, 3.00%, due 07/09/41		3,480,521
	1,701,240	Argentina Republic Government International Bonds, Step Up, 3.50%, due 07/09/41		1,011,710
	38,547,000	Argentina Republic Government International Bonds, Step Up, 4.13%, due 07/09/46		24,361,704
		Total Argentina		104,414,982
		Armenia — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	7,200,000	Republic of Armenia International Bonds, Reg S, 3.60%, due 02/02/31		5,991,768
		Bahamas — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	4,000,000	Bahamas Government International Bonds, Reg S, 9.00%, due 06/16/29		4,180,440

Par Value†		Description	Value ($)
		Bahamas — continued
		Sovereign and Sovereign Agency Issuers — continued
	13,840,000	Bahamas Government International Bonds, Reg S, 8.95%, due 10/15/32		14,272,085
		Total Bahamas		18,452,525
		Bahrain — 2.4%
		Sovereign and Sovereign Agency Issuers — 2.4%
	34,796,000	Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44		29,707,085
	19,385,000	Bahrain Government International Bonds, Reg S, 7.50%, due 09/20/47 (d)		19,354,759
	6,450,000	Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51		5,500,625
		Total Bahrain		54,562,469
		Barbados — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	15,020,000	Barbados Government International Bonds, Reg S, 6.50%, due 10/01/29		14,548,672
		Belarus — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	7,504,000	Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (a) (e)		2,251,200
	18,400,000	Republic of Belarus International Bonds, Reg S, 6.20%, due 02/28/30 (c) (e)		7,360,000
		Total Belarus		9,611,200
		Benin — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	3,350,000	Benin Government International Bonds, Reg S, 6.88%, due 01/19/52		2,976,561
		Bolivia — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	7,600,000	Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28 (d)		4,651,200
		Brazil — 1.7%
		Corporate Debt — 1.1%
	16,928,743	MV24 Capital BV, Reg S, 6.75%, due 06/01/34		16,310,674
	7,300,000	Yinson Boronia Production BV, Reg S, 8.95%, due 07/31/42		7,756,250
				24,066,924
		Sovereign and Sovereign Agency Issuers — 0.6%
	10,500,000	Brazil Government International Bonds, 4.75%, due 01/14/50		7,691,775
BRL	44,930,249	Rio Smart Lighting SARL, Reg S, 12.25%, due 09/20/32 (f)		7,131,430
				14,823,205
		Total Brazil		38,890,129

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Bulgaria — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
EUR	2,500,000	Bulgarian Energy Holding EAD, Reg S, 2.45%, due 07/22/28		2,450,338
		Cameroon — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
EUR	9,200,000	Republic of Cameroon International Bonds, Reg S, 5.95%, due 07/07/32		7,801,982
		Chile — 1.8%
		Corporate Debt — 0.6%
	15,951,000	Enel Generacion Chile SA, 8.13%, due 02/01/97 (a)		14,544,122
		Sovereign and Sovereign Agency Issuers — 1.2%
	2,600,000	Banco del Estado de Chile, 144A, Variable Rate, 7.95%, due 05/02/29		2,704,000
	3,860,000	Chile Electricity Lux MPC SARL, Reg S, 6.01%, due 01/20/33		3,938,396
	5,100,000	Chile Electricity Lux MPC II SARL, 144A, 5.58%, due 10/20/35		5,044,206
	4,200,000	Chile Government International Bonds, 3.10%, due 05/07/41		3,160,500
	1,142,000	Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31		984,975
	13,250,000	Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47		10,314,330
				26,146,407
		Total Chile		40,690,529
		China — 0.0%
		Corporate Debt — 0.0%
	10,200,000	China Evergrande Group, Reg S, 11.50%, due 01/22/23 (e)		127,500
	13,000,000	China Evergrande Group, Reg S, 12.00%, due 01/22/24 (e)		162,500
	6,800,000	China Evergrande Group, Reg S, 10.50%, due 04/11/24 (e)		85,000
	5,500,000	Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (e)		68,750
	1,900,000	Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (e)		23,750
	3,300,000	Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (e)		41,250
	3,700,000	Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 (e)		46,250
		Total China		555,000
		Colombia — 4.4%
		Corporate Debt — 0.8%
	13,740,000	AI Candelaria Spain SA, Reg S, 5.75%, due 06/15/33		11,198,100
	3,200,000	EnfraGen Energia Sur SA/EnfraGen Spain SA/Prime Energia SpA, Reg S, 5.38%, due 12/30/30		2,767,008

Par Value†		Description	Value ($)
		Colombia — continued
		Corporate Debt — continued
COP	26,269,295,240	PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36		4,977,529
				18,942,637
		Sovereign and Sovereign Agency Issuers — 3.6%
	992,000	Colombia Government International Bonds, 8.38%, due 02/15/27 (a)		1,019,018
	2,800,000	Colombia Government International Bonds, 11.85%, due 03/09/28 (a)		3,180,430
	3,600,000	Colombia Government International Bonds, 4.13%, due 02/22/42		2,370,600
	69,600,000	Colombia Government International Bonds, 5.63%, due 02/26/44		53,522,400
	7,700,000	Colombia Government International Bonds, 5.00%, due 06/15/45		5,407,094
	6,200,000	Colombia Government International Bonds, 5.20%, due 05/15/49		4,343,100
	7,020,000	Ecopetrol SA, 5.88%, due 11/02/51		4,840,852
COP	37,736,000,000	Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27		7,729,080
				82,412,574
		Total Colombia		101,355,211
		Congo Republic (Brazzaville) — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	29,927,983	Congolese International Bonds, Reg S, Step Up, 6.00%, due 06/30/29 (c)		25,401,076
		Costa Rica—1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	4,400,000	Costa Rica Government International Bonds, Reg S, 6.55%, due 04/03/34		4,525,125
	1,300,000	Costa Rica Government International Bonds, Reg S, 7.00%, due 04/04/44		1,344,694
	16,431,000	Costa Rica Government International Bonds, Reg S, 7.16%, due 03/12/45		17,288,534
	3,967,000	Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43		3,559,113
		Total Costa Rica		26,717,466
		Cote D’Ivoire — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
EUR	1,400,000	Ivory Coast Government International Bonds, Reg S, 6.88%, due 10/17/40		1,291,282
EUR	19,500,000	Ivory Coast Government International Bonds, Reg S, 6.63%, due 03/22/48		16,800,832
		Total Cote D’Ivoire		18,092,114
		Czech Republic — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	4,058,000	CEZ AS, Reg S, 5.63%, due 04/03/42		3,729,109

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Dominican Republic — 2.2%
		Corporate Debt — 0.1%
	3,375,000	Polaris Renewable Energy, Inc., 9.50%, due 12/03/29		3,449,794
		Sovereign and Sovereign Agency Issuers — 2.1%
DOP	249,700,000	Dominican Republic International Bonds, 144A, 10.75%, due 06/01/36		4,309,132
	1,000,000	Dominican Republic International Bonds, Reg S, 5.30%, due 01/21/41		883,750
	47,554,000	Dominican Republic International Bonds, Reg S, 5.88%, due 01/30/60		42,513,276
				47,706,158
		Total Dominican Republic		51,155,952
		Ecuador — 2.6%
		Sovereign and Sovereign Agency Issuers — 2.6%
	1,200,000	Ecuador Government International Bonds, 5.00%, due 02/28/25 (c)		1,140,000
	5,546,892	Ecuador Government International Bonds, Reg S, Zero Coupon, due 07/31/30 (d)		2,997,055
	27,276,250	Ecuador Government International Bonds, Reg S, Step Up, 6.90%, due 07/31/30		18,445,564
	51,487,125	Ecuador Government International Bonds, Reg S, Step Up, 5.50%, due 07/31/35		28,462,726
	12,203,750	Ecuador Government International Bonds, Reg S, Step Up, 5.00%, due 07/31/40 (d)		6,101,875
	2,351,515	Ecuador Social Bonds SARL, Reg S, Zero Coupon, due 01/30/35		1,617,537
		Total Ecuador		58,764,757
		Egypt — 3.4%
		Sovereign and Sovereign Agency Issuers — 3.4%
	12,400,000	Egypt Government International Bonds, Reg S, 8.50%, due 01/31/47		9,978,156
	21,800,000	Egypt Government International Bonds, Reg S, 8.70%, due 03/01/49		17,746,508
	31,200,000	Egypt Government International Bonds, Reg S, 8.88%, due 05/29/50		25,857,000
	31,764,000	Egypt Government International Bonds, Reg S, 8.15%, due 11/20/59		24,140,640
		Total Egypt		77,722,304
		El Salvador — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	24,000,000	El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50		20,184,000
		Ethiopia — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	2,690,000	Ethiopia International Bonds, Reg S, 6.63%, due 12/11/24 (e)		2,115,013

Par Value†		Description	Value ($)
		Gabon — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	7,400,000	Gabon Blue Bond Master Trust, 144A, 6.10%, due 08/01/38		7,307,616
	5,800,000	Gabon Government International Bonds, Reg S, 6.63%, due 02/06/31		4,495,000
	7,600,000	Gabon Government International Bonds, Reg S, 7.00%, due 11/24/31		5,925,625
		Total Gabon		17,728,241
		Ghana — 2.0%
		Sovereign and Sovereign Agency Issuers — 2.0%
	2,528,000	Ghana Government International Bonds, 144A, Zero Coupon, due 07/03/26		2,360,520
	19,118,000	Ghana Government International Bonds, Step Up, 144A, 5.00%, due 07/03/29		16,752,147
	4,972,872	Ghana Government International Bonds, 144A, Zero Coupon, due 01/03/30 (d)		3,916,137
	27,492,000	Ghana Government International Bonds, Step Up, 144A, 5.00%, due 07/03/35		19,519,320
	6,469,920	Saderea DAC, Reg S, 12.50%, due 11/30/26 (e)		3,106,920
		Total Ghana		45,655,044
		Grenada — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	3,515,636	Grenada Government International Bonds, Reg S, 7.00%, due 05/12/30		3,086,729
		Guatemala — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	3,315,000	Guatemala Government Bonds, Reg S, 8.13%, due 10/06/34		3,638,212
	3,000,000	Guatemala Government Bonds, 144A, 6.55%, due 02/06/37		3,023,430
	4,600,000	Guatemala Government Bonds, Reg S, 4.65%, due 10/07/41		3,635,438
	16,700,000	Guatemala Government Bonds, Reg S, 6.13%, due 06/01/50		15,317,073
		Total Guatemala		25,614,153
		Honduras — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	2,450,000	Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30 (d)		2,184,322
	2,550,000	Honduras Government International Bonds, 144A, 8.63%, due 11/27/34		2,542,350
		Total Honduras		4,726,672
		Hungary — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
	34,750,000	Hungary Government International Bonds, Reg S, 5.50%, due 03/26/36		33,316,562
	22,400,000	Hungary Government International Bonds, Reg S, 3.13%, due 09/21/51		13,860,000
		Total Hungary		47,176,562

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		India — 0.9%
		Corporate Debt — 0.9%
	16,144,272	Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, Reg S, 6.70%, due 03/12/42 (d)		13,480,467
	8,572,375	Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd./Wardha Solar Maharashtra, Reg S, 4.63%, due 10/15/39		6,343,558
		Total India		19,824,025
		Indonesia — 1.7%
		Sovereign and Sovereign Agency Issuers — 1.7%
	8,500,000	Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT, Reg S, 5.80%, due 05/15/50		8,167,055
	2,800,000	Indonesia Government International Bonds, 4.85%, due 01/11/33		2,761,500
	3,391,000	Indonesia Government International Bonds, 5.45%, due 09/20/52		3,403,716
	20,200,000	Minejesa Capital BV, Reg S, 5.63%, due 08/10/37		19,126,875
	4,900,000	Perusahaan Penerbit SBSN Indonesia III, Reg S, 4.70%, due 06/06/32		4,808,125
		Total Indonesia		38,267,271
		Iraq — 0.4%
		Corporate Debt — 0.4%
	9,350,000	Pearl Petroleum Co. Ltd., Reg S, 13.00%, due 05/15/28		9,611,052
		Israel — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	14,283,000	Israel Electric Corp. Ltd., Reg S, 8.10%, due 12/15/96		16,767,623
	13,300,000	Israel Government International Bonds, 4.50%, due 04/03/2120		9,771,344
		Total Israel		26,538,967
		Jamaica — 0.4%
		Corporate Debt — 0.2%
	5,214,701	TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36 (d)		4,849,672
		Sovereign and Sovereign Agency Issuers — 0.2%
	2,675,000	Jamaica Government International Bonds, 7.88%, due 07/28/45		3,156,500
		Total Jamaica		8,006,172
		Jordan — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	29,095,000	Jordan Government International Bonds, Reg S, 7.38%, due 10/10/47		27,031,001

Par Value†		Description	Value ($)
		Kazakhstan — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	14,880,000	KazMunayGas National Co. JSC, Reg S, 6.38%, due 10/24/48		14,303,400
		Kenya — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	25,694,000	Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48		21,534,784
		Latvia — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	6,850,000	Latvia Government International Bonds, Reg S, 5.13%, due 07/30/34		6,812,873
		Lebanon — 0.6%
		Sovereign and Sovereign Agency Issuers — 0.6%
	6,200,000	Lebanon Government International Bonds, Reg S, 6.85%, due 03/23/27 (e)		573,500
	5,047,000	Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28 (e)		466,848
	55,005,000	Lebanon Government International Bonds, Reg S, 7.15%, due 11/20/31 (e)		5,087,962
	19,100,000	Lebanon Government International Bonds, 8.20%, due 05/17/33 (e)		1,766,750
	51,714,000	Lebanon Government International Bonds, 8.25%, due 05/17/34 (e)		4,783,545
		Total Lebanon		12,678,605
		Mexico — 6.4%
		Sovereign and Sovereign Agency Issuers — 6.4%
	5,000,000	Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49		4,025,000
GBP	55,806,000	Mexico Government International Bonds, 5.63%, due 03/19/2114		51,144,523
	110,600,000	Petroleos Mexicanos, 7.69%, due 01/23/50		86,623,026
	4,700,000	Petroleos Mexicanos, Reg S, 6.63%, due 12/28/2172		3,078,500
		Total Mexico		144,871,049
		Mongolia — 0.4%
		Sovereign and Sovereign Agency Issuers — 0.4%
	8,800,000	Development Bank of Mongolia LLC, 11.00%, due 03/07/26		9,141,000
		Montenegro — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
	1,800,000	Montenegro Government International Bonds, Reg S, 7.25%, due 03/12/31		1,868,058
		Morocco — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	2,600,000	Morocco Government International Bonds, Reg S, 6.50%, due 09/08/33		2,722,694

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Morocco — continued
		Sovereign and Sovereign Agency Issuers — continued
	5,700,000	Morocco Government International Bonds, Reg S, 4.00%, due 12/15/50		3,979,341
		Total Morocco		6,702,035
		Mozambique — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	8,276,000	Mozambique International Bonds, Reg S, Step Up, 9.00%, due 09/15/31 (d)		6,879,425
		Nigeria — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	20,750,000	Nigeria Government International Bonds, Reg S, 8.25%, due 09/28/51		16,399,140
		Oman — 1.7%
		Sovereign and Sovereign Agency Issuers — 1.7%
	36,600,000	Oman Government International Bonds, Reg S, 6.75%, due 01/17/48		38,216,988
		Pakistan — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	11,300,000	Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36 (d)		8,771,625
	4,426,000	Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31		3,439,622
		Total Pakistan		12,211,247
		Panama — 2.1%
		Sovereign and Sovereign Agency Issuers — 2.1%
	8,937,000	Panama Government International Bonds, 8.13%, due 04/28/34		9,516,118
	12,250,000	Panama Government International Bonds, 6.40%, due 02/14/35		11,784,500
	5,100,000	Panama Government International Bonds, 8.00%, due 03/01/38		5,398,350
	2,200,000	Panama Government International Bonds, 4.50%, due 04/16/50		1,479,896
	23,800,000	Panama Government International Bonds, 4.50%, due 04/01/56		15,489,754
	6,000,000	Panama Government International Bonds, 4.50%, due 01/19/63		3,888,780
		Total Panama		47,557,398
		Peru — 2.0%
		Sovereign and Sovereign Agency Issuers — 2.0%
	6,200,000	Peru Government International Bonds, 5.88%, due 08/08/54		6,231,000
	13,500,000	Peru Government International Bonds, 3.60%, due 01/15/72		8,846,719
	46,645,000	Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47		30,363,096
		Total Peru		45,440,815

Par Value†		Description	Value ($)
		Philippines — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
	3,500,000	Bangko Sentral ng Pilipinas International Bonds, 8.60%, due 06/15/97 (c)		4,655,000
	10,400,000	Philippines Government International Bonds, 3.20%, due 07/06/46		7,566,000
		Total Philippines		12,221,000
		Poland — 2.7%
		Sovereign and Sovereign Agency Issuers — 2.7%
	9,500,000	Republic of Poland Government International Bonds, 5.75%, due 11/16/32		9,885,320
	37,900,000	Republic of Poland Government International Bonds, 5.13%, due 09/18/34		37,617,645
	1,650,000	Republic of Poland Government International Bonds, 5.50%, due 04/04/53		1,602,133
	12,400,000	Republic of Poland Government International Bonds, 5.50%, due 03/18/54		11,980,136
		Total Poland		61,085,234
		Republic of North Macedonia — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
EUR	11,900,000	North Macedonia Government International Bonds, Reg S, 1.63%, due 03/10/28		11,309,991
		Romania — 3.3%
		Sovereign and Sovereign Agency Issuers — 3.3%
	13,200,000	Romania Government International Bonds, 144A, 6.38%, due 01/30/34		12,920,952
	10,058,000	Romania Government International Bonds, Reg S, 6.38%, due 01/30/34		9,845,374
	14,550,000	Romania Government International Bonds, 144A, 5.75%, due 03/24/35		13,393,275
EUR	4,800,000	Romania Government International Bonds, Reg S, 3.88%, due 10/29/35		4,260,814
EUR	21,300,000	Romania Government International Bonds, 144A, 5.63%, due 02/22/36		21,875,706
EUR	4,500,000	Romania Government International Bonds, Reg S, 2.88%, due 04/13/42		3,160,849
EUR	4,500,000	Romania Government International Bonds, Reg S, 3.38%, due 01/28/50		3,167,792
	5,700,000	Romania Government International Bonds, Reg S, 7.63%, due 01/17/53		5,995,146
		Total Romania		74,619,908
		Russia — 0.0%
		Sovereign and Sovereign Agency Issuers — 0.0%
	6,870,000	GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (a) (e) (g)		3,435
	5,200,000	GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (a) (e) (g)		2,600
	6,800,000	GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (a) (e) (g)		3,400
	6,400,000	Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35 (a) (e) (g)		3,200

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Russia — continued
		Sovereign and Sovereign Agency Issuers — continued
	20,000,000	Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35 (a) (e) (g)		10,000
		Total Russia		22,635
		Rwanda — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	4,300,000	Rwanda International Government Bonds, Reg S, 5.50%, due 08/09/31 (d)		3,650,969
		Saudi Arabia — 2.5%
		Corporate Debt — 0.9%
	19,905,666	ACWA Power Management & Investments One Ltd., Reg S, 5.95%, due 12/15/39		19,806,138
		Sovereign and Sovereign Agency Issuers — 1.6%
	8,900,000	Saudi Government International Bonds, Reg S, 4.63%, due 10/04/47		7,662,344
	11,200,000	Saudi Government International Bonds, Reg S, 5.00%, due 01/18/53		10,013,500
	29,600,000	Saudi Government International Bonds, Reg S, 3.45%, due 02/02/61		19,332,500
				37,008,344
		Total Saudi Arabia		56,814,482
		Senegal — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	10,750,000	Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48		7,753,437
		Serbia — 0.7%
		Sovereign and Sovereign Agency Issuers — 0.7%
	9,500,000	Serbia International Bonds, 144A, 6.00%, due 06/12/34		9,497,055
EUR	8,500,000	Serbia International Bonds, Reg S, 2.05%, due 09/23/36		6,843,444
		Total Serbia		16,340,499
		South Africa — 2.6%
		Sovereign and Sovereign Agency Issuers — 2.6%
	2,850,000	Eskom Holdings SOC Ltd., Reg S, 8.45%, due 08/10/28		2,984,492
ZAR	150,350,000	Eskom Holdings SOC Ltd., Zero Coupon, due 12/31/32		2,524,436
	35,800,000	Republic of South Africa Government International Bonds, 5.75%, due 09/30/49		28,147,750
	16,550,000	Republic of South Africa Government International Bonds, 144A, 7.95%, due 11/19/54 (d)		16,653,438
	8,300,000	Transnet SOC Ltd., Reg S, 8.25%, due 02/06/28		8,507,500
ZAR	20,200,000	Transnet SOC Ltd., Reg S, 13.50%, due 04/18/28		1,182,596
		Total South Africa		60,000,212

Par Value†		Description	Value ($)
		Sri Lanka — 1.8%
		Sovereign and Sovereign Agency Issuers — 1.8%
	4,880,000	Sri Lanka Government International Bonds, Reg S, 6.83%, due 07/18/26 (e)		3,269,600
	5,044,000	Sri Lanka Government International Bonds, Reg S, 6.20%, due 05/11/27 (e)		3,360,565
	18,600,000	Sri Lanka Government International Bonds, Reg S, 6.75%, due 04/18/28 (e)		12,578,250
	7,700,000	Sri Lanka Government International Bonds, Reg S, 7.85%, due 03/14/29 (e)		5,207,125
	23,800,000	Sri Lanka Government International Bonds, Reg S, 7.55%, due 03/28/30 (e)		16,005,500
		Total Sri Lanka		40,421,040
		Suriname — 0.9%
		Sovereign and Sovereign Agency Issuers — 0.9%
	14,569,312	Suriname Government International Bonds, 144A, 7.95%, due 07/15/33		13,426,495
	8,195,000	Suriname Government International Bonds, 144A, Variable Rate, 9.00%, due 12/31/50		8,154,025
		Total Suriname		21,580,520
		Tajikistan — 0.2%
		Sovereign and Sovereign Agency Issuers — 0.2%
	5,774,000	Republic of Tajikistan International Bonds, Reg S, 7.13%, due 09/14/27		5,644,085
		Trinidad And Tobago — 1.1%
		Sovereign and Sovereign Agency Issuers — 1.1%
	16,700,000	Heritage Petroleum Co. Ltd., Reg S, 9.00%, due 08/12/29		17,467,532
	8,600,000	Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29		8,647,128
		Total Trinidad And Tobago		26,114,660
		Tunisia — 1.4%
		Sovereign and Sovereign Agency Issuers — 1.4%
JPY	5,411,700,000	Tunisian Republic, 4.30%, due 08/02/30 (c)		27,037,702
JPY	380,000,000	Tunisian Republic, 4.20%, due 03/17/31 (c)		1,885,840
JPY	730,000,000	Tunisian Republic, 3.50%, due 02/03/33		3,244,661
		Total Tunisia		32,168,203
		Turkey — 3.8%
		Corporate Debt — 1.0%
	22,700,000	Zorlu Enerji Elektrik Uretim AS, 144A, 11.00%, due 04/23/30		22,813,500
		Sovereign and Sovereign Agency Issuers — 2.8%
	7,950,000	Turkiye Government International Bonds, 6.50%, due 01/03/35		7,625,640

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Turkey — continued
		Sovereign and Sovereign Agency Issuers — continued
	20,800,000	Turkiye Government International Bonds, 4.88%, due 04/16/43		15,132,000
	51,313,000	Turkiye Government International Bonds, 5.75%, due 05/11/47		39,992,326
				62,749,966
		Total Turkey		85,563,466
		Ukraine — 1.6%
		Sovereign and Sovereign Agency Issuers — 1.6%
	5,000,000	NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (e)		3,387,500
	2,211,014	Ukraine Government International Bonds, Step Up, 144A, Zero Coupon, due 02/01/30 (d)		1,122,090
	12,984,014	Ukraine Government International Bonds, Step Up, 144A, Zero Coupon, due 02/01/34 (d)		5,128,686
	8,032,412	Ukraine Government International Bonds, Step Up, 144A, 1.75%, due 02/01/34		4,198,140
	6,982,158	Ukraine Government International Bonds, Step Up, 144A, Zero Coupon, due 02/01/35		4,070,598
	13,555,124	Ukraine Government International Bonds, Step Up, 144A, 1.75%, due 02/01/35		6,940,223
	5,818,464	Ukraine Government International Bonds, Step Up, 144A, Zero Coupon, due 02/01/36 (d)		3,374,709
	14,953,917	Ukraine Government International Bonds, Step Up, 144A, 1.75%, due 02/01/36 (d)		7,521,820
	180,000	Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 (e)		137,700
		Total Ukraine		35,881,466
		United Arab Emirates — 1.2%
		Sovereign and Sovereign Agency Issuers — 1.2%
	13,200,000	Abu Dhabi Government International Bonds, Reg S, 3.13%, due 09/30/49		9,231,816
	10,300,000	Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50		6,891,318
	16,400,000	Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51		11,638,875
		Total United Arab Emirates		27,762,009
		United States — 1.9%
		Asset-Backed Securities — 0.2%
	455,376	CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 4.96%, due 12/15/35		448,893
	75,672	CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 4.96%, due 12/15/35		75,545

Par Value†		Description	Value ($)
		United States — continued
		Asset-Backed Securities — continued
	367,832	CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 4.92%, due 05/15/36		350,217
	5,759,304	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.26%, 4.85%, due 11/25/36		1,849,926
	5,811,189	Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.33%, 4.92%, due 11/25/36		1,866,594
	2,968,709	WaMu Asset-Backed Certificates WaMu Trust, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.06%, due 04/25/37		1,108,474
				5,699,649
		U.S. Government — 1.7%
	29,500,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.21%, 4.67%, due 10/31/26		29,528,624
	8,300,000	U.S. Treasury Notes, 3.88%, due 11/30/27 (h)		8,243,586
				37,772,210
		Total United States		43,471,859
		Uruguay — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	1,900,000	Oriental Republic of Uruguay, 5.25%, due 09/10/60		1,808,800
UYU	622,600,000	Uruguay Government International Bonds, 9.75%, due 07/20/33		14,448,271
	2,218,000	Uruguay Government International Bonds, 5.10%, due 06/18/50		2,132,052
		Total Uruguay		18,389,123
		Uzbekistan — 1.0%
		Sovereign and Sovereign Agency Issuers — 1.0%
	3,300,000	Jscb Agrobank, 144A, 9.25%, due 10/02/29 (d)		3,400,023
	5,200,000	Republic of Uzbekistan International Bonds, Reg S, 3.70%, due 11/25/30		4,395,768
	7,200,000	Uzbek Industrial & Construction Bank ATB, Reg S, 8.95%, due 07/24/29		7,346,232
	9,850,000	Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28		8,695,703
		Total Uzbekistan		23,837,726
		Venezuela — 2.7%
		Sovereign and Sovereign Agency Issuers — 2.7%
	101,165,000	C.A. La Electricidad de Caracas, Reg S, 8.50%, due 04/10/18 (c) (e)		5,058,250
	49,667,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 (e)		4,619,031

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Venezuela — continued
		Sovereign and Sovereign Agency Issuers — continued
	12,300,000	Petroleos de Venezuela SA, Reg S, 9.75%, due 05/17/35 (e)		1,297,650
	159,800,000	Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/49 (e)		14,728,766
	29,228,000	Venezuela Government International Bonds, Reg S, 7.75%, due 10/13/19 (e)		3,447,150
	13,200,000	Venezuela Government International Bonds, Reg S, 6.00%, due 12/09/20 (e)		1,455,828
	21,550,000	Venezuela Government International Bonds, Reg S, 12.75%, due 08/23/22 (e)		3,069,582
	136,993,000	Venezuela Government International Bonds, Reg S, 9.00%, due 05/07/23 (e)		17,809,090
	64,400,000	Venezuela Government International Bonds, Reg S, 11.95%, due 08/05/31 (e)		9,016,000
		Total Venezuela		60,501,347
		Vietnam — 0.3%
		Sovereign and Sovereign Agency Issuers — 0.3%
	7,318,000	Vietnam Government International Bonds, Variable Rate, U.S. (Fed) Prime Rate + 0.81%, 6.88%, due 03/13/28		7,242,625
		Zambia — 0.8%
		Sovereign and Sovereign Agency Issuers — 0.8%
	12,083,399	Zambia Government International Bonds, Reg S, Step Up, 5.75%, due 06/30/33		10,690,033
	11,343,974	Zambia Government International Bonds, Reg S, 0.50%, due 12/31/53		6,441,250
		Total Zambia		17,131,283
		TOTAL DEBT OBLIGATIONS (COST $2,601,327,627)		2,149,974,153
		LOAN ASSIGNMENTS — 1.2%
		Chad — 0.1%
	3,069,827	Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 10.52%, due 12/31/27 (a)		2,910,023
		Kenya — 0.0%
	491,667	Kenya Government International Bonds, Variable Rate, 12.58%, due 04/10/25 (a)		487,477
		Serbia — 0.6%
	12,400,000	Telekom Srbija AD Beograd, Variable Rate, 9.55%, due 06/13/29 (c)		13,070,935
		Turkey — 0.5%
	11,089,286	Meridiam Eastern Europe Investment S.à.r.l Loan Agreement, 8.85%, due 06/23/28 (a)		11,484,226
		TOTAL LOAN ASSIGNMENTS (COST $29,441,801)		27,952,661

Par Value† / Shares		Description	Value ($)
		LOAN PARTICIPATIONS — 0.3%
		Angola — 0.2%
	4,392,857	Angola Government International Bonds Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (c)		4,196,101
		Iraq — 0.0%
EUR	392,155	Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (a)		366,436
		Russia — 0.0%
EUR	76,893,500	Russian Foreign Trade Obligations, (Participation with GML International Ltd.) (c) (e)		3
		Sudan — 0.1%
CHF	11,833,578	Republic of Sudan, Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (c) (e)		604,473
CHF	5,155,077	Republic of Sudan, Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (c) (e)		263,328
		Total Sudan		867,801
		TOTAL LOAN PARTICIPATIONS (COST $62,091,906)		5,430,341
		INVESTMENT FUNDS — 0.5%
		Colombia — 0.5%
	9,300,000	Bona Fide Investment Holdings II LLC (a) (i) (j)		12,251,383
		TOTAL INVESTMENT FUNDS (COST $9,300,000)		12,251,383
		RIGHTS/WARRANTS — 1.3%
		Argentina — 1.0%
EUR	246,989,676	Argentina Republic Government International Bonds GDP Linked, Variable Rate, Expires 12/15/35 (k)		21,519,964
JPY	1,723,445,000	Argentina Republic Government International Bonds GDP Linked, Variable Rate, Expires 12/15/35 (a) (k)		172,903
		Total Argentina		21,692,867
		Ukraine — 0.3%
	10,646,000	Ukraine Government International Bonds GDP Linked, Variable Rate, Reg S, Expires 08/01/41 (k)		8,011,115
		TOTAL RIGHTS/WARRANTS (COST $42,051,371)		29,703,982

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares / Par Value†			Description	Value ($)
			SHORT-TERM INVESTMENTS — 3.5%
			Money Market Funds — 0.4%
	8,316,455		State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (l)		8,316,455
			Repurchase Agreements — 3.1%
	9,312,500		Nomura Securities International, Inc. Repurchase Agreement, dated, 09/05/24 maturing on 09/09/25 with a maturity value of $9,722,948 and an effective yield of 4.30%, collateralized by a U.S. Treasury Note with maturity date 02/21/28 and a market value of $9,620,400.		9,312,500
	61,999,411		Nomura Securities International, Inc. Repurchase Agreement, dated, 09/05/24 maturing on 12/02/24 with a maturity value of $62,022,971 and an effective yield of 4.56%, collateralized by a U.S. Treasury Note with maturity date 05/31/27 and a market value of $62,474,625.		61,999,411
			Total Repurchase Agreements		71,311,911
			TOTAL SHORT-TERM INVESTMENTS (COST $79,628,366)		79,628,366
			TOTAL INVESTMENTS — 101.1% (Cost $2,823,841,071)		2,304,940,886
			SECURITIES SOLD SHORT — (0.4)%
			Sovereign and Sovereign Agency Issuers — (0.4)%
			Egypt — (0.4)%
	(10,000,000	)	Egypt Government International Bonds, 6.59, due 02/21/28		(9,620,400	)
			TOTAL Sovereign and Sovereign Agency Issuers (PROCEEDS $9,330,000)		(9,620,400	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $(9,330,000))		(9,620,400	)
			Other Assets and Liabilities (net) — (1.1)%		(24,773,077	)
			TOTAL NET ASSETS — 100.0%		$2,280,167,809

 

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Additional information on each restricted security is as follows:

Issuer Description	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of November 30, 2024
Bona Fide Investment Holdings II LLC	06/07/23	$	9,300,000	0.5%	$	12,251,383
GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27	04/30/20		11,074,690	0.0%		3,435
GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28	03/12/21		5,288,053	0.0%		2,600
GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29	01/26/22		10,860,211	0.0%		3,400
Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35	10/11/19		6,796,637	0.0%		3,200
Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35	03/21/19		20,000,000	0.0%		10,000
					$	12,274,018

A summary of outstanding financial instruments at November 30, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
12/03/2024	MSCI	BRL	35,000,000		USD	6,384,997		567,952
02/04/2025	MSCI	BRL	25,100,000		USD	4,284,373		144,987
02/20/2025	MSCI	COP	112,940,000,000		USD	25,351,461		132,832
01/14/2025	SSB	EUR	148,500,000		USD	158,126,839		906,662
01/15/2025	MSCI	GBP	42,800,000		USD	55,928,729		1,472,187
12/10/2024	SSB	EUR	260,000		USD	272,305		(2,525	)
01/14/2025	DB	JPY	3,640,100,000		USD	23,771,380		(694,899	)
12/03/2024	BCLY	USD	1,704,405		BRL	9,900,000		(59,012	)
12/03/2024	MSCI	USD	4,319,394		BRL	25,100,000		(147,741	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/10/2025	JPM	HKD	714,000,000		USD	91,977,122		163,439
12/10/2024	DB	USD	1,398,302		EUR	1,340,000		18,127
01/14/2025	MSCI	USD	4,482,177		PEN	17,000,000		53,519
01/15/2025	BCLY	USD	15,941,377		TRY	602,600,000		680,780
02/28/2025	MSCI	USD	1,291,842		ZAR	23,700,000		13,381
01/23/2025	MSCI	USD	4,486,604		IDR	70,000,000,000		(78,712	)
							$	3,170,977

Reverse Repurchase Agreements(m)
Face Value			Description	Value ($)
USD	(290,468	)	Bank of New York Mellon, 4.00%, dated 11/01/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.		(290,468	)
USD	(1,980,882	)	Barclays Bank PLC, 1.20%, dated 01/31/24, (Collateral: Honduras Government International Bonds, Reg S, 5.63%, due 06/24/30), to be repurchased on demand at face value plus accrued interest.		(1,980,882	)
USD	(1,457,953	)	Barclays Bank PLC, 3.80%, dated 08/15/24, (Collateral: TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36), to be repurchased on demand at face value plus accrued interest.		(1,457,953	)
USD	(1,844,829	)	Barclays Bank PLC, 3.45%, dated 09/09/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.		(1,844,829	)
USD	(3,422,296	)	Barclays Bank PLC, 3.00%, dated 11/25/24, (Collateral: Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, Reg S, 6.70%, due 03/12/42), to be repurchased on demand at face value plus accrued interest.		(3,422,296	)
USD	(3,156,609	)	JP Morgan Securities PLC, 4.25%, dated 11/08/24, (Collateral: Rwanda International Government Bonds, Reg S, 5.50%, due 08/09/31), to be repurchased on demand at face value plus accrued interest.		(3,156,609	)
USD	(7,144,775	)	Morgan Stanley & Co. International PLC, 4.10%, dated 05/16/24, (Collateral: Argentina Republic Government International Bonds, Step Up, 5.00%, due 01/09/38), to be repurchased on demand at face value plus accrued interest.		(7,144,775	)
USD	(695,234	)	Morgan Stanley & Co. International PLC, 4.10%, dated 09/11/24, (Collateral: Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36), to be repurchased on demand at face value plus accrued interest.		(695,234	)
USD	(491,839	)	Morgan Stanley & Co. International PLC, 3.60%, dated 10/18/24, (Collateral: Ukraine Government International Bonds, Step Up, 144A, Zero Coupon, due 02/01/34), to be repurchased on demand at face value plus accrued interest.		(491,839	)
USD	(3,181,473	)	Morgan Stanley & Co. International PLC, 3.60%, dated 10/21/24, (Collateral: Ukraine Government International Bonds, Step Up, 144A, Zero Coupon, due 02/01/34), to be repurchased on demand at face value plus accrued interest.		(3,181,473	)
USD	(916,665	)	Morgan Stanley & Co. International PLC, 3.25%, dated 10/25/24, (Collateral: Jscb Agrobank, 144A, 9.25%, due 10/02/29), to be repurchased on demand at face value plus accrued interest.		(916,665	)
USD	(2,709,431	)	Morgan Stanley & Co. International PLC, 4.10%, dated 11/01/24, (Collateral: Argentina Republic Government International Bonds, Step Up, 5.00%, due 01/09/38), to be repurchased on demand at face value plus accrued interest.		(2,709,431	)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Reverse Repurchase Agreements(m)
Face Value			Description	Value ($)
USD	(3,638,355	)	Morgan Stanley & Co. International PLC, 4.10%, dated 11/04/24, (Collateral: Argentina Republic Government International Bonds, Step Up, 5.00%, due 01/09/38), to be repurchased on demand at face value plus accrued interest.		(3,638,355	)
USD	(1,469,134	)	Morgan Stanley & Co. International PLC, 4.25%, dated 11/06/24, (Collateral: Ecuador Government International Bonds, Reg S, Zero Coupon, Zero Coupon, due 07/31/30), to be repurchased on demand at face value plus accrued interest.		(1,469,134	)
USD	(4,489,875	)	Morgan Stanley & Co. International PLC, 4.05%, dated 11/07/24, (Collateral: Bahrain Government International Bonds, Reg S, 7.50%, due 09/20/47), to be repurchased on demand at face value plus accrued interest.		(4,489,875	)
USD	(873,612	)	Morgan Stanley & Co. International PLC, 4.10%, dated 11/08/24, (Collateral: Ukraine Government International Bonds, Step Up, 144A, Zero Coupon, due 02/01/30), to be repurchased on demand at face value plus accrued interest.		(873,612	)
USD	(887,210	)	Morgan Stanley & Co. International PLC, 3.85%, dated 11/14/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.		(887,210	)
USD	(632,450	)	Morgan Stanley & Co. International PLC, 3.50%, dated 11/18/24, (Collateral: Ghana Government International Bonds, 144A, Zero Coupon, Zero Coupon, due 01/03/30), to be repurchased on demand at face value plus accrued interest.		(632,450	)
USD	(213,577	)	Morgan Stanley & Co. International PLC, 3.25%, dated 11/18/24, (Collateral: Ukraine Government International Bonds, Step Up, 144A, Zero Coupon, due 02/01/36), to be repurchased on demand at face value plus accrued interest.		(213,577	)
USD	(7,908,688	)	Morgan Stanley & Co. International PLC, 4.25%, dated 11/19/24, (Collateral: Republic of South Africa Government International Bonds, 144A, 7.95%, due 11/19/54), to be repurchased on demand at face value plus accrued interest.		(7,908,688	)
USD	(5,162,236	)	Morgan Stanley & Co. International PLC, 3.35%, dated 11/29/24, (Collateral: Ukraine Government International Bonds, Step Up, 144A, 1.75%, due 02/01/36), to be repurchased on demand at face value plus accrued interest.		(5,162,236	)
USD	(2,434,050	)	Nomura International PLC, 4.05%, dated 10/02/24, (Collateral: Bahrain Government International Bonds, Reg S, 7.50%, due 09/20/47), to be repurchased on demand at face value plus accrued interest.		(2,434,050	)
USD	(7,295,790	)	Nomura International PLC, 4.05%, dated 10/21/24, (Collateral: Bahrain Government International Bonds, Reg S, 7.50%, due 09/20/47), to be repurchased on demand at face value plus accrued interest.		(7,295,790	)
USD	(997,583	)	Nomura International PLC, 3.50%, dated 10/24/24, (Collateral: Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38), to be repurchased on demand at face value plus accrued interest.		(997,583	)
USD	(289,748	)	Nomura International PLC, 4.00%, dated 11/01/24, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest.		(289,748	)
USD	(6,091,014	)	Nomura International PLC, 4.25%, dated 11/08/24, (Collateral: Mozambique International Bonds, Reg S, Step Up, 9.00%, due 09/15/31), to be repurchased on demand at face value plus accrued interest.		(6,091,014	)
USD	(488,620	)	Nomura International PLC, 4.00%, dated 11/13/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 5.00%, due 07/31/40), to be repurchased on demand at face value plus accrued interest.		(488,620	)
USD	(505,612	)	Nomura Securities International, Inc., 4.00%, dated 11/20/24, (Collateral: Ecuador Government International Bonds, Reg S, Step Up, 5.00%, due 07/31/40), to be repurchased on demand at face value plus accrued interest.		(505,612	)
				$	(70,670,008	)
			Average balance outstanding	$	(24,709,762	)
			Average interest rate (net)		(4.85	)%
			Maximum balance outstanding	$	(82,603,644	)

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.

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^:

CDX.EM.S42

USD

156,600,000

1.00%

1.57%

N/A

12/20/2029

Quarterly

$

4,713,660

$

3,909,206

$

(804,454

)

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium	Implied Credit Spread (1)	Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)	Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
Petrobras Global Finance BV	CITI	USD	36,900,000	1.00%	0.33%	N/A		12/20/2024	Quarterly		585,824			(14,317	)		(600,141	)
Republic of Turkey	BCLY	USD	12,700,000	1.00%	0.48%	N/A		12/20/2024	Quarterly		1,582,287			(3,821	)		(1,586,108	)
Republic of Turkey	CITI	USD	17,900,000	1.00%	0.48%	N/A		12/20/2024	Quarterly		1,213,688			(5,385	)		(1,219,073	)
Commonwealth of Bahamas	DB	EUR	6,618,453	1.00%	4.08%	N/A		06/20/2025	Quarterly		581,416			15,597			(565,819	)
Republic of Brazil	MORD	USD	12,700,000	1.00%	0.76%	N/A		12/20/2026	Quarterly		(63,507	)		(59,229	)		4,278
Republic of Colombia	MORD	USD	45,300,000	1.00%	0.84%	N/A		12/20/2026	Quarterly		(125,808	)		(138,548	)		(12,740	)
Republic of South Africa Government International Bonds	JPM	USD	34,300,000	1.00%	0.75%	N/A		12/20/2026	Quarterly		(234,412	)		(168,604	)		65,808
Republic of Egypt	CITI	USD	2,300,000	1.00%	4.53%	N/A		12/20/2027	Quarterly		655,500			217,545			(437,955	)
Republic of Egypt	JPM	USD	2,500,000	1.00%	4.53%	N/A		12/20/2027	Quarterly		690,000			236,462			(453,538	)
Republic of Egypt	JPM	USD	2,500,000	1.00%	4.53%	N/A		12/20/2027	Quarterly		725,000			236,462			(488,538	)
Kingdom of Bahrain	MORD	USD	5,400,000	1.00%	1.50%	N/A		06/20/2028	Quarterly		401,901			88,156			(313,745	)
Republic of Turkey	MORD	USD	1,600,000	1.00%	1.99%	N/A		06/20/2028	Quarterly		350,661			51,326			(299,335	)
Israel Government International
Bonds	BOA	USD	9,500,000	1.00%	1.10%	N/A		12/20/2029	Quarterly		211,213			44,879			(166,334	)
Israel Government International
Bonds	JPM	USD	3,800,000	1.00%	1.10%	N/A		12/20/2029	Quarterly		76,240			17,952			(58,288	)
Republic of South Africa Government International Bonds	MORD	USD	21,500,000	1.00%	1.83%	N/A		12/20/2029	Quarterly		784,877			796,657			11,780
United States of Mexico	MORD	USD	29,400,000	1.00%	1.24%	N/A		12/20/2029	Quarterly		273,879			318,219			44,340
United States of Mexico	GS	USD	14,700,000	1.00%	1.56%	N/A		09/20/2031	Quarterly		1,940,881			475,646			(1,465,235	)
Sell Protection^:
Commonwealth of Bahamas	DB	USD	8,813,161	1.00%	4.08%	8,813,161 USD		06/20/2025	Quarterly		(724,990	)		(16,895	)		708,095
Turkiye Government International Bonds	CITI	USD	10,000,000	1.00%	2.36%	10,000,000 USD		06/20/2029	Quarterly		(729,758	)		(543,443	)		186,315
										$	8,194,892		$	1,548,659		$	(6,646,233	)

^ 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 November 30, 2024, 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.

GMO Emerging Country Debt Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
BRL-CDI	11.50%	BRL	363,607,134		01/04/2027	At Maturity		(56,247	)		(2,781,266	)		(2,725,019	)
USD-SOFR-COMPOUND	4.01%	USD	162,500,000		12/21/2027	Annually		155,081			601,051			445,970
BRL-CDI	12.50%	BRL	473,484,000		01/02/2029	At Maturity		(489,622	)		(3,605,935	)		(3,116,313	)
5.00%	CL-CLICP-Bloomberg	CLP	27,100,000,000		03/20/2034	Semi-Annually		(633,977	)		132,361			766,338
2.70%	EURIBOR	EUR	22,900,000		03/20/2034	Semi-Annually		(786,579	)		(1,118,011	)		(331,432	)
2.80%	THB-THOR	THB	930,000,000		03/20/2034	Quarterly		(86,159	)		(1,581,887	)		(1,495,728	)
1.10%	JPY-TONA-OIS-COMPOUND	JPY	7,694,000,000		09/18/2034	Annually		(96,109	)		(213,160	)		(117,051	)
USD-SOFR-COMPOUND	4.00%	USD	52,600,000		09/18/2034	Annually		494,670			1,247,692			753,022
ZAR-JIBAR-SAFEX	9.15%	ZAR	538,000,000		03/20/2039	Quarterly		245,668			614,799			369,131
2.40%	EURIBOR	EUR	27,000,000		03/20/2054	Semi-Annually		(868,269	)		(2,652,699	)		(1,784,430	)
3.70%	GBP-SONIA-COMPOUND	GBP	25,000,000		03/20/2054	Annually		(741,386	)		1,029,400			1,770,786
							$	(2,862,929	)	$	(8,327,655	)	$	(5,464,726	)

As of November 30, 2024, 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.

(b) Security is backed by U.S. Treasury Bonds.

(c) Investment valued using significant unobservable inputs.

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

(e) Security is in default.

(f) Security is backed by the United States International Development Finance Corporation.

(g) The security is restricted as to resale.

(h) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any.

(i) Affiliated company.

(j) Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals.

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

(l) The rate disclosed is the 7 day net yield as of November 30, 2024.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

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

CDI - Certificado de Deposito Interbancario

EURIBOR - Euro Interbank Offered Rate

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

GDP - Gross Domestic Product

JSC - Joint-Stock Company

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

SAFEX - South African Futures Exchange

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at November 30, 2024.

THOR - Thai Overnight Repurchase Rate

TONA - Tokyo Overnight Average Rate

XLCA - Insured as to the payment of principal and interest by XL Capital Assurance.

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

BRL - Brazilian Real

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

DOP - Dominican Republic Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

IDR - Indonesian Rupiah

JPY - Japanese Yen

PEN - Peruvian Sol

THB - Thai Baht

TRY - Turkish Lira

USD - United States Dollar

UYU - Uruguay Peso

ZAR - South African Rand

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Par Value†		Description	Value ($)
			DEBT OBLIGATIONS — 59.1%
			Corporate Debt — 27.2%
			Canada — 0.9%
		450,000	Air Canada, 144A, 3.88%, due 08/15/26		439,016
		415,000	Enerflex Ltd., 144A, 9.00%, due 10/15/27		433,178
		300,000	goeasy Ltd., 144A, 9.25%, due 12/01/28		321,090
			Total Canada		1,193,284
			Italy — 0.3%
		400,000	Optics Bidco SpA, 144A, 7.72%, due 06/04/38		420,517
			Japan — 0.3%
		350,000	Rakuten Group, Inc., 144A, 11.25%, due 02/15/27		381,583
			United Kingdom — 1.1%
		400,000	Harbour Energy PLC, 144A, 5.50%, due 10/15/26		398,216
		400,000	Jaguar Land Rover Automotive PLC, 144A, 4.50%, due 10/01/27		386,716
		300,000	Rolls-Royce PLC, 144A, 3.63%, due 10/14/25		296,042
		450,000	Vmed O2 U.K. Financing I PLC, 144A, 4.75%, due 07/15/31		396,435
			Total United Kingdom		1,477,409
			United States — 24.6%
		500,000	ACCO Brands Corp., 144A, 4.25%, due 03/15/29		464,357
		400,000	ADT Security Corp., 144A, 4.88%, due 07/15/32		372,303
		400,000	Adtalem Global Education, Inc., 144A, 5.50%, due 03/01/28		393,130
		450,000	AECOM, 5.13%, due 03/15/27		446,749
		350,000	Alliance Resource Operating Partners LP/Alliance Resource Finance Corp., 144A, 8.63%, due 06/15/29		369,328
		500,000	Allison Transmission, Inc., 144A, 3.75%, due 01/30/31		449,423
		400,000	Antero Midstream Partners LP/Antero Midstream Finance Corp., 144A, 6.63%, due 02/01/32		406,457
		450,000	ASGN, Inc., 144A, 4.63%, due 05/15/28		430,849
		450,000	Ashland, Inc., 144A, 3.38%, due 09/01/31		392,196
		150,000	Ball Corp., 6.00%, due 06/15/29		152,587
		450,000	Block, Inc., 144A, 6.50%, due 05/15/32		461,689
		350,000	Brandywine Operating Partnership LP, 8.88%, due 04/12/29		377,967
		350,000	Bread Financial Holdings, Inc., 144A, 9.75%, due 03/15/29		375,829
		400,000	Brink’s Co., 144A, 6.75%, due 06/15/32		408,212
		350,000	BWX Technologies, Inc., 144A, 4.13%, due 06/30/28		332,381
		400,000	Carnival Corp., 144A, 7.63%, due 03/01/26		402,596
		400,000	Carpenter Technology Corp., 6.38%, due 07/15/28		401,318
		500,000	CCO Holdings LLC/CCO Holdings Capital Corp., 144A, 4.25%, due 01/15/34		416,897

	Par Value†		Description	Value ($)
			Corporate Debt — continued
			United States — continued
		450,000	Clearway Energy Operating LLC, 144A, 4.75%, due 03/15/28		436,718
		300,000	CNX Resources Corp., 144A, 6.00%, due 01/15/29		300,124
		450,000	Cogent Communications Group LLC, 144A, 3.50%, due 05/01/26		436,324
		400,000	Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, due 02/01/26		396,614
		250,000	CTR Partnership LP/CareTrust Capital Corp., 144A, 3.88%, due 06/30/28		237,269
		350,000	Delek Logistics Partners LP/Delek Logistics Finance Corp., 144A, 8.63%, due 03/15/29		364,924
		450,000	Directv Financing LLC/Directv Financing Co-Obligor, Inc., 144A, 5.88%, due 08/15/27		442,203
		500,000	DT Midstream, Inc., 144A, 4.13%, due 06/15/29		474,946
		400,000	Dycom Industries, Inc., 144A, 4.50%, due 04/15/29		377,502
		200,000	Encore Capital Group, Inc., 144A, 8.50%, due 05/15/30		211,718
		400,000	EQM Midstream Partners LP, 144A, 7.50%, due 06/01/30		432,812
		350,000	Esab Corp., 144A, 6.25%, due 04/15/29		356,063
		450,000	Fair Isaac Corp., 144A, 5.25%, due 05/15/26		450,570
		450,000	Fluor Corp., 4.25%, due 09/15/28		434,560
		450,000	Fortrea Holdings, Inc., 144A, 7.50%, due 07/01/30		455,244
		450,000	Fortress Transportation & Infrastructure Investors LLC, 144A, 5.50%, due 05/01/28		444,529
		250,000	Gartner, Inc., 144A, 3.63%, due 06/15/29		233,537
		350,000	GFL Environmental, Inc., 144A, 6.75%, due 01/15/31		362,965
		150,000	Hess Midstream Operations LP, 144A, 4.25%, due 02/15/30		141,041
		400,000	Hilton Domestic Operating Co., Inc., 144A, 3.75%, due 05/01/29		372,596
		500,000	Howard Hughes Corp., 144A, 4.13%, due 02/01/29		467,629
		150,000	Howmet Aerospace, Inc., 3.00%, due 01/15/29		140,029
		400,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, due 05/15/27		384,522
		475,000	Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32		447,085
		350,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 144A, 5.00%, due 08/15/28		327,176
		450,000	Lamar Media Corp., 4.00%, due 02/15/30		416,187
		400,000	Live Nation Entertainment, Inc., 144A, 6.50%, due 05/15/27		405,898
		300,000	M/I Homes, Inc., 4.95%, due 02/01/28		295,151
		450,000	Match Group Holdings II LLC, 144A, 4.63%, due 06/01/28		431,570
		450,000	Moog, Inc., 144A, 4.25%, due 12/15/27		432,964
		400,000	Mueller Water Products, Inc., 144A, 4.00%, due 06/15/29		373,276
		425,000	Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31		380,351
		100,000	Newell Brands, Inc., 6.88%, due 04/01/36		101,672
		400,000	Newmark Group, Inc., 7.50%, due 01/12/29		424,171

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Par Value†		Description	Value ($)
			Corporate Debt — continued
			United States — continued
		450,000	News Corp., 144A, 3.88%, due 05/15/29		422,642
		450,000	NextEra Energy Operating Partners LP, 144A, 4.50%, due 09/15/27		427,998
		450,000	Nordstrom, Inc., 4.38%, due 04/01/30		411,163
		400,000	Novelis Corp., 144A, 4.75%, due 01/30/30		376,426
		500,000	NRG Energy, Inc., 144A, 3.63%, due 02/15/31		445,559
		400,000	OneMain Finance Corp., 3.50%, due 01/15/27		384,277
		350,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 144A, 7.38%, due 02/15/31		370,207
		100,000	Patrick Industries, Inc., 144A, 6.38%, due 11/01/32		98,932
		400,000	Phinia, Inc., 144A, 6.75%, due 04/15/29		410,576
		500,000	ROBLOX Corp., 144A, 3.88%, due 05/01/30		454,448
		400,000	Royal Caribbean Cruises Ltd., 144A, 4.25%, due 07/01/26		394,995
		350,000	Sagicor Financial Co. Ltd., 144A, 5.30%, due 05/13/28		345,100
		400,000	Seagate HDD Cayman, 5.75%, due 12/01/34		397,401
		350,000	Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 144A, 6.75%, due 08/15/32		361,963
		200,000	Silgan Holdings, Inc., 4.13%, due 02/01/28		192,355
		300,000	SLM Corp., 3.13%, due 11/02/26		285,529
		350,000	Talen Energy Supply LLC, 144A, 8.63%, due 06/01/30		376,693
		300,000	Taylor Morrison Communities, Inc., 144A, 5.75%, due 01/15/28		301,759
		500,000	TEGNA, Inc., 4.63%, due 03/15/28		475,303
		450,000	Tempur Sealy International, Inc., 144A, 4.00%, due 04/15/29		418,408
		400,000	Tenet Healthcare Corp., 4.63%, due 06/15/28		388,136
		350,000	TransDigm, Inc., 144A, 6.63%, due 03/01/32		358,501
		400,000	TTM Technologies, Inc., 144A, 4.00%, due 03/01/29		373,904
		500,000	Twilio, Inc., 3.63%, due 03/15/29		463,056
		350,000	U.S. Cellular Corp., 6.70%, due 12/15/33		379,154
		450,000	United Airlines, Inc., 144A, 4.38%, due 04/15/26		443,546
		500,000	United Rentals North America, Inc., 3.75%, due 01/15/32		445,885
		450,000	VF Corp., 2.95%, due 04/23/30		388,581
		300,000	Viper Energy, Inc., 144A, 7.38%, due 11/01/31		312,562
		450,000	Vistra Operations Co. LLC, 144A, 7.75%, due 10/15/31		477,944
		400,000	Waste Management, Inc., 144A, 3.88%, due 01/15/29		388,223
		450,000	WESCO Distribution, Inc., 144A, 6.63%, due 03/15/32		464,339
		400,000	Western Digital Corp., 4.75%, due 02/15/26		396,925
		450,000	Wyndham Hotels & Resorts, Inc., 144A, 4.38%, due 08/15/28		431,202
			Total United States		32,507,900
			Total Corporate Debt		35,980,693

	Par Value†		Description	Value ($)
			Corporate Debt — continued
			U.S. Government — 31.9%
		175,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.13%, 4.59%, due 07/31/25 (a)		174,950
		1,845,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 4.71%, due 01/31/26		1,846,738
		21,018,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.61%, due 04/30/26		21,016,292
		19,245,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.65%, due 07/31/26 (a)		19,255,566
			Total U.S. Government		42,293,546
			TOTAL DEBT OBLIGATIONS (COST $77,716,567)		78,274,239
			SHORT-TERM INVESTMENTS — 42.2%
			Repurchase Agreements — 17.4%
		22,999,673	Nomura Securities International, Inc. Repurchase Agreement, dated 11/29/24, maturing on 12/02/24 with a maturity value of $23,008,413 and an effective yield of 4.56%, collateralized by a U.S. Treasury Note with maturity date 05/31/27 and a market value of $23,175,962.		22,999,673
			Sovereign and Sovereign Agency Issuers — 22.7%
JPY		1,010,000,000	Japan Treasury Discount Bills, Zero Coupon, due 12/23/24		6,750,077
JPY		1,766,000,000	Japan Treasury Discount Bills, Zero Coupon, due 01/20/25		11,801,427
JPY		1,720,000,000	Japan Treasury Discount Bills, Zero Coupon, due 01/27/25		11,493,785
			Total Sovereign and Sovereign Agency Issuers		30,045,289
			Money Market Funds — 2.1%
		2,755,415	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (b)		2,755,415
			TOTAL SHORT-TERM INVESTMENTS (COST $56,181,094)		55,800,377
			TOTAL INVESTMENTS — 101.3% (Cost $133,897,661)		134,074,616
			Other Assets and Liabilities (net) — (1.3)%		(1,707,625	)
			TOTAL NET ASSETS — 100.0%		$132,366,991

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

A summary of outstanding financial instruments at November 30, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
12/23/2024	MSCI	JPY	1,475,000,000		USD	10,406,728		521,584
01/21/2025	SSB	JPY	1,766,000,000		USD	12,003,781		124,098
01/27/2025	SSB	JPY	1,720,000,000		USD	11,625,269		46,802
12/23/2024	DB	USD	3,045,628		JPY	465,000,000		70,705
							$	763,189

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
13	U.S. Treasury Note 10 Yr. (CBT)		March 2025		1,445,438		9,323
14	U.S. Treasury Note 2 Yr. (CBT)		March 2025		2,885,531		8,624
37	U.S. Treasury Note 5 Yr. (CBT)		March 2025		3,981,258		32,906
				$	8,312,227	$	50,853

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Swap Contracts

Centrally Cleared Credit Default Swaps

Reference Entity

Notional Amount

Annual Premium

Implied Credit Spread (1)

Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Sell Protection^:

CDX.NA.HY.43.V1

USD

12,043,000

5.00%

0.66%

12,043,000 USD

12/20/2029

Quarterly

$

971,802

$

1,034,614

$

62,812

^ 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 November 30, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)		Net Unrealized Appreciation/ (Depreciation) ($)
SOFR	Total Return on iBoxx USD Liquid High Yield Index	JPM		USD	22,866,000		12/20/2024		Quarterly		(71	)		1,566,942		1,567,013
SOFR	Total Return on iBoxx USD Liquid High Yield Index	BCLY		USD	56,673,000		12/20/2024		Quarterly		524			909,968		909,444
										$	453		$	2,476,910	$	2,476,457

GMO High Yield Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

As of November 30, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of November 30, 2024.

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

SOFR - Secured Overnight Financing Rate

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

JPY - Japanese Yen

USD - United States Dollar

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		DEBT OBLIGATIONS — 48.4%
		Canada — 0.5%
		Corporate Debt — 0.5%
	150,000	CI Financial Corp., 3.20%, due 12/17/30		131,243
	150,000	TransCanada PipeLines Ltd., 4.25%, due 05/15/28		147,775
	150,000	TransCanada PipeLines Ltd., 4.10%, due 04/15/30		144,308
		Total Canada		423,326
		China — 0.2%
		Corporate Debt — 0.2%
	200,000	Alibaba Group Holding Ltd., 3.15%, due 02/09/51		137,056
		United Kingdom — 0.5%
		Corporate Debt — 0.5%
	100,000	BAT Capital Corp., 7.08%, due 08/02/43		112,344
	100,000	BAT Capital Corp., 4.54%, due 08/15/47		83,013
	150,000	BAT Capital Corp., 7.08%, due 08/02/53		171,842
		Total United Kingdom		367,199
		United States — 47.2%
		Corporate Debt — 21.3%
	150,000	3M Co., 2.25%, due 09/19/26		143,858
	150,000	3M Co., 2.88%, due 10/15/27		143,620
	150,000	3M Co., 2.38%, due 08/26/29		135,804
	150,000	Aflac, Inc., 3.60%, due 04/01/30		142,902
	100,000	Aflac, Inc., 4.75%, due 01/15/49		91,564
	100,000	Altria Group, Inc., 6.88%, due 11/01/33		111,173
	100,000	Altria Group, Inc., 5.80%, due 02/14/39		102,762
	200,000	Altria Group, Inc., 3.40%, due 02/04/41		152,079
	150,000	Apple, Inc., 3.45%, due 02/09/45		120,855
	150,000	Apple, Inc., 4.38%, due 05/13/45		138,314
	150,000	Apple, Inc., 4.65%, due 02/23/46		142,991
	100,000	Arizona Public Service Co., 5.55%, due 08/01/33		102,369
	150,000	Bank of New York Mellon Corp., Variable Rate, 3.44%, due 02/07/28		146,026
	150,000	Bank of New York Mellon Corp., Variable Rate, 5.83%, due 10/25/33		158,806
	150,000	Bank of New York Mellon Corp., Variable Rate, 6.47%, due 10/25/34		165,483
	150,000	Blackrock, Inc., 3.20%, due 03/15/27		146,239
	150,000	Blackrock, Inc., 2.40%, due 04/30/30		134,520
	200,000	Blackrock, Inc., 1.90%, due 01/28/31		171,194
	150,000	Boston Properties LP, REIT, 5.75%, due 01/15/35		150,498
	150,000	Bristol-Myers Squibb Co., 3.25%, due 02/27/27		146,367
	150,000	Bristol-Myers Squibb Co., 5.50%, due 02/22/44		154,579
	150,000	Bristol-Myers Squibb Co., 6.25%, due 11/15/53		168,253

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	100,000	Broadcom, Inc., 144A, 3.19%, due 11/15/36		82,206
	150,000	Broadcom, Inc., 144A, 4.93%, due 05/15/37		145,564
	150,000	Capital One Financial Corp., Variable Rate, 5.82%, due 02/01/34		154,256
	150,000	Carlisle Cos., Inc., 3.75%, due 12/01/27		146,178
	150,000	Carlisle Cos., Inc., 2.75%, due 03/01/30		135,543
	150,000	CH Robinson Worldwide, Inc., 4.20%, due 04/15/28		147,517
	100,000	Citizens Financial Group, Inc., Variable Rate, 5.84%, due 01/23/30		102,702
	150,000	Citizens Financial Group, Inc., Variable Rate, 5.72%, due 07/23/32		153,050
	100,000	Citizens Financial Group, Inc., Variable Rate, 6.65%, due 04/25/35		108,309
	150,000	Columbia Pipeline Group, Inc., 5.80%, due 06/01/45		150,924
	150,000	Corning, Inc., 5.35%, due 11/15/48		146,953
	200,000	Corning, Inc., 4.38%, due 11/15/57		164,443
	100,000	Cummins, Inc., 5.45%, due 02/20/54		102,572
	200,000	Enstar Group Ltd., 4.95%, due 06/01/29		198,609
	100,000	Fidelity National Information Services, Inc., 1.15%, due 03/01/26		95,644
	100,000	Fidelity National Information Services, Inc., 1.65%, due 03/01/28		90,800
	150,000	Fidelity National Information Services, Inc., 3.10%, due 03/01/41		113,601
	100,000	Fifth Third Bancorp, Variable Rate, 5.63%, due 01/29/32		102,828
	150,000	Fiserv, Inc., 5.45%, due 03/15/34		153,482
	100,000	Fox Corp., 6.50%, due 10/13/33		107,322
	100,000	Fox Corp., 5.48%, due 01/25/39		98,291
	150,000	Fox Corp., 5.58%, due 01/25/49		146,025
	300,000	FS KKR Capital Corp., 3.13%, due 10/12/28		273,356
	250,000	GE Capital International Funding Co. Unlimited Co., 4.42%, due 11/15/35		238,520
	150,000	Gilead Sciences, Inc., 2.95%, due 03/01/27		145,109
	150,000	Goldman Sachs Bank USA, Variable Rate, 5.28%, due 03/18/27		150,971
	100,000	Goldman Sachs Group, Inc., Variable Rate, 3.62%, due 03/15/28		97,367
	150,000	Goldman Sachs Group, Inc., Variable Rate, 4.22%, due 05/01/29		147,193
	150,000	Hasbro, Inc., 3.55%, due 11/19/26		146,720
	150,000	Hasbro, Inc., 3.90%, due 11/19/29		142,506
	150,000	Hasbro, Inc., 6.05%, due 05/14/34		154,376
	150,000	Howmet Aerospace, Inc., 3.00%, due 01/15/29		140,029
	100,000	Illumina, Inc., 4.65%, due 09/09/26		99,622
	150,000	International Flavors & Fragrances, Inc., 5.00%, due 09/26/48		134,640
	150,000	Jacobs Engineering Group, Inc., 6.35%, due 08/18/28		157,175

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	150,000	JPMorgan Chase & Co., Variable Rate, 4.91%, due 07/25/33		149,866
	150,000	KeyCorp, Variable Rate, 4.79%, due 06/01/33		144,545
	150,000	Kinder Morgan, Inc., 5.20%, due 06/01/33		149,933
	150,000	Kinder Morgan, Inc., 5.55%, due 06/01/45		146,481
	100,000	Lazard Group LLC, 4.50%, due 09/19/28		98,689
	100,000	Lazard Group LLC, 4.38%, due 03/11/29		98,112
	100,000	Leidos, Inc., 4.38%, due 05/15/30		96,317
	100,000	Leidos, Inc., 2.30%, due 02/15/31		85,697
	150,000	Leidos, Inc., 5.75%, due 03/15/33		154,585
	150,000	Lennox International, Inc., 5.50%, due 09/15/28		153,752
	100,000	Lowe’s Cos., Inc., 4.45%, due 04/01/62		82,447
	150,000	Lowe’s Cos., Inc., 5.85%, due 04/01/63		154,272
	100,000	M&T Bank Corp., Variable Rate, 4.55%, due 08/16/28		99,151
	150,000	M&T Bank Corp., Variable Rate, 7.41%, due 10/30/29		161,822
	100,000	M&T Bank Corp., Variable Rate, 5.05%, due 01/27/34		97,188
	150,000	MasTec, Inc., 5.90%, due 06/15/29		153,941
	250,000	Meta Platforms, Inc., 4.65%, due 08/15/62		225,617
	150,000	Morgan Stanley, Variable Rate, 1.59%, due 05/04/27		143,328
	150,000	Morgan Stanley, Variable Rate, 3.77%, due 01/24/29		145,692
	150,000	Morgan Stanley, Variable Rate, 4.43%, due 01/23/30		147,721
	100,000	Netflix, Inc., 4.38%, due 11/15/26		99,864
	100,000	Netflix, Inc., 4.88%, due 04/15/28		101,020
	100,000	Netflix, Inc., 6.38%, due 05/15/29		107,091
	150,000	Northern Trust Corp., 1.95%, due 05/01/30		130,782
	100,000	NVIDIA Corp., 3.50%, due 04/01/50		78,708
	150,000	Omega Healthcare Investors, Inc., REIT, 4.75%, due 01/15/28		148,969
	200,000	Omega Healthcare Investors, Inc., 3.38%, due 02/01/31		180,113
	150,000	Omega Healthcare Investors, Inc., 3.25%, due 04/15/33		128,863
	150,000	ONEOK, Inc., 6.63%, due 09/01/53		166,664
	150,000	Oracle Corp., 2.65%, due 07/15/26		145,480
	150,000	Oracle Corp., 6.90%, due 11/09/52		176,104
	150,000	Oracle Corp., 5.50%, due 09/27/64		145,316
	150,000	Pacific Gas & Electric Co., 3.75%, due 07/01/28		144,523
	100,000	Philip Morris International, Inc., 2.75%, due 02/25/26		97,808
	150,000	Philip Morris International, Inc., 0.88%, due 05/01/26		142,473
	150,000	Philip Morris International, Inc., 4.75%, due 02/12/27		150,648
	150,000	Piedmont Operating Partnership LP, 9.25%, due 07/20/28		165,568
	150,000	Pilgrim’s Pride Corp., 4.25%, due 04/15/31		139,915
	150,000	Pilgrim’s Pride Corp., 3.50%, due 03/01/32		131,863

Par Value†		Description	Value ($)
		United States — continued
		Corporate Debt — continued
	100,000	Pilgrim’s Pride Corp., 6.88%, due 05/15/34		109,227
	150,000	PNC Financial Services Group, Inc., Variable Rate, 5.58%, due 06/12/29		153,726
	150,000	PNC Financial Services Group, Inc., Variable Rate, 6.88%, due 10/20/34		167,580
	150,000	Progressive Corp., 4.13%, due 04/15/47		127,698
	150,000	Public Service Enterprise Group, Inc., 5.85%, due 11/15/27		155,171
	150,000	Public Service Enterprise Group, Inc., 5.88%, due 10/15/28		156,323
	100,000	Public Service Enterprise Group, Inc., 5.45%, due 04/01/34		102,105
	150,000	Regions Financial Corp., Variable Rate, 5.50%, due 09/06/35		150,585
	150,000	RTX Corp., 3.50%, due 03/15/27		146,349
	150,000	RTX Corp., 4.45%, due 11/16/38		138,401
	150,000	RTX Corp., 4.88%, due 10/15/40		142,920
	250,000	Sabra Health Care LP, 3.20%, due 12/01/31		218,858
	50,000	Simon Property Group LP, 5.85%, due 03/08/53		52,723
	100,000	Synchrony Financial, 5.15%, due 03/19/29		99,213
	150,000	Synovus Financial Corp., Variable Rate, 6.17%, due 11/01/30		152,720
	150,000	Targa Resources Corp., 6.13%, due 03/15/33		158,273
	150,000	Targa Resources Corp., 6.50%, due 02/15/53		164,928
	100,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.88%, due 02/01/31		97,941
	100,000	TC PipeLines LP, 3.90%, due 05/25/27		97,740
	100,000	Tyson Foods, Inc., 4.55%, due 06/02/47		86,277
	150,000	Ventas Realty LP, REIT, 4.40%, due 01/15/29		147,706
	100,000	Ventas Realty LP, REIT, 3.00%, due 01/15/30		91,379
	100,000	Ventas Realty LP, REIT, 5.63%, due 07/01/34		103,048
	30,000	Verisk Analytics, Inc., 4.00%, due 06/15/25		29,861
	100,000	VMware LLC, 1.40%, due 08/15/26		94,484
	150,000	VMware LLC, 3.90%, due 08/21/27		146,908
	150,000	Walmart, Inc., 3.95%, due 06/28/38		138,776
	200,000	Walmart, Inc., 2.50%, due 09/22/41		144,309
	150,000	Walmart, Inc., 4.05%, due 06/29/48		129,950
	150,000	Westinghouse Air Brake Technologies Corp., 5.61%, due 03/11/34		155,024
				17,075,790
		U.S. Government — 3.5%
	1,100,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 4.71%, due 01/31/26 (a)		1,101,036

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	500,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.61%, due 04/30/26 (a)		499,960
	1,250,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.65%, due 07/31/26 (a)		1,250,686
				2,851,682
		U.S. Government Agency — 22.4%
	10,700,000	Uniform Mortgage-Backed Security, TBA, 3.00%, due 12/01/54		9,325,607
	5,100,000	Government National Mortgage Association, TBA, 3.50%, due 12/20/54		4,662,373
	4,000,000	Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/54		3,995,091
				17,983,071
		Total United States		37,910,543
		TOTAL DEBT OBLIGATIONS (COST $38,300,162)		38,838,124
		MUTUAL FUNDS — 23.3%
		United States — 23.3%
		Affiliated Issuers — 23.3%
	196,141	GMO Emerging Country Debt Fund, Class VI		4,095,419
	602,517	GMO Opportunistic Income Fund, Class VI		14,598,981
		TOTAL MUTUAL FUNDS (COST $21,061,149)		18,694,400

	Shares / Par Value†		Description	Value ($)
			COMMON STOCKS — 16.9%
			United States — 16.9%
		65,000	Amazon.com, Inc.*		13,512,850
			TOTAL COMMON STOCKS (COST $10,097,100)		13,512,850
			SHORT-TERM INVESTMENTS — 32.5%
			Repurchase Agreements — 19.9%
		15,999,107	Nomura Securities International, Inc. Repurchase Agreement, dated, 11/29/24 maturing on 12/02/24 with a maturity value of $16,005,187 and an effective yield of 4.56%, collateralized by a U.S. Treasury Note with maturity date 05/31/27 and a market value of $16,121,738.		15,999,107
			Money Market Funds — 0.5%
		380,254	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (b)		380,254
			Sovereign and Sovereign Agency Issuers — 12.1%
JPY		1,455,000,000	Japan Treasury Discount Bills, Zero Coupon, due 01/08/25		9,723,531
			TOTAL SHORT-TERM INVESTMENTS (COST $26,610,356)		26,102,892
			TOTAL INVESTMENTS — 121.1% (Cost $96,068,767)		97,148,266
			Other Assets and Liabilities (net) — (21.1%)		(16,894,445	)
			TOTAL NET ASSETS — 100.0%		$80,253,821

A summary of outstanding financial instruments at November 30, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
02/12/2025	SSB	AUD	470,000		USD	313,100		6,416
12/03/2024	GS	BRL	300,000		USD	52,273		2,412
12/03/2024	MSCI	BRL	1,613,667		USD	277,692		9,498
01/15/2025	CITI	CHF	390,000		USD	454,554		9,594
01/15/2025	SSB	CHF	1,283,976		USD	1,509,100		44,185
02/20/2025	BCLY	CLP	50,000,000		USD	51,409		135
01/15/2025	MSCI	CZK	2,157,132		USD	92,477		2,091
02/14/2025	SSB	EUR	1,620,000		USD	1,754,218		36,630
01/15/2025	CITI	GBP	110,000		USD	142,500		2,542
01/15/2025	MSCI	GBP	220,000		USD	285,247		5,330
02/18/2025	CITI	HUF	15,000,000		USD	38,399		148
02/18/2025	MSCI	HUF	5,230,100		USD	13,479		142

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/31/2025	MSCI	INR	16,000,000		USD	189,558		924
01/08/2025	MSCI	JPY	1,455,000,000		USD	10,294,997		522,407
02/20/2025	CITI	KRW	524,221,675		USD	377,389		315
02/14/2025	JPM	NZD	2,790,000		USD	1,666,123		12,335
02/14/2025	SSB	NZD	310,000		USD	185,707		1,953
01/23/2025	BCLY	PHP	8,000,000		USD	138,392		2,092
01/27/2025	BCLY	RON	931,041		USD	201,416		4,253
01/27/2025	BBH	RON	100,000		USD	21,725		548
01/27/2025	GS	RON	300,000		USD	64,288		758
01/21/2025	CITI	TWD	1,200,000		USD	37,730		636
01/21/2025	GS	TWD	900,000		USD	28,322		502
01/21/2025	SSB	TWD	6,045,600		USD	189,898		3,017

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/15/2025	SSB	USD	176,743		CAD	247,182		107
01/15/2025	CITI	USD	41,676		CZK	1,000,000		225
02/12/2025	DB	USD	41,149		ILS	150,000		222
01/14/2025	SSB	USD	1,858,710		JPY	284,902,084		56,207
01/15/2025	GS	USD	19,476		MXN	400,000		93
01/15/2025	MSCI	USD	57,872		MXN	1,200,000		837
01/14/2025	MSCI	USD	285,200		PEN	1,080,000		2,950
01/23/2025	CITI	USD	51,068		PHP	3,000,000		44
02/20/2025	BOA	USD	69,900		THB	2,400,000		514
01/15/2025	BCLY	USD	119,044		TRY	4,500,000		5,084
02/28/2025	MSCI	USD	403,360		ZAR	7,400,000		4,178
01/15/2025	CITI	CAD	300,000		USD	213,426		(1,212	)
01/15/2025	CITI	CHF	140,000		USD	159,244		(485	)
02/20/2025	GS	CLP	149,728,500		USD	153,142		(402	)
01/15/2025	CITI	GBP	140,000		USD	177,360		(769	)
02/12/2025	BOA	ILS	386,203		USD	104,228		(2,287	)
02/20/2025	CITI	PLN	500,000		USD	121,763		(923	)
02/20/2025	SSB	PLN	150,000		USD	36,273		(533	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/24/2025	SSB	SGD	50,000		USD	37,322		(99	)
02/20/2025	DB	THB	1,222,300		USD	35,316		(545	)
02/04/2025	CITI	USD	25,589		BRL	150,000		(852	)
12/03/2024	MSCI	USD	349,107		BRL	1,913,667		(31,053	)
02/04/2025	MSCI	USD	275,440		BRL	1,613,667		(9,321	)
02/20/2025	GS	USD	44,888		COP	200,000,000		(230	)
02/20/2025	MSCI	USD	71,636		COP	320,000,000		(182	)
01/15/2025	MSCI	USD	32,762		CZK	757,132		(1,037	)
01/15/2025	MSCI	USD	1,594,230		GBP	1,220,000		(41,964	)
01/23/2025	CITI	USD	147,336		IDR	2,294,041,000		(2,880	)
01/15/2025	DB	USD	252,584		MXN	5,019,101		(7,032	)
01/15/2025	SSB	USD	68,928		MXN	1,400,000		(435	)
01/15/2025	BOA	USD	177,136		NOK	1,900,000		(5,033	)
01/15/2025	CITI	USD	199,551		NOK	2,200,000		(274	)
01/15/2025	SSB	USD	1,704,338		NOK	18,385,429		(38,978	)
02/12/2025	CITI	USD	194,431		SEK	2,100,000		(911	)
02/12/2025	SSB	USD	420,606		SEK	4,502,650		(5,676	)
							$	586,211

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
28	U.S. Long Bond (CBT)		March 2025		3,346,000		81,755
39	U.S. Treasury Note 10 Yr. (CBT)		March 2025		4,336,312		27,969
37	U.S. Treasury Note 2 Yr. (CBT)		March 2025		7,626,047		22,792
80	U.S. Treasury Note 5 Yr. (CBT)		March 2025		8,608,125		71,148
9	U.S. Treasury Ultra 10 Yr. (CBT)		March 2025		1,033,172		6,116
29	U.S. Ultra Bond (CBT)		March 2025		3,688,438		119,761
				$	28,638,094	$	329,541

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

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^:
CDX.NA.IG.S43	USD	4,000,000		1.00%		0.56%		N/A		12/20/2029		Quarterly	$	(91,226	)	$	(95,404	)	$	(4,178	)

^ 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 November 30, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.56%	3 Month AUD BBSW	AUD	6,620,000		12/18/2026	Quarterly		(501	)		33,159			33,660
3.79%	3 Month AUD BBSW	AUD	3,000,000		12/18/2026	Quarterly		—			6,761			6,761
4.07%	3 Month AUD BBSW	AUD	3,500,000		12/18/2026	Quarterly		—			(4,367	)		(4,367	)
CAD-CORRA-OIS-COMPOUND	2.85%	CAD	4,310,000		12/18/2026	Annually		2,029			(572	)		(2,601	)
CAD-CORRA-OIS-COMPOUND	2.99%	CAD	1,000,000		12/18/2026	Annually		—			1,703			1,703
CHF-SARON-OIS-COMPOUND	0.27%	CHF	1,500,000		12/18/2026	Annually		—			5,263			5,263
CHF-SARON-OIS-COMPOUND	0.51%	CHF	10,300,000		12/18/2026	Annually		(10,371	)		92,652			103,023
EUR - EuroSTR - COMPOUND	2.16%	EUR	1,000,000		12/18/2026	Annually		—			6,506			6,506
EUR - EuroSTR - COMPOUND	2.17%	EUR	1,500,000		12/18/2026	Annually		—			10,086			10,086
2.15%	EUR - EuroSTR - COMPOUND	EUR	810,000		12/18/2026	Annually		468			(5,101	)		(5,569	)
3.90%	GBP - SONIA - COMPOUND	GBP	1,000,000		12/18/2026	Annually		—			4,912			4,912
3.53%	3 Month NZD Bank Bill Rate	NZD	7,160,000		12/18/2026	Quarterly		(2,536	)		12,745			15,281
USD - SOFR - COMPOUND	3.19%	USD	1,000,000		12/18/2026	Annually		—			(15,022	)		(15,022	)
USD - SOFR - COMPOUND	3.28%	USD	1,510,000		12/18/2026	Annually		573			(20,037	)		(20,610	)
3.91%	USD - SOFR - COMPOUND	USD	1,000,000		12/18/2026	Annually		—			1,241			1,241
BRL-CDI	11.80%	BRL	4,877,871		01/02/2029	At Maturity		288			(57,502	)		(57,790	)
MXN-TIIE ON-OIS  COMPOUND	8.99%	MXN	3,000,000		12/12/2029	Annually		452			1,197			745
CL-CLICP-Bloomberg	4.94%	CLP	50,000,000		12/18/2029	Semi-annual		—			140			140
4.44%	CL-CLICP-Bloomberg	CLP	600,000,000		12/18/2029	Semi-annual		(3,811	)		12,121			15,932
1.70%	CNY-CNREPOFIX=CFXS-Reuters	CNY	4,000,000		12/18/2029	Quarterly		(269	)		(2,857	)		(2,588	)
1.78%	CNY-CNREPOFIX=CFXS-Reuters	CNY	850,000		12/18/2029	Quarterly		—			(1,056	)		(1,056	)
1.62%	CNY-CNREPOFIX=CFXS-Reuters	CNY	1,150,000		12/18/2029	Quarterly		—			(251	)		(251	)
COP-IBR-OIS-COMPOUND	8.29%	COP	700,000,000		12/18/2029	Quarterly		—			2,942			2,942
7.15%	COP-IBR-OIS-COMPOUND	COP	1,200,000,000		12/18/2029	Quarterly		(2,930	)		7,454			10,384
CZK-PRIBOR-PRBO	3.09%	CZK	2,700,000		12/18/2029	Semi-annual		—			(1,744	)		(1,744	)
CZK-PRIBOR-PRBO	3.55%	CZK	2,300,000		12/18/2029	Semi-annual		—			579			579
HKD-HIBOR-HKAB	2.86%	HKD	3,000,000		12/18/2029	Quarterly		427			(9,744	)		(10,171	)
HKD-HIBOR-HKAB	3.46%	HKD	1,000,000		12/18/2029	Quarterly		—			308			308
3.33%	HKD-HIBOR-HKAB	HKD	800,000		12/18/2029	Quarterly		—			353			353
HUF-BUBOR-Reuters	5.45%	HUF	40,000,000		12/18/2029	Semi-annual		—			(3,307	)		(3,307	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (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) ($)
ILS-TELBOR01-Reuters	4.19%	ILS	3,500,000		12/18/2029	Quarterly		1,072			6,433			5,361
4.56%	ILS-TELBOR01-Reuters	ILS	700,000		12/18/2029	Quarterly		—			(4,397	)		(4,397	)
4.63%	ILS-TELBOR01-Reuters	ILS	500,000		12/18/2029	Quarterly		—			(3,586	)		(3,586	)
4.52%	ILS-TELBOR01-Reuters	ILS	500,000		12/18/2029	Quarterly		—			(2,946	)		(2,946	)
4.02%	ILS-TELBOR01-Reuters	ILS	550,000		12/18/2029	Quarterly		—			125			125
6.00%	INR-FBIL-MIBOR-OIS-COMPOUND	INR	80,000,000		12/18/2029	Semi-annual		(2,430	)		1,887			4,317
2.77%	KRW-CD-KSDA-Bloomberg	KRW	700,000,000		12/18/2029	Quarterly		(152	)		(3,550	)		(3,398	)
2.93%	KRW-CD-KSDA-Bloomberg	KRW	290,000,000		12/18/2029	Quarterly		—			(2,970	)		(2,970	)
2.76%	KRW-CD-KSDA-Bloomberg	KRW	210,000,000		12/18/2029	Quarterly		—			(939	)		(939	)
PLN-WIBOR-WIBO	4.85%	PLN	450,000		12/18/2029	Semi-annual		—			1,873			1,873
4.28%	PLN-WIBOR-WIBO	PLN	1,800,000		12/18/2029	Semi-annual		(143	)		3,479			3,622
SGD-SORA-COMPOUND	2.57%	SGD	140,000		12/18/2029	Semi-annual		—			484			484
SGD-SORA-COMPOUND	2.60%	SGD	110,000		12/18/2029	Semi-annual		—			509			509
2.18%	SGD-SORA-COMPOUND	SGD	1,100,000		12/18/2029	Semi-annual		(204	)		11,358			11,562
TWD-Reuters-6165	1.72%	TWD	9,000,000		12/18/2029	Quarterly		(159	)		(991	)		(832	)
TWD-Reuters-6165	1.85%	TWD	3,200,000		12/18/2029	Quarterly		—			253			253
TWD-Reuters-6165	1.89%	TWD	4,000,000		12/18/2029	Quarterly		—			570			570
ZAR-JIBAR-SAFEX	7.51%	ZAR	12,000,000		12/18/2029	Quarterly		552			(1,081	)		(1,633	)
ZAR-JIBAR-SAFEX	7.73%	ZAR	2,500,000		12/18/2029	Quarterly		—			1,029			1,029
6 Month AUD BBSW	4.05%	AUD	1,530,000		12/18/2034	Semi-annual		324			(24,582	)		(24,906	)
6 Month AUD BBSW	4.06%	AUD	2,710,000		12/18/2034	Semi-annual		1,774			(42,396	)		(44,170	)
6 Month AUD BBSW	4.28%	AUD	700,000		12/18/2034	Semi-annual		—			(2,701	)		(2,701	)
6 Month AUD BBSW	4.60%	AUD	900,000		12/18/2034	Semi-annual		—			11,557			11,557
3.90%	6 Month AUD BBSW	AUD	400,000		12/18/2034	Semi-annual		—			9,672			9,672
4.02%	6 Month AUD BBSW	AUD	200,000		12/18/2034	Semi-annual		—			3,583			3,583
4.49%	6 Month AUD BBSW	AUD	400,000		12/18/2034	Semi-annual		—			(2,906	)		(2,906	)
4.46%	6 Month AUD BBSW	AUD	500,000		12/18/2034	Semi-annual		—			(2,867	)		(2,867	)
CAD-CORRA-OIS-COMPOUND	3.15%	CAD	400,000		12/18/2034	Annually		—			5,704			5,704
2.85%	CAD-CORRA-OIS-COMPOUND	CAD	960,000		12/18/2034	Annually		(1,129	)		4,228			5,357
3.11%	CAD-CORRA-OIS-COMPOUND	CAD	200,000		12/18/2034	Annually		—			(2,321	)		(2,321	)
0.70%	CHF-SARON-OIS-COMPOUND	CHF	400,000		12/18/2034	Annually		1,193			(17,752	)		(18,945	)
0.71%	CHF-SARON-OIS-COMPOUND	CHF	2,120,000		12/18/2034	Annually		3,876			(96,495	)		(100,371	)
0.68%	CHF-SARON-OIS-COMPOUND	CHF	200,000		12/18/2034	Annually		—			(8,524	)		(8,524	)
0.67%	CHF-SARON-OIS-COMPOUND	CHF	300,000		12/18/2034	Annually		—			(12,189	)		(12,189	)
0.50%	CHF-SARON-OIS-COMPOUND	CHF	300,000		12/18/2034	Annually		—			(6,445	)		(6,445	)
EUR - EuroSTR - COMPOUND	2.24%	EUR	180,000		12/18/2034	Annually		(1,005	)		4,094			5,099
2.35%	EUR - EuroSTR - COMPOUND	EUR	300,000		12/18/2034	Annually		—			(10,097	)		(10,097	)
2.34%	EUR - EuroSTR - COMPOUND	EUR	200,000		12/18/2034	Annually		—			(6,490	)		(6,490	)
GBP - SONIA -COMPOUND	3.84%	GBP	200,000		12/18/2034	Annually		—			1,090			1,090
3 Month NZD Bank Bill Rate	3.87%	NZD	1,660,000		12/18/2034	Quarterly		800			(15,455	)		(16,255	)
3 Month NZD Bank Bill Rate	4.14%	NZD	3,010,000		12/18/2034	Quarterly		318			11,326			11,008
3 Month SEK STIBOR	2.29%	SEK	4,000,000		12/18/2034	Quarterly		—			3,108			3,108
2.19%	3 Month SEK STIBOR	SEK	12,000,000		12/18/2034	Quarterly		2,889			716			(2,173	)
2.47%	3 Month SEK STIBOR	SEK	3,000,000		12/18/2034	Quarterly		—			(6,807	)		(6,807	)
USD - SOFR -COMPOUND	3.26%	USD	520,000		12/18/2034	Annually		1,347			(18,998	)		(20,345	)
USD - SOFR -COMPOUND	3.80%	USD	200,000		12/18/2034	Annually		—			1,660			1,660
3.25%	USD - SOFR - COMPOUND	USD	340,000		12/18/2034	Annually		(507	)		12,789			13,296
3.12%	USD - SOFR - COMPOUND	USD	200,000		12/18/2034	Annually		—			9,613			9,613
3.31%	USD - SOFR - COMPOUND	USD	200,000		12/18/2034	Annually		—			6,602			6,602
3.55%	USD - SOFR - COMPOUND	USD	200,000		12/18/2034	Annually		—			2,579			2,579
3.72%	USD - SOFR - COMPOUND	USD	200,000		12/18/2034	Annually		—			(349	)		(349	)
3.76%	USD - SOFR - COMPOUND	USD	200,000		12/18/2034	Annually		—			(888	)		(888	)
3.83%	USD - SOFR - COMPOUND	USD	200,000		12/18/2034	Annually		—			(2,083	)		(2,083	)
							$	(7,765	)	$	(105,922	)	$	(98,157	)

GMO Multi-Sector Fixed Income Fund

(A Series of GMO Trust)

 

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

OTC Interest Rate Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
MYR-KLIBOR-BNM	3.38%	BOA		MYR	4,000,000		12/18/2029		Quarterly	$	(261	)	$	(4,025	)	$	(3,764	)

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

1 Day Overnight Federal Funds

Amazon.com, Inc.

Effective Rate plus 0.80%

GS

USD

13,094,250

12/26/2024

At Maturity

$

—

$

(418,600

)

$

(418,600

)

As of November 30, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) The rate disclosed is the 7 day net yield as of November 30, 2024.

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

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

BNM - Bank Negara Malaysia

BRL CDI - Brazilian Interbank Offered Rate dominated in Brazilian Real.

BUBOR - Budapest Interbank Offered Rate

CDI - Certificado de Deposito Interbancario

CNY-CNREPOFIX=CFXS - China 7 Day Interbank Repo Trading Rate denominated in Chinese Reminibi.

CORRA - Canadian Overnight Repo Rate Average

EuroSTR - Euro Short-Term Rate

FBIL - Financial Benchmarks India PVT. LTD.

HIBOR - Hong Kong Interbank Offered Rate

HKAB - Hong Kong Association of Banks

IBR - Indicador Bancario de Referencia

ILS TELBOR01 - Tel Aviv Interbank Offered Rate 1 Month denominated in Israeli Shekel.

KLIBOR - Kuala Lumpur Interbank Offered Rate

KSDA - Korean Securities Dealers Association

MIBOR - Mumbai Interbank Offer Rate

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

OIS - Overnight Indexed Swaps

PLN WIBOR WIBO - Warsaw Interbank Offered Rate denominated in Polish Zloty.

PRIBOR - Prague Interbank Offered Rate

REIT - Real Estate Investment Trust

SAFEX - South African Futures Exchange

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

SORA - Singapore Overnight Rate Average

TBA - To Be Announced - Delayed Delivery Security

TIIE - The Interbank Equilibrium Interest Rate denominated in Mexican Peso

WIBOR - Warsaw Interbank Offered Rate

ZAR JIBAR - Johannesburg Interbank Agreed Rate denominated in South African Rand.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - China Yuan Renminbi

COP - Colombian Peso

CZK - Czech Republic 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

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippines Peso

PLN - Polish Zloty

RON - Romanian New Leu

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan New Dollar

USD - United States Dollar

ZAR - South African Rand

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Par Value†		Description	Value ($)
			DEBT OBLIGATIONS — 87.9%
			Asset-Backed Securities — 67.5%
			Auto Retail Prime — 0.6%
		6,847,000	Chase Auto Owner Trust, Series 24-4A, Class A3, 144A, 4.94%, due 07/25/29		6,898,166
		3,000,000	Volkswagen Auto Loan Enhanced Trust, Series 24-1,Class A3, 4.63%, due 07/20/29		3,010,871
			Total Auto Retail Prime		9,909,037
			Auto Retail Subprime — 2.4%
		5,000,000	Bank of America Auto Trust, Series 23-2A, Class A3, 144A, 5.74%, due 06/15/28		5,074,875
		7,500,000	GM Financial Consumer Automobile Receivables Trust, Series 21-3, Class A4, 0.73%, due 08/16/27		7,323,150
		6,000,000	GM Financial Consumer Automobile Receivables Trust, Series 24-1, Class A3, 4.85%, due 12/18/28		6,035,368
		7,000,000	Hyundai Auto Receivables Trust, Series 24-A, Class A3, 4.99%, due 02/15/29		7,055,620
		7,000,000	Nissan Auto Receivables Owner Trust, Series 23-B, Class A3, 5.93%, due 03/15/28		7,108,263
		6,030,000	World Omni Auto Receivables Trust, Series 24-C, Class A3, 4.43%, due 12/17/29		6,020,549
			Total Auto Retail Subprime		38,617,825
			CMBS CDO — 0.0%
		8,586,000	ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 (a)		—
		234,746	GS Mortgage Securities Corp. Trust, Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46		167,256
			Total CMBS CDO		167,256
			Collateralized Loan Obligations — 7.0%
		15,661,076	Gallatin CLO VIII Ltd., Series 17-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.35%, 6.01%, due 07/15/31		15,690,518
		8,032,367	ICG U.S. CLO Ltd., Series 15-2RA, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.63%, 6.28%, due 01/16/33		8,040,070
		12,999,900	Man GLG U.S. CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.40%, 6.02%, due 04/22/30		13,018,217
		4,083,585	MidOcean Credit CLO VI, Series 16-6A, Class ARRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 5.85%, due 04/20/33		4,091,752

	Par Value†		Description	Value ($)
			Asset-Backed Securities — continued
			Collateralized Loan Obligations — continued
		2,670,000	Midocean Credit CLO VIII, Series 18-8A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 6.08%, due 02/20/31		2,677,228
		6,749,712	Mountain View CLO IX Ltd., Series 15-9A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.04%, due 07/15/31		6,762,988
		4,000,000	Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. USD Term SOFR + 1.93%, 6.59%, due 10/12/30		3,999,756
		3,982,996	Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 5.95%, due 04/22/31		3,987,373
		7,925,855	OCP CLO Ltd., Series 14-6A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.15%, 5.80%, due 10/17/30		7,925,673
		1,083,456	OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26		25,423
		6,900,700	OZLM XVIII Ltd., Series 18-18A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 5.94%, due 04/15/31		6,910,361
		2,190,000	OZLM XXII Ltd., Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 6.41%, due 01/17/31		2,192,952
		6,000,000	Rockford Tower CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.98%, 6.50%, due 05/20/31		6,016,764
		389,790	Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, U.S. (Fed) Prime Rate + 1.60%, 6.61%, due 06/22/30		390,489
		1,792,282	Shackleton CLO Ltd., Series 14-5RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.88%, due 05/07/31		1,795,793
		1,696,574	Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 5.92%, due 04/15/31		1,697,971
		1,734,514	Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 6.04%, due 04/18/31		1,738,441
		808,017	Steele Creek CLO Ltd., Series 17-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 6.17%, due 10/15/30		809,009
		1,278,494	Steele Creek CLO Ltd., Series 14-1RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 5.95%, due 04/21/31		1,279,492
		5,071,778	Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 6.33%, due 06/15/31		5,077,743

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Collateralized Loan Obligations — continued
	3,921,934	Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.99%, due 07/18/31		3,927,543
	3,525,460	Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 6.17%, due 10/15/31		3,528,791
	7,704,394	Zais CLO 13 Ltd., Series 19-13A, Class A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.30%, 5.96%, due 07/15/32		7,707,114
	554,425	Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.55%, 6.21%, due 04/15/30		554,913
		Total Collateralized Loan Obligations		109,846,374
		Commercial Mortgage-Backed Securities — 21.8%
	15,387,600	BBCMS Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 5.53%, due 03/15/37		14,464,344
	11,037,000	BBCMS Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38		9,043,414
	5,297,796	Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.12%, due 07/25/36		4,863,228
	4,848,114	Benchmark Mortgage Trust, Series 18-B2, Class A5, Variable Rate, 3.88%, due 02/15/51		4,664,406
	7,760,120	Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52		7,474,917
	16,000,000	Benchmark Mortgage Trust, Series 19-B9, Class A5, 4.02%, due 03/15/52		15,279,346
	6,240,722	Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52		5,788,472
	3,244,000	Benchmark Mortgage Trust, Series 18-B7, Class A4, Variable Rate, 4.51%, due 05/15/53		3,173,043
	19,623,000	Benchmark Mortgage Trust, Series 20-B19, Class A5, 1.85%, due 09/15/53		16,415,201
	7,442,000	Benchmark Mortgage Trust, Series 20-B20, Class A5, 2.03%, due 10/15/53		6,193,549
	5,266,000	Benchmark Mortgage Trust, Series 21-B27, Class A5, 2.39%, due 07/15/54		4,428,809
	8,880,000	Benchmark Mortgage Trust, Series 22-B32, Class A5, Variable Rate, 3.00%, due 01/15/55		7,645,283
	14,500,000	Benchmark Mortgage Trust, Series 22-B34, Class A5, Variable Rate, 3.79%, due 04/15/55		13,137,421
	5,423,000	Benchmark Mortgage Trust, Series 19-B14, Class A5, 3.05%, due 12/15/62		4,939,282
	19,000,000	Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72		17,046,150

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44		7,123,919
	8,000,000	BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44		7,073,891
	8,000,000	BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41		7,321,374
	4,895,000	BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41		4,499,262
	4,570,000	BX Trust, Series 19-OC11, Class D, 144A, Variable Rate, 4.08%, due 12/09/41		4,166,257
	9,000,000	BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41		7,980,856
	6,659,296	Citigroup Commercial Mortgage Trust, Series 14-GC23, Class C, Variable Rate, 4.54%, due 07/10/47		6,462,747
	15,516,000	COMM Mortgage Trust, Series 24-277P, Class A, 144A, 6.34%, due 08/10/44		16,067,996
	3,031,837	COMM Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.41%, due 07/10/50		2,860,670
	26,275,712	COMM Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51		25,112,875
	15,442	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37		15,373
	19,305	Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 4.97%, due 04/15/37		19,286
	5,563,524	ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.82%, 5.43%, due 11/15/38		5,542,661
	10,950,000	EQT Trust, Series 24-EXTR, Class A, 144A, Variable Rate, 5.33%, due 07/05/41		11,022,879
	2,000,000	Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40		1,704,245
	5,000,000	GS Mortgage Securities Corp. Trust, Series 23-SHIP, Class A, 144A, Variable Rate, 4.47%, due 09/10/38		4,928,212
	5,500,000	ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32		4,765,079
	11,393,000	JP Morgan Chase Commercial Mortgage Securities Trust, Series 24-OMNI, Class A, 144A, Variable Rate, 5.99%, due 10/05/39		11,560,935
	14,600,000	MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40		12,373,830
	3,000,000	MKT Mortgage Trust, Series 20-525M, Class E, 144A, Variable Rate, 3.04%, due 02/12/40		1,869,580
	5,000,000	ROCK Trust, Series 24-CNTR, Class A, 144A, 5.39%, due 11/13/41		5,014,902

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Commercial Mortgage-Backed Securities — continued
	2,000,000	ROCK Trust, Series 24-CNTR, Class C, 144A, 6.47%, due 11/13/41		2,031,664
	4,000,000	ROCK Trust, Series 24-CNTR, Class E, 144A, 8.82%, due 11/13/41		4,179,937
	8,925,000	Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 2.19%, 6.80%, due 05/15/37		8,966,836
	5,268,100	UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51		5,090,283
	8,008,000	UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51		7,760,046
	1,522,577	Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52		1,318,248
	4,550,000	WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 6.61%, due 11/23/43		4,534,403
	11,594,960	WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 7.35%, due 03/23/45		10,114,231
	7,939,384	Wells Fargo Commercial Mortgage Trust, Series 18-C46, Class A4, 4.15%, due 08/15/51		7,661,472
	2,285,000	Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52		2,100,086
	4,167,294	WFRBS Commercial Mortgage Trust, Series 14-C21, Class AS, 3.89%, due 08/15/47		4,066,083
	3,380,000	WFRBS Commercial Mortgage Trust, Series 14-C21, Class B, Variable Rate, 4.21%, due 08/15/47		3,225,253
		Total Commercial Mortgage-Backed Securities		343,092,236
		Credit Cards — 2.3%
	13,785,000	American Express Credit Account Master Trust, Series 23-1, Class A, 4.87%, due 05/15/28		13,857,125
	13,695,000	American Express Credit Account Master Trust, Series 24-3, Class A, 4.65%, due 07/15/29		13,767,130
	9,090,000	BA Credit Card Trust, Series 24-A1, Class A, 4.93%, due 05/15/29		9,197,040
		Total Credit Cards		36,821,295
		Residential Mortgage-Backed Securities — Agency — 0.3%
	4,790,230	Federal National Mortgage Association REMICS, Series 20-5, Class PC, 2.50%, due 01/25/50		4,088,749
		Residential Mortgage-Backed Securities — Other —7.9%
	754,651	ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.39%, 4.98%, due 02/25/36		69,576
	2,182,000	ACE Securities Corp. Home Equity Loan Trust, Series 05-SD3, Class M2, Variable Rate, 1 mo. USD Term SOFR + 2.36%, 6.95%, due 08/25/45		1,931,285

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	17,663,707	American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.06%, due 02/25/36		304,316
	3,015,857	AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37		2,932,824
	13,743,281	BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25		1,936,347
	2,873,951	BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29		2,718,556
	8,834,023	BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29		748,527
	2,928,137	BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30		274,431
	90,515	Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.02%, due 02/25/37		111,646
	1,530,190	Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29		1,544,236
	1,288,594	Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30		1,262,099
	5,136,990	Conseco Finance Securitizations Corp., Series 02-2, Class M2, Variable Rate, 9.16%, due 03/01/33		5,153,051
	5,569,472	Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33		5,491,329
	4,529,207	Conseco Finance Securitizations Corp., Series 02-1, Class M2, Variable Rate, 9.55%, due 12/01/33		4,388,421
	719,353	CoreVest American Finance Ltd., Series 21-1, Class A, 144A, 1.57%, due 04/15/53		685,922
	6,456,149	FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38		6,138,936
	2,852,319	GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.20%, due 10/25/34		2,789,518
	1,350,890	GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37		1,310,557
	4,328,989	Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.44%, due 09/25/35		67,850
	7,997,455	Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36		1,941,552
	8,648,691	Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37		1,028,179
	8,485,464	Invitation Homes Trust, Series 24-SFR1, Class A, 144A, 4.00%, due 09/17/41		8,123,657
	3,367,962	Lehman ABS Manufactured Housing Contract Trust, Series 01-B, Class M2, Variable Rate, 7.17%, due 04/15/40		3,124,797
	3,542,742	MASTR Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.02%, due 03/25/36		227,313
	110,482	Mellon Re-REMICS Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 4.95%, due 02/26/34		101,737

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	881,391	New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.09%, 5.68%, due 10/25/33		878,737
	13,516,302	New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 4.90%, due 03/25/36		327,819
	7,709,976	New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 5.04%, due 03/25/36		186,876
	20,555,645	New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 5.10%, due 03/25/36		498,092
	10,725	Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 5.75%, due 08/25/35 (a)		267,191
	1,660,402	Oakwood Mortgage Investors, Inc., Series 01-E, Class A2, 5.05%, due 11/15/19		1,536,688
	881,669	Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28		872,003
	2,911,869	Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29		2,873,655
	6,264,265	Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30		3,029,746
	11,752,084	Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30		1,931,362
	4,427,903	Oakwood Mortgage Investors, Inc., Series 01-B, Class M1, 144A, Variable Rate, 7.92%, due 03/15/31		4,294,770
	2,660,464	Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31		1,235,097
	342,935	Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31		323,337
	2,309,190	Oakwood Mortgage Investors, Inc., Series 02-C, Class M1, Variable Rate, 6.89%, due 11/15/32		2,223,917
	1,422,320	Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40		1,303,083
	923,391	Towd Point Mortgage Trust, Series 17-5, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.30%, due 02/25/57		958,485
	6,972,000	Towd Point Mortgage Trust, Series 17-5, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 5.60%, due 02/25/57		7,037,208
	9,317,380	Tricon American Homes, Series 20-SFR1, Class A, 144A, 1.50%, due 07/17/38		8,907,775

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Other — continued
	11,146,654	Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38		10,884,254
	5,515,458	Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39		5,049,986
	10,000,000	Tricon Residential Trust, Series 24-SFR4, Class A, 144A, 4.30%, due 11/17/29		9,642,244
	2,073,239	UCFC Manufactured Housing Contract, Series 98-2, Class M1, 6.73%, due 10/15/29		1,968,892
	4,943,609	Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67		4,696,402
		Total Residential Mortgage-Backed Securities — Other		125,334,281
		Residential Mortgage-Backed Securities — Performing Loans — 1.2%
	2,241,345	Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65		1,962,328
	3,878,775	COLT Trust, Series 21-RPL1, Class A1, 144A, Variable Rate, 1.67%, due 09/25/61		3,483,105
	4,170,874	CSMC Trust, Series 21-RPL2, Class A1A, 144A, Variable Rate, 1.11%, due 01/25/60		3,505,193
	6,126,921	CSMC Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66		5,430,548
	4,422,059	Verus Securitization Trust, Series 21-8, Class A1, 144A, Variable Rate, 1.82%, due 11/25/66		3,972,346
		Total Residential Mortgage-Backed Securities — Performing Loans		18,353,520
		Residential Mortgage-Backed Securities — Prime — 2.1%
	6,708,756	American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. USD Term SOFR + 0.32%, 4.91%, due 10/25/46		3,603,020
	388,427	Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, 1 yr. CMT + 2.30%, 7.08%, due 10/25/35		367,894
	3,673,411	CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37		2,023,137
	1,126,317	IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 4.44%, due 12/25/36		886,328
	800,347	IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 4.01%, due 03/25/37		615,773
	6,740,114	IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 5.14%, due 04/25/46		6,032,973

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Prime — continued
	1,604,385	Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36		692,767
	4,084,562	Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 1 yr. MTA + 1.40%, 6.33%, due 05/25/35		3,269,213
	3,175,325	Structured Asset Mortgage Investments II Trust, Series 07-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.02%, due 01/25/37		2,820,045
	633,499	WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 5.22%, due 09/25/35		587,009
	798,543	WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 1 yr. MTA + 1.25%, 6.18%, due 01/25/47		723,278
	1,732,265	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-4, Class CB3, Variable Rate, 1 mo. USD Term SOFR + 0.56%, 5.15%, due 06/25/35		1,473,007
	1,833,851	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-10, Class 4CB3, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.30%, due 12/25/35		1,541,672
	3,969,113	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-8, Class A5, Step Up, 4.12%, due 10/25/36		1,369,502
	8,002,286	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 07-5, Class A6, 6.00%, due 06/25/37		7,210,785
		Total Residential Mortgage-Backed Securities — Prime		33,216,403
		Residential Mortgage-Backed Securities — Subprime — 1.5%
	840,412	ABFC Trust, Series 05-AQ1, Class A5, Step Up, 4.23%, due 06/25/35		813,016
	719,385	BCAP LLC Trust, Series 14-RR2, Class 11A3, 144A, Variable Rate, 3.96%, due 05/26/37		699,533
	16,091,038	Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 5.30%, due 07/25/36		14,408,992
	393,808	Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.25%, 4.84%, due 12/25/36		384,928
	794,146	CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 6.08%, due 11/20/34		761,410
	2,102,254	First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.22%, 4.81%, due 09/25/36		2,010,100

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Residential Mortgage-Backed Securities — Subprime — continued
	1,975,080	Home Equity Asset Trust, Series 06-2, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 5.27%, due 05/25/36		1,989,549
	633,459	Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.20%, due 08/25/37		615,635
	2,547,739	Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. USD Term SOFR + 0.91%, 5.90%, due 01/25/35		2,444,165
		Total Residential Mortgage-Backed Securities — Subprime		24,127,328
		Residential Mortgage-Backed Securities — Alt-A — 2.7%
	1,773,791	Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 5.60%, due 11/25/34		1,763,442
	1,695,060	Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.02%, due 01/25/47		1,400,961
	1,549,334	Bear Stearns Asset-Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34		1,451,402
	3,413,076	Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 5.27%, due 07/25/36		1,899,941
	168,009	Countrywide Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34		165,560
	2,141,737	Countrywide Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35		2,077,846
	1,483,838	Countrywide Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 5.40%, due 05/25/36		625,187
	1,547,179	Countrywide Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 5.40%, due 10/25/36		598,318
	7,318,895	Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 07-AR2, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.41%, 5.00%, due 03/25/37		6,758,371
	4,224,414	Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. USD Term SOFR + 2.66%, 7.25%, due 10/25/35		2,677,727
	10,456,777	GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 5.02%, due 06/25/36		2,010,019
	10,589,053	GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.51%, due 06/25/47		6,252,737
	5,818,734	HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 4.94%, due 07/19/47		5,467,847
	63,998	JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37		55,206

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Par Value†		Description	Value ($)
			Asset-Backed Securities — continued
			Residential Mortgage-Backed Securities — Alt-A — continued
		1,102,850	Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 3.11%, 7.70%, due 10/25/37		1,059,289
		2,543,014	Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35		1,391,753
		15,301,187	Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36		3,913,813
		7,887,453	Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.24%, due 08/25/37		3,416,165
			Total Residential Mortgage-Backed Securities — Alt-A		42,985,584
			Small Balance Commercial Mortgages — 4.1%
		2,306,524	Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.58%, 5.17%, due 08/25/35		2,237,608
		1,130,995	Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.70%, 5.29%, due 01/25/36		1,080,513
		1,562,320	Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.24%, due 04/25/36		1,466,390
		628,018	Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 5.27%, due 04/25/36		583,134
		858,313	Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 5.05%, due 07/25/36		825,529
		1,755,691	Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.12%, due 07/25/36		1,692,615
		2,588,499	Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.49%, 5.08%, due 10/25/36		2,500,238
		6,478,626	Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 5.12%, due 01/25/37		6,042,661
		1,094,378	Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.44%, 5.03%, due 03/25/37		1,038,907
		1,884,531	Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 5.06%, due 07/25/37		1,793,019

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Small Balance Commercial Mortgages — continued
	4,149,831	Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.52%, 5.11%, due 07/25/37		3,861,848
	6,227,553	Bayview Commercial Asset Trust, Series 07-4A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.79%, 5.38%, due 09/25/37		5,930,693
	1,222,270	Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 6.20%, due 01/25/38		1,194,454
	97,357,186	FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.27%, due 05/25/30		3,936,550
	109,938,658	FRESB Mortgage Trust, Series 19-SB63, Class X1, Variable Rate, 0.83%, due 04/25/39		4,271,018
	46,367,734	FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 0.75%, due 03/25/40		1,478,523
	82,373,343	FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.98%, due 06/25/40		2,649,835
	1,150,000	Harvest Commercial Capital Loan Trust, Series 19-1, Class M4, 144A, Variable Rate, 4.64%, due 09/25/46		1,047,985
	3,500,000	Harvest Commercial Capital Loan Trust, Series 19-1, Class M5, 144A, Variable Rate, 5.73%, due 09/25/46		3,224,197
	1,975,691	Harvest Commercial Capital Loan Trust, Series 24-1, Class A, 6.16%, due 10/25/56		1,987,216
	2,471,185	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 5.20%, due 03/25/37		2,283,079
	936,280	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 5.10%, due 06/25/37		933,542
	6,439,987	Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 3.22%, due 10/25/37		6,335,784
	5,143,906	Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51		4,336,586
	1,423,982	Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51		1,130,548
	166,753	WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 6.99%, due 12/27/49		165,655
		Total Small Balance Commercial Mortgages		64,028,127

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Par Value†		Description	Value ($)
			Asset-Backed Securities — continued
			Student Loans — Federal Family Education Loan Program — 3.6%
		9,275,471	AccessLex Institute, Series 04-2, Class A4, Variable Rate, 90 day USD SOFR Average + 0.60%, 5.79%, due 04/26/32		9,045,927
		3,596,860	AccessLex Institute, Series 04-2, Class B, Variable Rate, 90 day USD SOFR Average + 0.96%, 6.15%, due 01/25/43		3,313,176
		2,701,926	Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 90 day USD SOFR Average + 0.58%, 5.91%, due 03/28/35		2,463,851
		4,379,361	SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 90 day USD SOFR Average + 1.16%, 6.53%, due 06/15/49		4,347,025
		4,976,978	SLM Student Loan Trust, Series 07-7, Class A4, Variable Rate, 90 day USD SOFR Average + 0.59%, 5.78%, due 01/25/22		4,880,299
		9,465,302	SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 90 day USD SOFR Average + 1.91%, 7.10%, due 07/25/22		9,485,387
		2,957,827	SLM Student Loan Trust, Series 08-6, Class A4, Variable Rate, 90 day USD SOFR Average + 1.36%, 6.55%, due 07/25/23		2,954,820
		10,517,451	SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 90 day USD SOFR Average + 1.96%, 7.15%, due 07/25/23		10,542,269
		10,005,814	SLM Student Loan Trust, Series 08-2, Class A3, Variable Rate, 90 day USD SOFR Average + 1.01%, 6.20%, due 04/25/49		10,005,810
			Total Student Loans—Federal Family Education Loan Program		57,038,564
			Student Loans — Private — 10.0%
		960,510	Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. USD Term SOFR + 1.06%, 5.69%, due 07/25/34		947,118
		10,961,595	ECMC Group Student Loan Trust, Series 24-1A, Class A, 144A, Variable Rate, 30 day USD SOFR Average + 1.15%, 5.88%, due 11/27/73		10,957,145
		6,181,557	KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 6.20%, due 12/27/38		5,988,939
		4,790,172	KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, U.S. (Fed) Prime Rate + 1.25%, 6.10%, due 07/28/42		4,502,396
		8,758,011	National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 7-DayAuct + 0.00%, 8.64%, due 03/31/38 (a)		1,466,967
		7,625,000	National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28 day ARS + 0.00%, 8.07%, due 03/25/38 (a)		1,277,188

Par Value†		Description	Value ($)
		Asset-Backed Securities — continued
		Student Loans — Private — continued
	2,015,638	National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 5.01%, due 05/25/32		1,962,351
	4,034,493	National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.40%, 4.99%, due 01/25/33		3,817,859
	5,244,861	National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 5.05%, due 03/25/33		5,037,876
	1,786,122	National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. USD Term SOFR + 0.48%, 5.07%, due 06/25/33		1,716,848
	11,576,993	National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 5.01%, due 10/25/33		11,072,337
	1,030,285	National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 5.24%, due 12/26/33		1,016,836
	75,000	National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 8.20%, due 03/25/38 (b)		57,000
	24,944	National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 8.21%, due 03/25/38 (b)		18,958
	3,164,435	Navient Private Education Refi Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70		2,860,854
	1,678,573	Navient Student Loan Trust, Series 23-BA, Class A1B, 144A, Variable Rate, 30 day USD SOFR Average + 1.70%, 6.51%, due 03/15/72		1,689,205
	2,228,307	Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62		2,054,970
	1,939,289	SLM Private Credit Student Loan Trust, Series 03-A, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 6.81%, due 06/15/32		711,525
	2,199,000	SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 8.30%, due 06/15/32 (a)		2,188,005
	5,400,350	SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 6.81%, due 09/15/32		1,421,091
	1,050,000	SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.07%, due 09/15/32 (a)		1,044,750
	3,343,751	SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. USD Term SOFR + 0.66%, 5.61%, due 06/15/33		3,310,253
	6,864,328	SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.69%, 5.64%, due 09/15/33		6,773,117
	12,123,321	SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.57%, 5.52%, due 12/15/38		11,966,887

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Par Value†		Description	Value ($)
			Asset-Backed Securities — continued
			Student Loans — Private — continued
		15,015,946	SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.55%, 5.50%, due 06/15/39		14,639,798
		8,933,170	SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.59%, 5.54%, due 06/15/39		8,782,521
		1,600,779	SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.46%, 5.41%, due 12/15/39		1,552,382
		8,027,917	SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.53%, 5.48%, due 12/15/39		7,823,364
		2,672,291	SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 0.65%, 5.60%, due 12/15/39		2,500,828
		11,698,931	SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. USD Term SOFR + 0.50%, 5.45%, due 12/16/41		11,585,780
		2,339,912	SLM Private Education Loan Trust, Series 10-C, Class A5, 144A, Variable Rate, 1 mo. USD Term SOFR + 4.86%, 9.47%, due 10/15/41		2,441,986
		1,000	SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56 (b)		634,703
		757,559	South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 6.20%, due 01/25/36		757,936
		5,749,991	Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 5.75%, due 01/25/46		5,725,277
		17,741,000	Towd Point Asset Trust, Series 21-SL1, Class C, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.51%, 6.12%, due 11/20/61		16,786,066
			Total Student Loans — Private		157,091,116
			Total Asset-Backed Securities		1,064,717,695
			U.S. Government — 12.8%
		45,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 4.71%, due 01/31/26		45,042,389
		53,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.61%, due 04/30/26 (c)		52,995,693
		103,900,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.65%, due 07/31/26 (c)		103,957,042
			Total U.S. Government		201,995,124

Par Value† / Shares		Description	Value ($)
		U.S. Government Agency — 7.6%
	380,000	Government National Mortgage Association, TBA, 3.00%, due 12/20/54		336,712
	3,930,683	Federal National Mortgage Association, 4.00%, due 05/01/52		3,681,763
	600,000	Government National Mortgage Association, TBA, 3.50%, due 12/20/54		548,515
	400,000	Government National Mortgage Association, TBA, 4.00%, due 12/20/54		376,101
	760,000	Government National Mortgage Association, TBA, 4.50%, due 12/20/54		733,298
	720,000	Government National Mortgage Association, TBA, 5.00%, due 12/20/54		709,540
	610,000	Government National Mortgage Association, TBA, 5.50%, due 12/20/54		610,533
	1,910,000	Uniform Mortgage-Backed Security, TBA, 5.00%, due 12/01/54		1,874,071
	45,620,000	Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/54		45,564,007
	64,020,000	Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/54		64,769,219
		Total U.S. Government Agency		119,203,759
		TOTAL DEBT OBLIGATIONS (COST $1,462,341,955)		1,385,916,578
		INVESTMENT FUNDS — 3.9%
		United States — 3.9%
	100,000	iShares Core S&P 500 ETF		60,507,000
		TOTAL INVESTMENT FUNDS (COST $60,376,000)		60,507,000
		MUTUAL FUNDS — 0.7%
		United States — 0.7%
		Affiliated Issuers — 0.7%
	2,323,242	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		11,616,211
		TOTAL MUTUAL FUNDS (COST $11,703,541)		11,616,211
		SHORT-TERM INVESTMENTS — 13.5%
		Repurchase Agreements — 13.3%
	210,080,273	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 11/29/24 maturing on 12/02/24 with a maturity value of $210,160,278 and an effective yield of 4.57%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $211,164,488.		210,080,273

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Money Market Funds — 0.2%
	3,575,721	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (d)		3,575,721
		TOTAL SHORT-TERM INVESTMENTS (COST $213,655,994)		213,655,994

PURCHASED OPTIONS — 0.0%

Description

Counterparty

Exercise Rate

Expiration Date

Principal/ Notional Amount

Floating Rate Index

Pay/Receive Floating Rate

Value ($)

Options on Credit Default Swaps - Puts — 0.0%

CDX.NA.HY.S42

GS

1.07

%

12/18/24

USD 16,252,000

Fixed Spread

Pay

7,169

CDX.NA.HY.S43

CITI

1.07

%

12/18/24

USD 16,100,000

Fixed Spread

Pay

10,380

CDX.NA.HY.S43

CITI

1.08

%

01/15/25

USD 16,390,000

Fixed Spread

Pay

49,925

CDX.NA.HY.S43

MSCI

1.08

%

01/15/25

USD 20,500,000

Fixed Spread

Pay

95,850

	Total Options on Credit Default Swaps - Puts	163,324
	TOTAL PURCHASED OPTIONS (COST $688,011)	163,324
	TOTAL INVESTMENTS — 106.0% (Cost $1,748,765,501)	1,671,859,107

		Description	Value ($)
		SECURITIES SOLD SHORT — (4.5)%
		DEBT OBLIGATIONS — (4.5)%
		U.S. Government Agency — (4.5)%
(18,300,000	)	Uniform Mortgage-Backed Security, TBA, 2.00%, due 12/01/53		(14,668,505	)
(40,000,000	)	Uniform Mortgage-Backed Security, TBA, 2.50%, due 12/01/39		(36,851,252	)
(20,000,000	)	Uniform Mortgage-Backed Security, TBA, 5.00%, due 12/01/39		(20,047,051	)
		Total U.S. Government Agency		(71,566,808	)
		TOTAL DEBT OBLIGATIONS (PROCEEDS $70,836,488)		(71,566,808	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $70,836,488)		(71,566,808	)
		Other Assets and Liabilities (net) — (1.5)%		(23,308,144	)
		TOTAL NET ASSETS — 100.0%	$	1,576,984,155

A summary of outstanding financial instruments at November 30, 2024 is as follows:

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/28/2025	BOA	EUR	2,911,000		USD	3,157,620		73,789
01/28/2025	MSCI	EUR	65,000		USD	69,343		484
01/28/2025	BNYM	USD	112,493		EUR	106,800		648
01/28/2025	CITI	EUR	51,500		USD	54,399		(159	)
01/28/2025	GS	EUR	129,000		USD	135,923		(736	)

Settlement Date	Counter- party	Currency Sold		Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/28/2025	MSCI	EUR	31,000		USD	32,783		(58	)
01/28/2025	CITI	USD	208,841		EUR	192,500		(4,912	)
							$	69,056

Futures Contracts

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
389	U.S. Treasury Note 10 Yr. (CBT)		March 2025		43,251,937		278,972
798	U.S. Treasury Note 2 Yr. (CBT)		March 2025		164,475,282		491,567
106	U.S. Treasury Note 5 Yr. (CBT)		March 2025		11,405,766		94,272
283	U.S. Treasury Ultra 10 Yr. (CBT)		March 2025		32,487,516		192,309
				$	251,620,501	$	1,057,120

Number of Contracts +	Type	Expiration Date		Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
1	U.S. Ultra Bond (CBT)		March 2025	$	127,188	$	(4,010	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

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.HY.S42	GS	1.02%		12/18/24		USD	(16,252,000	)		Fixed Spread	Pay		(2,918	)
CDX.NA.HY.S43	CITI	1.03%		12/18/24		USD	(16,100,000	)		Fixed Spread	Pay		(4,125	)
CDX.NA.HY.S43	MSCI	1.03%		01/15/25		USD	(20,500,000	)		Fixed Spread	Pay		(10,116	)
CDX.NA.HY.S43	CITI	1.03%		01/15/25		USD	(24,600,000	)		Fixed Spread	Pay		(13,294	)
iTraxx Europe Senior Financials S42	BCLY	0.70%		02/19/25		EUR	(52,213,000	)		Fixed Spread	Pay		(113,915	)
						Total Written Options On Credit Default Swaps — Puts							(144,368	)
						TOTAL WRITTEN OPTIONS (Premiums $335,949)						$	(144,368	)

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

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^:
CDX.NA.HY.S39	USD	3,880,000	5.00%		0.48%		N/A		12/20/2027		Quarterly		(77,698	)		(317,559	)		(239,861	)
ITRAXX.XO.42	EUR	16,100,000	5.00%		1.57%		N/A		12/20/2029		Quarterly		(1,433,604	)		(1,466,221	)		(32,617	)
CDX.NA.IG.S43	USD	195,578,000	1.00%		0.56%		N/A		12/20/2029		Quarterly		(4,400,119	)		(4,664,731	)		(264,612	)
ITRAXX.EUR.42	EUR	2,170,000	1.00%		0.63%		N/A		12/20/2029		Quarterly		(45,739	)		(47,844	)		(2,105	)
ITRAXX.FINSR.42	EUR	104,425,000	1.00%		2.97%		N/A		12/20/2029		Quarterly		(1,830,159	)		(1,939,641	)		(109,482	)
												$	(7,787,319	)	$	(8,435,996	)	$	(648,677	)

OTC Credit Default Swaps

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S33	CITI	USD	8,140,000		5.00%		21.87%		N/A		12/20/2024		Quarterly		(196,490	)		(22,993	)		173,497
CDX.NA.HY.S33	GS	USD	5,355,000		5.00%		2.13%		N/A		12/20/2024		Quarterly		121,559			(15,126	)		(136,685	)
CMBX.NA.A.7	CGMI	USD	1,420,000		2.00%		188.56%		N/A		01/17/2047		Monthly		89,177			65,710			(23,467	)
CMBX.NA.A.7	CGMI	USD	10,000,000		2.00%		58.37%		N/A		01/17/2047		Monthly		593,750			462,744			(131,006	)
CMBX.NA.A.7	GS	USD	2,840,000		2.00%		0.49%		N/A		01/17/2047		Monthly		156,358			131,420			(24,938	)
CMBX.NA.AS.7	BOA	USD	4,505,000		1.00%		2.43%		N/A		01/17/2047		Monthly		47,352			611			(46,741	)
CMBX.NA.AS.7	DB	USD	7,608,000		1.00%		0.07%		N/A		01/17/2047		Monthly		(119,899	)		1,032			120,931
CMBX.NA.AS.7	DB	USD	16,677,794		1.00%		2.43%		N/A		01/17/2047		Monthly		197,705			2,263			(195,442	)
CMBX.NA.AS.7	GS	USD	4,400,000		1.00%		2.43%		N/A		01/17/2047		Monthly		112,812			597			(112,215	)
CMBX.NA.AS.7	MORD	USD	13,270,000		1.00%		2.43%		N/A		01/17/2047		Monthly		205,782			1,800			(203,982	)
CMBX.NA.AA.11	CGMI	USD	4,000,000		1.50%		2.05%		N/A		11/18/2054		Monthly		(6,041	)		52,714			58,755
CMBX.NA.AA.11	CGMI	USD	4,626,000		1.50%		73.78%		N/A		11/18/2054		Monthly		(63,740	)		60,965			124,705
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		73.78%		N/A		11/18/2054		Monthly		(67,279	)		60,945			128,224
CMBX.NA.AA.11	MORD	USD	4,624,500		1.50%		2.01%		N/A		11/18/2054		Monthly		(61,371	)		60,945			122,316
CMBX.NA.BBB-.11	CGMI	USD	5,752,000		3.00%		3.22%		N/A		11/18/2054		Monthly		1,213,313			722,595			(490,718	)
CMBX.NA.BBB-.11	GS	USD	9,940,000		3.00%		31.48%		N/A		11/18/2054		Monthly		1,289,094			1,248,713			(40,381	)
CMBX.NA.A.8	CGMI	USD	5,000,000		2.00%		7.54%		N/A		10/17/2057		Monthly		262,500			53,373			(209,127	)
CMBX.NA.A.8	GS	USD	8,892,000		2.00%		2.13%		N/A		10/17/2057		Monthly		150,185			94,919			(55,266	)
CMBX.NA.A.8	MORD	USD	2,000,000		2.00%		3.22%		N/A		10/17/2057		Monthly		107,500			21,349			(86,151	)
CMBX.NA.BBB-.8	GS	USD	1,444,000		3.00%		149.75%		N/A		10/17/2057		Monthly		216,864			158,639			(58,225	)
CMBX.NA.BBB-.8	GS	USD	4,224,000		3.00%		24.15%		N/A		10/17/2057		Monthly		400,909			464,053			63,144
CMBX.NA.BBB-.8	MSCI	USD	2,366,000		3.00%		54.72%		N/A		10/17/2057		Monthly		458,412			259,931			(198,481	)
CMBX.NA.BBB-.8	MSCI	USD	3,153,000		3.00%		149.75%		N/A		10/17/2057		Monthly		665,756			346,392			(319,364	)
CMBX.NA.BBB-.9	DB	USD	1,184,200		3.00%		73.78%		N/A		09/17/2058		Monthly		143,660			187,067			43,407
CMBX.NA.BBB-.9	GS	USD	1,752,000		3.00%		149.75%		N/A		09/17/2058		Monthly		402,960			276,761			(126,199	)
CMBX.NA.BBB-.9	MORD	USD	4,100,000		3.00%		6.15%		N/A		09/17/2058		Monthly		758,500			647,672			(110,828	)
CMBX.NA.BBB-.9	MORD	USD	5,116,800		3.00%		24.15%		N/A		09/17/2058		Monthly		584,727			808,294			223,567
CMBX.NA.AA.12	GS	USD	6,974,000		1.50%		2.01%		N/A		08/17/2061		Monthly		(61,732	)		131,862			193,594
CMBX.NA.A.6	CGMI	USD	15,000,000		2.00%		8.23%		N/A		05/11/2063		Monthly		750,470			535,383			(215,087	)
CMBX.NA.AA.6	GS	USD	4,703,649		1.50%		2.43%		N/A		05/11/2063		Monthly		34,885			68,118			33,233
CMBX.NA.BBB-.6	CGMI	USD	4,274,000		3.00%		149.75%		N/A		05/11/2063		Monthly		1,357,351			259,734			(1,097,617	)
CMBX.NA.A.15	CGMI	USD	5,000,000		2.00%		0.66%		N/A		11/18/2064		Monthly		600,000			318,452			(281,548	)
CMBX.NA.A.15	MORD	USD	3,000,000		2.00%		8.51%		N/A		11/18/2064		Monthly		287,104			191,071			(96,033	)
CMBX.NA.A.15	MSCI	USD	4,560,000		2.00%		0.66%		N/A		11/18/2064		Monthly		275,394			290,428			15,034
CMBX.NA.BBB-.15	CGMI	USD	5,000,000		3.00%		6.15%		N/A		11/18/2064		Monthly		796,875			754,125			(42,750	)
CMBX.NA.BBB-.15	GS	USD	5,000,000		3.00%		6.15%		N/A		11/18/2064		Monthly		787,500			754,125			(33,375	)
CMBX.NA.BBB-.15	MSCI	USD	5,000,000		3.00%		3.22%		N/A		11/18/2064		Monthly		718,500			754,125			35,625

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Swap Contracts — continued

OTC Credit Default Swaps — continued

Reference Entity	Counter- party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
CMBX.NA.A.14	GS	USD	2,682,000		2.00%		0.07%		N/A		12/16/2072		Monthly		349,769			190,573			(159,196	)
CMBX.NA.AA.13	CGMI	USD	2,000,000		1.50%		24.15%		N/A		12/16/2072		Monthly		147,237			52,471			(94,766	)
CMBX.NA.AA.13	CGMI	USD	3,000,000		1.50%		3.56%		N/A		12/16/2072		Monthly		138,948			78,707			(60,241	)
CMBX.NA.BBB-.14	CGMI	USD	3,933,500		3.00%		21.87%		N/A		12/16/2072		Monthly		1,111,214			735,024			(376,190	)
CMBX.NA.BBB-.14	GS	USD	1,360,000		3.00%		0.07%		N/A		12/16/2072		Monthly		340,000			254,133			(85,867	)
Sell Protection^:
CDX.NA.HY.S33	CITI	USD	4,177,488		5.00%		0.07%		4,177,488 USD		12/20/2024		Quarterly		442,047			11,800			(430,247	)
CDX.NA.HY.S33	CITI	USD	10,537,861		5.00%		2.01%		10,537,861 USD		12/20/2024		Quarterly		1,817,254			29,766			(1,787,488	)
CDX.NA.HY.S33	GS	USD	25,790,596		5.00%		0.07%		25,790,596 USD		12/20/2024		Quarterly		5,704,279			72,850			(5,631,429	)
CDX.NA.HY.S33	JPM	USD	10,335,851		5.00%		8.51%		10,335,851 USD		12/20/2024		Quarterly		1,695,080			29,196			(1,665,884	)
CDX.NA.HY.S33	MORD	USD	2,754,582		5.00%		8.51%		2,754,582 USD		12/20/2024		Quarterly		474,064			7,781			(466,283	)
ITRAXX.XO.42	JPM	EUR	32,200,000		5.00%		8.23%		32,200,000 EUR		12/20/2029		Quarterly		6,819,388			6,639,410			(179,978	)
CMBX.NA.AA.7	CGMI	USD	5,000,000		1.50%		0.66%		5,000,000 USD		01/17/2047		Monthly		(125,000	)		(108,542	)		16,458
CMBX.NA.A.9	CGMI	USD	2,500,000		2.00%		0.07%		2,500,000 USD		09/17/2058		Monthly		(74,374	)		(127,111	)		(52,737	)
CMBX.NA.A.9	GS	USD	4,158,800		2.00%		2.07%		4,158,800 USD		09/17/2058		Monthly		54,550			(211,451	)		(266,001	)
CMBX.NA.A.9	MORD	USD	7,600,000		2.00%		24.15%		7,600,000 USD		09/17/2058		Monthly		(698,250	)		(386,417	)		311,833
CMBX.NA.AA.10	GS	USD	7,540,000		0.50%		0.07%		7,540,000 USD		11/17/2059		Monthly		68,960			702			(68,258	)
CMBX.NA.AAA.15	CGMI	USD	10,000,000		0.50%		7.54%		10,000,000 USD		11/18/2064		Monthly		(373,108	)		(88,746	)		284,362
CMBX.NA.AAA.15	GS	USD	2,825,000		0.50%		21.87%		2,825,000 USD		11/18/2064		Monthly		(43,465	)		(25,071	)		18,394
CMBX.NA.AAA.15	MSCI	USD	9,120,000		0.50%		0.64%		9,120,000 USD		11/18/2064		Monthly		(131,742	)		(80,937	)		50,805
														$	30,927,253		$	17,284,946		$	(13,642,307	)

^ 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 November 30, 2024, 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.

GMO Opportunistic Income Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

iShares Core S&P 500 ETF

1 Day Overnight Federal Funds Effective Rate plus 1.20%

GS

USD

60,376,000

01/27/2025

At Maturity

$

—

$

(131,000

)

$

(131,000

)

As of November 30, 2024, 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.

(b) Investment valued using significant unobservable inputs.

(c) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any.

(d) The rate disclosed is the 7 day net yield as of November 30, 2024.

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.

CDO - Collateralized Debt Obligation

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

ETF - Exchange-Traded Fund

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

Assurance.

IO - Interest Only

MTA - Monthly Treasury Average Index

SOFR - Secured Overnight Financing Rate

STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at November 30, 2024.

TBA - To Be Announced - Delayed Delivery Security

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BNYM - The Bank of New York Mellon

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

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:

EUR - Euro

USD - United States Dollar

GMO U.S. Treasury Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value† / Shares		Description	Value ($)
		SHORT-TERM INVESTMENTS — 102.7%
		U.S. Government — 88.3%
	57,470,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 4.71%, due 01/31/26		57,524,136
	53,680,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.65%, due 07/31/26		53,709,471
	3,510,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.21%, 4.67%, due 10/31/26		3,513,406
	30,710,784	U.S. Treasury Inflation-Indexed Notes, 0.25%, due 01/15/25		30,564,428
	14,135,359	U.S. Treasury Inflation-Indexed Notes, 0.13%, due 04/15/25		13,982,686
	10,304,245	U.S. Treasury Inflation-Indexed Notes, 0.38%, due 07/15/25		10,201,440
	8,469,735	U.S. Treasury Inflation-Indexed Notes, 0.13%, due 10/15/25		8,347,431
	12,740,000	U.S. Treasury Notes, 4.63%, due 06/30/25		12,754,183
	13,000,000	U.S. Treasury Notes, 3.13%, due 08/15/25		12,882,949
	26,810,000	U.S. Treasury Notes, 5.00%, due 10/31/25		26,950,752
	21,810,000	U.S. Treasury Notes, 4.25%, due 12/31/25		21,785,293
	13,870,000	U.S. Treasury Notes, 4.38%, due 07/31/26		13,899,257
	14,060,000	U.S. Treasury Notes, 3.75%, due 08/31/26		13,946,312
	13,870,000	U.S. Treasury Notes, 4.63%, due 09/15/26		13,964,273
		Total U.S. Government		294,026,017
		Repurchase Agreements — 11.1%
	9,983,964	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 11/29/24 maturing on 12/02/24 with a maturity value of $9,987,750 and an effective yield of 4.55%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $10,035,491.		9,983,964

Par Value† / Shares		Description	Value ($)
		Repurchase Agreements — continued
	27,081,810	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 11/29/24 maturing on 12/02/24 with a maturity value of $27,092,124 and an effective yield of 4.57%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $27,221,578.		27,081,810
		Total Repurchase Agreements		37,065,774
		Money Market Funds — 3.3%
	10,805,488	State Street Institutional Treasury Plus Money Market Fund – Class Premier, 4.59% (a)		10,805,488
		TOTAL SHORT-TERM INVESTMENTS (COST $341,915,218)		341,897,279
		TOTAL INVESTMENTS — 102.7% (Cost $341,915,218)		341,897,279
		Other Assets and Liabilities (net) — (2.7)%		(8,941,802	)
		TOTAL NET ASSETS — 100.0%		$332,955,477

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 November 30, 2024.

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

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”).

Effective June 30, 2024, U.S. Treasury Fund Core Shares were redesignated as Class VI Shares. This share class name change had no impact on the Fund’s operations or investment policies.

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.

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. 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.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

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 for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing 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 valued at the price generally determined by an industry standard model. Unlisted non-fixed income 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 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, prices 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 changes in valuation 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 November 30, 2024, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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 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; certain loan assignments valued using a vendor price of a comparable loan; certain investment funds whose valuations are based on monthly net asset value statements; 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 November 30, 2024:

Description	Level 1		Level 2			Level 3		Total
Asset Allocation Bond Fund
Asset Valuation Inputs
Debt Obligations
U.S. Government	$	6,913,794	$	—		$	—	$	6,913,794
TOTAL DEBT OBLIGATIONS		6,913,794		—			—		6,913,794
Short-Term Investments		2,757,301		29,803,974			—		32,561,275
Total Investments		9,671,095		29,803,974			—		39,475,069
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		127,085			—		127,085
Futures Contracts
Interest Rate Risk		1,159,695		—			—		1,159,695
Swap Contracts
Credit Risk		—		307,045			—		307,045
Total	$	10,830,790	$	30,238,104		$	—	$	41,068,894
Emerging Country Debt Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—	$	5,699,649		$	—	$	5,699,649
Corporate Debt		—		123,918,742			14,544,122		138,462,864
Sovereign and Sovereign Agency Issuers		—		1,853,208,243			114,831,187		1,968,039,430
U.S. Government		37,772,210		—			—		37,772,210
TOTAL DEBT OBLIGATIONS		37,772,210		1,982,826,634			129,375,309		2,149,974,153
Loan Assignments		—		—			27,952,661		27,952,661
Loan Participations		—		—			5,430,341		5,430,341
Investment Funds		—		—			12,251,383		12,251,383
Rights/Warrants		—		29,531,079			172,903		29,703,982
Short-Term Investments		8,316,455		71,311,911			—		79,628,366
Total Investments		46,088,665		2,083,669,624			175,182,597		2,304,940,886
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		4,153,866			—		4,153,866
Swap Contracts
Credit Risk		—		6,408,107			—		6,408,107
Interest Rate Risk		—		3,625,303			—		3,625,303
Total	$	46,088,665	$	2,097,856,900		$	175,182,597	$	2,319,128,162
Liability Valuation Inputs
Debt Obligations
Sovereign and Sovereign Agency Issuers	$	—	$	(9,620,400	)	$	—	$	(9,620,400	)
TOTAL DEBT OBLIGATIONS		—		(9,620,400	)		—		(9,620,400	)

     

Description	Level 1		Level 2			Level 3		Total
Emerging Country Debt Fund (continued)
Liability Valuation Inputs (continued)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(982,889	)	$	—	$	(982,889	)
Swap Contracts
Credit Risk		—		(950,242	)		—		(950,242	)
Interest Rate Risk		—		(11,952,958	)		—		(11,952,958	)
Total	$	—	$	(23,506,489	)	$	—	$	(23,506,489	)
High Yield Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	35,980,693		$	—	$	35,980,693
U.S. Government		42,293,546		—			—		42,293,546
TOTAL DEBT OBLIGATIONS		42,293,546		35,980,693			—		78,274,239
Short-Term Investments		2,755,415		53,044,962			—		55,800,377
Total Investments		45,048,961		89,025,655			—		134,074,616
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		763,189			—		763,189
Futures Contracts
Interest Rate Risk		50,853		—			—		50,853
Swap Contracts
Credit Risk		—		1,034,614			—		1,034,614
Interest Rate Risk		—		2,476,910			—		2,476,910
Total	$	45,099,814	$	93,300,368		$	—	$	138,400,182
Multi-Sector Fixed Income Fund
Asset Valuation Inputs
Debt Obligations
Corporate Debt	$	—	$	18,003,371		$	—	$	18,003,371
U.S. Government		2,851,682		—			—		2,851,682
U.S. Government Agency		—		17,983,071			—		17,983,071
TOTAL DEBT OBLIGATIONS		2,851,682		35,986,442			—		38,838,124
Common Stocks		13,512,850		—			—		13,512,850
Mutual Funds		18,694,400		—			—		18,694,400
Short-Term Investments		380,254		25,722,638			—		26,102,892
Total Investments		35,439,186		61,709,080			—		97,148,266
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		739,324			—		739,324
Futures Contracts
Interest Rate Risk		329,541		—			—		329,541
Swap Contracts
Interest Rate Risk		—		316,443			—		316,443
Total	$	35,768,727	$	62,764,847		$	—	$	98,533,574
Liability Valuation Inputs
Derivatives^
Forward Currency Contracts
Foreign Currency Risk	$	—	$	(153,113	)	$	—	$	(153,113	)

     

Description	Level 1			Level 2			Level 3		Total
Multi-Sector Fixed Income Fund (continued)
Liability Valuation Inputs (continued)
Swap Contracts
Credit Risk	$	—		$	(95,404	)	$	—	$	(95,404	)
Interest Rate Risk		—			(844,990	)		—		(844,990	)
Total	$	—		$	(1,093,507	)	$	—	$	(1,093,507	)
Opportunistic Income Fund
Asset Valuation Inputs
Debt Obligations
Asset-Backed Securities	$	—		$	1,057,762,933		$	6,954,762	$	1,064,717,695
U.S. Government		201,995,124			—			—		201,995,124
U.S. Government Agency		—			119,203,759			—		119,203,759
TOTAL DEBT OBLIGATIONS		201,995,124			1,176,966,692			6,954,762		1,385,916,578
Investment Funds		60,507,000			—			—		60,507,000
Mutual Funds		11,616,211			—			—		11,616,211
Short-Term Investments		3,575,721			210,080,273			—		213,655,994
Purchased Options		—			163,324			—		163,324
Total Investments		277,694,056			1,387,210,289			6,954,762		1,671,859,107
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			74,921			—		74,921
Futures Contracts
Interest Rate Risk		1,057,120			—			—		1,057,120
Swap Contracts
Credit Risk		—			18,351,340			—		18,351,340
Total	$	278,751,176		$	1,405,636,550		$	6,954,762	$	1,691,342,488
Liability Valuation Inputs
Debt Obligations
U.S. Government Agency	$	—		$	(71,566,808	)	$	—	$	(71,566,808	)
TOTAL DEBT OBLIGATIONS		—			(71,566,808	)		—		(71,566,808	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(5,865	)		—		(5,865	)
Futures Contracts
Interest Rate Risk		(4,010	)		—			—		(4,010	)
Written Options
Credit Risk		—			(144,368	)		—		(144,368	)
Swap Contracts
Credit Risk		—			(9,502,390	)		—		(9,502,390	)
Interest Rate Risk		—			(131,000	)		—		(131,000	)
Total	$	(4,010	)	$	(81,350,431	)	$	—	$	(81,354,441	)
U.S. Treasury Fund
Asset Valuation Inputs
Short-Term Investments	$	241,735,520		$	100,161,759		$	—	$	341,897,279
Total Investments		241,735,520			100,161,759			—		341,897,279
Total	$	241,735,520		$	100,161,759		$	—	$	341,897,279

     

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

^ In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for bond forward contracts and 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’ financial statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

As of November 30, 2024, under U.S. GAAP the following Funds require additional disclosures about fair value measurements for 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 270 basis point discount for liquidity considerations and and an investment fund valued based on a monthly net asset value statement.

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

	Balances as of February 29, 2024		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 November 30, 2024		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2024
Emerging Country Debt Fund
Debt Obligations
Corporate Debt	$	15,769,296	$	—	$	(4,795,665	)	$	19,595	$	3,074,375		$	476,521		$	—	$	—		$	14,544,122	$	669,637
Sovereign and Sovereign Agency Issuers		160,306,605		—		(80,549,869	)		2,560,406		(6,836,386	)		50,118,256			—		(10,767,825	)‡		114,831,187		4,445,045
Investment Funds		13,370,532		—		(694,818	)		—		4,743			(429,074	)		—		—			12,251,383		(210,180	)
Loan Assignments		22,151,861		13,393,243		(10,215,268	)		299,459		1,514,267			809,099			—		—			27,952,661		802,544
Loan Participations		8,710,556		—		(3,505,119	)		70,436		48,886			105,582			—		—			5,430,341		17,616
Rights/Warrants		5,204,280		—		—			—		—			2,979,738			—		(8,011,115	)‡		172,903		(150,185	)
Total Investments		225,513,130		13,393,243		(99,760,739	)		2,949,896		(2,194,115	)		54,060,122			—		(18,778,940	)		175,182,597		5,574,477
Derivatives
Options		117,019		—		—			—		6,444,672			(6,561,691	)		—		—			—		—
Total	$	225,630,149	$	13,393,243	$	(99,760,739	)#	$	2,949,896	$	4,250,557		$	47,498,431		$	—	$	(18,778,940	)	$	175,182,597	$	5,574,477

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

# Includes $13,954,348 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 November 30, 2024.

Quantitative information about Level 3 Fair Value Measurements*

Investment Type	Total Fair Value ($)		Valuation Methodology	Unobservable Inputs	Range (Weighted Average)
Emerging Country Debt Fund
Corporate Debt		14,544,122	Fair Value	Discount for lack of liquidity/marketability	2.70% (N/A)
Sovereign and Sovereign Agency Issuers		39,508,646	Fair Value	Discount for lack of liquidity/marketability	1.40% - 1.60% (1.42%)
Sovereign and Sovereign Agency Issuers		22,635	Fair Value	Discount for lack of liquidity/marketability	99% (N/A)
Sovereign and Sovereign Agency Issuers		2,251,200	Fair Value	Repurchase price/discount for lack of liquidity	N/A
Loan Assignments		14,394,249	Fair Value	Discount for lack of liquidity/marketability	4.00% - 5.00% (4.20%)
Loan Assignments		487,477	Fair Value	Vendor price of comparable loan	N/A
Loan Participations		366,436	Fair Value	Discount for lack of liquidity/marketability	5.00% (N/A)
Warrants		172,903	Fair Value	Discount for lack of liquidity/marketability	50% (N/A)
Investment Funds		12,251,383	Fair Value	Net asset value statement	N/A

* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2024, the value of these securities and/or derivatives for Emerging Country Debt Fund was $91,183,546. The inputs for these investments are not readily available or cannot be reasonably estimated.

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 November 30, 2024 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
Emerging Country Debt Fund
Bona Fide Investment Holdings II LLC	$	12,461,563	$	—	$	—	$	—	$	—	$	—	$	(210,180	)	$	12,251,383
Bona Fide Investments Feeder LLC		908,969		—		694,818		—		—		4,743		(218,894	)		—
Totals	$	13,370,532	$	—	$	694,818	$	—	$	—	$	4,743	$	(429,074	)	$	12,251,383
Multi-Sector Fixed Income Fund
GMO Emerging Country Debt Fund, Class VI	$	3,697,253	$	—	$	—	$	29,833	$	—	$	—	$	398,166		$	4,095,419
GMO Opportunistic Income Fund, Class VI		14,460,403		—		—		612,398		—		—		138,578			14,598,981
Totals	$	18,157,656	$	—	$	—	$	642,231	$	—	$	—	$	536,744		$	18,694,400

     

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
Opportunistic Income Fund
GMO U.S. Treasury Fund, Class VI (formerly Core Class)	$	11,616,211	$	—	$	—	$	449,979	$	—	$	—	$	—	$	11,616,211

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2024 through November 30, 2024. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2025.

***

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.

   

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 97.6%
		Australia — 0.8%
	21,587	BHP Group Ltd. (a)		569,233
	27,572	BlueScope Steel Ltd.		399,514
	29,495	Brambles Ltd. (a)		367,224
	6,582	Fortescue Ltd. (a)		81,600
		Total Australia		1,417,571
		Belgium — 0.3%
	10,475	Ageas SA (a)		529,488
		Canada — 4.0%
	1,100	Alimentation Couche-Tard, Inc. (a)		64,356
	400	BRP, Inc. (a) (b)		19,539
	372	BRP, Inc. (a) (b)		18,128
	4,600	Canadian Tire Corp. Ltd. – Class A (a)		507,198
	1,800	Empire Co. Ltd. – Class A (a)		53,972
	1,300	iA Financial Corp., Inc. (a)		124,266
	12,699	Magna International, Inc. (a) (b)		573,233
	1,600	Magna International, Inc. (b)		72,717
	14,227	Manulife Financial Corp. (a) (b)		457,113
	5,100	Manulife Financial Corp. (a) (b)		164,178
	10,308	Nutrien Ltd. (a) (b)		480,971
	2,200	Nutrien Ltd. (a) (b)		102,768
	2,800	Onex Corp. (a)		227,772
	12,220	Open Text Corp. (a) (b)		371,855
	3,900	Open Text Corp. (a) (b)		118,779
	14,800	Power Corp. of Canada (a)		498,531
	15,200	Quebecor, Inc. – Class B		358,924
	220,043	SilverCrest Metals, Inc. *		2,237,837
	4,600	West Fraser Timber Co. Ltd. (b)		451,835
	1,648	West Fraser Timber Co. Ltd. (b)		163,119
		Total Canada		7,067,091
		China — 0.8%
	176,000	AviChina Industry & Technology Co. Ltd. – Class H		85,779
	111,000	Bank of Communications Co. Ltd. – Class H		80,409
	34,500	Beijing Enterprises Holdings Ltd.		108,767
	104,000	China Communications Services Corp. Ltd. – Class H		54,809
	604,000	China Construction Bank Corp. – Class H		456,660
	84,000	China National Building Material Co. Ltd. – Class H		36,041
	302,000	China Railway Group Ltd. – Class H		145,979
	308,000	China Zhongwang Holdings Ltd. * (c)		—
	244,000	CITIC Ltd.		272,761
	5,000	Orient Overseas International Ltd. (a)		64,109
	9,200	Sinopharm Group Co. Ltd. – Class H		24,116
		Total China		1,329,430
		Denmark — 1.1%
	109	AP Moller - Maersk AS – Class A (a)		179,166

Shares		Description	Value ($)
		Denmark — continued
	271	AP Moller - Maersk AS – Class B (a)		461,207
	17,636	Danske Bank AS		507,426
	2,212	Genmab AS * (a)		476,735
	840	Rockwool AS – B Shares (a)		307,154
		Total Denmark		1,931,688
		Finland — 0.3%
	137,107	Nokia OYJ (a)		575,910
		France — 1.2%
	22,898	ArcelorMittal SA		575,698
	11,553	Renault SA		495,807
	19,325	Societe Generale SA (a)		512,353
	11,347	STMicroelectronics NV - NY Shares		289,349
	22,701	Vivendi SE (a)		208,691
		Total France		2,081,898
		Germany — 1.7%
	5,347	Bayerische Motoren Werke AG (a)		397,686
	4,890	Continental AG		321,816
	24,697	Covestro AG *		1,503,276
	2,297	Daimler Truck Holding AG (a)		87,066
	19,962	E.ON SE (a)		257,287
	7,390	Mercedes-Benz Group AG (a)		415,460
		Total Germany		2,982,591
		Israel — 0.9%
	17,080	Bank Hapoalim BM		196,316
	52,167	Bank Leumi Le-Israel BM		594,499
	2,788	Check Point Software Technologies Ltd. *		507,416
	9,959	Israel Discount Bank Ltd. – Class A		65,562
	1,441	Nice Ltd. Sponsored ADR* (a)		262,896
		Total Israel		1,626,689
		Italy — 0.9%
	21,188	Leonardo SpA (a)		570,605
	37,269	Stellantis NV (a)		494,705
	745,311	Telecom Italia SpA * (a)		179,050
	7,182	Tenaris SA ADR (a) (d)		275,286
		Total Italy		1,519,646
		Japan — 9.4%
	9,300	Amano Corp.		265,593
	12,500	Credit Saison Co. Ltd.		299,549
	14,300	Daiwabo Holdings Co. Ltd.		292,832
	15,100	Denka Co. Ltd.		214,357
	10,400	EXEO Group, Inc. (a)		121,807
	16,300	Fuji Corp. (a)		236,928
	11,000	FUJIFILM Holdings Corp. (a)		248,890
	21,300	H.U. Group Holdings, Inc.		349,169
	54,900	Honda Motor Co. Ltd. (a)		473,676
	35,900	Inpex Corp. (a)		470,505

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	25,600	Isuzu Motors Ltd. (a)		341,490
	8,300	ITOCHU Corp. (a)		410,668
	22,900	Kanematsu Corp. (a)		390,486
	30,200	Kawasaki Kisen Kaisha Ltd. (a)		402,405
	13,300	Kirin Holdings Co. Ltd. (a)		185,849
	4,300	Kyudenko Corp. (a)		147,845
	7,800	Maruichi Steel Tube Ltd.		169,234
	7,400	Maxell Ltd.		84,700
	41,100	Mazda Motor Corp.		262,099
	23,400	Mitsubishi Electric Corp. (a)		397,317
	14,900	Mitsui OSK Lines Ltd. (a)		510,844
	3,600	Mizuno Corp.		196,681
	10,100	Morinaga & Co. Ltd.		184,882
	2,600	NEC Corp. (a)		222,296
	12,700	NH Foods Ltd. (a)		437,510
	15,200	Nippon Yusen KK (a)		487,322
	141,500	Nissan Motor Co. Ltd.		341,254
	59,700	Panasonic Holdings Corp. (a)		582,434
	60,800	Penta-Ocean Construction Co. Ltd. (a)		249,411
	12,400	Renesas Electronics Corp. (a)		162,639
	15,000	Rohm Co. Ltd. (a)		140,662
	4,800	Sankyu, Inc. (a)		166,151
	16,500	Sega Sammy Holdings, Inc. (a)		290,196
	61,220	Shinko Electric Industries Co. Ltd. * (a)		2,148,974
	24,800	Shionogi & Co. Ltd. (a)		351,781
	15,300	Stanley Electric Co. Ltd.		257,820
	20,200	Subaru Corp.		324,142
	24,900	SUMCO Corp.		201,317
	13,400	Sumitomo Corp. (a)		287,619
	17,400	Sumitomo Mitsui Financial Group, Inc. (a)		429,446
	16,500	Sumitomo Mitsui Trust Group, Inc.		413,684
	21,200	T&D Holdings, Inc. (a)		401,850
	10,800	THK Co. Ltd. (a)		261,296
	43,300	Tokai Carbon Co. Ltd.		262,941
	68,500	Tokyo Electric Power Co. Holdings, Inc. * (a)		246,481
	7,600	TOTO Ltd. (a)		205,370
	3,400	Toyota Industries Corp. (a)		254,151
	7,100	Toyota Tsusho Corp. (a)		121,479
	32,700	Yamaha Corp. (a)		241,062
	38,800	Yamaha Motor Co. Ltd.		338,054
	5,800	Zenkoku Hosho Co. Ltd.		207,943
		Total Japan		16,693,091
		Mexico — 0.1%
	26,442	Cemex SAB de CV Sponsored ADR		147,282
		Netherlands — 1.2%
	562	Akzo Nobel NV		32,815
	4,598	EXOR NV (a)		454,143
	34,109	ING Groep NV (a)		526,553
	1,404	JDE Peet’s NV (a)		27,950
	16,214	Koninklijke Ahold Delhaize NV (a)		559,658

Shares		Description	Value ($)
		Netherlands — continued
	10,598	NN Group NV (a)		491,836
		Total Netherlands		2,092,955
		New Zealand — 0.0%
	16,693	Meridian Energy Ltd. (a)		61,427
	7,872	Spark New Zealand Ltd.		13,633
		Total New Zealand		75,060
		Norway — 0.3%
	20,440	Equinor ASA (a)		495,415
		Poland — 0.2%
	29,865	ORLEN SA		375,736
	36,448	PGE Polska Grupa Energetyczna SA *		60,519
		Total Poland		436,255
		Singapore — 0.0%
	9,500	Wilmar International Ltd.		21,863
		South Korea — 1.7%
	5,998	Doosan Bobcat, Inc.		167,998
	2,368	GS Holdings Corp.		71,275
	427	Hana Financial Group, Inc.		19,148
	4,087	Hankook Tire & Technology Co. Ltd.		110,774
	1,987	HMM Co. Ltd.		25,604
	1,548	Hyundai Engineering & Construction Co. Ltd.		30,505
	820	Hyundai Glovis Co. Ltd.		72,502
	2,447	Hyundai Mobis Co. Ltd.		421,381
	1,741	Hyundai Motor Co.		274,406
	7,222	Kia Corp.		483,606
	2,588	LG Corp.		139,507
	7,307	LG Electronics, Inc.		472,299
	2,076	POSCO Holdings, Inc. Sponsored ADR (a)		107,163
	3,012	Samsung E&A Co. Ltd. *		38,877
	13,224	Samsung Electronics Co. Ltd.		520,010
	2,079	Shinhan Financial Group Co. Ltd.		79,661
		Total South Korea		3,034,716
		Spain — 0.6%
	56,592	Banco Bilbao Vizcaya Argentaria SA (a)		534,576
	127,997	Banco Santander SA (a)		590,912
		Total Spain		1,125,488
		Sweden — 0.6%
	32,761	Fastighets AB Balder – B Shares * (a)		252,449
	16,484	Investor AB – B Shares (a)		452,264
	2,328	Skanska AB – B Shares (a)		48,605
	153,124	Volvo Car AB – Class B *		335,789
		Total Sweden		1,089,107

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Switzerland — 0.6%
	15,741	Adecco Group AG (Registered) (a)		420,341
	1,799	Holcim AG (a)		183,353
	1,838	Roche Holding AG (a)		534,032
		Total Switzerland		1,137,726
		Thailand — 0.8%
	238,000	Energy Absolute PCL NVDR		44,408
	120,200	Kasikornbank PCL NVDR		528,108
	873,900	Krung Thai Bank PCL NVDR		510,710
	50,500	PTT Exploration & Production PCL NVDR		188,135
	27,800	PTT PCL NVDR		26,180
	27,700	SCB X PCL NVDR		92,549
	7,600	Thai Oil PCL NVDR		8,379
		Total Thailand		1,398,469
		Turkey — 0.1%
	16,119	Akbank TAS		28,301
	20,540	Turk Hava Yollari AO *		168,792
		Total Turkey		197,093
		United Kingdom — 4.2%
	14,127	3i Group PLC (a)		667,575
	141,903	Atlantica Sustainable Infrastructure PLC (a)		3,113,352
	1,421	Berkeley Group Holdings PLC (a)		75,099
	305,307	BT Group PLC (a)		619,207
	207,450	DS Smith PLC (a)		1,538,072
	15,119	GSK PLC Sponsored ADR (a)		516,011
	119,302	Kingfisher PLC (a)		376,277
	5,560	Taylor Wimpey PLC (a)		9,278
	96,209	Vodafone Group PLC (a)		86,804
	51,982	Vodafone Group PLC Sponsored ADR (a)		466,278
		Total United Kingdom		7,467,953
		United States — 65.8%
	2,065	3M Co. (a)		275,739
	2,473	AAON, Inc. (d)		337,169
	8,072	Acushnet Holdings Corp. (a) (d)		590,144
	3,371	Akamai Technologies, Inc. * (d)		316,941
	303,448	Albertsons Cos., Inc. – Class A (a)		6,023,443
	1,474	Allegion PLC (a)		207,598
	13,553	Ally Financial, Inc. (a)		541,849
	14,535	Altair Engineering, Inc. – Class A * (a)		1,535,041
	9,506	ANSYS, Inc. * (a)		3,337,557
	3,193	AptarGroup, Inc. (a) (d)		552,261
	5,107	Aptiv PLC * (d)		283,592
	4,489	Aramark (d)		182,657
	2,962	ArcBest Corp. (a)		341,459
	3,660	Arch Capital Group Ltd. (a)		368,635
	21,191	Arch Resources, Inc.		3,643,157
	2,022	Archer-Daniels-Midland Co. (a)		110,401
	3,979	ASGN, Inc. * (a) (d)		364,277

Shares		Description	Value ($)
		United States — continued
	1,375	Aspen Technology, Inc. * (d)		343,750
	1,336	Atkore, Inc. (a)		125,998
	88,748	Avangrid, Inc. (a)		3,203,803
	5,104	Axcelis Technologies, Inc. * (d)		378,921
	6,197	AZEK Co., Inc. * (a)		329,185
	2,369	Balchem Corp.		427,652
	13,588	Bank of America Corp. (a)		645,566
	4,578	Barnes Group, Inc. (a)		214,434
	13,956	Bath & Body Works, Inc. (a)		505,765
	52,000	Berkshire Hathaway, Inc. – Class B * (a)		25,117,040
	878	Bio-Rad Laboratories, Inc. – Class A * (a)		298,985
	4,210	Block, Inc. * (a)		372,796
	3,320	Builders FirstSource, Inc. * (a) (d)		619,080
	5,184	Cactus, Inc. – Class A (a) (d)		355,933
	3,422	Capital One Financial Corp. (a) (d)		657,058
	4,183	CBRE Group, Inc. – Class A * (a)		585,578
	8,628	Centene Corp. * (a)		517,680
	2,328	Chord Energy Corp. (a)		296,867
	7,959	Ciena Corp. *		554,901
	3,561	Cirrus Logic, Inc. * (a)		371,946
	5,674	Cisco Systems, Inc. (a)		335,958
	9,435	Citigroup, Inc. (a)		668,658
	32,030	Cleveland-Cliffs, Inc. *		398,774
	31,446	CNH Industrial NV (a)		394,962
	7,582	Cognizant Technology Solutions Corp. – Class A (a)		610,275
	2,799	Cohen & Steers, Inc. (a) (d)		292,943
	14,250	Comcast Corp. – Class A (a)		615,458
	264	Cummins, Inc. (a)		99,011
	303	Curtiss-Wright Corp. (a) (d)		113,210
	10,110	CVS Health Corp. (a)		605,084
	3,497	Discover Financial Services (a)		637,958
	1,962	Dolby Laboratories, Inc. – Class A (a)		153,664
	3,192	DR Horton, Inc. (a)		538,746
	9,447	eBay, Inc. (a)		597,901
	2,582	EPAM Systems, Inc. * (a)		629,801
	6,726	Essent Group Ltd. (a)		388,628
	779	Everest Group Ltd. (a) (d)		301,909
	118,950	Everi Holdings, Inc. * (a)		1,602,257
	3,355	Expedia Group, Inc. * (a)		619,400
	1,038	Fabrinet *		243,494
	55,141	Ford Motor Co. (a)		613,719
	1,504	Fox Corp. – Class A (a)		70,868
	12,766	Fox Corp. – Class B (a)		571,023
	24,632	Franklin Resources, Inc. (d)		560,624
	64,442	Frontier Communications Parent, Inc. * (a)		2,243,226
	1,185	FTI Consulting, Inc. * (a)		239,986
	95,635	GCI Liberty, Inc. * (d) (e)		—
	6,566	GE HealthCare Technologies, Inc. (a)		546,423
	11,393	General Motors Co. (a)		633,337
	14,072	Gentex Corp. (d)		430,040
	7,589	Globus Medical, Inc. – Class A * (a)		649,694

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	442	Goldman Sachs Group, Inc. (a)		268,988
	81,725	HashiCorp, Inc. – Class A * (a)		2,747,594
	43,419	Hess Corp. (a)		6,390,408
	27,910	Hewlett Packard Enterprise Co. (a)		592,250
	2,101	Houlihan Lokey, Inc. (a)		397,278
	16,260	HP, Inc. (a)		576,092
	249	Huntington Ingalls Industries, Inc. (d)		49,282
	7,323	Incyte Corp. * (a)		546,223
	1,543	Installed Building Products, Inc. (a)		352,946
	26,001	Intel Corp. (d)		625,324
	2,577	International Business Machines Corp. (a)		586,036
	2,739	J&J Snack Foods Corp.		476,011
	804	John B Sanfilippo & Son, Inc.		69,425
	51,611	Juniper Networks, Inc. (a)		1,853,867
	619	Kadant, Inc. (a) (d)		255,517
	37,838	Kellanova (a)		3,075,851
	9,529	Kinder Morgan, Inc. (a)		269,385
	16,259	Kraft Heinz Co. (d)		519,800
	2,707	Lancaster Colony Corp. (a) (d)		503,069
	2,804	Landstar System, Inc. (a)		521,320
	3,110	Lennar Corp. – Class A (d)		542,353
	40,495	Liberty Broadband Corp. – Class C * (a)		3,447,744
	8,431	Malibu Boats, Inc. – Class A * (d)		365,484
	14,963	Match Group, Inc. * (a) (d)		489,889
	205	Medpace Holdings, Inc. * (a)		69,829
	1,259	Merck & Co., Inc. (a)		127,965
	997	Meta Platforms, Inc. – Class A (a)		572,597
	3,507	Micron Technology, Inc. (a)		343,511
	1,886	Molson Coors Beverage Co. – Class B (a)		117,045
	18,908	Mosaic Co.		500,306
	25,789	Neogen Corp. * (d)		365,688
	10,079	New York Times Co. – Class A (a)		546,887
	3,856	Nucor Corp. (a)		596,485
	4,303	Ollie’s Bargain Outlet Holdings, Inc. * (d)		425,782
	6,650	ON Semiconductor Corp. * (d)		472,948
	6,523	Ovintiv, Inc. (a)		296,275
	4,402	PACCAR, Inc. (a)		515,034
	38,822	Paramount Global – Class B (d)		421,219
	7,500	PayPal Holdings, Inc. * (a)		650,775
	153,945	Pershing Square Tontine Holdings Ltd. * (c)		—
	20,938	Pfizer, Inc. (a)		548,785
	5,969	Power Integrations, Inc. (a)		391,029
	661	Preformed Line Products Co. (d)		89,909
	3,327	PriceSmart, Inc.		298,565
	3,961	PulteGroup, Inc. (a)		535,804
	1,801	RBC Bearings, Inc. * (a)		603,533
	706	Regeneron Pharmaceuticals, Inc. * (a)		529,655
	5,379	Skyworks Solutions, Inc. (a)		471,147
	7,917	Solventum Corp. * (a)		566,145
	3,977	Steel Dynamics, Inc. (a)		577,739
	8,203	StepStone Group, Inc. – Class A (a)		540,496
	9,179	Synchrony Financial (a)		619,766
	1,379	T. Rowe Price Group, Inc. (d)		170,775
	4,244	Tyson Foods, Inc. – Class A (a)		273,738
	101,147	U.S. Steel Corp. (d) (f)		4,123,763
	1,042	United Parcel Service, Inc. – Class B (d)		141,420

Shares / Par Value†		Description	Value ($)
		United States — continued
	1,277	Universal Display Corp. (a)		210,092
	14,533	Verizon Communications, Inc. (a)		644,393
	43,779	Viatris, Inc. (a)		573,067
	55,349	Walgreens Boots Alliance, Inc. (a) (d)		499,248
	1,996	Woodward, Inc. (a)		359,919
	2,777	XPEL, Inc. * (d)		120,800
	7,625	Zoom Communications, Inc. – Class A * (a)		630,511
		Total United States		116,406,670
		TOTAL COMMON STOCKS (COST $162,561,587)		172,881,145
		PREFERRED STOCKS (g) — 0.6%
		Germany — 0.6%
	2,025	Bayerische Motoren Werke AG (a)		138,728
	11,307	Porsche Automobil Holding SE		415,181
	5,486	Volkswagen AG (a)		470,287
		TOTAL PREFERRED STOCKS (COST $1,380,062)		1,024,196
		RIGHTS/WARRANTS — 0.4%
		Canada — 0.2%
	176,256	Resolute Forest Products, Inc. * (e)		352,512
		United States — 0.2%
	195,149	Bristol-Myers Squibb Co. * (e)		312,238
	13,635	Contra Abiomed, Inc. * (e)		23,861
	38,486	Pershing Square Holdings Ltd. * (e)		11,546
		Total United States		347,645
		TOTAL RIGHTS/WARRANTS (COST $548,620)		700,157
		INVESTMENT FUNDS — 1.1%
		United States — 1.1%
	1,356,086	Altaba, Inc. * (e)		1,898,521
		TOTAL INVESTMENT FUNDS (COST $1,031,681)		1,898,521
		DEBT OBLIGATIONS — 70.0%
		Dominican Republic — 0.5%
		Sovereign and Sovereign Agency Issuers — 0.5%
DOP	39,300,000	Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33		774,915
		United States — 69.4%
		U.S. Government — 31.1%
	9,615,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.61%, due 04/30/26 (a) (h)		9,614,219

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Par Value† / Shares		Description	Value ($)
		United States — continued
		U.S. Government — continued
	45,500,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.65%, due 07/31/26 (a) (h)		45,524,980
		Total U.S. Government		55,139,199
		U.S. Government Agency — 38.3%
	2,500,000	Uniform Mortgage-Backed Security, TBA, 5.50%, due 12/01/54		2,496,932
	64,500,000	Uniform Mortgage-Backed Security, TBA, 6.00%, due 12/01/54		65,254,836
		Total U.S. Government Agency		67,751,768
		Total United States		122,890,967
		Uruguay — 0.1%
		Sovereign and Sovereign Agency Issuers — 0.1%
UYU	11,000,000	Uruguay Government International Bonds, 8.25%, due 05/21/31		237,425
		TOTAL DEBT OBLIGATIONS (COST $123,496,329)		123,903,307
		MUTUAL FUNDS — 1.8%
		United States — 1.8%
		Affiliated Issuers — 1.8%
	160,655	GMO Resources Fund, Class VI		3,259,691
		TOTAL MUTUAL FUNDS (COST $3,875,000)		3,259,691
		SHORT-TERM INVESTMENTS — 14.4%
		Sovereign and Sovereign Agency Issuers — 8.2%
EGP	43,000,000	Egypt Treasury Bills, Zero Coupon, due 03/04/25		804,271
JPY	2,000,000,000	Japan Treasury Discount Bills, Zero Coupon, due 01/27/25		13,364,866
NGN	480,000,000	Nigeria Treasury Bills, Zero Coupon, due 03/27/25		265,158
		Total Sovereign and Sovereign Agency Issuers		14,434,295
		Money Market Funds — 1.6%
	2,891,464	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (i)		2,891,464

	Shares			Description	Value ($)
				Repurchase Agreements — 4.6%
		8,046,045		Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/29/24, maturing on 12/02/24 with a maturity value of $8,049,109 and an effective yield of 4.57%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $8,087,570.		8,046,045
				TOTAL SHORT-TERM INVESTMENTS (COST $25,420,686)		25,371,804
				TOTAL INVESTMENTS — 185.9% (Cost $318,313,965)		329,038,821
				SECURITIES SOLD SHORT — (65.1)%
				Common Stocks — (49.3)%
				Australia — (1.6)%
		(5,004	)	ASX Ltd.		(216,067	)
		(10,432	)	CAR Group Ltd.		(283,535	)
		(974	)	Cochlear Ltd.		(193,942	)
		(51,239	)	Lottery Corp. Ltd.		(173,715	)
		(1,641	)	Mineral Resources Ltd.		(36,213	)
		(2,930	)	Pro Medicus Ltd.		(483,547	)
		(2,157	)	Ramsay Health Care Ltd.		(55,871	)
		(1,704	)	REA Group Ltd.		(281,041	)
		(6,391	)	WiseTech Global Ltd.		(536,928	)
		(5,055	)	Xero Ltd. *		(575,624	)
				Total Australia		(2,836,483	)
				Austria — (0.1)%
		(2,153	)	Verbund AG		(172,018	)
				Belgium — (0.4)%
		(892	)	Argenx SE *		(550,511	)
		(11	)	Lotus Bakeries NV		(132,410	)
				Total Belgium		(682,921	)
				Brazil — (0.3)%
		(40,227	)	NU Holdings Ltd. – Class A *		(504,044	)
				Canada — (2.8)%
		(4,525	)	Agnico Eagle Mines Ltd.		(382,001	)
		(22,400	)	AltaGas Ltd.		(547,820	)
		(10,426	)	Cameco Corp.		(619,826	)
		(210	)	Descartes Systems Group, Inc. *		(24,543	)
		(14,941	)	Enbridge, Inc.		(648,141	)
		(4,378	)	Franco-Nevada Corp.		(536,830	)
		(12,461	)	GFL Environmental, Inc.		(586,913	)
		(22,220	)	Pan American Silver Corp.		(488,173	)
		(14,421	)	Pembina Pipeline Corp.		(596,597	)
		(7,538	)	Restaurant Brands International, Inc.		(524,720	)
				Total Canada		(4,955,564	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares			Description	Value ($)
			Denmark — (0.3)%
	(3,917	)	Coloplast AS – Class B		(494,392	)
	(4,410	)	Tryg AS		(101,775	)
			Total Denmark		(596,167	)
			France — (0.8)%
	(2,418	)	Accor SA		(111,690	)
	(2,972	)	Aeroports de Paris SA		(344,217	)
	(24,830	)	Getlink SE		(406,025	)
	(262	)	Hermes International SCA		(571,848	)
	(424	)	Sodexo SA		(35,261	)
			Total France		(1,469,041	)
			Germany — (1.4)%
	(2,262	)	adidas AG		(534,915	)
	(12,838	)	Delivery Hero SE *		(527,410	)
	(1,765	)	MTU Aero Engines AG		(601,721	)
	(916	)	Puma SE		(43,045	)
	(1,718	)	Qiagen NV *		(75,146	)
	(274	)	Rational AG		(256,621	)
	(1,452	)	Siemens Energy AG *		(78,774	)
	(1,205	)	Symrise AG		(133,299	)
	(2,847	)	Talanx AG		(241,372	)
			Total Germany		(2,492,303	)
			Israel — (0.8)%
	(1,830	)	CyberArk Software Ltd. *		(592,023	)
	(1,852	)	Monday.com Ltd. *		(528,487	)
	(1,278	)	Wix.com Ltd. *		(285,940	)
			Total Israel		(1,406,450	)
			Italy — (1.0)%
	(10,218	)	Amplifon SpA		(259,514	)
	(636	)	DiaSorin SpA		(71,111	)
	(1,316	)	Ferrari NV		(573,285	)
	(27,581	)	FinecoBank Banca Fineco SpA		(442,562	)
	(41,517	)	Infrastrutture Wireless Italiane SpA		(427,843	)
			Total Italy		(1,774,315	)
			Japan — (3.4)%
	(2,000	)	Advantest Corp.		(110,761	)
	(21,800	)	Aeon Co. Ltd.		(524,300	)
	(8,800	)	ANA Holdings, Inc.		(170,034	)
	(10,100	)	Asics Corp.		(204,054	)
	(700	)	Daiichi Sankyo Co. Ltd.		(22,229	)
	(1,300	)	Disco Corp.		(355,245	)
	(1,700	)	FANUC Corp.		(44,168	)
	(44,800	)	Japan Exchange Group, Inc.		(542,127	)
	(6,500	)	Kintetsu Group Holdings Co. Ltd.		(138,926	)
	(12,400	)	Kobe Bussan Co. Ltd.		(313,156	)
	(3,800	)	Lasertec Corp.		(418,516	)
	(1,500	)	Mitsubishi Heavy Industries Ltd.		(22,084	)
	(22,800	)	MonotaRO Co. Ltd.		(407,353	)

Shares			Description	Value ($)
			Japan — continued
	(21,100	)	Oriental Land Co. Ltd.		(497,885	)
	(86,200	)	Rakuten Group, Inc. *		(496,783	)
	(18,600	)	Shiseido Co. Ltd.		(346,115	)
	(417,000	)	SoftBank Corp.		(538,976	)
	(1,100	)	SoftBank Group Corp.		(65,942	)
	(19,700	)	Tokyu Corp.		(230,510	)
	(5,500	)	West Japan Railway Co.		(103,573	)
	(5,800	)	Zensho Holdings Co. Ltd.		(350,176	)
	(700	)	ZOZO, Inc.		(22,089	)
			Total Japan		(5,925,002	)
			Netherlands — (1.0)%
	(425	)	Adyen NV *		(618,593	)
	(135	)	ASM International NV		(72,654	)
	(3,663	)	BE Semiconductor Industries NV		(435,534	)
	(3,287	)	InPost SA *		(57,561	)
	(11,055	)	OCI NV		(129,199	)
	(22,270	)	Universal Music Group NV		(536,251	)
			Total Netherlands		(1,849,792	)
			Norway — (0.1)%
	(1,596	)	Kongsberg Gruppen ASA		(188,076	)
			Peru — (0.3)%
	(5,006	)	Southern Copper Corp.		(502,352	)
			Singapore — (0.5)%
	(47,600	)	CapitaLand Investment Ltd.		(97,127	)
	(104,685	)	Grab Holdings Ltd. – Class A *		(523,425	)
	(35,200	)	Keppel Ltd.		(177,006	)
			Total Singapore		(797,558	)
			Spain — (0.6)%
	(14,075	)	Cellnex Telecom SA *		(505,792	)
	(14,183	)	Ferrovial SE		(585,091	)
			Total Spain		(1,090,883	)
			Sweden — (0.5)%
	(15,618	)	Beijer Ref AB		(246,402	)
	(17,204	)	EQT AB		(521,578	)
	(1,986	)	Lifco AB – Class B		(60,343	)
			Total Sweden		(828,323	)
			Switzerland — (0.4)%
	(7,101	)	Avolta AG		(263,578	)
	(637	)	Bachem Holding AG		(49,363	)
	(12,598	)	SIG Group AG		(249,755	)
	(424	)	VAT Group AG		(169,377	)
			Total Switzerland		(732,073	)
			United Kingdom — (2.5)%
	(421	)	Admiral Group PLC		(13,735	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares			Description	Value ($)
			United Kingdom — continued
	(35,756	)	Auto Trader Group PLC		(381,942	)
	(3,017	)	Entain PLC		(30,943	)
	(50,713	)	Informa PLC		(553,238	)
	(4,659	)	InterContinental Hotels Group PLC		(581,323	)
	(4,613	)	London Stock Exchange Group PLC		(661,129	)
	(11,860	)	M&G PLC		(29,923	)
	(24,392	)	Melrose Industries PLC		(178,484	)
	(45,202	)	Phoenix Group Holdings PLC		(295,851	)
	(87,205	)	Rolls-Royce Holdings PLC *		(620,329	)
	(14,032	)	Severn Trent PLC		(481,684	)
	(1,884	)	United Utilities Group PLC		(26,849	)
	(46,250	)	Wise PLC – Class A *		(519,590	)
			Total United Kingdom		(4,375,020	)
			United States — (30.5)%
	(597	)	AbbVie, Inc.		(109,209	)
	(33,317	)	AES Corp.		(434,454	)
	(2,149	)	Alnylam Pharmaceuticals, Inc. *		(543,847	)
	(211	)	Amgen, Inc.		(59,686	)
	(104	)	Aon PLC – Class A		(40,720	)
	(2,104	)	Arthur J Gallagher & Co.		(656,953	)
	(1,013	)	Axon Enterprise, Inc. *		(655,371	)
	(712	)	Bentley Systems, Inc. – Class B		(35,244	)
	(3,665	)	Boeing Co. *		(569,688	)
	(2,137	)	Burlington Stores, Inc. *		(602,378	)
	(12,309	)	Caesars Entertainment, Inc. *		(473,773	)
	(15,829	)	Celsius Holdings, Inc. *		(450,335	)
	(9,557	)	Charter Communications, Inc. – Class A *		(3,793,795	)
	(44,517	)	Chevron Corp.		(7,208,638	)
	(10,395	)	Chipotle Mexican Grill, Inc. *		(639,500	)
	(6,267	)	Cloudflare, Inc. – Class A *		(625,635	)
	(352,554	)	Coeur Mining, Inc. *		(2,277,499	)
	(4	)	ConocoPhillips		(433	)
	(28,102	)	CONSOL Energy, Inc.		(3,672,931	)
	(351	)	CoStar Group, Inc. *		(28,550	)
	(7,265	)	Dayforce, Inc. *		(581,127	)
	(317	)	Dexcom, Inc. *		(24,723	)
	(13,631	)	DraftKings, Inc. – Class A *		(594,993	)
	(111	)	Ecolab, Inc.		(27,613	)
	(13,589	)	EQT Corp.		(617,484	)
	(11,830	)	Equitable Holdings, Inc.		(570,561	)
	(1,058	)	Erie Indemnity Co. – Class A		(466,112	)
	(8,870	)	Exact Sciences Corp. *		(550,650	)
	(441	)	Expand Energy Corp.		(43,641	)
	(274	)	Fair Isaac Corp. *		(650,758	)
	(3,345	)	Fastenal Co.		(279,508	)
	(7,356	)	Fidelity National Information Services, Inc.		(627,467	)
	(579	)	Fiserv, Inc. *		(127,936	)
	(2,274	)	Flutter Entertainment PLC *		(625,841	)
	(537	)	Gartner, Inc. *		(278,128	)
	(181	)	GE Vernova, Inc. *		(60,476	)
	(283	)	HEICO Corp.		(77,364	)
	(891	)	HubSpot, Inc. *		(642,456	)

Shares			Description	Value ($)
			United States — continued
	(2,770	)	Hyatt Hotels Corp. – Class A		(437,494	)
	(2,242	)	Insulet Corp. *		(598,121	)
	(26,658	)	International Paper Co.		(1,568,290	)
	(7,196	)	Liberty Media Corp.-Liberty Formula One – Class C *		(635,839	)
	(1,207	)	Linde PLC		(556,415	)
	(4,416	)	Live Nation Entertainment, Inc. *		(610,512	)
	(1,747	)	Manhattan Associates, Inc. *		(498,664	)
	(514	)	Marvell Technology, Inc.		(47,643	)
	(1,115	)	Mastercard, Inc. – Class A		(594,228	)
	(182	)	MercadoLibre, Inc. *		(361,301	)
	(2,087	)	MongoDB, Inc. *		(673,037	)
	(733	)	Moody’s Corp.		(366,485	)
	(1,000	)	MSCI, Inc.		(609,630	)
	(2,914	)	Newmont Corp.		(122,213	)
	(6,579	)	Okta, Inc. *		(510,267	)
	(94	)	Old Dominion Freight Line, Inc.		(21,163	)
	(5,584	)	ONEOK, Inc.		(634,342	)
	(10,044	)	Palantir Technologies, Inc. – Class A *		(673,752	)
	(1,495	)	Palo Alto Networks, Inc. *		(579,791	)
	(4,278	)	Paychex, Inc.		(625,743	)
	(2,932	)	PTC, Inc. *		(586,576	)
	(3,338	)	Repligen Corp. *		(502,503	)
	(37,122	)	Rivian Automotive, Inc. – Class A *		(454,002	)
	(11,585	)	ROBLOX Corp. – Class A *		(580,756	)
	(772	)	Roku, Inc. *		(53,291	)
	(11,007	)	Rollins, Inc.		(553,982	)
	(24	)	S&P Global, Inc.		(12,540	)
	(10,917	)	Samsara, Inc. – Class A *		(583,950	)
	(479	)	ServiceNow, Inc. *		(502,682	)
	(164	)	Sherwin-Williams Co.		(65,174	)
	(4,613	)	Snowflake, Inc. – Class A *		(806,352	)
	(529	)	Starbucks Corp.		(54,201	)
	(3,284	)	Synopsys, Inc. *		(1,834,081	)
	(3,257	)	Take-Two Interactive Software, Inc. *		(613,554	)
	(1,828	)	Tesla, Inc. *		(630,953	)
	(123	)	Texas Pacific Land Corp.		(196,811	)
	(13,653	)	Toast, Inc. – Class A *		(594,452	)
	(4,448	)	Trade Desk, Inc. – Class A *		(571,790	)
	(434	)	TransDigm Group, Inc.		(543,789	)
	(115	)	Tyler Technologies, Inc. *		(72,355	)
	(8,529	)	Uber Technologies, Inc. *		(613,747	)
	(126	)	Verisk Analytics, Inc.		(37,070	)
	(204	)	Vertiv Holdings Co. – Class A		(26,030	)
	(4,029	)	Vistra Corp.		(643,995	)
	(1,110	)	Watsco, Inc.		(612,276	)
	(10,823	)	Williams Cos., Inc.		(633,362	)
	(7,605	)	Zillow Group, Inc. – Class C *		(644,220	)
	(2,877	)	Zscaler, Inc. *		(594,359	)
			Total United States		(54,069,260	)
			TOTAL COMMON STOCKS (PROCEEDS $73,741,323)		(87,247,645	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares / Par Value†			Description	Value ($)
			PREFERRED STOCKS (g) — (0.2)%
			Germany — (0.2)%
	(1,690	)	Sartorius AG		(390,221	)
			TOTAL PREFERRED STOCKS (PROCEEDS $568,359)		(390,221	)
			DEBT OBLIGATIONS — (15.6)%
			United States — (15.6)%
			U.S. Government Agency — (15.6)%
	(30,000,000	)	Uniform Mortgage-Backed Security, TBA, 2.50%, due 12/01/39		(27,638,439	)
			TOTAL DEBT OBLIGATIONS (PROCEEDS $27,325,781)		(27,638,439	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $101,635,463)		(115,276,305	)
			Other Assets and Liabilities (net) — (20.8)%		(36,721,232	)
			TOTAL NET ASSETS — 100.0%	$	177,041,284

A summary of outstanding financial instruments at November 30, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
02/12/2025	SSB		AUD	1,290,000		USD	859,359		17,611
12/03/2024	BCLY		BRL	13,702,529		USD	2,359,657		82,279
12/03/2024	GS		BRL	850,000		USD	148,114		6,843
12/03/2024	MSCI		BRL	33,991,648		USD	5,849,535		200,079
01/15/2025	CITI		CHF	1,060,000		USD	1,235,455		26,078
01/15/2025	SSB		CHF	3,437,275		USD	4,039,945		118,285
02/20/2025	BCLY		CLP	140,000,000		USD	143,946		378
01/15/2025	MSCI		CZK	17,429,024		USD	741,155		10,862
01/28/2025	BOA		EUR	1,370,000		USD	1,486,067		34,727
02/12/2025	BCLY		EUR	777,852		USD	829,077		4,451
01/28/2025	CITI		EUR	79,000		USD	85,259		1,569
01/28/2025	JPM		EUR	665,700		USD	722,439		17,216
01/28/2025	MSCI		EUR	58,000		USD	61,875		432
02/14/2025	SSB		EUR	4,390,000		USD	4,753,713		99,262
02/12/2025	SSB		EUR	753,362		USD	815,923		17,259
01/15/2025	CITI		GBP	350,000		USD	453,410		8,088
01/15/2025	MSCI		GBP	570,000		USD	739,048		13,809
02/18/2025	CITI		HUF	40,000,000		USD	102,398		395
02/18/2025	MSCI		HUF	10,479,461		USD	27,007		284
01/31/2025	MSCI		INR	44,000,000		USD	521,284		2,542
01/27/2025	SSB		JPY	2,000,000,000		USD	13,517,754		54,421
02/20/2025	CITI		KRW	1,411,169,825		USD	1,015,905		849
02/14/2025	JPM		NZD	7,480,000		USD	4,466,882		33,069
02/14/2025	SSB		NZD	860,000		USD	515,187		5,417
01/23/2025	BCLY		PHP	22,000,000		USD	380,577		5,754
01/27/2025	BCLY		RON	2,441,896		USD	528,267		11,153
01/27/2025	BBH		RON	350,000		USD	76,036		1,918

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/27/2025	GS		RON	850,000		USD	182,034		2,032
01/21/2025	CITI		TWD	3,600,000		USD	113,191		1,908
01/21/2025	GS		TWD	2,100,000		USD	66,086		1,171
01/21/2025	SSB		TWD	16,243,349		USD	510,220		8,107
01/15/2025	SSB		USD	473,554		CAD	662,285		285
02/05/2025	UBSA		USD	359,945		CAD	506,995		3,065
02/20/2025	GS		USD	1,309,381		CLP	1,280,196,500		3,435
01/15/2025	CITI		USD	100,023		CZK	2,400,000		540
01/31/2025	MSCI		USD	3,411,460		EUR	3,246,953		28,723
01/28/2025	MSCI		USD	34,898		EUR	33,000		62
01/28/2025	BNYM		USD	82,158		EUR	78,000		473
01/31/2025	BOA		USD	625,531		GBP	498,968		9,276
02/12/2025	DB		USD	123,446		ILS	450,000		665
01/31/2025	BCLY		USD	318,026		JPY	48,599,087		9,281
01/14/2025	SSB		USD	5,100,955		JPY	781,915,155		154,547
01/31/2025	JPM		USD	236,957		KES	32,700,000		12,279
02/04/2025	BCLY		USD	2,283,676		MXN	47,644,114		40,041
01/15/2025	GS		USD	68,167		MXN	1,400,000		326
01/15/2025	MSCI		USD	183,260		MXN	3,800,000		2,649
02/04/2025	MSCI		USD	2,278,099		MXN	47,644,114		45,619
01/28/2025	UBSA		USD	1,254,721		NOK	13,946,365		8,559
01/14/2025	MSCI		USD	3,260,066		PEN	12,360,000		37,651
01/23/2025	CITI		USD	144,693		PHP	8,500,000		125
02/20/2025	BOA		USD	174,749		THB	6,000,000		1,285
02/20/2025	DB		USD	2,125,013		THB	73,547,749		32,812
01/15/2025	BCLY		USD	2,186,450		TRY	82,650,000		93,373
02/28/2025	MSCI		USD	3,984,542		ZAR	73,100,000		41,273

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/31/2025	MSCI		AUD	7,251,350		USD	4,699,794		(31,718	)
01/15/2025	CITI		CAD	820,000		USD	583,365		(3,314	)
01/15/2025	CITI		CHF	480,000		USD	545,979		(1,663	)
01/31/2025	SSB		CHF	9,828,636		USD	11,159,604		(74,287	)
01/28/2025	CITI		EUR	35,000		USD	36,970		(108	)
01/15/2025	CITI		GBP	380,000		USD	481,406		(2,087	)
01/23/2025	CITI		IDR	4,105,000,000		USD	257,872		(620	)
02/12/2025	BOA		ILS	1,067,605		USD	288,125		(6,323	)
02/26/2025	BCLY		JPY	362,422,400		USD	2,375,655		(72,652	)
12/03/2024	BCLY		MXN	47,644,114		USD	2,307,992		(39,876	)
12/03/2024	MSCI		MXN	47,644,114		USD	2,302,329		(45,540	)
01/28/2025	UBSA		NOK	2,545,309		USD	228,592		(1,965	)
01/31/2025	BOA		NZD	3,665,522		USD	2,139,726		(32,687	)
02/20/2025	CITI		PLN	1,400,000		USD	340,941		(2,577	)
02/20/2025	SSB		PLN	400,000		USD	96,728		(1,420	)
01/21/2025	SSB		SEK	6,245,011		USD	570,103		(4,633	)
01/21/2025	UBSA		SEK	1,853,784		USD	168,684		(1,922	)
01/24/2025	SSB		SGD	120,000		USD	89,574		(237	)
01/15/2025	BCLY		TRY	15,200,000		USD	413,988		(5,289	)
12/03/2024	BCLY		USD	2,499,321		BRL	13,702,529		(221,943	)
02/04/2025	BCLY		USD	2,340,272		BRL	13,702,529		(80,509	)
02/04/2025	CITI		USD	76,767		BRL	450,000		(2,554	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
12/03/2024	GS		USD	86,249		BRL	500,000		(3,149	)
12/03/2024	MSCI		USD	6,264,895		BRL	34,341,648		(557,268	)
02/04/2025	MSCI		USD	5,802,108		BRL	33,991,648		(196,349	)
02/05/2025	BOA		USD	2,654,626		CAD	3,682,642		(17,848	)
02/20/2025	GS		USD	107,732		COP	480,000,000		(551	)
02/20/2025	MSCI		USD	1,961,114		COP	8,739,300,000		(9,696	)
01/15/2025	MSCI		USD	2,381,165		CZK	55,029,024		(75,397	)
01/28/2025	CITI		USD	57,350		EUR	52,400		(1,839	)
01/15/2025	MSCI		USD	4,364,532		GBP	3,340,000		(114,886	)
01/23/2025	CITI		USD	3,222,637		IDR	50,176,943,000		(63,001	)
12/03/2024	BCLY		USD	2,412,910		MXN	47,644,114		(65,042	)
01/15/2025	DB		USD	3,896,064		MXN	77,418,725		(108,460	)
12/03/2024	MSCI		USD	2,412,490		MXN	47,644,114		(64,622	)
01/15/2025	SSB		USD	177,244		MXN	3,600,000		(1,119	)
01/15/2025	BOA		USD	466,146		NOK	5,000,000		(13,244	)
01/28/2025	BCLY		USD	15,095,009		NOK	165,483,568		(105,291	)
01/15/2025	CITI		USD	607,723		NOK	6,700,000		(834	)
01/15/2025	SSB		USD	4,619,057		NOK	49,827,768		(105,637	)
02/12/2025	CITI		USD	537,000		SEK	5,800,000		(2,517	)
02/12/2025	SSB		USD	1,126,142		SEK	12,055,521		(15,198	)
								$	(841,280	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
5	Australia Government Bond 10 Yr.	December 2024		369,385		(3,659	)
100	CAC40 10 Euro	December 2024		7,659,426		8,037
10	Canadian Government Bond 10 Yr.	March 2025		881,540		21,641
62	Cotton (h)	March 2025		2,229,830		(4,574	)
16	FTSE 100 Index	December 2024		1,692,108		36,120
34	FTSE MIB Index	December 2024		6,016,581		(47,566	)
17	Hang Seng Index	December 2024		2,142,591		44,489
145	Iron Ore (h)	January 2025		1,508,290		43,677
22	Lean Hogs (h)	February 2025		759,660		7,494
8	NY Harbor ULSD Futures (h)	December 2024		736,646		(17,279	)
11	NYMEX Platinum Futures (h)	January 2025		524,755		(6,238	)
3	RBOB Gasoline (h)	December 2024		239,249		(4,296	)
6	S&P 500 E-Mini	December 2024		1,815,450		44,058
16	Silver (h)	March 2025		2,488,640		(16,252	)
70	Soybean Meal (h)	January 2025		2,043,300		(32,657	)
18	Sugar (h)	February 2025		424,973		825
66	TOPIX Index	December 2024		11,833,131		328,618
32	U.S. Treasury Note 10 Yr. (CBT)	March 2025		3,558,000		34,119
4	U.S. Treasury Ultra 10 Yr. (CBT)	March 2025		459,187		2,718
1	U.S. Ultra Bond (CBT)	March 2025		127,187		4,130

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
26	UK Gilt Long Bond	March 2025		3,172,398		38,058
17	WTI Crude (h)	December 2024		1,156,000		(13,175	)
			$	51,838,327	$	468,288
Sales
35	Cocoa (h)	March 2025		3,298,750		(700,613	)
4	Coffee (h)	March 2025		477,075		(89,308	)
17	Copper (h)	March 2025		1,759,500		70,450
207	Corn (h)	March 2025		4,481,550		67,032
8	DAX Index	December 2024		4,163,817		(22,474	)
179	E-mini Russell 2000 Index	December 2024		21,879,170		(2,088,169	)
15	Euro Bund	December 2024		2,136,431		(25,023	)
9	Euro Bund	March 2025		1,297,361		(80	)
15	FTSE Taiwan Index	December 2024		1,127,198		18,938
7	Gold (h)	February 2025		1,876,700		(26,761	)
63	IFSC NIFTY 50 Index	December 2024		3,070,083		8,021
41	KOSPI 200 Index	December 2024		2,415,974		114,068
22	Live Cattle Futures (h)	February 2025		1,659,900		(21,466	)
90	MSCI Singapore	December 2024		2,514,809		(16,098	)
3	Natural Gas (h)	December 2024		100,890		(6,295	)
138	OMX Stockholm 30 Index	December 2024		3,190,581		(1,320	)
27	S&P/TSX 60	December 2024		5,938,245		(359,489	)
31	Soybean (h)	January 2025		1,533,725		1,589
113	Soybean Oil (h)	January 2025		2,829,972		308,648
30	SPI 200 Futures	December 2024		4,148,038		(111,434	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Futures Contracts — continued

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
12	Swiss Market New Index Futures	December 2024	$	1,601,455	$	54,705
133	U.S. Treasury Note 2 Yr. (CBT)	March 2025		27,412,547		(77,045	)
64	U.S. Treasury Note 5 Yr. (CBT)	March 2025		6,886,500		(46,152	)
55	Wheat (h)	March 2025		1,507,000		65,541
			$	107,307,271	$	(2,882,735	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

Written Options

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount				Value ($)
Equity Options – Calls
U.S. Steel Corp.(f)		40.00		01/17/25		(601	)		USD	(2,450,277	)		(378,630	)
Index Options – Puts
S&P 500 Index		5,860.00		12/06/24		(4	)		USD	(2,412,952	)		(740	)
S&P 500 Index		5,810.00		12/13/24		(4	)		USD	(2,412,952	)		(2,480	)
S&P 500 Index		5,730.00		12/20/24		(4	)		USD	(2,412,952	)		(3,760	)
S&P 500 Index		6,000.00		12/27/24		(4	)		USD	(2,412,952	)		(18,400	)
S&P 500 Index		5,870.00		01/03/25		(3	)		USD	(1,809,714	)		(8,430	)
S&P 500 Index		5,970.00		01/10/25		(3	)		USD	(1,809,714	)		(15,780	)
S&P 500 Index		6,035.00		01/17/25		(3	)		USD	(1,809,714	)		(23,367	)
		Total Index Options – Puts											(72,957	)

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.HY.S43

BCLY

1.07

%

01/15/25

USD

(62,545,000)

Fixed Spread

Pay

(133,128

)

CDX.NA.HY.S43

GS

1.08

%

12/18/24

USD

(26,805,000)

Fixed Spread

Pay

(41,146

)

Total Written Options On Credit Default Swaps — Puts

(174,274

)

TOTAL WRITTEN OPTIONS (Premiums $949,997)

$

(625,861

)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

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.XO.42	EUR	472,000		5.00%		1.57%		N/A		12/20/2029		Quarterly		(41,469	)		(42,985	)		(1,516	)
CDX.NA.HY.S43	USD	21,990,000		5.00%		2.95%		N/A		12/20/2029		Quarterly		(1,802,205	)		(1,889,161	)		(86,956	)
CDX.NA.IG.S43	USD	58,548,000		1.00%		0.56%		N/A		12/20/2029		Quarterly		(1,330,652	)		(1,396,428	)		(65,776	)
Sell Protection^:
ITRAXX.EUR.42	EUR	12,809,000		1.00%		2.97%		12,809,000 EUR		12/20/2029		Quarterly		291,293			282,413			(8,880	)
													$	(2,883,033	)	$	(3,046,161	)	$	(163,128	)

OTC Credit Default Swaps

Reference Entity	Counter-  party	Notional Amount		Annual Premium		Implied Credit Spread (1)		Maximum Potential Amount of Future Payments by the Fund Under the Contract (2)		Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Buy Protection^:
CDX.NA.HY.S33	CITI	USD	2,222,000		5.00%		21.87%		N/A		12/20/2024		Quarterly		(53,637	)		(6,277	)		47,360
CMBX.NA.BBB-.11	CGMI	USD	1,886,000		3.00%		3.22%		N/A		11/18/2054		Monthly		397,828			236,929			(160,899	)
CMBX.NA.BBB-.9	MLCS	USD	1,973,000		3.00%		0.49%		N/A		09/17/2058		Monthly		158,620			311,672			153,052
CMBX.NA.A.15	CGMI	USD	2,222,000		2.00%		0.66%		N/A		11/18/2064		Monthly		266,640			141,520			(125,120	)
CMBX.NA.A.15	MSCI	USD	2,222,500		2.00%		0.66%		N/A		11/18/2064		Monthly		134,225			141,552			7,327
CMBX.NA.BBB-.14	CGMI	USD	576,500		3.00%		21.87%		N/A		12/16/2072		Monthly		162,861			107,726			(55,135	)
Sell Protection^:
CDX.NA.HY.S33	CITI	USD	4,363,808		5.00%		2.01%		4,363,808 USD		12/20/2024		Quarterly		752,539			12,327			(740,212	)
ITRAXX.XO.42	JPM	EUR	8,890,000		5.00%		8.23%		8,890,000 EUR		12/20/2029		Quarterly		1,882,744			1,833,054			(49,690	)
CMBX.NA.A.9	CGMI	USD	1,112,500		2.00%		0.07%		1,112,500 USD		09/17/2058		Monthly		(33,096	)		(56,564	)		(23,468	)
CMBX.NA.A.9	CGMI	USD	1,780,000		2.00%		8.51%		1,780,000 USD		09/17/2058		Monthly		(44,602	)		(90,503	)		(45,901	)
CMBX.NA.A.9	MLCS	USD	1,350,000		2.00%		24.15%		1,350,000 USD		09/17/2058		Monthly		2,641			(68,640	)		(71,281	)
CMBX.NA.A.9	MORD	USD	2,222,000		2.00%		24.15%		2,222,000 USD		09/17/2058		Monthly		(204,146	)		(112,976	)		91,170
CMBX.NA.AA.10	GS	USD	4,610,000		0.50%		0.07%		4,610,000 USD		11/17/2059		Monthly		42,163			430			(41,733	)
CMBX.NA.AAA.15	CGMI	USD	4,445,000		0.50%		7.54%		4,445,000 USD		11/18/2064		Monthly		(165,846	)		(39,447	)		126,399
CMBX.NA.AAA.15	GS	USD	1,730,000		0.50%		21.87%		1,730,000 USD		11/18/2064		Monthly		(26,617	)		(15,353	)		11,264
CMBX.NA.AAA.15	MSCI	USD	4,445,000		0.50%		0.64%		4,445,000 USD		11/18/2064		Monthly		(64,210	)		(39,448	)		24,762
CMBX.NA.AAA.14	CGMI	USD	11,125,000		0.50%		8.23%		11,125,000 USD		12/16/2072		Monthly		(218,513	)		(63,425	)		155,088
														$	2,989,594		$	2,292,577		$	(697,017	)

^ 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 November 30, 2024, 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.

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Swap Contracts — continued

Centrally Cleared Interest Rate Swaps

Fund Pays	Fund Receives	Notional Amount		Expiration Date		Periodic Payment Frequency	Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
3.56%	3 Month AUD BBSW	AUD	18,770,000		12/18/2026	Quarterly		(1,420	)		94,017			95,437
3.79%	3 Month AUD BBSW	AUD	7,500,000		12/18/2026	Quarterly		—			16,903			16,903
4.07%	3 Month AUD BBSW	AUD	9,500,000		12/18/2026	Quarterly		—			(11,854	)		(11,854	)
CAD-CORRA-OIS-COMPOUND	2.85%	CAD	11,980,000		12/18/2026	Annually		5,639			(1,591	)		(7,230	)
CAD-CORRA-OIS-COMPOUND	2.99%	CAD	2,500,000		12/18/2026	Annually		—			4,258			4,258
CHF-SARON-OIS-COMPOUND	0.27%	CHF	5,000,000		12/18/2026	Annually		—			17,542			17,542
CHF-SARON-OIS-COMPOUND	0.51%	CHF	27,290,000		12/18/2026	Annually		(27,478	)		245,483			272,961
EUR - EuroSTR - COMPOUND	2.16%	EUR	2,500,000		12/18/2026	Annually		—			16,264			16,264
EUR - EuroSTR - COMPOUND	2.17%	EUR	2,500,000		12/18/2026	Annually		—			16,810			16,810
2.15%	EUR - EuroSTR - COMPOUND	EUR	910,000		12/18/2026	Annually		526			(5,731	)		(6,257	)
3.90%	GBP - SONIA - COMPOUND	GBP	2,500,000		12/18/2026	Annually		—			12,279			12,279
3.53%	3 Month NZD Bank Bill Rate	NZD	20,110,000		12/18/2026	Quarterly		(7,122	)		35,796			42,918
USD - SOFR - COMPOUND	3.19%	USD	3,500,000		12/18/2026	Annually		—			(52,577	)		(52,577	)
USD - SOFR - COMPOUND	3.28%	USD	3,540,000		12/18/2026	Annually		1,343			(46,974	)		(48,317	)
3.91%	USD - SOFR - COMPOUND	USD	3,000,000		12/18/2026	Annually		—			3,724			3,724
BRL-CDI	11.80%	BRL	13,729,188		01/02/2029	At Maturity		812			(161,842	)		(162,654	)
MXN-TIIE ON-OIS COMPOUND	8.99%	MXN	9,000,000		12/12/2029	Annually		1,356			3,590			2,234
CL-CLICP-Bloomberg	4.94%	CLP	200,000,000		12/18/2029	Semi-annual		—			560			560
4.44%	CL-CLICP-Bloomberg	CLP	1,700,000,000		12/18/2029	Semi-annual		(10,797	)		34,344			45,141
1.70%	CNY-CNREPOFIX=CFXS-Reuters	CNY	10,500,000		12/18/2029	Quarterly		(706	)		(7,500	)		(6,794	)
1.78%	CNY-CNREPOFIX=CFXS-Reuters	CNY	2,550,000		12/18/2029	Quarterly		—			(3,169	)		(3,169	)
1.62%	CNY-CNREPOFIX=CFXS-Reuters	CNY	3,550,000		12/18/2029	Quarterly		—			(776	)		(776	)
COP-IBR-OIS-COMPOUND	8.29%	COP	2,060,000,000		12/18/2029	Quarterly		—			8,657			8,657
7.15%	COP-IBR-OIS-COMPOUND	COP	3,400,000,000		12/18/2029	Quarterly		(8,302	)		21,120			29,422
CZK-PRIBOR-PRBO	3.09%	CZK	7,300,000		12/18/2029	Semi-annual		—			(4,715	)		(4,715	)
CZK-PRIBOR-PRBO	3.55%	CZK	6,400,000		12/18/2029	Semi-annual		—			1,611			1,611
HKD-HIBOR-HKAB	2.86%	HKD	9,000,000		12/18/2029	Quarterly		1,279			(29,233	)		(30,512	)
HKD-HIBOR-HKAB	3.46%	HKD	3,000,000		12/18/2029	Quarterly		—			923			923
3.33%	HKD-HIBOR-HKAB	HKD	3,100,000		12/18/2029	Quarterly		—			1,369			1,369
HUF-BUBOR-Reuters	5.45%	HUF	120,000,000		12/18/2029	Semi-annual		—			(9,920	)		(9,920	)
ILS-TELBOR01-Reuters	4.19%	ILS	9,500,000		12/18/2029	Quarterly		2,911			17,463			14,552
4.56%	ILS-TELBOR01-Reuters	ILS	1,950,000		12/18/2029	Quarterly		—			(12,249	)		(12,249	)
4.63%	ILS-TELBOR01-Reuters	ILS	1,350,000		12/18/2029	Quarterly		—			(9,681	)		(9,681	)
4.52%	ILS-TELBOR01-Reuters	ILS	1,200,000		12/18/2029	Quarterly		—			(7,070	)		(7,070	)
4.02%	ILS-TELBOR01-Reuters	ILS	1,600,000		12/18/2029	Quarterly		—			365			365
6.00%	INR-FBIL-MIBOR-OIS-COMPOUND	INR	220,000,000		12/18/2029	Semi-annual		(6,684	)		5,188			11,872
2.77%	KRW-CD-KSDA-Bloomberg	KRW	1,800,000,000		12/18/2029	Quarterly		(392	)		(9,129	)		(8,737	)
2.93%	KRW-CD-KSDA-Bloomberg	KRW	890,000,000		12/18/2029	Quarterly		—			(9,114	)		(9,114	)
2.76%	KRW-CD-KSDA-Bloomberg	KRW	630,000,000		12/18/2029	Quarterly		—			(2,816	)		(2,816	)
PLN-WIBOR-WIBO	4.85%	PLN	1,170,000		12/18/2029	Semi-annual		—			4,870			4,870
4.28%	PLN-WIBOR-WIBO	PLN	4,800,000		12/18/2029	Semi-annual		(380	)		9,278			9,658
SGD-SORA-COMPOUND	2.57%	SGD	340,000		12/18/2029	Semi-annual		—			1,174			1,174
SGD-SORA-COMPOUND	2.60%	SGD	410,000		12/18/2029	Semi-annual		—			1,898			1,898
2.18%	SGD-SORA-COMPOUND	SGD	3,100,000		12/18/2029	Semi-annual		(576	)		32,008			32,584
TWD-Reuters-6165	1.72%	TWD	24,000,000		12/18/2029	Quarterly		(423	)		(2,644	)		(2,221	)
TWD-Reuters-6165	1.85%	TWD	9,100,000		12/18/2029	Quarterly		—			721			721
TWD-Reuters-6165	1.89%	TWD	11,400,000		12/18/2029	Quarterly		—			1,625			1,625
ZAR-JIBAR-SAFEX	7.51%	ZAR	33,000,000		12/18/2029	Quarterly		1,518			(2,973	)		(4,491	)
ZAR-JIBAR-SAFEX	7.73%	ZAR	6,300,000		12/18/2029	Quarterly		—			2,594			2,594
6 Month AUD BBSW	4.05%	AUD	4,350,000		12/18/2034	Semi-annual		920			(69,893	)		(70,813	)
6 Month AUD BBSW	4.06%	AUD	7,310,000		12/18/2034	Semi-annual		4,785			(114,360	)		(119,145	)
6 Month AUD BBSW	4.28%	AUD	1,800,000		12/18/2034	Semi-annual		—			(6,946	)		(6,946	)
6 Month AUD BBSW	4.60%	AUD	2,400,000		12/18/2034	Semi-annual		—			30,819			30,819
3.90%	6 Month AUD BBSW	AUD	1,000,000		12/18/2034	Semi-annual		—			24,180			24,180
4.02%	6 Month AUD BBSW	AUD	500,000		12/18/2034	Semi-annual		—			8,958			8,958

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (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) ($)
4.49%	6 Month AUD BBSW	AUD	1,300,000		12/18/2034	Semi-annual		—			(9,446	)		(9,446	)
4.46%	6 Month AUD BBSW	AUD	1,200,000		12/18/2034	Semi-annual		—			(6,880	)		(6,880	)
CAD-CORRA-OIS-COMPOUND	3.15%	CAD	1,100,000		12/18/2034	Annually		—			15,686			15,686
2.85%	CAD-CORRA-OIS-COMPOUND	CAD	2,680,000		12/18/2034	Annually		(3,152	)		11,802			14,954
3.11%	CAD-CORRA-OIS-COMPOUND	CAD	600,000		12/18/2034	Annually		—			(6,964	)		(6,964	)
0.70%	CHF-SARON-OIS-COMPOUND	CHF	1,110,000		12/18/2034	Annually		3,311			(49,263	)		(52,574	)
0.71%	CHF-SARON-OIS-COMPOUND	CHF	5,620,000		12/18/2034	Annually		10,275			(255,803	)		(266,078	)
0.68%	CHF-SARON-OIS-COMPOUND	CHF	500,000		12/18/2034	Annually		—			(21,309	)		(21,309	)
0.67%	CHF-SARON-OIS-COMPOUND	CHF	700,000		12/18/2034	Annually		—			(28,441	)		(28,441	)
0.50%	CHF-SARON-OIS-COMPOUND	CHF	900,000		12/18/2034	Annually		—			(19,335	)		(19,335	)
EUR - EuroSTR - COMPOUND	2.24%	EUR	200,000		12/18/2034	Annually		(1,117	)		4,603			5,720
2.35%	EUR - EuroSTR - COMPOUND	EUR	600,000		12/18/2034	Annually		—			(20,209	)		(20,209	)
2.34%	EUR - EuroSTR - COMPOUND	EUR	500,000		12/18/2034	Annually		—			(16,258	)		(16,258	)
GBP - SONIA - COMPOUND	3.84%	GBP	500,000		12/18/2034	Annually		—			2,726			2,726
3 Month NZD Bank Bill Rate	3.87%	NZD	4,660,000		12/18/2034	Quarterly		2,246			(43,385	)		(45,631	)
3 Month NZD Bank Bill Rate	4.14%	NZD	8,130,000		12/18/2034	Quarterly		859			30,591			29,732
3 Month SEK STIBOR	2.29%	SEK	10,000,000		12/18/2034	Quarterly		—			7,770			7,770
2.19%	3 Month SEK STIBOR	SEK	31,000,000		12/18/2034	Quarterly		7,464			1,852			(5,612	)
2.47%	3 Month SEK STIBOR	SEK	10,000,000		12/18/2034	Quarterly		—			(22,689	)		(22,689	)
USD - SOFR - COMPOUND	3.26%	USD	1,350,000		12/18/2034	Annually		3,496			(49,323	)		(52,819	)
USD - SOFR - COMPOUND	3.80%	USD	700,000		12/18/2034	Annually		—			5,808			5,808
3.25%	USD - SOFR - COMPOUND	USD	800,000		12/18/2034	Annually		(1,192	)		30,092			31,284
3.12%	USD - SOFR - COMPOUND	USD	400,000		12/18/2034	Annually		—			19,226			19,226
3.31%	USD - SOFR - COMPOUND	USD	800,000		12/18/2034	Annually		—			26,409			26,409
3.55%	USD - SOFR - COMPOUND	USD	700,000		12/18/2034	Annually		—			9,027			9,027
3.72%	USD - SOFR - COMPOUND	USD	400,000		12/18/2034	Annually		—			(698	)		(698	)
3.76%	USD - SOFR - COMPOUND	USD	600,000		12/18/2034	Annually		—			(2,664	)		(2,664	)
3.83%	USD - SOFR - COMPOUND	USD	600,000		12/18/2034	Annually		—			(6,248	)		(6,248	)
							$	(21,001	)	$	(299,689	)	$	(278,688	)

OTC Interest Rate Swaps

Fund Pays	Fund Receives			Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)			Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
MYR-KLIBOR-BNM		3.38	%	BOA		MYR	11,000,000		12/18/2029		Quarterly	$	(717	)	$	(11,068	)	$	(10,351	)

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

Berkshire Hathaway, Inc.

1 Day Overnight Federal Funds Effective Rate plus 1.05%

GS

USD

24,826,360

01/27/2025

At Maturity

—

(290,680

)

(290,680

)

1 Day Overnight Federal Funds Effective Rate plus 0.31%

Total Return on MSCI World Daily Total Return Net Value Index

GS

USD

3,557,960

04/30/2025

Monthly

—

(50,926

)

(50,926

)

Total Return on MSCI World Daily Total Return Net Growth Index

1 Day Overnight Federal Funds Effective Rate plus 0.24%

GS

USD

3,412,664

04/30/2025

Monthly

—

49,586

49,586

1 Day Overnight Federal Funds Effective Rate plus 0.18%

Total Return on MSCI World Daily Total Return Net Value Index

UBSA

USD

1,258,378

05/13/2025

Monthly

—

22,560

22,560

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Day Overnight Federal Funds Effective Rate plus 0.25%	UBSA		USD	1,064,012		05/13/2025		Monthly		—		(19,263	)		(19,263	)
1 Day Overnight Federal Funds Effective Rate plus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	JPM		USD	1,530,629		12/16/2024		Monthly		—		11,471			11,471
Total Return on MSCI World Daily Total Return Net Growth Index	1 Day Overnight Federal Funds Effective Rate minus 0.17%	JPM		USD	1,682,017		12/16/2024		Monthly		—		(46,301	)		(46,301	)
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	2,872,767		06/18/2025		Monthly		—		(45,683	)		(45,683	)
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	GS		USD	2,353,664		06/24/2026		Monthly		—		49,201			49,201
										$	—	$	(320,035	)	$	(320,035	)

As of November 30, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) Securities are traded on separate exchanges for the same entity.

(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.

(d) All or a portion of this security is out on loan.

(e) Investment valued using significant unobservable inputs.

(f) All or a portion of this investment is held in connection with one or more holdings within the Fund.

(g) Preferred dividend rates are disclosed to the extent that a stated rate exists. (h) 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.

(i) The rate disclosed is the 7 day net yield as of November 30, 2024.

(j) The following table represents the individual long and/or short positions with in the custom equity basket swap as of November 30, 2024.

Shares			Description	% of Equity Basket			Value ($)
			Custom equity basket swap with GS as the counterparty:
	(43,889	)	Allefro.eu.SA		13.4	%		(311,354	)
	(451	)	Bidcorp Ltd.		0.5	%		(10,999	)
	(348	)	Budimex SA		1.8	%		(40,439	)
	(3,259	)	Capitec Bank Holdings Ltd.		25.7	%		(591,496	)
	(463	)	CD Projekt SA		0.8	%		(19,093	)
	(11,088	)	Clicks Group Ltd.		10.6	%		(243,078	)
	(722	)	Dino Polska SA		3.0	%		(68,748	)
	(46,000	)	Genscript Biotech Corp.		2.8	%		(64,182	)
	(147	)	Hanmi Pharm Co. Ltd.		1.3	%		(28,808	)
	(652	)	HYBE Co. Ltd.		4.0	%		(91,347	)
	(683	)	Kakao Corp.		0.9	%		(19,680	)
	(14,000	)	Kingdee International Software Group Co. Ltd.		0.7	%		(15,896	)
	(888	)	Korea Aerospace Industries Ltd.		1.6	%		(37,312	)
	(22,500	)	Localiza Rent A Car ADR		6.1	%		(140,532	)
	(22	)	LPP SA		3.7	%		(85,038	)
	(9,200	)	Nongfu Spring Co. Ltd.		1.7	%		(39,463	)
	(903	)	POSCO Chemical Co. Ltd.		4.9	%		(112,042	)
	(13,634	)	Rede D’Or Sao Luiz SA		2.7	%		(61,295	)
	(60	)	Samsung Biologics Co. Ltd.		1.8	%		(42,124	)
	(12,352	)	Samsung Heavy Industries Co. Ltd.		4.4	%		(103,258	)
	(3,055	)	Shoprite Holdings Ltd.		2.2	%		(50,320	)
	(3,200	)	WEG SA		1.2	%		(28,688	)
	(1,156	)	Yuhan Corp.		4.2	%		(95,937	)
			TOTAL COMMON STOCKS				$	(2,301,129	)

GMO Alternative Allocation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Shares			Description	% of Equity Basket			Value ($)
			Custom equity basket swap with MORD as the counterparty:
	(235,300	)	Airports Of Thailand PC NVDR		14.3	%		(417,688	)
	(122,000	)	Genscript Biotech Corp.		5.8	%		(170,222	)
	(383	)	Hanmi Pharm Co. Ltd.		2.6	%		(75,058	)
	(90,000	)	Innovent Biologics, Inc.		15.4	%		(448,842	)
	(2,341	)	Kakao Corp.		2.3	%		(67,455	)
	(249,000	)	Kingdee International Software Group Co. Ltd.		9.7	%		(282,728	)
	(7,405	)	Korea Aerospace Industries Ltd.		10.7	%		(311,145	)
	(7,600	)	Nongfu Spring Co. Ltd.		1.1	%		(32,600	)
	(33	)	POSCO Chemical Co. Ltd.		0.1	%		(4,095	)
	(571	)	Samsung Biologics Co. Ltd.		13.7	%		(400,884	)
	(40,355	)	Samsung Heavy Industries Co. Ltd.		11.5	%		(337,352	)
	(111,250	)	Shandong Gold Mining Co. Ltd. - Class H		6.8	%		(197,722	)
	(19,400	)	Xpeng, Inc., Class A		4.0	%		(117,009	)
	(15,800	)	Zhejiang Leapmotor Technology Co., Ltd.		2.0	%		(57,773	)
			TOTAL COMMON STOCKS				$	(2,920,573	)

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

BNM - Bank Negara Malaysia

BRL CDI - Brazilian Interbank Offered Rate dominated in Brazilian Real.

BUBOR - Budapest Interbank Offered Rate

CDI - Certificado de Deposito Interbancario

CNY-CNREPOFIX=CFXS - China 7 Day Interbank Repo Trading Rate denominated in Chinese Reminibi.

CORRA - Canadian Overnight Repo Rate Average

EuroSTR - Euro Short-Term Rate

FBIL - Financial Benchmarks India PVT. LTD.

HIBOR- Hong Kong Interbank Offered Rate

HKAB - Hong Kong Association of Banks

IBR - Indicador Bancario de Referencia

ILS TELBOR01 - Tel Aviv Interbank Offered Rate 1 Month denominated in Israeli Shekel.

KLIBOR - Kuala Lumpur Interbank Offered Rate

KSDA - Korean Securities Dealers Association

MIBOR - Mumbai Interbank Offer Rate

NVDR - Non-Voting Depositary Receipt

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

OIS - Overnight Indexed Swaps

PLN WIBOR WIBO - Warsaw Interbank Offered Rate denominated in Polish Zloty.

PRIBOR - Prague Interbank Offered Rate 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.

SAFEX - South African Futures Exchange

SARON - Swiss Average Rate Overnight

SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

SORA - Singapore Overnight Rate Average

TBA - To Be Announced - Delayed Delivery Security

TIIE - The Interbank Equilibrium Interest Rate denominated in Mexican Peso

WIBOR - Warsaw Interbank Offered Rate

ZAR JIBAR - Johannesburg Interbank Agreed Rate denominated in South African Rand.

Counterparty Abbreviations:

BBH - Brown Brothers Harriman & Co

BCLY - Barclays Bank PLC

BNYM - The Bank of New York Mellon

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

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

CNY - China Yuan Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

DOP - Dominican Republic Peso

EGP - Egypt Pound

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KES - Kenyan Shilling

KRW - South Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NGN - Nigeria Naira

NOK - Norwegian Krone

NZD - New Zealand Dollar

PEN - Peruvian Sol

PHP - Philippines Peso

PLN - Polish Zloty

RON - Romanian New Leu

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan New Dollar

USD - United States Dollar

UYU - Uruguay Peso

ZAR - South African Rand

GMO Benchmark-Free Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	1,105,324	GMO Climate Change Fund, Class III		22,548,616
	2,481,868	GMO Emerging Country Debt Fund, Class VI		51,821,397
	1,306,069	GMO High Yield Fund, Class VI		23,665,962
	165,098,558	GMO Implementation Fund		2,157,838,157
	3,858,896	GMO Opportunistic Income Fund, Class VI		93,501,052
		TOTAL MUTUAL FUNDS (COST $2,369,941,078)		2,349,375,184
		SHORT-TERM INVESTMENTS — 0.2%
		Money Market Funds — 0.2%
	4,070,409	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (a)		4,070,409
		TOTAL SHORT-TERM INVESTMENTS (COST $4,070,409)		4,070,409
		TOTAL INVESTMENTS — 100.1% (Cost $2,374,011,487)		2,353,445,593
		Other Assets and Liabilities (net) — (0.1%)		(1,788,151	)
		TOTAL NET ASSETS — 100.0%	$	2,351,657,442

Notes to Schedule of Investments:

^(a)  The rate disclosed is the 7 day net yield as of November 30, 2024.

 

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 75.3%
		Australia — 1.5%
	61,183	Accent Group Ltd.		98,737
	42,220	ANZ Group Holdings Ltd.		860,502
	1,704	Aristocrat Leisure Ltd. (a)		75,566
	181,837	BHP Group Ltd. (a)		4,794,901
	194,851	BlueScope Steel Ltd.		2,823,363
	108,075	Brambles Ltd. (a)		1,345,576
	17,185	Coles Group Ltd.		208,704
	81,101	Fortescue Ltd. (a)		1,005,440
	8,004	GrainCorp Ltd. – Class A		40,877
	95,164	Grange Resources Ltd.		15,857
	57,239	Harvey Norman Holdings Ltd.		178,330
	78,161	Helia Group Ltd.		228,880
	43,009	HomeCo Daily Needs – (REIT)		35,185
	18,303	JB Hi-Fi Ltd.		1,089,225
	12,648	NRW Holdings Ltd.		32,306
	59,370	Perenti Ltd.		48,112
	49,555	Perseus Mining Ltd.		85,770
	2,254	Premier Investments Ltd.		51,192
	34,516	Ramelius Resources Ltd.		47,482
	5,926	Rio Tinto Ltd. (a)		458,712
	16,858	Southern Cross Media Group Ltd.		6,002
	32,339	Super Retail Group Ltd.		311,849
	6,204	Wesfarmers Ltd. (a)		291,612
	3,939	Westpac Banking Corp.		85,997
		Total Australia		14,220,177
		Austria — 0.3%
	29,598	Erste Group Bank AG		1,624,647
	15,576	OMV AG		624,520
	27,293	Raiffeisen Bank International AG		533,073
	737	Strabag SE		30,068
		Total Austria		2,812,308
		Belgium — 0.7%
	75,391	Ageas SA		3,810,851
	1,785	Bekaert SA		61,940
	3,645	Groupe Bruxelles Lambert NV		252,502
	11,812	KBC Group NV		854,125
	452	Melexis NV (b)		27,174
	80,732	Proximus SADP		524,183
	9,432	Syensqo SA		702,193
		Total Belgium		6,232,968
		Brazil — 0.4%
	45,600	Banco do Brasil SA		187,726
	96,300	Cia de Saneamento de Minas Gerais Copasa MG		406,212
	45,000	Cia De Sanena Do Parana		226,242
	87,217	CPFL Energia SA		472,846
	11,900	Cury Construtora e Incorporadora SA		40,663
	13,600	Cyrela Brazil Realty SA Empreendimentos e Participacoes		41,590

Shares		Description	Value ($)
		Brazil — continued
	22,100	Grupo SBF SA		45,215
	167,700	JBS SA		1,040,182
	7,200	Neoenergia SA		23,215
	5,100	Petroleo Brasileiro SA		36,126
	27	Petroleo Brasileiro SA Sponsored ADR (a)		386
	6,600	Porto Seguro SA		41,508
	11,400	Ser Educacional SA *		11,652
	44,319	Vale SA Sponsored ADR (a)		436,985
	6,854	Vale SA		66,959
	266,400	Vibra Energia SA		913,414
		Total Brazil		3,990,921
		Canada — 4.0%
	3,700	Alimentation Couche-Tard, Inc. (a)		216,469
	400	Atco Ltd. – Class I (a)		14,040
	41,790	B2Gold Corp. (c)		120,355
	32,400	B2Gold Corp. (b) (c)		94,419
	3,800	Bank of Montreal		362,344
	18,550	Bank of Nova Scotia (c)		1,057,721
	16,400	Bank of Nova Scotia (c)		935,352
	12,702	Barrick Gold Corp. (a)		222,158
	21,737	Brookfield Corp. (a) (c)		1,334,434
	3,000	Brookfield Corp. (a) (c)		184,365
	2,500	BRP, Inc.		122,121
	4,384	Canadian Imperial Bank of Commerce (c)		283,908
	2,400	Canadian Imperial Bank of Commerce (c)		155,789
	15,500	Canadian Tire Corp. Ltd. – Class A		1,709,035
	6,700	Canfor Corp. *		84,848
	8,600	Celestica, Inc. * (c)		733,064
	7,848	Celestica, Inc. * (c)		674,736
	8,100	Cenovus Energy, Inc. (a)		127,737
	11,914	Centerra Gold, Inc.		71,841
	11,600	CI Financial Corp.		257,262
	3,100	Cogeco Communications, Inc.		154,994
	2,603	Cogeco, Inc.		114,156
	2,900	DREAM Unlimited Corp. – Class A		52,302
	24,600	Dundee Precious Metals, Inc.		230,529
	19,900	Empire Co. Ltd. – Class A		596,694
	600	EQB, Inc.		48,213
	900	Fairfax Financial Holdings Ltd. (a)		1,276,862
	10,200	Great-West Lifeco, Inc. (a)		367,260
	17,400	iA Financial Corp., Inc.		1,663,256
	5,400	IGM Financial, Inc.		182,475
	1,600	Imperial Oil Ltd. (a) (c)		118,499
	239	Imperial Oil Ltd. (a) (c)		17,667
	6,200	Interfor Corp. *		90,340
	6,585	International Petroleum Corp. * (b)		75,047
	31,811	Kinross Gold Corp. (c)		308,885
	9,200	Kinross Gold Corp. (c)		90,091
	37,083	Magna International, Inc. (c)		1,673,927
	13,300	Magna International, Inc. (c)		604,463
	87,917	Manulife Financial Corp. (a) (c)		2,824,773
	84,400	Manulife Financial Corp. (a) (c)		2,716,980

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Canada — continued
	900	National Bank of Canada		89,168
	30,898	Nutrien Ltd. (c)		1,441,701
	22,600	Nutrien Ltd. (c)		1,055,705
	8,600	Onex Corp.		699,585
	42,167	Open Text Corp. (a) (c)		1,283,142
	9,800	Open Text Corp. (a) (c)		298,469
	24,700	Parex Resources, Inc.		264,104
	97,700	Power Corp. of Canada		3,290,977
	45,600	Quebecor, Inc. – Class B (b)		1,076,773
	13,100	Russel Metals, Inc.		430,039
	2,300	Spin Master Corp.		53,588
	1,900	Stella-Jones, Inc.		97,087
	14,400	Sun Life Financial, Inc. (a) (c)		886,288
	6,423	Sun Life Financial, Inc. (a) (c)		394,308
	5,100	Suncor Energy, Inc. (a) (c)		202,936
	2,859	Suncor Energy, Inc. (a) (c)		112,873
	37,100	Toronto-Dominion Bank (c)		2,099,520
	5,044	Toronto-Dominion Bank (a) (b) (c)		285,137
	5,600	Transcontinental, Inc. – Class A		68,198
	1,200	Wajax Corp.		20,339
	13,500	West Fraser Timber Co. Ltd. (c)		1,326,038
	5,503	West Fraser Timber Co. Ltd. (c)		544,687
		Total Canada		37,990,073
		Chile — 0.0%
	5,185	Cencosud SA		10,912
	138,923	Colbun SA		17,540
		Total Chile		28,452
		China — 2.2%
	66,000	361 Degrees International Ltd.		33,915
	170,500	3SBio, Inc.		125,534
	22,448	Alibaba Group Holding Ltd. Sponsored ADR (a) (b)		1,961,282
	555,000	AviChina Industry & Technology Co. Ltd. – Class H		270,495
	334,000	BAIC Motor Corp. Ltd. – Class H		96,622
	355,091	Bank of Communications Co. Ltd. – Class H		257,231
	100,500	Beijing Enterprises Holdings Ltd.		316,844
	984,000	China Cinda Asset Management Co. Ltd. – Class H (b)		160,166
	800,000	China Communications Services Corp. Ltd. – Class H		421,607
	2,420,000	China Construction Bank Corp. – Class H		1,829,663
	470,000	China Everbright Environment Group Ltd.		212,793
	1,058,000	China Greenfresh Group Co. Ltd. * (d)		—
	761,000	China Hongqiao Group Ltd.		1,117,668
	268,000	China Lesso Group Holdings Ltd.		121,459
	196,000	China National Building Material Co. Ltd. – Class H		84,096
	117,000	China Overseas Grand Oceans Group Ltd.		27,813
	172,500	China Overseas Land & Investment Ltd.		298,058
	886,000	China Railway Group Ltd. – Class H		428,270

Shares		Description	Value ($)
		China — continued
	1,928,000	China Reinsurance Group Corp. – Class H		206,440
	395,000	China Resources Pharmaceutical Group Ltd.		267,058
	24,000	China Shineway Pharmaceutical Group Ltd.		30,075
	236,000	China State Construction International Holdings Ltd.		329,508
	271,000	China Taiping Insurance Holdings Co. Ltd.		430,049
	1,776,400	China Zhongwang Holdings Ltd. * (d)		—
	685,000	CITIC Ltd.		765,742
	273,000	Consun Pharmaceutical Group Ltd.		284,532
	1,444,000	CSPC Pharmaceutical Group Ltd.		944,891
	52,000	Ever Sunshine Services Group Ltd.		13,710
	126,000	Fufeng Group Ltd.		76,949
	26,500	Grand Pharmaceutical Group Ltd.		15,481
	44,230	JD.com, Inc. ADR (a)		1,653,317
	11,500	JNBY Design Ltd.		21,718
	302,000	Kunlun Energy Co. Ltd.		285,808
	35,800	Legend Holdings Corp. – Class H *		33,524
	92,000	Lenovo Group Ltd.		108,866
	71,000	Longfor Group Holdings Ltd.		100,857
	143,000	Lonking Holdings Ltd.		26,186
	72,400	Midea Real Estate Holding Ltd.		27,380
	13,500	NetDragon Websoft Holdings Ltd.		17,549
	36,000	Orient Overseas International Ltd.		461,585
	466,000	PICC Property & Casualty Co. Ltd. – Class H		707,530
	124,000	Poly Property Group Co. Ltd.		25,801
	21,500	Shanghai Conant Optical Co. Ltd. – Class H (b)		39,808
	43,000	Sino Biopharmaceutical Ltd.		18,117
	436,000	Sinopec Engineering Group Co. Ltd. – Class H		321,350
	290,000	Sinopharm Group Co. Ltd. – Class H		760,178
	146,500	Sinotruk Hong Kong Ltd.		406,804
	198,000	Skyworth Group Ltd.		76,649
	8,000	SSY Group Ltd.		3,670
	487,000	TCL Electronics Holdings Ltd.		323,534
	77,200	Tencent Holdings Ltd.		3,986,860
	8,000	Tianneng Power International Ltd. (b)		6,752
	18,000	Uni-President China Holdings Ltd.		15,937
	21,000	Vipshop Holdings Ltd. ADR		290,010
	62,000	Zhongsheng Group Holdings Ltd.		123,000
		Total China		20,970,741
		Czech Republic — 0.0%
	22,709	Moneta Money Bank AS		116,977
	137	Philip Morris CR AS		92,879
		Total Czech Republic		209,856
		Denmark — 0.7%
	640	AP Moller - Maersk AS – Class A (a)		1,051,986
	978	AP Moller - Maersk AS – Class B (a)		1,664,428
	49,029	Danske Bank AS		1,410,671
	6,080	Genmab AS *		1,310,375

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Denmark — continued
	43,708	H Lundbeck AS		272,736
	857	Matas AS		15,197
	2,601	Rockwool AS – B Shares		951,079
	2,359	Scandinavian Tobacco Group AS		31,823
		Total Denmark		6,708,295
		Egypt — 0.0%
	9,999	Abou Kir Fertilizers & Chemical Industries		10,644
	92,794	Commercial International Bank - Egypt (CIB)		152,318
	199,218	Eastern Co. SAE		108,989
	23,452	ElSewedy Electric Co.		42,239
	780	Misr Fertilizers Production Co. SAE		639
		Total Egypt		314,829
		Finland — 0.5%
	6,370	Kemira OYJ		125,245
	1,176	Konecranes OYJ		79,603
	27,598	Neste OYJ		420,076
	678,359	Nokia OYJ		2,849,406
	45,823	Outokumpu OYJ		153,891
	15,414	TietoEVRY OYJ (a)		275,278
	18,579	Valmet OYJ		435,280
		Total Finland		4,338,779
		France — 3.2%
	1,682	Amundi SA		109,567
	1,692	Aperam SA		48,431
	59,833	ArcelorMittal SA		1,504,312
	2,574	Arkema SA		204,238
	15,105	AXA SA (a)		526,452
	28,050	BNP Paribas SA		1,676,709
	21,626	Carrefour SA		329,341
	35,644	Cie de Saint-Gobain SA (a)		3,254,631
	28,771	Coface SA		445,053
	60,588	Credit Agricole SA		811,447
	8,028	Derichebourg SA		38,812
	149	Fnac Darty SA		4,180
	9,570	Ipsen SA		1,106,766
	1,932	IPSOS SA		90,343
	1,025	LVMH Moet Hennessy Louis Vuitton SE (a)		642,561
	5,354	Metropole Television SA		61,623
	111,048	Orange SA (a)		1,183,552
	4,989	Publicis Groupe SA (a)		541,954
	6,843	Quadient SA		124,200
	30,880	Renault SA		1,325,241
	34,447	Rexel SA		890,396
	19,055	Rubis SCA (a)		457,753
	5,445	Safran SA (a)		1,270,559
	45,068	Sanofi SA		4,377,328
	3,293	Societe BIC SA		219,683
	84,097	Societe Generale SA		2,229,617
	56,051	STMicroelectronics NV - NY Shares		1,429,300

Shares		Description	Value ($)
		France — continued
	25,467	Television Francaise 1 SA		194,870
	70,588	TotalEnergies SE (a)		4,102,584
	7,812	Valeo SE		65,064
	182,703	Vivendi SE (a)		1,679,598
		Total France		30,946,165
		Germany — 1.4%
	4,034	1&1 AG		50,754
	109	Amadeus Fire AG		8,928
	18,106	Bayerische Motoren Werke AG (a)		1,346,643
	3,229	Beiersdorf AG (a)		418,945
	11,284	Continental AG		742,611
	31,133	Daimler Truck Holding AG (a)		1,180,067
	135,692	Deutsche Bank AG (Registered) (a)		2,307,882
	22,443	Deutsche Telekom AG (a)		717,972
	141	Draegerwerk AG & Co. KGaA		6,112
	56,990	E.ON SE (a)		734,537
	7,062	Fresenius Medical Care AG		310,816
	18,431	Fresenius SE & Co. KGaA *		648,787
	10,104	Heidelberg Materials AG		1,277,683
	2,496	Henkel AG & Co. KGaA (a)		189,707
	364	Hornbach Holding AG & Co. KGaA		31,118
	13,583	Kloeckner & Co. SE		67,607
	6,270	Knorr-Bremse AG		479,313
	274	Krones AG		34,253
	41,844	Mercedes-Benz Group AG (a)		2,352,439
	36,957	ProSiebenSat.1 Media SE		180,706
	969	RTL Group SA		24,953
	2,496	Salzgitter AG		43,359
	803	SAP SE (a)		190,685
	1,390	Siemens AG (Registered) (a)		270,018
	1,370	Talanx AG		116,150
		Total Germany		13,732,045
		Greece — 0.0%
	12,055	FF Group * (d)		—
		Hong Kong — 0.8%
	26,600	Bank of East Asia Ltd.		33,458
	110,000	BOC Hong Kong Holdings Ltd.		339,405
	29,000	Chow Sang Sang Holdings International Ltd.		24,072
	234,000	CITIC Telecom International Holdings Ltd.		68,728
	380,000	CK Asset Holdings Ltd.		1,558,993
	305,500	CK Hutchison Holdings Ltd.		1,597,613
	19,200	Dah Sing Financial Holdings Ltd.		61,747
	108,000	E-Commodities Holdings Ltd.		19,442
	102,000	First Pacific Co. Ltd.		58,709
	104,000	Giordano International Ltd.		22,098
	34,500	Health & Happiness H&H International Holdings Ltd.		42,808
	21,000	Henderson Land Development Co. Ltd.		65,955
	191,000	HKT Trust & HKT Ltd. – Class SS		237,644
	206,000	IGG, Inc.		94,186

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Hong Kong — continued
	57,000	Johnson Electric Holdings Ltd.		79,556
	52,598	K Wah International Holdings Ltd.		11,739
	9,500	Kerry Logistics Network Ltd.		8,975
	29,800	Luk Fook Holdings International Ltd.		56,386
	58,000	Shun Tak Holdings Ltd. *		4,950
	17,000	SITC International Holdings Co. Ltd.		44,352
	32,500	SmarTone Telecommunications Holdings Ltd.		16,777
	17,500	Stella International Holdings Ltd.		31,986
	109,500	Sun Hung Kai Properties Ltd. (a)		1,094,336
	46,500	Swire Pacific Ltd. – Class A		382,876
	6,000	Techtronic Industries Co. Ltd. (a)		85,399
	39,000	Texhong International Group Ltd.		19,225
	46,000	Texwinca Holdings Ltd.		4,815
	190,000	VSTECS Holdings Ltd.		123,763
	29,000	VTech Holdings Ltd.		198,554
	1,941,000	WH Group Ltd.		1,547,281
	71,000	Yue Yuen Industrial Holdings Ltd.		159,792
		Total Hong Kong		8,095,620
		Hungary — 0.3%
	23,164	Magyar Telekom Telecommunications PLC		73,539
	26,514	MOL Hungarian Oil & Gas PLC		181,726
	48,842	OTP Bank Nyrt		2,647,429
	16,475	Richter Gedeon Nyrt		438,224
		Total Hungary		3,340,918
		India — 1.4%
	10,925	Arvind Ltd.		48,607
	56,370	Aurobindo Pharma Ltd.		841,511
	268,023	Bharat Petroleum Corp. Ltd.		932,236
	9,263	Chambal Fertilisers & Chemicals Ltd.		56,732
	53,074	Cipla Ltd.		963,855
	5,692	Dhampur Bio Organics Ltd.		8,699
	35,063	Dr. Reddy’s Laboratories Ltd.		499,663
	32,660	Dr. Reddy’s Laboratories Ltd. ADR (b)		461,812
	247,205	GAIL India Ltd.		585,499
	954	GHCL Ltd.		6,788
	8,970	Glenmark Pharmaceuticals Ltd.		162,480
	3,221	Great Eastern Shipping Co. Ltd.		42,073
	14,866	Gujarat State Fertilizers & Chemicals Ltd.		39,558
	19,662	Hero MotoCorp Ltd.		1,111,291
	22,693	Hindalco Industries Ltd.		176,970
	288,507	Indian Oil Corp. Ltd.		475,561
	4,252	LIC Housing Finance Ltd.		32,167
	908	Lupin Ltd.		22,076
	330,840	Manappuram Finance Ltd.		614,508
	25,150	Morepen Laboratories Ltd. *		23,502
	4,489	Natco Pharma Ltd.		73,437
	215,788	NMDC Ltd.		589,940
	716,905	Oil & Natural Gas Corp. Ltd.		2,186,637
	132,441	Petronet LNG Ltd.		529,691
	78,445	Power Finance Corp. Ltd.		460,896

Shares		Description	Value ($)
		India — continued
	408,268	Power Grid Corp. of India Ltd.		1,592,761
	25,276	PTC India Ltd.		52,113
	108,353	Sammaan Capital Ltd.		215,901
	3,985	Shriram Finance Ltd.		142,429
	4,181	Sun Pharmaceutical Industries Ltd.		88,403
	5,415	Sun TV Network Ltd.		48,922
	2,884	Suven Pharmaceuticals Ltd. *		44,397
	7,757	Vardhman Textiles Ltd.		43,764
	59,469	Zydus Lifesciences Ltd.		680,835
		Total India		13,855,714
		Indonesia — 0.7%
	1,293,100	AKR Corporindo Tbk. PT		100,449
	729,800	Aneka Tambang Tbk. PT		66,006
	1,198,800	Aspirasi Hidup Indonesia Tbk. PT		58,333
	3,398,300	Astra International Tbk. PT		1,094,813
	279,300	Astra Otoparts Tbk. PT		40,761
	1,667,400	Bank Central Asia Tbk. PT		1,052,901
	1,438,392	Bank Mandiri Persero Tbk. PT		559,272
	2,751,200	Bank Negara Indonesia Persero Tbk. PT		865,844
	1,665,900	Bank Pembangunan Daerah Jawa Timur Tbk. PT		57,299
	339,400	Bumi Serpong Damai Tbk. PT *		21,407
	168,800	Ciputra Development Tbk. PT		11,415
	2,475,300	Dharma Satya Nusantara Tbk. PT		177,224
	1,484,300	Erajaya Swasembada Tbk. PT		38,823
	273,400	ESSA Industries Indonesia Tbk. PT		14,166
	14,200	Gudang Garam Tbk. PT *		11,499
	81,800	Indofood CBP Sukses Makmur Tbk. PT		61,460
	1,504,800	Indofood Sukses Makmur Tbk. PT		717,140
	1,152,300	Industri Jamu Dan Farmasi Sido Muncul Tbk. PT		41,815
	953,000	Japfa Comfeed Indonesia Tbk. PT		102,943
	35,400	Jasa Marga Persero Tbk. PT		9,941
	2,246,300	Kalbe Farma Tbk. PT		212,627
	6,119,300	Lippo Karawaci Tbk. PT *		41,321
	190,600	Medco Energi Internasional Tbk. PT		13,125
	1,302,200	Media Nusantara Citra Tbk. PT *		24,664
	10,234,800	Panin Financial Tbk. PT *		277,779
	2,911,900	Perusahaan Gas Negara Tbk. PT		279,731
	2,792,600	Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT		192,126
	905,200	Saratoga Investama Sedaya Tbk. PT		121,044
	2,223,100	Telkom Indonesia Persero Tbk. PT		381,186
	371,600	Tempo Scan Pacific Tbk. PT		59,107
	165,800	Timah Tbk. PT *		11,766
	2,213,600	Triputra Agro Persada PT		113,066
		Total Indonesia		6,831,053
		Ireland — 0.2%
	9,210	AIB Group PLC		50,259
	3,801	Kerry Group PLC – Class A		367,694
	15,644	Origin Enterprises PLC		50,715

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Ireland — continued
	9,611	Permanent TSB Group Holdings PLC *		15,181
	24,734	Ryanair Holdings PLC Sponsored ADR		1,089,285
		Total Ireland		1,573,134
		Israel — 0.5%
	48,319	Bank Hapoalim BM		555,373
	153,044	Bank Leumi Le-Israel BM		1,744,102
	8,135	Check Point Software Technologies Ltd. *		1,480,570
	11,781	ICL Group Ltd.		53,545
	14,349	Israel Discount Bank Ltd. – Class A		94,462
	2,990	Nice Ltd. Sponsored ADR * (a)		545,496
	87,044	Oil Refineries Ltd.		22,137
		Total Israel		4,495,685
		Italy — 1.7%
	47,471	Anima Holding SpA		312,931
	16,819	Banca IFIS SpA		354,708
	19,321	Banco BPM SpA		147,224
	100,316	BPER Banca SpA		612,224
	17,700	Credito Emiliano SpA		188,006
	38,757	Eni SpA (a)		548,380
	4,443	Esprinet SpA *		20,922
	47,809	Generali (a)		1,367,822
	261,787	Intesa Sanpaolo SpA		1,004,879
	6,382	Iveco Group NV		63,845
	124,971	Leonardo SpA		3,365,543
	55,600	MFE-MediaForEurope NV – Class A		165,873
	7,028	MFE-MediaForEurope NV – Class B		28,870
	17,017	Poste Italiane SpA		238,935
	192,660	Stellantis NV (a)		2,557,348
	2,297,130	Telecom Italia SpA * (b)		551,851
	38,557	Tenaris SA ADR		1,477,890
	3,424	Tenaris SA		65,690
	22,409	UniCredit SpA		860,770
	229,600	Unipol Gruppo SpA		2,770,798
		Total Italy		16,704,509
		Japan — 18.2%
	1,400	ADEKA Corp.		25,806
	5,100	Aichi Corp.		46,991
	15,100	Air Water, Inc.		187,471
	2,000	Amada Co. Ltd.		19,294
	38,500	Amano Corp.		1,099,498
	2,800	AOKI Holdings, Inc.		23,338
	3,000	Arata Corp.		60,339
	5,600	Asahi Yukizai Corp.		159,048
	8,800	Axial Retailing, Inc.		52,932
	3,400	Bandai Namco Holdings, Inc.		71,975
	3,600	Bando Chemical Industries Ltd.		42,353
	53,100	Beenos, Inc.		1,282,949
	15,400	Belluna Co. Ltd.		78,052
	9,200	BML, Inc.		173,990

Shares		Description	Value ($)
		Japan — continued
	28,500	Bridgestone Corp. (a)		1,019,419
	100,500	Brother Industries Ltd.		1,771,951
	5,000	Bunka Shutter Co. Ltd.		62,386
	25,000	Canon Marketing Japan, Inc.		802,147
	29,600	Canon, Inc.		964,302
	2,500	Central Glass Co. Ltd.		55,264
	1,300	Chiyoda Integre Co. Ltd.		29,779
	9,700	Chubu Electric Power Co., Inc. (a)		102,695
	300	Cosmo Energy Holdings Co. Ltd.		13,067
	151,000	Credit Saison Co. Ltd.		3,618,546
	1,100	Dai Nippon Toryo Co. Ltd.		8,124
	107,100	Daicel Corp.		949,896
	3,000	Dai-Dan Co. Ltd.		73,115
	2,500	Daido Steel Co. Ltd.		19,627
	2,400	Daiichi Jitsugyo Co. Ltd.		37,810
	35,500	Daiwa House Industry Co. Ltd.		1,117,706
	117,110	Daiwabo Holdings Co. Ltd.		2,398,152
	111,000	Denka Co. Ltd.		1,575,733
	2,900	Dowa Holdings Co. Ltd.		86,993
	1,600	DTS Corp. (a)		44,586
	4,200	EDION Corp.		50,805
	700	Elecom Co. Ltd.		6,728
	335,600	ENEOS Holdings, Inc.		1,817,220
	87,000	EXEO Group, Inc.		1,018,964
	43,000	Ferrotec Holdings Corp.		709,568
	115,600	Fuji Corp.		1,680,302
	79,900	FUJIFILM Holdings Corp.		1,807,846
	10,200	Fujitsu Ltd. (a)		195,970
	100	Fukuda Denshi Co. Ltd.		4,846
	1,200	Fukushima Galilei Co. Ltd.		43,694
	22,100	Glory Ltd.		377,865
	17,600	GS Yuasa Corp.		304,136
	22,500	GungHo Online Entertainment, Inc.		452,613
	140,500	H.U. Group Holdings, Inc.		2,303,206
	3,200	Hanwa Co. Ltd.		103,509
	50,300	Haseko Corp.		676,999
	32,100	Hitachi Construction Machinery Co. Ltd.		725,497
	4,700	Hitachi Ltd. (a)		118,444
	65,000	Hogy Medical Co. Ltd.		2,089,756
	177,000	Honda Motor Co. Ltd. (a)		1,527,154
	55,648	Honda Motor Co. Ltd. Sponsored ADR		1,441,283
	15,200	Horiba Ltd.		871,902
	18,600	Hosiden Corp.		289,457
	107,700	Idemitsu Kosan Co. Ltd.		719,544
	300	Inaba Denki Sangyo Co. Ltd.		7,631
	40,700	Inabata & Co. Ltd.		886,879
	241,100	Inpex Corp.		3,159,855
	252,700	Isuzu Motors Ltd.		3,370,876
	75,500	ITOCHU Corp. (a)		3,735,593
	17,500	Itochu Enex Co. Ltd.		188,588
	500	Itochu-Shokuhin Co. Ltd.		23,248
	7,700	Itoham Yonekyu Holdings, Inc.		194,477

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	2,300	JAFCO Group Co. Ltd.		32,521
	1,000	Japan Lifeline Co. Ltd.		8,833
	36,400	Japan Post Insurance Co. Ltd.		763,343
	59,500	Japan Tobacco, Inc. (a)		1,678,489
	300	Justsystems Corp. (a)		6,928
	50,800	Kaga Electronics Co. Ltd.		891,994
	1,000	Kajima Corp.		18,305
	3,500	Kamei Corp.		42,486
	10,400	Kandenko Co. Ltd.		153,463
	4,100	Kaneka Corp.		94,990
	222,700	Kanematsu Corp.		3,797,429
	159,600	Kawasaki Kisen Kaisha Ltd.		2,126,619
	21,300	KDDI Corp. (a)		704,015
	5,500	Kinden Corp.		113,488
	237,700	Kirin Holdings Co. Ltd.		3,321,531
	13,100	Kitz Corp.		95,272
	8,800	Kohnan Shoji Co. Ltd.		211,605
	18,000	Kokuyo Co. Ltd.		336,710
	38,000	Komatsu Ltd. (a)		1,028,890
	7,400	Komeri Co. Ltd.		158,819
	800	Konami Group Corp. (a)		79,096
	5,700	Kubota Corp.		71,357
	80,300	Kumiai Chemical Industry Co. Ltd.		427,850
	1,000	Kyokuto Kaihatsu Kogyo Co. Ltd.		15,258
	16,900	Kyudenko Corp.		581,066
	303,200	Macromill, Inc.		2,447,273
	22,200	Marubeni Corp.		335,074
	23,600	Maruha Nichiro Corp.		474,578
	65,500	Maruichi Steel Tube Ltd.		1,421,134
	2,700	Maruzen Showa Unyu Co. Ltd.		115,758
	7,100	Matsuda Sangyo Co. Ltd.		143,863
	143,300	Maxell Ltd.		1,640,199
	145,200	Mazda Motor Corp.		925,956
	17,400	MCJ Co. Ltd.		161,179
	1,000	Medipal Holdings Corp.		16,245
	900	Melco Holdings, Inc.		13,173
	800	Mirait One Corp.		11,571
	23,800	Mitsubishi Corp. (a)		403,031
	159,800	Mitsubishi Electric Corp. (a)		2,713,300
	28,400	Mitsubishi Gas Chemical Co., Inc.		535,928
	2,900	Mitsubishi Research Institute, Inc.		84,009
	300	Mitsubishi Shokuhin Co. Ltd.		9,652
	12,900	Mitsubishi UFJ Financial Group, Inc. (a)		153,973
	48,500	Mitsui & Co. Ltd. (a)		1,019,197
	2,700	Mitsui DM Sugar Holdings Co. Ltd.		57,369
	5,900	Mitsui Mining & Smelting Co. Ltd.		185,029
	84,300	Mitsui OSK Lines Ltd. (a)		2,890,213
	3,000	MIXI, Inc.		56,383
	27,500	Mizuno Corp.		1,502,423
	61,100	Morinaga & Co. Ltd.		1,118,444
	1,500	Morinaga Milk Industry Co. Ltd.		29,426
	1,100	Nafco Co. Ltd.		14,387
	6,400	Nagase & Co. Ltd.		130,830

Shares		Description	Value ($)
		Japan — continued
	23,600	NEC Corp. (a)		2,017,761
	57,300	NGK Insulators Ltd.		756,278
	76,100	NH Foods Ltd.		2,621,613
	19,200	Nichias Corp.		745,537
	2,200	Nichiha Corp.		41,789
	4,500	Nichireki Group Co. Ltd.		72,230
	2,000	Nippon Densetsu Kogyo Co. Ltd.		25,975
	25,000	Nippon Shinyaku Co. Ltd.		728,970
	3,600	Nippon Soda Co. Ltd.		65,216
	1,239,100	Nippon Telegraph & Telephone Corp. (a)		1,271,552
	63,300	Nippon Television Holdings, Inc.		1,040,350
	109,100	Nippon Yusen KK (a)		3,497,820
	411,500	Nissan Motor Co. Ltd. (b)		992,411
	1,500	Nissin Corp.		43,763
	8,300	Niterra Co. Ltd.		257,625
	900	Nitta Corp.		21,188
	4,400	Nittetsu Mining Co. Ltd.		123,884
	23,500	Nitto Denko Corp.		375,713
	55,400	Nojima Corp.		857,707
	29,200	Nomura Real Estate Holdings, Inc.		725,889
	3,200	Noritake Co. Ltd.		80,975
	1,700	NS United Kaiun Kaisha Ltd.		45,427
	1,100	Obara Group, Inc.		30,195
	199,300	Oji Holdings Corp.		735,995
	40,500	Okamura Corp.		530,946
	113,900	Ono Pharmaceutical Co. Ltd.		1,308,614
	2,400	Open House Group Co. Ltd.		88,878
	60,000	ORIX Corp. (a)		1,350,610
	700	Osaka Gas Co. Ltd. (a)		15,371
	5,600	Otsuka Corp. (a)		139,870
	25,300	Otsuka Holdings Co. Ltd.		1,470,076
	172,900	Pacific Industrial Co. Ltd.		1,497,402
	900	PALTAC Corp.		25,924
	355,500	Panasonic Holdings Corp.		3,468,265
	351,100	Penta-Ocean Construction Co. Ltd.		1,440,264
	6,300	Pilot Corp.		202,034
	2,200	Prima Meat Packers Ltd.		32,073
	2,200	Raito Kogyo Co. Ltd.		32,059
	14,800	Recruit Holdings Co. Ltd. (a)		1,029,454
	31,400	Renesas Electronics Corp.		411,845
	34,700	Rengo Co. Ltd.		205,723
	500	Restar Corp.		7,956
	16,700	Ricoh Co. Ltd.		190,269
	107,200	Rohm Co. Ltd.		1,005,262
	4,700	S Foods, Inc.		82,689
	4,300	Sakai Moving Service Co. Ltd.		68,237
	8,300	Sakata INX Corp.		84,761
	23,100	San-Ai Obbli Co. Ltd.		292,173
	8,800	Sanki Engineering Co. Ltd.		171,001
	19,500	Sankyo Co. Ltd.		276,934
	38,700	Sankyu, Inc.		1,339,594
	21,000	Sanwa Holdings Corp.		634,260
	9,500	SCSK Corp. (a)		192,501

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	143,700	Sega Sammy Holdings, Inc.		2,527,346
	700	Seiko Epson Corp.		12,472
	91,900	Sekisui Chemical Co. Ltd.		1,488,042
	50,500	Sekisui House Ltd.		1,197,584
	2,900	Sekisui Jushi Corp.		41,266
	6,400	Shimamura Co. Ltd.		363,282
	4,200	Shinagawa Refractories Co. Ltd.		46,396
	224,200	Shionogi & Co. Ltd.		3,180,213
	116,600	Ship Healthcare Holdings, Inc.		1,719,530
	700	Sinanen Holdings Co. Ltd.		29,684
	8,700	Sinko Industries Ltd.		81,227
	14,200	Sohgo Security Services Co. Ltd. (a)		106,407
	27,260	Sojitz Corp.		556,689
	121,600	Stanley Electric Co. Ltd.		2,049,082
	1,100	Star Micronics Co. Ltd.		13,378
	18,100	Starts Corp., Inc.		445,621
	65,800	Subaru Corp.		1,055,867
	153,600	SUMCO Corp.		1,241,862
	53,900	Sumitomo Corp. (a)		1,156,917
	3,000	Sumitomo Densetsu Co. Ltd.		96,537
	83,400	Sumitomo Forestry Co. Ltd.		3,183,264
	39,100	Sumitomo Heavy Industries Ltd.		829,481
	123,800	Sumitomo Mitsui Financial Group, Inc.		3,055,485
	99,500	Sumitomo Mitsui Trust Group, Inc.		2,494,641
	9,100	Sun Frontier Fudousan Co. Ltd.		114,397
	4,100	Suntory Beverage & Food Ltd.		139,716
	2,800	Suzuken Co. Ltd.		87,611
	127,700	T&D Holdings, Inc.		2,420,575
	8,400	Takeuchi Manufacturing Co. Ltd.		272,299
	5,400	Tamron Co. Ltd.		154,841
	65,200	THK Co. Ltd.		1,577,454
	9,800	TIS, Inc. (a)		240,327
	1,600	Toho Holdings Co. Ltd.		45,732
	272,200	Tokai Carbon Co. Ltd.		1,652,945
	204,300	Tokyo Electric Power Co. Holdings, Inc. * (a)		735,125
	53,500	Tokyo Gas Co. Ltd. (a)		1,612,672
	30,000	Tokyo Steel Manufacturing Co. Ltd.		298,165
	116,000	Tosei Corp. (b)		1,892,829
	67,500	Tosoh Corp.		931,609
	51,800	TOTO Ltd.		1,399,760
	10,000	Toyo Tire Corp.		155,731
	16,500	Toyoda Gosei Co. Ltd.		272,220
	9,700	Toyota Boshoku Corp.		123,506
	20,100	Toyota Industries Corp.		1,502,482
	107,600	Toyota Tsusho Corp.		1,841,005
	600	Tsubakimoto Chain Co.		7,517
	7,400	Tsugami Corp.		67,285
	18,100	TV Asahi Holdings Corp.		264,404
	3,600	Wacoal Holdings Corp.		123,465
	17,900	YAMABIKO Corp.		296,167
	168,300	Yamaha Corp.		1,240,693

Shares		Description	Value ($)
		Japan — continued
	488,500	Yamaha Motor Co. Ltd.		4,256,168
	5,300	Yamazen Corp.		45,607
	18,000	Yellow Hat Ltd.		309,424
	82,900	Yokogawa Bridge Holdings Corp.		1,527,887
	22,900	Yokohama Rubber Co. Ltd.		465,300
	6,200	Yuasa Trading Co. Ltd.		179,342
	38,500	Zenkoku Hosho Co. Ltd. (b)		1,380,312
		Total Japan		173,727,496
		Kuwait — 0.0%
	8,662	Humansoft Holding Co. KSC		69,794
		Malaysia — 0.1%
	356,500	CIMB Group Holdings Bhd.		661,621
	91,200	Sime Darby Bhd.		46,825
		Total Malaysia		708,446
		Mexico — 0.8%
	896,700	America Movil SAB de CV – Series B		666,808
	40,486	Arca Continental SAB de CV		343,680
	195,398	Cemex SAB de CV Sponsored ADR		1,088,367
	7,770	Coca-Cola Femsa SAB de CV Sponsored ADR		618,725
	495,200	Credito Real SAB de CV SOFOM ER * (d)		—
	36,229	El Puerto de Liverpool SAB de CV – Class C1		183,872
	102,269	Fomento Economico Mexicano SAB de CV		899,645
	123,000	Genomma Lab Internacional SAB de CV – Class B		163,656
	59,200	Gentera SAB de CV		74,742
	2,480	Gruma SAB de CV – Class B		42,408
	1,700	Grupo Aeroportuario del Sureste SAB de CV ADR		442,238
	7,548	Grupo Aeroportuario del Sureste SAB de CV – Class B		192,013
	10,000	Grupo Comercial Chedraui SA de CV		64,955
	208,422	Grupo Financiero Banorte SAB de CV – Class O		1,374,348
	212,601	Grupo Mexico SAB de CV – Series B		1,035,634
	815	Unifin Financiera SAB de CV * (d)		—
		Total Mexico		7,191,091
		Netherlands — 2.1%
	4,026	Aalberts NV		154,334
	12,124	Aegon Ltd.		78,294
	2,751	Akzo Nobel NV		160,628
	433	ASML Holding NV		295,873
	38,936	EXOR NV		3,845,695
	9,049	ForFarmers NV		30,874
	2,448	IMCD NV		367,277
	185,731	ING Groep NV		2,867,195
	4,004	JDE Peet’s NV		79,711
	93,281	Koninklijke Ahold Delhaize NV (a)		3,219,779
	28,461	Koninklijke BAM Groep NV		122,089
	2,017	Koninklijke Heijmans NV		61,671
	143,143	Koninklijke KPN NV		554,911

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Netherlands — continued
	91,848	NN Group NV		4,262,519
	19,519	Prosus NV		794,575
	19,994	Randstad NV (a)		878,031
	36,726	Signify NV		821,101
	6,928	Wolters Kluwer NV (a)		1,156,224
		Total Netherlands		19,750,781
		New Zealand — 0.0%
	62,733	Meridian Energy Ltd. (a)		230,847
	22,920	Spark New Zealand Ltd.		39,692
		Total New Zealand		270,539
		Norway — 0.6%
	31,187	BW LPG Ltd.		379,304
	84,778	Elkem ASA *		140,169
	126,190	Equinor ASA (a)		3,058,531
	32,280	Europris ASA		193,624
	42,429	Hoegh Autoliners ASA		494,871
	10,064	Odfjell Drilling Ltd.		44,411
	98,003	Orkla ASA		905,261
	1,648	Selvaag Bolig ASA		5,052
	4,613	Stolt-Nielsen Ltd.		117,113
	38,924	Storebrand ASA		427,955
	33,014	Wallenius Wilhelmsen ASA		322,334
		Total Norway		6,088,625
		Pakistan — 0.0%
	15,265	Engro Fertilizers Ltd.		10,983
	135,079	Oil & Gas Development Co. Ltd.		94,525
	98,219	Pakistan Petroleum Ltd.		59,373
		Total Pakistan		164,881
		Philippines — 0.0%
	60,900	Manila Water Co., Inc.		26,651
	1,006,080	Megaworld Corp.		35,025
		Total Philippines		61,676
		Poland — 0.2%
	1,616	Asseco Poland SA		36,104
	7,656	Bank Polska Kasa Opieki SA		255,907
	92,537	ORLEN SA		1,164,223
	109,913	PGE Polska Grupa Energetyczna SA *		182,501
	28,059	Powszechny Zaklad Ubezpieczen SA		305,968
		Total Poland		1,944,703
		Portugal — 0.0%
	33,533	Navigator Co. SA		121,703
	202,578	Sonae SGPS SA		201,953
		Total Portugal		323,656

Shares		Description	Value ($)
		Qatar — 0.1%
	130,563	Industries Qatar QSC		465,768
	40,449	Ooredoo QPSC		131,500
	13,070	Qatar National Bank QPSC		61,372
		Total Qatar		658,640
		Russia — 0.0%
	3,038,020	Alrosa PJSC (d) (e)		—
	160,792,062	Federal Grid Co-Rosseti PJSC * (d) (e)		2
	180,610	Gazprom Neft PJSC (d) (e)		—
	2,050,858	Gazprom PJSC (d) (e)		—
	455,400	GMK Norilskiy Nickel PAO (d) (e)		—
	6,310,100	Inter RAO UES PJSC (d) (e)		—
	19,776	LSR Group PJSC (d) (e)		—
	1	LSR Group PJSC GDR * (d) (e)		—
	74,944	LUKOIL PJSC (d) (e)		—
	1,863,335	Magnitogorsk Iron & Steel Works PJSC (d) (e)		—
	25,400	Mechel PJSC * (d) (e)		—
	361,420	Moscow Exchange MICEX-Rates PJSC (d) (e)		—
	3,294,000	Mosenergo PJSC (d) (e)		—
	75,720	Novatek PJSC (d) (e)		—
	1,212,010	Novolipetsk Steel PJSC (d) (e)		—
	3,466	PhosAgro PJSC (d) (e)		—
	67	PhosAgro PJSC GDR * (d) (e)		—
	10,215	Polyus PJSC * (d) (e)		—
	1	Polyus PJSC GDR * (d) (e)		—
	24,471,200	RusHydro PJSC * (d) (e)		—
	3,677,652	Sberbank of Russia PJSC (d) (e)		—
	425	Severstal PAO (d) (e)		—
	91,185	Severstal PAO GDR (Registered) * (d) (e)		—
	11,580	SFI PJSC (d) (e)		—
	5,940,620	Surgutneftegas PJSC (d) (e)		—
	332,388	Tatneft PJSC (d) (e)		—
	1,300,440	Unipro PJSC * (d) (e)		—
	50,950	United Co. Rusal International PJSC * (d) (e)		—
		Total Russia		2
		Saudi Arabia — 0.0%
	1,349	Jamjoom Pharmaceuticals Factory Co.		56,434
		Singapore — 0.8%
	29,900	Bumitama Agri Ltd.		18,974
	265,400	ComfortDelGro Corp. Ltd.		289,343
	19,408	DBS Group Holdings Ltd.		615,851
	35,500	First Real Estate Investment Trust – (REIT) (b)		6,754
	84,500	First Resources Ltd.		94,046
	798,800	Golden Agri-Resources Ltd.		161,022
	27,320	Hafnia Ltd.		158,358
	210,500	Oversea-Chinese Banking Corp. Ltd.		2,558,563
	40,900	Sasseur Real Estate Investment Trust – (REIT)		21,388
	37,700	Sheng Siong Group Ltd.		46,452

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Singapore — continued
	74,700	StarHub Ltd.		68,068
	38,500	United Overseas Bank Ltd.		1,045,303
	23,600	Venture Corp. Ltd.		226,859
	94,600	Wilmar International Ltd.		217,711
	90,299	Yangzijiang Financial Holding Ltd.		26,976
	991,199	Yangzijiang Shipbuilding Holdings Ltd.		1,783,646
	87,400	Yanlord Land Group Ltd. * (b)		42,115
		Total Singapore		7,381,429
		South Africa — 0.3%
	16,695	AVI Ltd.		102,014
	7,395	Barloworld Ltd.		35,118
	5,535	Clicks Group Ltd.		121,342
	229,181	FirstRand Ltd.		983,332
	18,410	Investec Ltd.		131,501
	1,814	JSE Ltd.		11,891
	15,700	Momentum Group Ltd.		26,296
	17,982	Motus Holdings Ltd.		123,044
	20,901	Mr. Price Group Ltd.		334,952
	13,613	Nedbank Group Ltd.		219,100
	20,035	Raubex Group Ltd.		58,760
	6,273	Reunert Ltd.		26,545
	58,366	Sanlam Ltd.		285,863
	34,493	Sappi Ltd.		96,494
	12,648	Tiger Brands Ltd.		177,925
	18,520	Truworths International Ltd.		105,181
	1,044	Wilson Bayly Holmes-Ovcon Ltd.		11,818
		Total South Africa		2,851,176
		South Korea — 2.4%
	15,651	BNK Financial Group, Inc.		118,746
	1,320	Cheil Worldwide, Inc.		17,237
	124	Chong Kun Dang Pharmaceutical Corp.		8,461
	7,148	Coway Co. Ltd.		338,730
	1,938	Daewoong Co. Ltd.		29,516
	6,725	Daou Data Corp.		52,255
	1,785	DB Insurance Co. Ltd.		140,043
	22,040	Doosan Bobcat, Inc.		617,317
	355	DoubleUGames Co. Ltd.		13,109
	14,943	GS Holdings Corp.		449,772
	22,415	Hana Financial Group, Inc.		1,005,155
	1,143	Handsome Co. Ltd.		12,286
	16,290	Hankook Tire & Technology Co. Ltd.		441,522
	2,401	Hanyang Digitech Co. Ltd. *		14,296
	3,767	HMM Co. Ltd.		48,541
	5,265	Hyundai Engineering & Construction Co. Ltd.		103,753
	12,559	Hyundai Glovis Co. Ltd.		1,110,427
	501	Hyundai Home Shopping Network Corp.		16,232
	5,433	Hyundai Marine & Fire Insurance Co. Ltd.		103,768
	16,926	Hyundai Mobis Co. Ltd.		2,914,712
	5,116	Hyundai Motor Co.		806,354
	2,408	Hyundai Steel Co.		36,292

Shares		Description	Value ($)
		South Korea — continued
	7,995	JB Financial Group Co. Ltd.		112,902
	4,809	KB Financial Group, Inc.		332,134
	3,654	KB Financial Group, Inc. ADR		251,870
	705	KCC Glass Corp.		19,518
	62,399	Kia Corp.		4,178,415
	1,121	Korea Investment Holdings Co. Ltd.		60,231
	496	Krafton, Inc. *		111,473
	24,766	KT&G Corp.		2,167,717
	1,266	Kyung Dong Navien Co. Ltd.		68,558
	7,843	LG Corp.		422,780
	30,115	LG Electronics, Inc.		1,946,527
	438	LG Innotek Co. Ltd.		51,279
	332	NH Investment & Securities Co. Ltd.		3,182
	5,453	POSCO Holdings, Inc. Sponsored ADR		281,484
	455	Samsung Card Co. Ltd.		13,908
	10,861	Samsung E&A Co. Ltd. *		140,187
	55,103	Samsung Electronics Co. Ltd.		2,166,826
	26	Samsung Electronics Co. Ltd. GDR (a)		25,525
	741	Samsung Fire & Marine Insurance Co. Ltd.		209,642
	123	Samsung Securities Co. Ltd.		4,218
	28,490	Shinhan Financial Group Co. Ltd.		1,091,654
	3,994	T&L Co. Ltd.		172,620
	58,381	Woori Financial Group, Inc.		700,973
	2,791	Youngone Corp.		82,257
		Total South Korea		23,014,404
		Spain — 1.7%
	57,991	Acerinox SA		582,832
	14,586	Amadeus IT Group SA (a)		1,024,382
	17,671	Atresmedia Corp. de Medios de
		Comunicacion SA		84,914
	456,403	Banco Bilbao Vizcaya Argentaria SA		4,311,249
	1,724,229	Banco de Sabadell SA		3,251,098
	801,970	Banco Santander SA		3,702,381
	40,756	CaixaBank SA		221,497
	480	Grupo Catalana Occidente SA		18,391
	38,575	Industria de Diseno Textil SA (a)		2,128,692
	178,668	Mapfre SA (b)		464,464
	29,927	Prosegur Cia de Seguridad SA (b)		61,801
	62,319	Repsol SA		780,035
	20,000	Telefonica SA (a)		90,604
		Total Spain		16,722,340
		Sweden — 0.5%
	7,329	Assa Abloy AB – Class B (a)		225,089
	4,628	Betsson AB – Class B (a)		59,337
	80,227	Fastighets AB Balder – B Shares *		618,212
	52,965	Investor AB – B Shares (a)		1,453,176
	3,615	Inwido AB		60,696
	13,218	Peab AB – Class B		97,255
	4,344	Skanska AB – B Shares		90,696
	14,266	SSAB AB – B Shares		64,628

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Sweden — continued
	17,707	Swedbank AB – Class A		346,863
	4,640	Volvo AB – A Shares (a)		116,227
	43,797	Volvo AB – B Shares (a)		1,090,872
	409,294	Volvo Car AB – Class B * (b)		897,548
		Total Sweden		5,120,599
		Switzerland — 1.7%
	1,208	ABB Ltd. (Registered) (a)		68,964
	83,356	Adecco Group AG (Registered) (a)		2,225,905
	393	Bobst Group SA (Registered)		29,220
	4,537	Holcim AG (a)		462,408
	5,458	Logitech International SA (Registered)		443,563
	2,157	Mobilezone Holding AG (Registered)		34,226
	23,352	Novartis AG Sponsored ADR (b)		2,469,941
	11,571	Novartis AG (Registered) (a)		1,226,750
	26,216	Roche Holding AG (a) (c)		7,617,078
	750	Roche Holding AG (a) (c)		230,894
	6,499	Sandoz Group AG ADR		296,315
	787	Sandoz Group AG		35,966
	659	Swatch Group AG		120,102
	1,221	Swisscom AG (Registered) (a)		705,301
	602	u-blox Holding AG		47,344
		Total Switzerland		16,013,977
		Taiwan — 2.8%
	11,414	Acter Group Corp. Ltd.		110,898
	45,000	Asustek Computer, Inc.		820,896
	144,000	Catcher Technology Co. Ltd.		875,080
	39,000	Cathay Financial Holding Co. Ltd.		79,340
	26,000	Chicony Electronics Co. Ltd.		126,452
	492,200	Evergreen Marine Corp. Taiwan Ltd.		3,306,791
	29,000	Farglory Land Development Co. Ltd.		58,722
	125,000	FIT Hon Teng Ltd. * (b)		51,559
	66,205	Fubon Financial Holding Co. Ltd.		180,408
	12,080	Fusheng Precision Co. Ltd.		116,487
	588,318	Hon Hai Precision Industry Co. Ltd.		3,582,671
	20,000	Kung Long Batteries Industrial Co. Ltd.		97,590
	52,000	MediaTek, Inc.		2,041,740
	49,903	Nantex Industry Co. Ltd.		52,393
	10,800	Nien Made Enterprise Co. Ltd.		133,920
	22,000	Pegatron Corp.		64,263
	6,000	Pixart Imaging, Inc.		39,812
	533,000	Pou Chen Corp.		672,076
	35,000	Primax Electronics Ltd.		85,387
	195,472	Radiant Opto-Electronics Corp.		1,152,445
	25,000	Realtek Semiconductor Corp.		369,377
	29,000	Shinkong Insurance Co. Ltd.		89,530
	44,900	Simplo Technology Co. Ltd.		523,827
	2,945	Sinmag Equipment Corp.		13,167
	19,000	T3EX Global Holdings Corp.		46,177
	12,000	TaiDoc Technology Corp.		54,599
	297,000	Taiwan Semiconductor Manufacturing Co. Ltd.		9,254,682

Shares		Description	Value ($)
		Taiwan — continued
	491	Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (a)		90,668
	8,000	TTY Biopharm Co. Ltd.		18,636
	2,000	United Integrated Services Co. Ltd.		26,500
	85,000	Wan Hai Lines Ltd.		218,573
	845,000	Yang Ming Marine Transport Corp.		1,915,012
	117,000	Yuanta Financial Holding Co. Ltd.		120,233
	25,000	YungShin Global Holding Corp.		43,371
		Total Taiwan		26,433,282
		Thailand — 0.9%
	94,600	3BB Internet Infrastructure Fund – (REIT)		15,584
	1,097,600	AP Thailand PCL NVDR		277,352
	165,800	Digital Telecommunications Infrastructure Fund – Class F		42,541
	567,700	Energy Absolute PCL NVDR		105,925
	39,600	GFPT PCL NVDR		12,256
	601,100	Kasikornbank PCL NVDR		2,640,982
	4,169,000	Krung Thai Bank PCL NVDR		2,436,376
	34,532	Pruksa Holding PCL NVDR		8,520
	364,600	PTT Exploration & Production PCL NVDR		1,358,298
	735,400	PTT PCL NVDR		692,539
	55,400	Regional Container Lines PCL NVDR		45,803
	682,900	Sansiri PCL NVDR		35,829
	174,100	SCB X PCL NVDR		581,692
	7,700	Siam Cement PCL NVDR		41,340
	52,300	Somboon Advance Technology PCL NVDR		16,630
	76,400	Sri Trang Agro-Industry PCL NVDR		41,123
	186,700	Sri Trang Gloves Thailand PCL NVDR		59,449
	149,500	Supalai PCL NVDR		83,036
	91,100	Thai Oil PCL NVDR		100,437
		Total Thailand		8,595,712
		Turkey — 0.1%
	87,737	Akbank TAS		154,046
	20,104	Dogus Otomotiv Servis ve Ticaret AS		123,923
	58,409	Turk Hava Yollari AO *		479,989
		Total Turkey		757,958
		United Arab Emirates — 0.2%
	92,910	Emaar Development PJSC		287,537
	330,433	Emaar Properties PJSC		859,617
	100,284	Emirates NBD Bank PJSC		546,399
	10,323	Orascom Construction PLC		61,395
		Total United Arab Emirates		1,754,948
		United Kingdom — 4.2%
	124,468	3i Group PLC (a)		5,881,764
	54,388	abrdn PLC		97,603
	14,581	Anglogold Ashanti PLC *		364,884
	6,390	Ashtead Group PLC (a)		512,132
	24,287	Aviva PLC		149,574

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	4,859	Bank of Georgia Group PLC		289,966
	259,347	Barratt Redrow PLC		1,412,418
	19,877	Bellway PLC		634,577
	15,087	Berkeley Group Holdings PLC		797,335
	6,334	British American Tobacco PLC Sponsored ADR (a)		240,312
	2,565,976	BT Group PLC (b)		5,204,169
	7,522	Coca-Cola HBC AG		268,495
	40,744	Compass Group PLC (a)		1,396,042
	96,532	Currys PLC *		97,816
	23,265	Evraz PLC * (d)		—
	116,800	Ferrexpo PLC *		120,859
	1,720	Galliford Try Holdings PLC		8,272
	123,683	GSK PLC Sponsored ADR		4,221,301
	19,945	GSK PLC		338,832
	35,597	Howden Joinery Group PLC		370,178
	205,965	HSBC Holdings PLC		1,919,444
	78,121	IG Group Holdings PLC		952,053
	20,146	Imperial Brands PLC		658,901
	17,373	International Personal Finance PLC		29,320
	19,168	Investec PLC		139,308
	552,296	ITV PLC		511,140
	22,289	J Sainsbury PLC		74,124
	4,789	Keller Group PLC		90,575
	851,311	Kingfisher PLC		2,685,028
	2,000,401	Lloyds Banking Group PLC		1,348,646
	62,388	MONY Group PLC		155,585
	7,241	Morgan Advanced Materials PLC		24,483
	5,953	Morgan Sindall Group PLC		288,486
	40,739	OSB Group PLC		207,884
	20,286	Paragon Banking Group PLC		194,969
	3,990	Pearson PLC ADR (a)		62,364
	32,591	Persimmon PLC		522,092
	20,638	Plus500 Ltd.		673,884
	13,421	Premier Foods PLC		33,390
	17,796	Rio Tinto PLC Sponsored ADR (a) (b)		1,118,301
	2,887	Rio Tinto PLC (a)		181,514
	25,848	Shell PLC (a)		830,679
	15,165	Spirent Communications PLC *		33,061
	53,827	Standard Chartered PLC		665,462
	88,871	Taylor Wimpey PLC		148,297
	878	TBC Bank Group PLC		33,873
	54,509	TP ICAP Group PLC		182,232
	8,122	Vesuvius PLC		43,074
	940,967	Vodafone Group PLC		848,979
	366,545	Vodafone Group PLC Sponsored ADR		3,287,909
	35,451	Zigup PLC		171,123
		Total United Kingdom		40,522,709
		United States — 17.0%
	5,137	3M Co. (a)		685,944
	2,837	Academy Sports & Outdoors, Inc. (b)		139,722
	349	Adtalem Global Education, Inc. * (b)		31,902

Shares		Description	Value ($)
		United States — continued
	960	Affiliated Managers Group, Inc.		180,038
	2,308	AGCO Corp. (b)		233,593
	8,648	Akamai Technologies, Inc. * (b)		813,085
	1,040	Allison Transmission Holdings, Inc.		123,240
	462	Allstate Corp. (a)		95,814
	47,798	Ally Financial, Inc.		1,910,964
	13,500	Alphabet, Inc. – Class A (a)		2,280,825
	4,427	American Express Co. (b)		1,348,818
	14,810	Aptiv PLC * (b)		822,399
	9,950	Arch Capital Group Ltd. (a)		1,002,164
	14,222	Archer-Daniels-Midland Co. (a)		776,521
	2,706	Arrow Electronics, Inc. *		325,153
	2,338	Aspen Technology, Inc. * (b)		584,500
	391	Atkore, Inc.		36,875
	1,406	Autoliv, Inc.		139,363
	933	AutoNation, Inc. *		166,904
	5,374	Avnet, Inc. (b)		294,012
	73,918	Bank of America Corp. (a)		3,511,844
	8,427	Bank of New York Mellon Corp. (a)		689,918
	35,071	Bath & Body Works, Inc.		1,270,973
	4,190	Best Buy Co., Inc.		377,100
	1,850	Bio-Rad Laboratories, Inc. – Class A *		629,981
	11,052	Block, Inc. *		978,655
	110	Boise Cascade Co.		16,236
	332	Booking Holdings, Inc. (a)		1,727,057
	30,422	BorgWarner, Inc.		1,044,083
	267	Brunswick Corp. (b)		21,496
	8,633	Builders FirstSource, Inc. *		1,609,796
	3,853	Bunge Global SA (b)		345,768
	12,861	Capital One Financial Corp. (a)		2,469,441
	8,401	CarMax, Inc. * (b)		705,432
	1,200	Carter’s, Inc.		65,484
	10,638	CBRE Group, Inc. – Class A * (a)		1,489,214
	29,358	Centene Corp. * (a)		1,761,480
	14,629	Chevron Corp. (a)		2,368,874
	5,557	Chord Energy Corp.		708,629
	3,870	Cigna Group (a)		1,307,287
	38,209	Cisco Systems, Inc. (a)		2,262,355
	38,243	Citigroup, Inc. (a)		2,710,281
	74,810	Cleveland-Cliffs, Inc. *		931,385
	86,484	CNH Industrial NV		1,086,239
	26,586	Cognizant Technology Solutions Corp. – Class A (a)		2,139,907
	65,940	Comcast Corp. – Class A (a)		2,847,949
	1,563	Commercial Metals Co.		96,421
	9,173	Conagra Brands, Inc. (b)		252,716
	933	Concentrix Corp. (b)		41,938
	2,531	Crocs, Inc. * (b)		267,274
	2,810	Cummins, Inc. (a)		1,053,862
	37,054	CVS Health Corp. (a)		2,217,682
	15,667	Darling Ingredients, Inc. *		634,984
	12,920	Discover Financial Services (a)		2,356,996
	4,179	Dollar General Corp. (b)		322,911

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	8,706	DR Horton, Inc. (a)		1,469,399
	33,416	eBay, Inc. (a)		2,114,899
	1,846	Elevance Health, Inc. (a)		751,248
	1,229	Enphase Energy, Inc. * (b)		87,689
	13,256	EOG Resources, Inc. (b)		1,766,495
	6,309	EPAM Systems, Inc. * (a)		1,538,891
	2,843	Everest Group Ltd.		1,101,833
	5,461	Exelixis, Inc. *		199,108
	8,665	Expedia Group, Inc. * (a)		1,599,732
	14,615	Exxon Mobil Corp. (a)		1,723,985
	5,097	Federated Hermes, Inc.		217,897
	1,200	Fidelity National Financial, Inc.		76,068
	1,215	First Horizon Corp.		25,673
	194,017	Ford Motor Co.		2,159,409
	6,805	Fox Corp. – Class A (a)		320,652
	33,560	Fox Corp. – Class B (a)		1,501,139
	72,597	Franklin Resources, Inc. (b)		1,652,308
	19,657	GE HealthCare Technologies, Inc. (a)		1,635,856
	6,948	General Mills, Inc. (a)		460,374
	39,784	General Motors Co.		2,211,593
	3,136	Goldman Sachs Group, Inc. (a)		1,908,476
	58	Graham Holdings Co. – Class B (a)		54,005
	8,980	Green Plains, Inc. *		96,984
	512	Group 1 Automotive, Inc. (b)		218,010
	4,776	H&R Block, Inc. (b)		283,121
	3,970	Hartford Financial Services Group, Inc. (a)		489,541
	107,794	Hewlett Packard Enterprise Co.		2,287,389
	4,134	Hilton Worldwide Holdings, Inc. (a)		1,047,721
	60,263	HP, Inc.		2,135,118
	1,537	Humana, Inc. (a) (b)		455,536
	318	Huntington Ingalls Industries, Inc. (b)		62,939
	22,490	Incyte Corp. *		1,677,529
	957	Ingredion, Inc.		141,004
	101,685	Intel Corp. (b)		2,445,524
	8,958	Intercontinental Exchange, Inc. (a)		1,441,880
	12,515	International Business Machines Corp. (a)		2,846,036
	8,253	Invesco Ltd.		149,297
	3,187	Janus Henderson Group PLC		144,307
	878	Jazz Pharmaceuticals PLC *		106,756
	11,313	Johnson & Johnson (a)		1,753,628
	6,729	JPMorgan Chase & Co. (a)		1,680,366
	2,021	KB Home		167,218
	402	Kimberly-Clark Corp. (a)		56,019
	25,315	Kinder Morgan, Inc. (a)		715,655
	2,793	Kohl’s Corp. (b)		41,811
	59,585	Kraft Heinz Co. (a) (b)		1,904,932
	9,491	Kroger Co. (a)		579,710
	7,503	Lam Research Corp. (a)		554,322
	17,936	Las Vegas Sands Corp. (a)		951,684
	487	La-Z-Boy, Inc.		22,046
	2,867	Lear Corp.		280,507
	8,380	Lennar Corp. – Class A (b)		1,461,388
	2,960	LKQ Corp.		116,298

Shares		Description	Value ($)
		United States — continued
	7,151	LyondellBasell Industries NV – Class A (a)		595,964
	2,729	M&T Bank Corp.		600,353
	2,139	Macy’s, Inc.		34,737
	568	ManpowerGroup, Inc. (a)		36,562
	591	Markel Group, Inc. *		1,053,706
	44,477	Match Group, Inc. * (b)		1,456,177
	177	Matson, Inc.		27,113
	6,468	Medtronic PLC (a)		559,741
	16,722	Merck & Co., Inc. (a)		1,699,624
	6,636	Meta Platforms, Inc. – Class A (a)		3,811,188
	12,140	MGIC Investment Corp.		318,796
	14,590	Micron Technology, Inc. (a)		1,429,090
	8,420	Molson Coors Beverage Co. – Class B		522,545
	4,289	Morgan Stanley (a)		564,475
	53,348	Mosaic Co.		1,411,588
	1,199	Mueller Industries, Inc. (b)		96,843
	24	NewMarket Corp.		12,805
	12,025	Nucor Corp. (a)		1,860,147
	16,060	ON Semiconductor Corp. * (b)		1,142,187
	2,181	OneMain Holdings, Inc.		125,080
	2,036	Oshkosh Corp.		231,310
	6,283	Otis Worldwide Corp. (a)		647,023
	20,126	Ovintiv, Inc.		914,123
	759	Owens Corning		156,066
	15,445	PACCAR, Inc. (a)		1,807,065
	101,850	Paramount Global – Class B (b)		1,105,073
	26,088	PayPal Holdings, Inc. * (a)		2,263,656
	100,564	Pfizer, Inc. (a)		2,635,782
	1,931	Polaris, Inc.		133,239
	1,571	PPG Industries, Inc. (a)		195,385
	2,492	Premier, Inc. – Class A (b)		57,067
	107	Procter & Gamble Co. (a)		19,181
	11,481	PulteGroup, Inc. (a)		1,553,035
	2,523	PVH Corp.		273,418
	3,448	QUALCOMM, Inc. (b)		546,611
	7,520	Radian Group, Inc.		269,141
	2,773	Regeneron Pharmaceuticals, Inc. * (a)		2,080,360
	3,111	Regions Financial Corp.		84,806
	1,146	Robert Half, Inc. (a)		85,503
	1,612	Sealed Air Corp.		58,999
	2,527	Signet Jewelers Ltd. (b)		253,205
	4,097	Skechers USA, Inc. – Class A *		261,471
	19,657	Skyworks Solutions, Inc.		1,721,757
	5,391	SLM Corp.		147,606
	48	Snap-on, Inc.		17,745
	4,815	SolarEdge Technologies, Inc. * (b)		76,077
	28,492	Solventum Corp. *		2,037,463
	4,804	State Street Corp. (a)		473,242
	13,129	Steel Dynamics, Inc.		1,907,250
	32,364	Synchrony Financial (a)		2,185,217
	7,195	T. Rowe Price Group, Inc. (b)		891,029
	7,445	Tapestry, Inc.		463,675
	2,016	Target Corp. (a)		266,737

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		United States — continued
	244	TD SYNNEX Corp.		29,034
	822	Terex Corp. (b)		45,037
	4,614	Texas Instruments, Inc. (a)		927,552
	402	Toll Brothers, Inc. (b)		66,398
	11,337	Tyson Foods, Inc. – Class A		731,237
	23,313	U.S. Bancorp		1,242,350
	1,216	UFP Industries, Inc.		165,254
	2,349	United Parcel Service, Inc. – Class B (b)		318,806
	377	United Therapeutics Corp. *		139,675
	4,783	Unum Group		367,813
	65,467	Verizon Communications, Inc. (a)		2,902,807
	146,116	Viatris, Inc.		1,912,658
	161,655	Walgreens Boots Alliance, Inc. (b)		1,458,128
	18,955	Wells Fargo & Co. (a)		1,443,802
	19,964	Western Union Co.		219,804
	2,319	Whirlpool Corp.		258,383
	23,051	Zoom Communications, Inc. – Class A * (a)		1,906,087
		Total United States		162,517,352
		Vietnam — 0.1%
	78,536	Duc Giang Chemicals JSC		339,914
	48,100	PetroVietNam Ca Mau Fertilizer JSC		70,187
	24,900	Quang Ngai Sugar JSC		49,987
	60,700	Vietnam Dairy Products JSC		154,819
	22,800	Vietnam Engine & Agricultural Machinery Corp.		34,441
		Total Vietnam		649,348
		TOTAL COMMON STOCKS (COST $759,957,506)		720,744,240
		PREFERRED STOCKS (f) — 1.3%
		Brazil — 0.8%
	282,650	Bradespar SA		866,722
	5,600	Cia de Ferro Ligas da Bahia FERBASA		7,260
	1,352,503	Cia Energetica de Minas Gerais		2,674,975
	98,260	Gerdau SA		331,518
	276,375	Gerdau SA Sponsored ADR		928,621
	117,802	Itausa SA		190,894
	76,400	Marcopolo SA		109,074
	163,813	Petroleo Brasileiro SA		1,059,089
	93,011	Petroleo Brasileiro SA ADR (a)		1,212,863
		Total Brazil		7,381,016
		Colombia — 0.0%
	9,359	Bancolombia SA Sponsored ADR		306,039
		Germany — 0.4%
	9,800	Bayerische Motoren Werke AG		671,375
	981	Draegerwerk AG & Co. KGaA		45,270
	33,767	Porsche Automobil Holding SE		1,239,889
	512	Villeroy & Boch AG		8,358
	22,035	Volkswagen AG (a)		1,888,947
		Total Germany		3,853,839
		Russia — 0.0%
	12,924	Bashneft PJSC (d) (e)		—
	56,000	Nizhnekamskneftekhim PJSC (d) (e)		—

Shares / Par Value†		Description	Value ($)
		Russia — continued
	20,810	Sberbank of Russia PJSC (d) (e)		—
	9,254,300	Surgutneftegas PJSC (d) (e)		—
	16,100	Transneft PJSC (d) (e)		—
		Total Russia		—
		South Korea — 0.1%
	1,194	LG Electronics, Inc.		36,897
	18,916	Samsung Electronics Co. Ltd.		632,265
	51	Samsung Electronics Co. Ltd. GDR		42,758
		Total South Korea		711,920
		TOTAL PREFERRED STOCKS (COST $19,993,801)		12,252,814
		RIGHTS/WARRANTS — 0.0%
		Canada — 0.0%
	7,900	Resolute Forest Products, Inc. * (g)		15,800
		TOTAL RIGHTS/WARRANTS (COST $8,690)		15,800
		INVESTMENT FUNDS — 2.1%
		United States — 2.1%
	33,700	iShares Core S&P 500 ETF (a)		20,390,859
		TOTAL INVESTMENT FUNDS (COST $19,989,829)		20,390,859
		DEBT OBLIGATIONS — 19.4%
		United States — 19.4%
		U.S. Government — 19.4%
	10,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 4.71%, due 01/31/26		10,009,420
	84,610,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.61%, due 04/30/26 (a)		84,603,124
	46,052,537	U.S. Treasury Inflation-Indexed Notes, 1.75%, due 01/15/34		45,295,098
	45,415,552	U.S. Treasury Inflation-Indexed Notes, 1.88%, due 07/15/34 (a)		45,204,262
		Total U.S. Government		185,111,904
		Total United States		185,111,904
		TOTAL DEBT OBLIGATIONS (COST $185,532,132)		185,111,904
		MUTUAL FUNDS — 13.9%
		United States — 13.9%
		Affiliated Issuers — 13.9%
	588,768	GMO Climate Change Fund, Class III		12,010,869
	1,086,115	GMO Emerging Country Debt Fund, Class VI		22,678,084
	625,671	GMO High Yield Fund, Class VI		11,337,154
	2,112,958	GMO Opportunistic Income Fund, Class VI		51,196,961
	1,660,018	GMO Resources Fund, Class VI		33,681,758

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares			Description	Value ($)
			United States — continued
			Affiliated Issuers — continued
	402,421		GMO U.S. Treasury Fund, Class VI (formerly Core Class) (h)		2,012,107
			Total Affiliated Issuers		132,916,933
			TOTAL MUTUAL FUNDS (COST $151,214,146)		132,916,933
			SHORT-TERM INVESTMENTS — 8.9%
			Money Market Funds — 0.4%
	4,169,361		State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (i)		4,169,361
			Repurchase Agreements — 8.5%
	80,999,307		Nomura Securities International, Inc. Repurchase Agreement, dated 11/29/24, maturing on 12/02/24 with a maturity value of $81,030,087 and an effective yield of 4.56%, collateralized by a U.S. Treasury Note with maturity date 05/31/27 and a market value of $81,620,153.		80,999,307
			TOTAL SHORT-TERM INVESTMENTS (COST $85,168,668)		85,168,668
			TOTAL INVESTMENTS — 120.9% (Cost $1,221,864,772)		1,156,601,218
			SECURITIES SOLD SHORT — (18.6)%
			Common Stocks — (18.5)%
			Australia — (0.9)%
	(14,283	)	ASX Ltd.		(616,723	)
	(31,632	)	CAR Group Ltd.		(859,737	)
	(2,727	)	Cochlear Ltd.		(542,998	)
	(147,017	)	Lottery Corp. Ltd.		(498,429	)
	(3,319	)	Mineral Resources Ltd.		(73,242	)
	(8,406	)	Pro Medicus Ltd.		(1,387,269	)
	(6,673	)	Ramsay Health Care Ltd.		(172,844	)
	(4,639	)	REA Group Ltd.		(765,112	)
	(18,337	)	WiseTech Global Ltd.		(1,540,550	)
	(14,504	)	Xero Ltd. *		(1,651,602	)
			Total Australia		(8,108,506	)
			Austria — (0.1)%
	(5,744	)	Verbund AG		(458,928	)
			Belgium — (0.2)%
	(2,319	)	Argenx SE *		(1,431,205	)
	(34	)	Lotus Bakeries NV		(409,268	)
			Total Belgium		(1,840,473	)
			Brazil — (0.1)%
	(110,116	)	NU Holdings Ltd. – Class A *		(1,379,753	)

Shares			Description	Value ($)
			Canada — (1.4)%
	(9,825	)	Agnico Eagle Mines Ltd.		(829,426	)
	(59,200	)	AltaGas Ltd.		(1,447,811	)
	(27,947	)	Cameco Corp.		(1,661,449	)
	(37,335	)	Enbridge, Inc.		(1,619,592	)
	(12,159	)	Franco-Nevada Corp.		(1,490,937	)
	(33,146	)	GFL Environmental, Inc.		(1,561,177	)
	(62,927	)	Pan American Silver Corp.		(1,382,506	)
	(37,664	)	Pembina Pipeline Corp.		(1,558,160	)
	(19,854	)	Restaurant Brands International, Inc.		(1,382,037	)
			Total Canada		(12,933,095	)
			Denmark — (0.2)%
	(11,266	)	Coloplast AS – Class B		(1,421,959	)
	(12,653	)	Tryg AS		(292,010	)
			Total Denmark		(1,713,969	)
			France — (0.4)%
	(8,350	)	Accor SA		(385,695	)
	(8,553	)	Aeroports de Paris SA		(990,609	)
	(67,086	)	Getlink SE		(1,097,002	)
	(685	)	Hermes International SCA		(1,495,099	)
			Total France		(3,968,405	)
			Germany — (0.7)%
	(6,464	)	adidas AG		(1,528,600	)
	(35,026	)	Delivery Hero SE *		(1,438,937	)
	(4,792	)	MTU Aero Engines AG		(1,633,681	)
	(3,833	)	Qiagen NV *		(167,658	)
	(786	)	Rational AG		(736,146	)
	(1,253	)	Siemens Energy AG *		(67,978	)
	(2,665	)	Symrise AG		(294,806	)
	(7,939	)	Talanx AG		(673,076	)
			Total Germany		(6,540,882	)
			Israel — (0.4)%
	(4,871	)	CyberArk Software Ltd. *		(1,575,817	)
	(4,690	)	Monday.com Ltd. *		(1,338,339	)
	(3,300	)	Wix.com Ltd. *		(738,342	)
			Total Israel		(3,652,498	)
			Italy — (0.5)%
	(27,614	)	Amplifon SpA		(701,333	)
	(1,825	)	DiaSorin SpA		(204,053	)
	(3,866	)	Ferrari NV		(1,684,133	)
	(74,527	)	FinecoBank Banca Fineco SpA		(1,195,854	)
	(112,566	)	Infrastrutture Wireless Italiane SpA		(1,160,019	)
			Total Italy		(4,945,392	)
			Japan — (1.8)%
	(5,800	)	Advantest Corp.		(321,206	)
	(64,700	)	Aeon Co. Ltd.		(1,556,065	)
	(28,600	)	ANA Holdings, Inc.		(552,610	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares			Description	Value ($)
			Japan — continued
	(26,700	)	Asics Corp.		(539,430	)
	(3,800	)	Disco Corp.		(1,038,407	)
	(2,100	)	FANUC Corp.		(54,561	)
	(127,000	)	Japan Exchange Group, Inc.		(1,536,834	)
	(17,600	)	Kintetsu Group Holdings Co. Ltd.		(376,168	)
	(35,600	)	Kobe Bussan Co. Ltd.		(899,061	)
	(10,900	)	Lasertec Corp.		(1,200,481	)
	(6,900	)	Mitsubishi Heavy Industries Ltd.		(101,588	)
	(65,300	)	MonotaRO Co. Ltd.		(1,166,673	)
	(61,800	)	Oriental Land Co. Ltd.		(1,458,262	)
	(248,800	)	Rakuten Group, Inc. *		(1,433,870	)
	(53,000	)	Shiseido Co. Ltd.		(986,242	)
	(1,317,000	)	SoftBank Corp.		(1,702,235	)
	(46,600	)	Tokyu Corp.		(545,267	)
	(12,900	)	West Japan Railway Co.		(242,925	)
	(18,000	)	Zensho Holdings Co. Ltd.		(1,086,753	)
	(1,800	)	ZOZO, Inc.		(56,800	)
			Total Japan		(16,855,438	)
			Netherlands — (0.5)%
	(1,116	)	Adyen NV *		(1,624,352	)
	(388	)	ASM International NV		(208,812	)
	(9,898	)	BE Semiconductor Industries NV		(1,176,880	)
	(7,292	)	InPost SA *		(127,696	)
	(27,372	)	OCI NV		(319,896	)
	(61,525	)	Universal Music Group NV		(1,481,493	)
			Total Netherlands		(4,939,129	)
			Norway — (0.1)%
	(3,701	)	Kongsberg Gruppen ASA		(436,133	)
			Peru — (0.1)%
	(13,468	)	Southern Copper Corp.		(1,351,514	)
			Singapore — (0.2)%
	(177,700	)	CapitaLand Investment Ltd.		(362,595	)
	(285,987	)	Grab Holdings Ltd. – Class A *		(1,429,935	)
	(101,100	)	Keppel Ltd.		(508,388	)
			Total Singapore		(2,300,918	)
			Spain — (0.3)%
	(44,102	)	Cellnex Telecom SA *		(1,584,826	)
	(38,685	)	Ferrovial SE		(1,595,872	)
			Total Spain		(3,180,698	)
			Sweden — (0.2)%
	(48,792	)	Beijer Ref AB		(769,782	)
	(48,343	)	EQT AB		(1,465,627	)
			Total Sweden		(2,235,409	)
			Switzerland — (0.2)%
	(20,374	)	Avolta AG		(756,252	)

Shares			Description	Value ($)
			Switzerland — continued
	(3,158	)	Bachem Holding AG		(244,726	)
	(33,660	)	SIG Group AG		(667,308	)
	(1,078	)	VAT Group AG		(430,632	)
			Total Switzerland		(2,098,918	)
			United Kingdom — (1.2)%
	(84,211	)	Auto Trader Group PLC		(899,534	)
	(143,046	)	Informa PLC		(1,560,517	)
	(12,767	)	InterContinental Hotels Group PLC		(1,592,993	)
	(11,957	)	London Stock Exchange Group PLC		(1,713,662	)
	(55,428	)	Melrose Industries PLC		(405,583	)
	(122,085	)	Phoenix Group Holdings PLC		(799,056	)
	(238,479	)	Rolls-Royce Holdings PLC *		(1,696,410	)
	(36,589	)	Severn Trent PLC		(1,256,010	)
	(255	)	United Utilities Group PLC		(3,634	)
	(124,939	)	Wise PLC – Class A *		(1,403,611	)
			Total United Kingdom		(11,331,010	)
			United States — (9.0)%
	(981	)	AbbVie, Inc.		(179,454	)
	(92,314	)	AES Corp.		(1,203,775	)
	(6,298	)	Alnylam Pharmaceuticals, Inc. *		(1,593,835	)
	(5,412	)	Arthur J Gallagher & Co.		(1,689,843	)
	(2,627	)	Axon Enterprise, Inc. *		(1,699,564	)
	(1,553	)	Bentley Systems, Inc. – Class B		(76,873	)
	(10,046	)	Boeing Co. *		(1,561,550	)
	(5,484	)	Burlington Stores, Inc. *		(1,545,830	)
	(35,140	)	Caesars Entertainment, Inc. *		(1,352,539	)
	(43,518	)	Celsius Holdings, Inc. *		(1,238,087	)
	(27,504	)	Chipotle Mexican Grill, Inc. *		(1,692,046	)
	(16,400	)	Cloudflare, Inc. – Class A *		(1,637,212	)
	(19,361	)	Dayforce, Inc. *		(1,548,686	)
	(35,331	)	DraftKings, Inc. – Class A *		(1,542,198	)
	(35,708	)	EQT Corp.		(1,622,572	)
	(32,406	)	Equitable Holdings, Inc.		(1,562,941	)
	(2,789	)	Erie Indemnity Co. – Class A		(1,228,722	)
	(23,616	)	Exact Sciences Corp. *		(1,466,081	)
	(718	)	Fair Isaac Corp. *		(1,705,272	)
	(7,958	)	Fastenal Co.		(664,970	)
	(19,522	)	Fidelity National Information Services, Inc.		(1,665,227	)
	(1,001	)	Fiserv, Inc. *		(221,181	)
	(6,097	)	Flutter Entertainment PLC *		(1,677,993	)
	(1,479	)	Gartner, Inc. *		(766,018	)
	(140	)	GE Vernova, Inc. *		(46,777	)
	(2,274	)	HubSpot, Inc. *		(1,639,668	)
	(6,529	)	Hyatt Hotels Corp. – Class A		(1,031,190	)
	(5,933	)	Insulet Corp. *		(1,582,806	)
	(17,849	)	Liberty Media Corp.-Liberty Formula One – Class C *		(1,577,138	)
	(3,733	)	Linde PLC		(1,720,876	)
	(11,472	)	Live Nation Entertainment, Inc. *		(1,586,004	)
	(4,700	)	Manhattan Associates, Inc. *		(1,341,568	)
	(3,014	)	Mastercard, Inc. – Class A		(1,606,281	)

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares			Description	Value ($)
			United States — continued
	(458	)	MercadoLibre, Inc. *		(909,208	)
	(4,961	)	MongoDB, Inc. *		(1,599,873	)
	(1,692	)	Moody’s Corp.		(845,966	)
	(2,764	)	MSCI, Inc.		(1,685,017	)
	(5,556	)	Newmont Corp.		(233,019	)
	(18,112	)	Okta, Inc. *		(1,404,767	)
	(14,694	)	ONEOK, Inc.		(1,669,238	)
	(25,838	)	Palantir Technologies, Inc. – Class A *		(1,733,213	)
	(4,019	)	Palo Alto Networks, Inc. *		(1,558,649	)
	(11,249	)	Paychex, Inc.		(1,645,391	)
	(7,653	)	PTC, Inc. *		(1,531,059	)
	(9,482	)	Repligen Corp. *		(1,427,420	)
	(99,031	)	Rivian Automotive, Inc. – Class A *		(1,211,149	)
	(33,341	)	ROBLOX Corp. – Class A *		(1,671,384	)
	(411	)	Roku, Inc. *		(28,371	)
	(30,492	)	Rollins, Inc.		(1,534,662	)
	(28,661	)	Samsara, Inc. – Class A *		(1,533,077	)
	(1,260	)	ServiceNow, Inc. *		(1,322,294	)
	(9,668	)	Snowflake, Inc. – Class A *		(1,689,966	)
	(8,812	)	Take-Two Interactive Software, Inc. *		(1,660,005	)
	(4,632	)	Tesla, Inc. *		(1,598,781	)
	(230	)	Texas Pacific Land Corp.		(368,021	)
	(34,548	)	Toast, Inc. – Class A *		(1,504,220	)
	(11,499	)	Trade Desk, Inc. – Class A *		(1,478,196	)
	(1,279	)	TransDigm Group, Inc.		(1,602,549	)

Shares			Description	Value ($)
			United States — continued
	(22,559	)	Uber Technologies, Inc. *		(1,623,346	)
	(10,877	)	Vistra Corp.		(1,738,580	)
	(2,861	)	Watsco, Inc.		(1,578,128	)
	(29,354	)	Williams Cos., Inc.		(1,717,796	)
	(18,142	)	Zillow Group, Inc. – Class C *		(1,536,809	)
	(7,729	)	Zscaler, Inc. *		(1,596,734	)
			Total United States		(86,511,665	)
			TOTAL COMMON STOCKS (PROCEEDS $129,768,445)		(176,782,733	)
			PREFERRED STOCKS (f) — (0.1)%
			Germany — (0.1)%
	(4,567	)	Sartorius AG		(1,054,520	)
			TOTAL PREFERRED STOCKS (PROCEEDS $1,541,856)		(1,054,520	)
			TOTAL SECURITIES SOLD SHORT (PROCEEDS $131,310,301)		(177,837,253	)
			Other Assets and Liabilities (net) — (2.3)%		(21,831,156	)
			TOTAL NET ASSETS — 100.0%	$	956,932,809

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 November 30, 2024
Alrosa PJSC	12/06/17	$	4,239,436	0.0%	$	—
Bashneft PJSC	06/11/20		245,233	0.0%		—
Federal Grid Co-Rosseti PJSC	08/12/19		462,175	0.0%		2
Gazprom Neft PJSC	08/12/19		1,228,645	0.0%		—
Gazprom PJSC	08/10/20		7,398,324	0.0%		—
GMK Norilskiy Nickel PAO	06/11/20		1,319,027	0.0%		—
Inter RAO UES PJSC	06/05/20		453,917	0.0%		—
LSR Group PJSC	08/12/19		175,128	0.0%		—
LSR Group PJSC GDR	05/06/21		2	0.0%		—
LUKOIL PJSC	07/13/20		6,946,911	0.0%		—
Magnitogorsk Iron & Steel Works PJSC	09/08/17		1,550,653	0.0%		—
Mechel PJSC	11/12/21		47,412	0.0%		—
Moscow Exchange MICEX-Rates PJSC	07/22/20		707,707	0.0%		—
Mosenergo PJSC	11/22/21		96,796	0.0%		—
Nizhnekamskneftekhim PJSC	03/24/20		55,853	0.0%		—
Novatek PJSC	10/21/21		777,645	0.0%		—
Novolipetsk Steel PJSC	11/07/19		3,077,372	0.0%		—
PhosAgro PJSC	12/03/20		212,444	0.0%		—
PhosAgro PJSC GDR	12/03/20		1,365	0.0%		—

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Issuer Description — (Continued)	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of November 30, 2024
Polyus PJSC	07/22/20	$	2,148,976	0.0%	$	—
Polyus PJSC GDR	02/24/23		0	0.0%		—
RusHydro PJSC	01/13/21		263,311	0.0%		—
Sberbank of Russia PJSC	09/09/20		12,774,954	0.0%		—
Sberbank of Russia PJSC	01/10/22		77,024	0.0%		—
Severstal PAO	02/02/21		7,249	0.0%		—
Severstal PAO GDR (Registered)	03/16/20		1,679,360	0.0%		—
SFI PJSC	03/16/20		68,731	0.0%		—
Surgutneftegas PJSC	12/18/19		3,244,318	0.0%		—
Surgutneftegas PJSC	03/16/20		4,726,538	0.0%		—
Tatneft PJSC	03/16/20		2,263,701	0.0%		—
Transneft PJSC	05/29/20		320,452	0.0%		—
Unipro PJSC	01/13/21		50,836	0.0%		—
United Co. Rusal International PJSC	11/12/21		51,607	0.0%		—
					$	2

A summary of outstanding financial instruments at November 30, 2024 is as follows:

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
453	U.S. Treasury Note 10 Yr. (CBT)	March 2025		50,367,938		324,870
671	U.S. Treasury Note 5 Yr. (CBT)	March 2025		72,200,649		596,758
460	U.S. Treasury Ultra 10 Yr. (CBT)	March 2025		52,806,562		312,587
			$	175,375,149	$	1,234,215

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

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^:
CDX.EM.S42	USD	26,300,000		1.00%		1.57%		N/A		12/20/2029		Quarterly		791,630			656,527			(135,103	)
CDX.NA.HY.S43	USD	14,700,000		5.00%		2.95%		N/A		12/20/2029		Quarterly		(1,084,125	)		(1,262,877	)		(178,752	)
													$	(292,495	)	$	(606,350	)	$	(313,855	)

^ 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 November 30, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

OTC Total Return Swaps

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
iShares Core S&P 500 ETF	1 Day Overnight Federal Funds Effective Rate plus 1.40%	GS		USD	19,989,829		01/21/2025		Monthly		—		(401,030	)		(401,030	)
Total Return on Equity Basket (j)	1 Month Federal Funds Rate minus 0.40%	GS		USD	5,361,487		06/24/2026		Monthly		—		151,613			151,613
Total Return on Equity Basket (k)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	9,968,842		06/18/2025		Monthly		—		(84,006	)		(84,006	)
										$	—	$	(333,423	)	$	(333,423	)

As of November 30, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

^(a)  All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any. (b) All or a portion of this security is out on loan.

^(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.

^(e)  The security is restricted as to resale.

^(f)  Preferred dividend rates are disclosed to the extent that a stated rate exists.

^(g)  Investment valued using significant unobservable inputs.

^(h)  All or a portion of this security is purchased with collateral from securities loaned.

⁽ⁱ⁾  The rate disclosed is the 7 day net yield as of November 30, 2024.

^(j)  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.

GMO Benchmark-Free Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

(k) The following table represents the individual long and/or short positions with in the custom equity basket swap as of November 30, 2024.

Shares			Description	% of Equity Basket			Value ($)
	(646,600	)	Airports Of Thailand PC NVDR		11.4	%		(1,147,797	)
	(24,400	)	China International Capital Corp.		0.4	%		(42,719	)
	(482,000	)	Genscript Biotech Corp.		6.7	%		(672,518	)
	(2,022	)	Hanmi Pharm Co. Ltd.		3.9	%		(396,260	)
	(263,500	)	Innovent Biologics, Inc.		13.1	%		(1,314,109	)
	(3,976	)	Kakao Corp.		1.1	%		(114,567	)
	(710,000	)	Kingdee International Software Group Co. Ltd.		8.0	%		(806,171	)
	(33,722	)	Korea Aerospace Industries Ltd.		14.1	%		(1,416,940	)
	129,326		Nokia OYJ		(5.4	%)		543,226
	(21,800	)	Nongfu Spring Co. Ltd.		0.9	%		(93,510	)
	(99	)	POSCO Chemical Co. Ltd.		0.1	%		(12,284	)
	(21,900	)	Rede D’Or Sao Luiz SA		1.0	%		(98,457	)
	(2,218	)	Samsung Biologics Co. Ltd.		15.5	%		(1,557,200	)
	(170,614	)	Samsung Heavy Industries Co. Ltd.		14.2	%		(1,426,265	)
	(318,250	)	Shandong Gold Mining Co. Ltd. - Class H		5.6	%		(565,620	)
	(59,400	)	Xpeng, Inc., Class A		3.6	%		(358,263	)
	(5,388	)	Yuhan Corp.		4.5	%		(447,153	)
	(36,800	)	Zhejiang Leapmotor Technology Co., Ltd.		1.3	%		(134,559	)
			TOTAL COMMON STOCKS				$	(10,061,166	)

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

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)

Counterparty Abbreviations:

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

GMO Global Asset Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	2,643,712	GMO Alternative Allocation Fund, Class VI		46,608,634
	1,146,851	GMO Asset Allocation Bond Fund, Class VI		22,512,693
	166,214	GMO Climate Change Fund, Class III		3,390,761
	579,642	GMO Emerging Country Debt Fund, Class VI		12,102,929
	781,316	GMO Emerging Markets ex-China Fund, Class VI		11,149,384
	874,280	GMO Emerging Markets Fund, Class VI		21,061,415
	2,186,299	GMO International Equity Fund, Class IV		54,110,909
	1,662,452	GMO International Opportunistic Value Fund, Class IV		25,319,142
	1,091,134	GMO-Usonian Japan Value Creation Fund, Class VI		22,531,905
	2,468,787	GMO Multi-Sector Fixed Income Fund, Class IV		44,364,109
	462,600	GMO Opportunistic Income Fund, Class VI		11,208,805
	476,053	GMO Quality Cyclicals Fund, Class VI		11,734,709
	335,907	GMO Quality Fund, Class VI		11,743,307
	326,251	GMO Resources Fund, Class VI		6,619,633
	448,908	GMO Small Cap Quality Fund, Class VI		12,214,774
	1,390,130	GMO U.S. Equity Fund, Class VI		20,671,238
	1,090,346	GMO U.S. Opportunistic Value Fund, Class VI		27,291,359
	369,012	GMO U.S. Small Cap Value Fund, Class VI		8,472,517
	120,699	GMO U.S. Treasury Fund, Class VI (formerly Core Class)		603,494
		TOTAL MUTUAL FUNDS (COST $374,804,335)		373,711,717
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	219,554	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (a)		219,554
		TOTAL SHORT-TERM INVESTMENTS (COST $219,554)		219,554
		TOTAL INVESTMENTS — 100.0% (Cost $375,023,889)		373,931,271
		Other Assets and Liabilities (net) — 0.0%		108,431
		TOTAL NET ASSETS — 100.0%	$	374,039,702

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2024.

 

GMO Global Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 100.0%
		Affiliated Issuers — 100.0%
	33,288	GMO Climate Change Fund, Class III		679,076
	101,007	GMO Emerging Markets ex-China Fund, Class VI		1,441,367
	793,518	GMO International Equity Fund, Class IV		19,639,574
	534,854	GMO International Opportunistic Value Fund, Class IV		8,145,824
	229,459	GMO-Usonian Japan Value Creation Fund, Class VI		4,738,321
	156,536	GMO Quality Cyclicals Fund, Class VI		3,858,610
	334,842	GMO Quality Fund, Class VI		11,706,064
	114,308	GMO Resources Fund, Class VI		2,319,309
	148,505	GMO Small Cap Quality Fund, Class VI		4,040,809
	431,645	GMO U.S. Equity Fund, Class VI		6,418,565
	491,283	GMO U.S. Opportunistic Value Fund, Class VI		12,296,826
	113,215	GMO U.S. Small Cap Value Fund, Class VI		2,599,412
		TOTAL MUTUAL FUNDS (COST $66,615,272)		77,883,757
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	82,308	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (a)		82,308
		TOTAL SHORT-TERM INVESTMENTS (COST $82,308)		82,308
		TOTAL INVESTMENTS — 100.1% (Cost $66,697,580)		77,966,065
		Other Assets and Liabilities (net) — (0.1%)		(45,298	)
		TOTAL NET ASSETS — 100.0%	$	77,920,767

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2024.

 

GMO Global Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	275,162	GMO Climate Change Fund, Class III		5,613,306
	824,340	GMO Emerging Markets ex-China Fund, Class VI		11,763,332
	2,371,757	GMO Emerging Markets Fund, Class VI		57,135,622
	5,485,920	GMO International Equity Fund, Class IV		135,776,517
	4,182,149	GMO International Opportunistic Value Fund, Class IV		63,694,133
	1,746,070	GMO-Usonian Japan Value Creation Fund, Class VI		36,056,341
	1,193,433	GMO Quality Cyclicals Fund, Class VI		29,418,131
	2,009,789	GMO Quality Fund, Class VI		70,262,201
	863,507	GMO Resources Fund, Class VI		17,520,552
	1,102,379	GMO Small Cap Quality Fund, Class VI		29,995,726
	2,381,658	GMO U.S. Equity Fund, Class VI		35,415,254
	3,119,782	GMO U.S. Opportunistic Value Fund, Class VI		78,088,149
	787,751	GMO U.S. Small Cap Value Fund, Class VI		18,086,766
		TOTAL MUTUAL FUNDS (COST $547,385,294)		588,826,030
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	400,670	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (a)		400,670
		TOTAL SHORT-TERM INVESTMENTS (COST $400,670)		400,670
		TOTAL INVESTMENTS — 100.0% (Cost $547,785,964)		589,226,700
		Other Assets and Liabilities (net) — (0.0%)		(152,654	)
		TOTAL NET ASSETS — 100.0%	$	589,074,046

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2024.

 

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			COMMON STOCKS — 80.4%
			Argentina — 0.3%
		31,148	Adecoagro SA		339,513
		48,400	Vista Energy SAB de CV ADR * (a)		2,576,332
		80,900	YPF SA Sponsored ADR *		3,260,270
			Total Argentina		6,176,115
			Australia — 1.4%
		189,557	Accent Group Ltd. (a)		305,907
		83,908	ANZ Group Holdings Ltd.		1,710,161
		2,718	Aristocrat Leisure Ltd. (b)		120,533
		391,347	BHP Group Ltd. (b)		10,319,518
		451,678	BlueScope Steel Ltd.		6,544,748
		257,502	Brambles Ltd. (b)		3,206,000
		31,271	Coles Group Ltd.		379,772
		162,467	Fortescue Ltd. (b)		2,014,165
		391,714	Grange Resources Ltd.		65,271
		125,873	Harvey Norman Holdings Ltd.		392,161
		157,176	Helia Group Ltd.		460,262
		49,194	HomeCo Daily Needs – (REIT)		40,245
		39,024	JB Hi-Fi Ltd.		2,322,348
		25,451	NRW Holdings Ltd.		65,008
		2,814	Premier Investments Ltd.		63,910
		44,087	Ramelius Resources Ltd.		60,648
		13,517	Rio Tinto Ltd. (b)		1,046,306
		78,240	Santos Ltd.		338,212
		79,010	Southern Cross Media Group Ltd.		28,128
		154,510	Sunrise Energy Metals Ltd. * (a)		24,314
		79,367	Super Retail Group Ltd.		765,346
		11,680	Wesfarmers Ltd. (b)		549,006
		10,191	Westpac Banking Corp.		222,492
			Total Australia		31,044,461
			Austria — 0.3%
		66,432	Erste Group Bank AG		3,646,482
		54,211	OMV AG		2,173,591
		53,952	Raiffeisen Bank International AG		1,053,762
		1,869	Strabag SE		76,252
			Total Austria		6,950,087
			Belgium — 0.6%
		177,519	Ageas SA		8,973,200
		3,755	Bekaert SA		130,299
		11,958	Econocom Group SA NV		25,230
		6,624	Groupe Bruxelles Lambert NV		458,867
		23,634	KBC Group NV		1,708,974
		1,487	Melexis NV		89,399
		152,692	Proximus SADP		991,410
		24,966	Syensqo SA		1,858,667
			Total Belgium		14,236,046

	Shares		Description	Value ($)
			Brazil — 0.6%
		95,100	Banco do Brasil SA		391,508
		153,300	Cia de Saneamento de Minas Gerais Copasa MG		646,648
		76,300	Cia De Sanena Do Parana		383,605
		227,700	CPFL Energia SA		1,234,472
		59,200	Cury Construtora e Incorporadora SA		202,292
		26,600	Cyrela Brazil Realty SA Empreendimentos e Participacoes		81,346
		47,800	Engie Brasil Energia SA		301,888
		39,900	Grupo SBF SA		81,633
		16,200	Guararapes Confeccoes SA		18,766
		267,600	JBS SA		1,659,825
		12,900	Neoenergia SA		41,594
		164,062	Petroleo Brasileiro SA Sponsored ADR (b)		2,342,805
		11,900	Porto Seguro SA		74,840
		13,500	PRIO SA		90,063
		75,526	Sao Martinho SA		318,834
		53,100	Ser Educacional SA *		54,276
		55,200	Suzano SA		572,477
		16,600	TIM SA		43,702
		9	TIM SA ADR		116
		39,400	Transmissora Alianca de Energia Eletrica SA		223,233
		212,370	Vale SA		2,074,709
		30,285	Vale SA Sponsored ADR (b)		298,610
		444,800	Vibra Energia SA		1,525,100
			Total Brazil		12,662,342
			Canada — 4.5%
		8,800	Algoma Steel Group, Inc. (a)		94,408
		13,100	Alimentation Couche-Tard, Inc. (b)		766,416
		58,000	Anaergia, Inc. * (a)		38,113
		28,100	ARC Resources Ltd.		518,025
		2,000	Atco Ltd. – Class I (b)		70,198
		125,400	B2Gold Corp. (a) (c)		365,438
		14,585	B2Gold Corp. (c)		42,005
		7,700	Bank of Montreal		734,224
		44,382	Bank of Nova Scotia (c)		2,530,662
		36,100	Bank of Nova Scotia (c)		2,058,916
		23,513	Barrick Gold Corp. (b)		411,242
		52,409	Brookfield Corp. (b) (c)		3,217,389
		4,700	Brookfield Corp. (b) (c)		288,838
		6,200	BRP, Inc.		302,859
		9,954	Canadian Imperial Bank of Commerce (a) (c)		644,621
		4,200	Canadian Imperial Bank of Commerce (c)		272,630
		41,500	Canadian Tire Corp. Ltd. – Class A (a)		4,575,804
		13,478	Canfor Corp. *		170,683
		22,949	Celestica, Inc. * (c)		1,973,052
		13,068	Celestica, Inc. * (c)		1,113,916
		16,760	Cenovus Energy, Inc. (b)		264,305
		21,942	Centerra Gold, Inc.		132,310
		22,900	CI Financial Corp.		507,871
		5,300	Cogeco Communications, Inc.		264,991

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			Canada — continued
		6,787	Cogeco, Inc.		297,648
		69,680	Dundee Precious Metals, Inc.		652,978
		34,300	Empire Co. Ltd. – Class A		1,028,473
		1,398	EQB, Inc.		112,335
		1,877	Fairfax Financial Holdings Ltd. (b)		2,662,966
		63,800	First Quantum Minerals Ltd. *		871,750
		25,300	Great-West Lifeco, Inc. (b)		910,948
		41,700	iA Financial Corp., Inc.		3,986,080
		3,900	IGM Financial, Inc.		131,787
		4,400	Imperial Oil Ltd. (a) (b) (c)		325,871
		459	Imperial Oil Ltd. (b) (c)		33,929
		10,963	Interfor Corp. *		159,741
		12,665	International Petroleum Corp. *		144,339
		269,000	Ivanhoe Mines Ltd. – Class A *		3,621,764
		53,266	Kinross Gold Corp. (c)		517,213
		21,600	Kinross Gold Corp. (c)		211,518
		110,972	Largo, Inc. * (a)		230,655
		12,100	Li-Cycle Holdings Corp. *		25,531
		3,500	Linamar Corp.		153,670
		28,061	Logan Energy Corp. *		15,734
		90,363	Magna International, Inc. (c)		4,078,986
		39,800	Magna International, Inc. (c)		1,808,845
		293,439	Manulife Financial Corp. (b) (c)		9,446,302
		127,907	Manulife Financial Corp. (c)		4,109,652
		1,300	National Bank of Canada		128,798
		106,900	NexGen Energy Ltd. *		909,381
		82,529	Nutrien Ltd. (c)		3,850,803
		49,700	Nutrien Ltd. (c)		2,321,617
		8,200	NuVista Energy Ltd. *		79,479
		23,300	Onex Corp.		1,895,387
		101,872	Open Text Corp. (b) (c)		3,099,965
		27,800	Open Text Corp. (b) (c)		846,678
		65,800	Parex Resources, Inc.		703,565
		230,556	Power Corp. of Canada		7,766,166
		2,600	Precision Drilling Corp. *		164,797
		112,900	Quebecor, Inc. – Class B (a)		2,665,958
		32,000	Russel Metals, Inc.		1,050,477
		420,585	SilverCrest Metals, Inc. *		4,277,350
		3,018	Stella-Jones, Inc.		154,214
		33,600	Sun Life Financial, Inc. (b) (c)		2,068,006
		12,021	Sun Life Financial, Inc. (b) (c)		737,969
		10,100	Suncor Energy, Inc. (b) (c)		401,894
		6,290	Suncor Energy, Inc. (b) (c)		248,329
		68,200	Tamarack Valley Energy Ltd. (a)		217,258
		8,700	Teck Resources Ltd. – Class B (c)		406,116
		8,700	Teck Resources Ltd. – Class B (c)		406,213
		80,400	Toronto-Dominion Bank (c)		4,549,903
		15,278	Toronto-Dominion Bank (b) (c)		863,665
		11,400	Transcontinental, Inc. – Class A		138,831
		39,300	Vermilion Energy, Inc. (a)		402,432
		2,943	Wajax Corp.		49,882
		37,100	West Fraser Timber Co. Ltd. (c)		3,644,150
		9,069	West Fraser Timber Co. Ltd. (c)		897,650

	Shares		Description	Value ($)
			Canada — continued
		42,500	Whitecap Resources, Inc. (a)		310,543
			Total Canada		102,155,107
			Chile — 0.0%
		73,133	Cencosud SA		153,917
		1,400,034	Colbun SA		176,763
		18,375	Enel Chile SA ADR		49,980
			Total Chile		380,660
			China — 2.0%
		165,000	361 Degrees International Ltd.		84,787
		141,500	3SBio, Inc.		104,182
		46,128	Alibaba Group Holding Ltd. Sponsored ADR (b)		4,030,203
		1,117,000	AviChina Industry & Technology Co. Ltd. – Class H		544,402
		995,000	BAIC Motor Corp. Ltd. – Class H		287,840
		1,048,871	Bank of Communications Co. Ltd. – Class H		759,813
		247,000	Beijing Enterprises Holdings Ltd.		778,710
		3,376,000	China Cinda Asset Management Co. Ltd. – Class H (a)		549,514
		1,204,000	China Communications Services Corp. Ltd. – Class H		634,519
		11,500	China Conch Venture Holdings Ltd.		9,866
		7,034,000	China Construction Bank Corp. – Class H		5,318,119
		1,008,000	China Everbright Environment Group Ltd.		456,374
		3,659,000	China Greenfresh Group Co. Ltd. * (d)		—
		1,349,500	China Hongqiao Group Ltd.		1,981,988
		549,000	China Lesso Group Holdings Ltd.		248,809
		480,000	China National Building Material Co. Ltd. – Class H		205,949
		341,000	China Overseas Grand Oceans Group Ltd.		81,063
		226,000	China Overseas Land & Investment Ltd.		390,500
		3,260,000	China Railway Group Ltd. – Class H		1,575,803
		3,082,000	China Reinsurance Group Corp. – Class H		330,004
		714,500	China Resources Pharmaceutical Group Ltd.		483,072
		37,000	China Shineway Pharmaceutical Group Ltd.		46,366
		456,000	China State Construction International Holdings Ltd.		636,676
		517,200	China Taiping Insurance Holdings Co. Ltd.		820,743
		4,237,600	China Zhongwang Holdings Ltd. * (a) (d)		1
		1,683,158	CITIC Ltd.		1,881,554
		420,000	Consun Pharmaceutical Group Ltd.		437,741
		411,500	COSCO Shipping Holdings Co. Ltd. – Class H		577,596
		60,000	CRRC Corp. Ltd. – Class H		35,153
		2,398,000	CSPC Pharmaceutical Group Ltd.		1,569,147
		100,000	Ever Sunshine Services Group Ltd.		26,366
		307,000	Fufeng Group Ltd.		187,487
		49,500	Grand Pharmaceutical Group Ltd.		28,918
		6,600	Haier Smart Home Co. Ltd. – Class H		22,199
		135,900	Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A		305,714
		124,472	JD.com, Inc. ADR (b)		4,652,763
		21,000	JNBY Design Ltd.		39,659

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			China — continued
		576,000	Kunlun Energy Co. Ltd.		545,117
		99,300	Legend Holdings Corp. – Class H *		92,988
		220,000	Lenovo Group Ltd.		260,331
		34,500	Longfor Group Holdings Ltd.		49,008
		396,000	Lonking Holdings Ltd.		72,514
		134,000	Midea Real Estate Holding Ltd. (a)		50,675
		32,000	NetDragon Websoft Holdings Ltd.		41,596
		73,000	Orient Overseas International Ltd.		935,992
		772,000	PICC Property & Casualty Co. Ltd. – Class H		1,172,132
		235,000	Poly Property Group Co. Ltd.		48,897
		42,000	Shanghai Conant Optical Co. Ltd. – Class H (a)		77,764
		15,000	Shanghai Industrial Holdings Ltd.		22,302
		13,000	Simcere Pharmaceutical Group Ltd. (a)		11,730
		73,000	Sino Biopharmaceutical Ltd.		30,756
		818,000	Sinopec Engineering Group Co. Ltd. – Class H		602,900
		535,200	Sinopharm Group Co. Ltd. – Class H		1,402,922
		299,000	Sinotruk Hong Kong Ltd.		830,268
		276,000	Skyworth Group Ltd.		106,843
		554,000	TCL Electronics Holdings Ltd.		368,045
		153,300	Tencent Holdings Ltd.		7,916,912
		82,000	Tianneng Power International Ltd. (a)		69,210
		23,000	Uni-President China Holdings Ltd.		20,364
		29,300	Vipshop Holdings Ltd. ADR		404,633
		230,400	Western Mining Co. Ltd. – Class A		540,804
		72,500	Zhongsheng Group Holdings Ltd.		143,830
			Total China		45,942,133
			Czech Republic — 0.0%
		68,234	Moneta Money Bank AS		351,483
		325	Philip Morris CR AS		220,332
			Total Czech Republic		571,815
			Denmark — 0.7%
		1,229	AP Moller - Maersk AS – Class A		2,020,141
		2,630	AP Moller - Maersk AS – Class B (b)		4,475,917
		129,492	Danske Bank AS		3,725,768
		15,560	Genmab AS *		3,353,527
		69,254	H Lundbeck AS		432,141
		3,998	Matas AS		70,898
		6,869	Rockwool AS – B Shares		2,511,710
		22,298	Vestas Wind Systems AS *		349,129
			Total Denmark		16,939,231
			Egypt — 0.0%
		25,922	Abou Kir Fertilizers & Chemical Industries		27,594
		197,424	Commercial International Bank - Egypt (CIB)		324,064
		482,004	Eastern Co. SAE		263,698
		8,464	EFG Holding SAE *		3,490
		8,848	ElSewedy Electric Co.		15,936
		93,924	Emaar Misr for Development SAE *		14,772
			Total Egypt		649,554

	Shares		Description	Value ($)
			Finland — 0.5%
		11,004	Kemira OYJ		216,358
		1,816	Konecranes OYJ		122,925
		169,303	Neste OYJ		2,577,005
		1,478,047	Nokia OYJ		6,208,446
		110,984	Outokumpu OYJ		372,726
		2,141	Sanoma OYJ		16,469
		35,947	TietoEVRY OYJ (b)		641,977
		32,477	Valmet OYJ		760,890
			Total Finland		10,916,796
			France — 3.0%
		1,191	Amundi SA		77,583
		1,925	Aperam SA		55,100
		157,696	ArcelorMittal SA		3,964,768
		3,068	Arkema SA		243,435
		35,395	AXA SA (b)		1,233,617
		60,584	BNP Paribas SA		3,621,451
		764	Caisse Regionale de Credit Agricole Mutuel Nord de France		10,717
		37,919	Carrefour SA		577,466
		77,349	Cie de Saint-Gobain SA		7,062,689
		59,981	Coface SA		927,834
		119,145	Credit Agricole SA		1,595,692
		15,907	Derichebourg SA		76,903
		3,476	Eramet SA		186,298
		307	Fnac Darty SA		8,613
		16,717	Ipsen SA		1,933,314
		2,021	IPSOS SA		94,505
		2,470	LVMH Moet Hennessy Louis Vuitton SE (b)		1,548,415
		1,650	Mersen SA		34,564
		9,647	Metropole Television SA		111,034
		213,007	Orange SA		2,270,233
		10,362	Publicis Groupe SA (b)		1,125,623
		14,609	Quadient SA		265,152
		79,936	Renault SA		3,430,521
		74,837	Rexel SA		1,934,409
		40,322	Rubis SCA		968,644
		13,128	Safran SA (b)		3,063,342
		94,368	Sanofi SA		9,165,697
		5,321	Societe BIC SA		354,975
		205,795	Societe Generale SA		5,456,129
		137,561	STMicroelectronics NV - NY Shares (a)		3,507,806
		228	Synergie SE *		6,843
		52,409	Television Francaise 1 SA		401,027
		145,451	TotalEnergies SE (b) (c)		8,453,632
		1,951	TotalEnergies SE (c)		113,652
		12,291	Valeo SE		102,368
		33,285	Veolia Environnement SA (b)		970,279
		411,175	Vivendi SE		3,779,953
			Total France		68,734,283

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			Germany — 1.5%
		19,265	1&1 AG		242,386
		272	Amadeus Fire AG		22,280
		45,479	Bayerische Motoren Werke AG (b)		3,382,523
		7,786	Beiersdorf AG (b)		1,010,191
		32,369	Continental AG		2,130,236
		47,205	Covestro AG *		2,873,311
		59,851	Daimler Truck Holding AG		2,268,595
		284,979	Deutsche Bank AG (Registered) (b)		4,846,991
		50,182	Deutsche Telekom AG (b)		1,605,368
		354	Draegerwerk AG & Co. KGaA		15,345
		140,287	E.ON SE (b)		1,808,140
		14,790	Fresenius Medical Care AG		650,945
		39,725	Fresenius SE & Co. KGaA *		1,398,354
		23,776	Heidelberg Materials AG		3,006,552
		5,589	Henkel AG & Co. KGaA (b)		424,788
		502	Hornbach Holding AG & Co. KGaA		42,916
		25,590	Kloeckner & Co. SE		127,369
		15,118	Knorr-Bremse AG		1,155,702
		104,393	Mercedes-Benz Group AG (b)		5,868,897
		60,849	ProSiebenSat.1 Media SE		297,529
		2,366	RTL Group SA		60,927
		6,338	Salzgitter AG		110,101
		1,796	SAP SE (b)		426,488
		3,376	Siemens AG (Registered) (b)		655,814
		2,824	Talanx AG		239,421
		1,547	Traton SE		47,136
		4,154	Wacker Neuson SE		59,773
		792	Wuestenrot & Wuerttembergische AG		9,971
			Total Germany		34,788,049
			Hong Kong — 0.8%
		2,665	3DG Holdings International Ltd. *		161
		83,000	Bank of East Asia Ltd.		104,399
		213,500	BOC Hong Kong Holdings Ltd.		658,755
		65,000	Chow Sang Sang Holdings International Ltd.		53,954
		833,000	CITIC Telecom International Holdings Ltd.		244,661
		721,500	CK Asset Holdings Ltd.		2,960,035
		632,500	CK Hutchison Holdings Ltd.		3,307,660
		74,000	Dah Sing Banking Group Ltd.		68,416
		46,400	Dah Sing Financial Holdings Ltd.		149,221
		500,000	E-Commodities Holdings Ltd.		90,008
		284,000	First Pacific Co. Ltd.		163,465
		254,000	Giordano International Ltd.		53,969
		78,000	Health & Happiness H&H International Holdings Ltd.		96,783
		31,000	Henderson Land Development Co. Ltd.		97,361
		392,000	HKT Trust & HKT Ltd. – Class SS		487,730
		580,000	IGG, Inc.		265,184
		146,500	Johnson Electric Holdings Ltd.		204,474
		162,002	K Wah International Holdings Ltd.		36,157
		30,000	Kerry Logistics Network Ltd.		28,343

	Shares		Description	Value ($)
			Hong Kong — continued
		65,000	Luk Fook Holdings International Ltd.		122,990
		443,000	Pacific Basin Shipping Ltd.		105,716
		28,000	PAX Global Technology Ltd.		18,661
		37,000	SITC International Holdings Co. Ltd.		96,532
		39,500	SmarTone Telecommunications Holdings Ltd.		20,390
		35,000	Stella International Holdings Ltd.		63,972
		217,000	Sun Hung Kai Properties Ltd. (b)		2,168,684
		104,000	Swire Pacific Ltd. – Class A		856,326
		9,500	Techtronic Industries Co. Ltd.		135,215
		105,500	Texhong International Group Ltd.		52,006
		4,586,000	United Energy Group Ltd. (a)		171,239
		536,000	VSTECS Holdings Ltd.		349,142
		74,200	VTech Holdings Ltd.		508,023
		4,388,500	WH Group Ltd.		3,498,323
		173,500	Yue Yuen Industrial Holdings Ltd.		390,478
			Total Hong Kong		17,628,433
			Hungary — 0.3%
		104,901	Magyar Telekom Telecommunications PLC		333,031
		111,656	MOL Hungarian Oil & Gas PLC		765,288
		105,624	OTP Bank Nyrt		5,725,237
		28,559	Richter Gedeon Nyrt		759,650
			Total Hungary		7,583,206
			India — 1.2%
		19,418	Arvind Ltd.		86,393
		102,224	Aurobindo Pharma Ltd.		1,526,036
		547,089	Bharat Petroleum Corp. Ltd.		1,902,882
		102,260	Brightcom Group Ltd. *		9,803
		15,421	Chambal Fertilisers & Chemicals Ltd.		94,448
		99,671	Cipla Ltd.		1,810,084
		13,297	Dhampur Bio Organics Ltd.		20,322
		59,555	Dr. Reddy’s Laboratories Ltd. ADR		842,108
		27,833	Dr. Reddy’s Laboratories Ltd.		396,632
		504,158	GAIL India Ltd.		1,194,085
		21,146	GHCL Ltd.		150,463
		11,548	Great Eastern Shipping Co. Ltd.		150,841
		60,686	Gujarat State Fertilizers & Chemicals Ltd.		161,483
		41,735	Hero MotoCorp Ltd.		2,358,852
		692,279	Indian Oil Corp. Ltd.		1,141,119
		1,086	Kaveri Seed Co. Ltd.		11,103
		6,556	LIC Housing Finance Ltd.		49,598
		623,892	Manappuram Finance Ltd.		1,158,828
		3,065	Natco Pharma Ltd.		50,141
		579,987	NMDC Ltd.		1,585,619
		1,569,924	Oil & Natural Gas Corp. Ltd.		4,788,437
		273,473	Petronet LNG Ltd.		1,093,741
		172,482	Power Finance Corp. Ltd.		1,013,401
		959,436	Power Grid Corp. of India Ltd.		3,743,012
		7,143	PTC India Ltd.		14,727
		339,966	Sammaan Capital Ltd.		677,406

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		India — continued
	6,810	Shriram Finance Ltd.		243,398
	17,144	Sun TV Network Ltd.		154,887
	2,657	Suven Pharmaceuticals Ltd. *		40,902
	20,961	Vardhman Textiles Ltd.		118,260
	105,210	Zydus Lifesciences Ltd.		1,204,504
		Total India		27,793,515
		Indonesia — 0.6%
	3,059,300	AKR Corporindo Tbk. PT		237,648
	951,300	Aneka Tambang Tbk. PT		86,039
	1,689,700	Aspirasi Hidup Indonesia Tbk. PT		82,220
	4,116,000	Astra International Tbk. PT		1,326,031
	386,000	Astra Otoparts Tbk. PT		56,332
	4,863,800	Bank Central Asia Tbk. PT		3,071,309
	3,357,984	Bank Mandiri Persero Tbk. PT		1,305,643
	5,421,600	Bank Negara Indonesia Persero Tbk. PT		1,706,258
	96,300	Bank Pan Indonesia Tbk. PT *		10,821
	1,558,900	Bank Pembangunan Daerah Jawa Timur Tbk. PT		53,619
	2,982,800	Bank Rakyat Indonesia Persero Tbk. PT		803,551
	618,300	Bumi Serpong Damai Tbk. PT *		38,998
	297,600	Ciputra Development Tbk. PT		20,125
	2,861,000	Dharma Satya Nusantara Tbk. PT		204,839
	2,144,100	Erajaya Swasembada Tbk. PT		56,081
	511,700	ESSA Industries Indonesia Tbk. PT		26,512
	22,400	Gudang Garam Tbk. PT *		18,138
	535,100	Hanjaya Mandala Sampoerna Tbk. PT		21,962
	64,000	Indah Kiat Pulp & Paper Tbk. PT		29,317
	121,500	Indofood CBP Sukses Makmur Tbk. PT		91,289
	2,551,000	Indofood Sukses Makmur Tbk. PT		1,215,727
	1,694,800	Industri Jamu Dan Farmasi Sido Muncul Tbk. PT		61,501
	1,109,400	Japfa Comfeed Indonesia Tbk. PT		119,838
	100,500	Jasa Marga Persero Tbk. PT		28,222
	4,187,200	Kalbe Farma Tbk. PT		396,346
	7,577,500	Lippo Karawaci Tbk. PT *		51,168
	109,800	Mayora Indah Tbk. PT		18,715
	155,500	Medco Energi Internasional Tbk. PT		10,708
	3,859,000	Media Nusantara Citra Tbk. PT *		73,090
	55,900	Pabrik Kertas Tjiwi Kimia Tbk. PT		22,411
	813,600	Pakuwon Jati Tbk. PT		21,456
	22,713,100	Panin Financial Tbk. PT *		616,448
	4,399,700	Perusahaan Gas Negara Tbk. PT		422,657
	2,816,000	Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT		193,735
	1,178,600	Saratoga Investama Sedaya Tbk. PT		157,603
	2,471,100	Telkom Indonesia Persero Tbk. PT		423,710
	517,000	Tempo Scan Pacific Tbk. PT		82,234
	299,700	Timah Tbk. PT *		21,269
	2,110,500	Triputra Agro Persada PT		107,800
	91,900	Unilever Indonesia Tbk. PT		10,824
		Total Indonesia		13,302,194

	Shares		Description	Value ($)
			Ireland — 0.2%
		36,192	AIB Group PLC		197,498
		9,161	Kerry Group PLC – Class A		886,200
		243	Kingspan Group PLC		18,310
		33,133	Origin Enterprises PLC		107,411
		24,839	Permanent TSB Group Holdings PLC *		39,233
		59,637	Ryanair Holdings PLC Sponsored ADR		2,626,414
			Total Ireland		3,875,066
			Israel — 0.5%
		109,578	Bank Hapoalim BM		1,259,478
		379,390	Bank Leumi Le-Israel BM		4,323,561
		21,568	Check Point Software Technologies Ltd. *		3,925,376
		28,999	ICL Group Ltd.		131,801
		53,255	Israel Discount Bank Ltd. – Class A		350,588
		8,092	Nice Ltd. Sponsored ADR* (b)		1,476,304
		307,765	Oil Refineries Ltd.		78,270
			Total Israel		11,545,378
			Italy — 1.7%
		77,759	Anima Holding SpA		512,590
		13,609	Arnoldo Mondadori Editore SpA		29,766
		36,061	Banca IFIS SpA		760,516
		39,624	Banco BPM SpA		301,931
		203,486	BPER Banca SpA		1,241,866
		2,198	Buzzi SpA		93,152
		45,567	Credito Emiliano SpA		484,004
		148,309	Eni SpA (b)		2,098,450
		10,553	Esprinet SpA *		49,694
		101,619	Generali (b)		2,907,334
		579,528	Intesa Sanpaolo SpA		2,224,540
		13,428	Iveco Group NV		134,332
		294,803	Leonardo SpA		7,939,219
		105,201	MFE-MediaForEurope NV – Class A		313,848
		23,898	MFE-MediaForEurope NV – Class B		98,170
		24,676	OVS SpA		73,560
		30,690	Poste Italiane SpA		430,918
		441,957	Stellantis NV (b)		5,866,490
		5,645,525	Telecom Italia SpA *		1,356,253
		87,657	Tenaris SA ADR (a)		3,359,893
		40,969	Tenaris SA		785,997
		49,437	UniCredit SpA		1,898,965
		519,406	Unipol Gruppo SpA		6,268,157
			Total Italy		39,229,645
			Japan — 16.7%
		2,800	ADEKA Corp.		51,612
		12,000	Aichi Corp.		110,568
		31,000	Air Water, Inc.		384,874
		4,800	Amada Co. Ltd.		46,305
		81,400	Amano Corp.		2,324,652

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	4,300	AOKI Holdings, Inc.		35,841
	9,700	Arata Corp.		195,096
	2,400	Artience Co. Ltd.		49,869
	16,200	Asahi Yukizai Corp.		460,102
	13,600	Axial Retailing, Inc.		81,803
	5,100	Bandai Namco Holdings, Inc.		107,962
	9,100	Bando Chemical Industries Ltd.		107,059
	111,000	Beenos, Inc.		2,681,872
	21,000	Belluna Co. Ltd.		106,435
	17,400	BML, Inc.		329,068
	59,700	Bridgestone Corp. (b)		2,135,415
	211,800	Brother Industries Ltd.		3,734,320
	19,900	Bunka Shutter Co. Ltd.		248,298
	5,600	Canon Electronics, Inc.		93,016
	51,600	Canon Marketing Japan, Inc.		1,655,631
	65,600	Canon, Inc.		2,137,102
	4,600	Central Glass Co. Ltd.		101,685
	2,900	Chiyoda Integre Co. Ltd.		66,430
	25,100	Chubu Electric Power Co., Inc. (b)		265,737
	1,500	Cosmo Energy Holdings Co. Ltd.		65,336
	327,000	Credit Saison Co. Ltd.		7,836,190
	12,900	Dai Nippon Toryo Co. Ltd.		95,270
	235,400	Daicel Corp.		2,087,819
	8,000	Dai-Dan Co. Ltd.		194,974
	14,300	Daido Steel Co. Ltd.		112,266
	5,300	Daiichi Jitsugyo Co. Ltd.		83,497
	4,100	Daiki Aluminium Industry Co. Ltd.		28,792
	69,300	Daiwa House Industry Co. Ltd.		2,181,888
	259,900	Daiwabo Holdings Co. Ltd.		5,322,173
	237,400	Denka Co. Ltd.		3,370,081
	6,900	Dowa Holdings Co. Ltd.		206,985
	5,900	EDION Corp.		71,368
	6,300	Elecom Co. Ltd.		60,548
	2,300	en Japan, Inc.		31,882
	795,600	ENEOS Holdings, Inc.		4,308,045
	180,300	EXEO Group, Inc.		2,111,714
	95,200	Ferrotec Holdings Corp.		1,570,950
	1,100	FJ Next Holdings Co. Ltd.		8,407
	251,600	Fuji Corp.		3,657,127
	166,200	FUJIFILM Holdings Corp.		3,760,500
	18,400	Fujitsu Ltd. (b)		353,514
	300	Fukuda Denshi Co. Ltd.		14,539
	900	Fukushima Galilei Co. Ltd.		32,771
	2,500	G-7 Holdings, Inc.		24,454
	46,500	Glory Ltd.		795,056
	36,900	GS Yuasa Corp.		637,650
	55,200	GungHo Online Entertainment, Inc.		1,110,412
	293,700	H.U. Group Holdings, Inc.		4,814,601
	5,500	Hanwa Co. Ltd.		177,906
	100,800	Haseko Corp.		1,356,690
	70,200	Hitachi Construction Machinery Co. Ltd.		1,586,601
	7,800	Hitachi Ltd. (b)		196,567
	137,400	Hogy Medical Co. Ltd.		4,417,423

Shares		Description	Value ($)
		Japan — continued
	394,900	Honda Motor Co. Ltd. (b)		3,407,192
	124,059	Honda Motor Co. Ltd. Sponsored ADR		3,213,128
	25,800	Horiba Ltd.		1,479,938
	33,900	Hosiden Corp.		527,559
	206,200	Idemitsu Kosan Co. Ltd.		1,377,623
	600	Inaba Denki Sangyo Co. Ltd.		15,261
	80,400	Inabata & Co. Ltd.		1,751,968
	565,000	Inpex Corp.		7,404,886
	564,300	Isuzu Motors Ltd.		7,527,444
	176,700	ITOCHU Corp. (b)		8,742,773
	40,000	Itochu Enex Co. Ltd.		431,059
	1,300	Itochu-Shokuhin Co. Ltd.		60,444
	14,100	Itoham Yonekyu Holdings, Inc.		356,121
	18,400	JAFCO Group Co. Ltd.		260,171
	5,500	Japan Lifeline Co. Ltd.		48,581
	31,700	Japan Petroleum Exploration Co. Ltd.		229,393
	98,500	Japan Post Insurance Co. Ltd.		2,065,639
	132,400	Japan Tobacco, Inc.		3,734,991
	21,000	JFE Holdings, Inc.		240,295
	400	Justsystems Corp. (b)		9,237
	109,600	Kaga Electronics Co. Ltd.		1,924,460
	8,800	Kamei Corp.		106,822
	20,400	Kandenko Co. Ltd.		301,023
	8,100	Kaneka Corp.		187,663
	471,600	Kanematsu Corp.		8,041,614
	369,900	Kawasaki Kisen Kaisha Ltd.		4,928,799
	43,300	KDDI Corp.		1,431,166
	5,800	Kinden Corp.		119,679
	494,700	Kirin Holdings Co. Ltd.		6,912,752
	44,500	Kitz Corp.		323,633
	100	Kobe Steel Ltd.		1,040
	22,100	Kohnan Shoji Co. Ltd.		531,417
	34,400	Kokuyo Co. Ltd. (b)		643,490
	75,500	Komatsu Ltd. (b)		2,044,243
	21,645	Komeri Co. Ltd.		464,547
	1,200	Konami Group Corp. (b)		118,644
	2,500	Konishi Co. Ltd.		21,889
	164,900	Kumiai Chemical Industry Co. Ltd.		878,612
	35,200	Kyudenko Corp.		1,210,267
	633,800	Macromill, Inc.		5,115,704
	42,400	Marubeni Corp.		639,962
	39,700	Maruha Nichiro Corp.		798,337
	139,000	Maruichi Steel Tube Ltd.		3,015,842
	7,700	Maruzen Showa Unyu Co. Ltd.		330,125
	13,000	Matsuda Sangyo Co. Ltd.		263,412
	307,400	Maxell Ltd.		3,518,472
	358,200	Mazda Motor Corp.		2,284,280
	51,500	MCJ Co. Ltd.		477,054
	1,600	Melco Holdings, Inc.		23,418
	900	Mirait One Corp.		13,017
	56,500	Mitsubishi Corp. (b)		956,775
	333,900	Mitsubishi Electric Corp.		5,669,404
	75,100	Mitsubishi Gas Chemical Co., Inc.		1,417,189

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			Japan — continued
		5,800	Mitsubishi Research Institute, Inc.		168,019
		2,600	Mitsubishi Shokuhin Co. Ltd.		83,652
		22,300	Mitsubishi UFJ Financial Group, Inc. (b)		266,171
		101,300	Mitsui & Co. Ltd. (b)		2,128,756
		9,600	Mitsui Mining & Smelting Co. Ltd.		301,064
		194,100	Mitsui OSK Lines Ltd. (b)		6,654,690
		3,900	MIXI, Inc.		73,298
		57,300	Mizuno Corp.		3,130,504
		5,300	Modec, Inc.		112,813
		136,200	Morinaga & Co. Ltd.		2,493,159
		26,700	Morinaga Milk Industry Co. Ltd.		523,780
		2,300	Nafco Co. Ltd.		30,082
		15,500	Nagase & Co. Ltd.		316,854
		49,900	NEC Corp. (b)		4,266,368
		109,400	NGK Insulators Ltd.		1,443,924
		155,200	NH Foods Ltd.		5,346,574
		53,100	Nichias Corp.		2,061,875
		6,600	Nichiha Corp.		125,368
		7,900	Nichireki Group Co. Ltd.		126,803
		8,600	Nippn Corp.		122,178
		2,500	Nippon Kayaku Co. Ltd.		21,083
		59,400	Nippon Shinyaku Co. Ltd.		1,732,033
		2,462,400	Nippon Telegraph & Telephone Corp. (b)		2,526,891
		138,400	Nippon Television Holdings, Inc.		2,274,636
		246,900	Nippon Yusen KK (b)		7,915,780
		1,018,500	Nissan Motor Co. Ltd. (a)		2,456,307
		4,600	Nisshin Oillio Group Ltd.		155,023
		3,800	Nissin Corp.		110,866
		20,500	Niterra Co. Ltd.		636,303
		2,000	Nitta Corp.		47,085
		8,000	Nittetsu Mining Co. Ltd.		225,243
		51,500	Nitto Denko Corp.		823,371
		146,300	Nojima Corp.		2,265,027
		65,300	Nomura Real Estate Holdings, Inc.		1,623,307
		6,200	Noritake Co. Ltd.		156,890
		5,100	NS United Kaiun Kaisha Ltd.		136,281
		393,000	Oji Holdings Corp.		1,451,310
		80,300	Okamura Corp.		1,052,715
		234,500	Ono Pharmaceutical Co. Ltd.		2,694,206
		3,800	Open House Group Co. Ltd.		140,724
		133,200	ORIX Corp. (b)		2,998,354
		3,400	Osaka Gas Co. Ltd. (b)		74,661
		9,400	Otsuka Corp. (b)		234,782
		48,100	Otsuka Holdings Co. Ltd.		2,794,887
		379,600	Pacific Industrial Co. Ltd.		3,287,528
		1,900	PALTAC Corp.		54,729
		808,000	Panasonic Holdings Corp.		7,882,863
		733,200	Penta-Ocean Construction Co. Ltd.		3,007,694
		12,300	Pilot Corp. (b)		394,447
		7,400	Proto Corp.		66,848
		8,500	Raito Kogyo Co. Ltd.		123,863
		32,700	Recruit Holdings Co. Ltd. (b)		2,274,536

	Shares		Description	Value ($)
			Japan — continued
		75,200	Renesas Electronics Corp.		986,330
		56,100	Rengo Co. Ltd.		332,595
		58,000	Ricoh Co. Ltd.		660,813
		224,000	Rohm Co. Ltd.		2,100,548
		15,100	S Foods, Inc.		265,659
		12,000	Sakai Moving Service Co. Ltd.		190,428
		27,000	Sakata INX Corp.		275,728
		55,700	San-Ai Obbli Co. Ltd.		704,505
		45,700	Sankyo Co. Ltd.		649,019
		84,100	Sankyu, Inc.		2,911,107
		91,400	Sanwa Holdings Corp.		2,760,542
		17,000	SCSK Corp. (b)		344,476
		288,700	Sega Sammy Holdings, Inc.		5,077,556
		800	Seiko Epson Corp.		14,254
		204,400	Sekisui Chemical Co. Ltd.		3,309,638
		112,800	Sekisui House Ltd.		2,674,999
		5,000	Sekisui Jushi Corp.		71,149
		12,600	Shimamura Co. Ltd.		715,212
		19,700	Shinagawa Refractories Co. Ltd.		217,620
		6,700	Shin-Etsu Polymer Co. Ltd.		71,825
		123,574	Shinko Electric Industries Co. Ltd. *		4,337,754
		9,300	Shinnihon Corp.		93,855
		502,000	Shionogi & Co. Ltd.		7,120,728
		243,500	Ship Healthcare Holdings, Inc.		3,590,958
		20,600	Shizuoka Gas Co. Ltd.		141,596
		1,600	Sinanen Holdings Co. Ltd.		67,850
		27,900	Sinko Industries Ltd.		260,486
		23,200	Sohgo Security Services Co. Ltd. (b)		173,848
		62,380	Sojitz Corp.		1,273,892
		248,400	Stanley Electric Co. Ltd.		4,185,789
		7,400	Star Micronics Co. Ltd.		89,996
		34,800	Starts Corp., Inc.		856,774
		161,300	Subaru Corp.		2,588,318
		321,000	SUMCO Corp.		2,595,297
		120,900	Sumitomo Corp.		2,595,013
		7,300	Sumitomo Densetsu Co. Ltd.		234,907
		175,400	Sumitomo Forestry Co. Ltd.		6,694,777
		77,500	Sumitomo Heavy Industries Ltd.		1,644,112
		255,000	Sumitomo Mitsui Financial Group, Inc.		6,293,608
		215,000	Sumitomo Mitsui Trust Group, Inc.		5,390,431
		14,400	Sun Frontier Fudousan Co. Ltd.		181,024
		9,500	Suntory Beverage & Food Ltd.		323,731
		6,400	Suzuken Co. Ltd.		200,254
		267,000	T&D Holdings, Inc.		5,061,030
		17,300	Takeuchi Manufacturing Co. Ltd.		560,806
		13,400	Tamron Co. Ltd.		384,236
		138,700	THK Co. Ltd.		3,355,720
		18,100	TIS, Inc. (b)		443,869
		2,400	Toho Holdings Co. Ltd.		68,597
		568,900	Tokai Carbon Co. Ltd. (a)		3,454,667
		1,000	Token Corp.		72,949
		499,700	Tokyo Electric Power Co. Holdings, Inc. * (b)		1,798,051

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			Japan — continued
		129,500	Tokyo Gas Co. Ltd. (b)		3,903,571
		67,600	Tokyo Steel Manufacturing Co. Ltd.		671,866
		240,000	Tosei Corp. (a)		3,916,198
		157,000	Tosoh Corp.		2,166,855
		108,200	TOTO Ltd.		2,923,823
		4,600	Towa Pharmaceutical Co. Ltd.		86,593
		28,600	Toyo Tire Corp.		445,392
		35,000	Toyoda Gosei Co. Ltd.		577,437
		21,900	Toyota Boshoku Corp.		278,843
		39,800	Toyota Industries Corp.		2,975,064
		240,600	Toyota Tsusho Corp.		4,116,597
		4,000	Tsugami Corp.		36,370
		39,800	TV Asahi Holdings Corp.		581,396
		5,500	Unipres Corp.		35,232
		4,100	Wacoal Holdings Corp.		140,613
		3,000	Warabeya Nichiyo Holdings Co. Ltd.		39,778
		51,300	YAMABIKO Corp.		848,792
		356,800	Yamaha Corp.		2,630,298
		1,084,900	Yamaha Motor Co. Ltd.		9,452,439
		23,300	Yamazen Corp.		200,498
		44,000	Yellow Hat Ltd.		756,369
		173,400	Yokogawa Bridge Holdings Corp.		3,195,845
		47,900	Yokohama Rubber Co. Ltd.		973,270
		15,100	Yuasa Trading Co. Ltd.		436,784
		79,300	Zenkoku Hosho Co. Ltd. (a)		2,843,085
			Total Japan		383,911,341
			Kuwait — 0.0%
		8,424	Humansoft Holding Co. KSC		67,876
			Malaysia — 0.1%
		1,122,600	CIMB Group Holdings Bhd.		2,083,409
		147,600	Malayan Banking Bhd.		338,696
		552,100	Sime Darby Bhd.		283,465
			Total Malaysia		2,705,570
			Mexico — 0.8%
		1,576,400	America Movil SAB de CV – Series B		1,172,250
		118,036	Arca Continental SAB de CV		1,001,990
		66,668	Banco del Bajio SA		139,299
		33,938	Bolsa Mexicana de Valores SAB de CV		53,284
		353,944	Cemex SAB de CV Sponsored ADR		1,971,468
		15,791	Coca-Cola Femsa SAB de CV Sponsored ADR		1,257,437
		1,136,700	Credito Real SAB de CV SOFOM ER * (d)		—
		74,574	El Puerto de Liverpool SAB de CV – Class C1		378,484
		246,517	Fomento Economico Mexicano SAB de CV		2,168,572
		236,700	Genomma Lab Internacional SAB de CV – Class B		314,939
		111,387	Gentera SAB de CV		140,630
		3,805	Gruma SAB de CV – Class B		65,065
		19,903	Grupo Aeroportuario del Centro Norte SAB de CV		154,045

	Shares		Description	Value ($)
			Mexico — continued
		3,500	Grupo Aeroportuario del Sureste SAB de CV ADR		910,490
		8,728	Grupo Aeroportuario del Sureste SAB de CV – Class B		222,031
		17,000	Grupo Comercial Chedraui SA de CV		110,424
		515,570	Grupo Financiero Banorte SAB de CV – Class O		3,399,701
		836,627	Grupo Mexico SAB de CV – Series B		4,075,426
		58,425	Kimberly-Clark de Mexico SAB de CV – Class A		78,341
		805	Promotora y Operadora de Infraestructura SAB de CV		7,666
		19,685	Unifin Financiera SAB de CV * (d)		—
			Total Mexico		17,621,542
			Netherlands — 2.0%
		9,733	Aalberts NV		373,108
		29,996	Aegon Ltd.		193,708
		5,771	Akzo Nobel NV		336,962
		1,043	ASML Holding NV		712,691
		9,661	Brunel International NV (a)		89,843
		16,510	Evander Gold Mines Ltd. * (e)		175
		90,634	EXOR NV		8,951,887
		5,902	IMCD NV		885,487
		451,935	ING Groep NV		6,976,681
		9,867	JDE Peet’s NV		196,430
		220,800	Koninklijke Ahold Delhaize NV		7,621,350
		46,607	Koninklijke BAM Groep NV		199,929
		6,869	Koninklijke Heijmans NV		210,025
		303,321	Koninklijke KPN NV		1,175,861
		213,964	NN Group NV		9,929,728
		40,998	Prosus NV		1,668,938
		44,014	Randstad NV (b)		1,932,862
		77,759	Signify NV		1,738,496
		15,381	Wolters Kluwer NV (b)		2,566,957
			Total Netherlands		45,761,118
			New Zealand — 0.0%
		146,811	Meridian Energy Ltd. (b)		540,239
		56,292	Spark New Zealand Ltd.		97,484
			Total New Zealand		637,723
			Norway — 0.7%
		34,594	Aker BP ASA		711,334
		41,280	Austevoll Seafood ASA		378,272
		70,481	BW LPG Ltd.		857,208
		29,043	DOF Group ASA *		223,943
		169,020	Elkem ASA *		279,452
		338,721	Equinor ASA		8,209,752
		58,949	Europris ASA		353,592
		99,817	Hoegh Autoliners ASA		1,164,216
		26,620	Odfjell Drilling Ltd.		117,471
		205,097	Orkla ASA		1,894,497
		10,505	Stolt-Nielsen Ltd.		266,697
		76,128	Storebrand ASA		836,999

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			Norway — continued
		7,123	TGS ASA		69,807
		106,321	Wallenius Wilhelmsen ASA		1,038,069
			Total Norway		16,401,309
			Pakistan — 0.1%
		62,364	Attock Refinery Ltd.		112,914
		166,074	Engro Fertilizers Ltd.		119,482
		91,491	Fauji Fertilizer Bin Qasim Ltd.		25,037
		69,846	Fauji Fertilizer Co. Ltd.		81,268
		54,094	Habib Bank Ltd.		35,271
		5,900	Mari Petroleum Co. Ltd.		9,828
		592,547	Oil & Gas Development Co. Ltd.		414,651
		14,564	Pakistan Oilfields Ltd.		30,181
		583,488	Pakistan Petroleum Ltd.		352,716
		110,603	SUI Northern Gas Pipeline		34,830
		19,658	United Bank Ltd.		23,943
			Total Pakistan		1,240,121
			Philippines — 0.0%
		1,100	GT Capital Holdings, Inc.		12,300
		65,000	LT Group, Inc.		11,256
		13,370	Manila Electric Co.		109,244
		117,600	Manila Water Co., Inc.		51,464
		3,122,024	Megaworld Corp.		108,686
		24,000	Puregold Price Club, Inc.		12,535
			Total Philippines		305,485
			Poland — 0.3%
		6,685	Asseco Poland SA		149,353
		41,785	Bank Polska Kasa Opieki SA		1,396,691
		17,964	Cyfrowy Polsat SA *		63,613
		2,647	KGHM Polska Miedz SA		83,236
		50,907	Orange Polska SA		96,519
		259,456	ORLEN SA		3,264,257
		336,858	PGE Polska Grupa Energetyczna SA *		559,325
		114,413	Powszechny Zaklad Ubezpieczen SA		1,247,611
		4,499	XTB SA		78,482
			Total Poland		6,939,087
			Portugal — 0.1%
		135,597	Galp Energia SGPS SA		2,229,335
		82,864	Navigator Co. SA		300,743
		17,079	REN - Redes Energeticas Nacionais SGPS SA		44,415
		440,451	Sonae SGPS SA		439,092
			Total Portugal		3,013,585
			Qatar — 0.1%
		267,403	Industries Qatar QSC		953,929
		124,580	Ooredoo QPSC		405,010
		25,977	Qatar National Bank QPSC		121,978
			Total Qatar		1,480,917

	Shares		Description	Value ($)
			Russia — 0.0%
		10,221,010	Alrosa PJSC (d) (f)		—
		376,870,000	Federal Grid Co-Rosseti PJSC * (d) (f)		4
		415,363	Gazprom Neft PJSC (d) (f)		—
		4,924,596	Gazprom PJSC (d) (f)		—
		1,279,700	GMK Norilskiy Nickel PAO (d) (f)		—
		18,204,300	Inter RAO UES PJSC (d) (f)		—
		88,304	LSR Group PJSC (d) (f)		—
		4	LSR Group PJSC GDR * (d) (f)		—
		192,855	LUKOIL PJSC (d) (f)		—
		5,760,219	Magnitogorsk Iron & Steel Works PJSC (d) (f)		—
		71,800	Mechel PJSC * (d) (f)		—
		1,472,470	Moscow Exchange MICEX-Rates PJSC (d) (f)		—
		7,545,000	Mosenergo PJSC (d) (f)		—
		191,960	Novatek PJSC (d) (f)		—
		3,493,400	Novolipetsk Steel PJSC (d) (f)		—
		6,115	PhosAgro PJSC (d) (f)		—
		118	PhosAgro PJSC GDR * (d) (f)		—
		25,552	Polyus PJSC * (d) (f)		—
		1	Polyus PJSC GDR * (d) (f)		—
		49,974,140	RusHydro PJSC * (d) (f)		1
		8,073,970	Sberbank of Russia PJSC (d) (f)		—
		7,395	Severstal PAO (d) (f)		—
		261,549	Severstal PAO GDR (Registered) * (d) (f)		—
		29,090	SFI PJSC (d) (f)		—
		27,770,670	Surgutneftegas PJSC (d) (f)		—
		986,916	Tatneft PJSC (d) (f)		—
		725,480	Unipro PJSC * (d) (f)		—
		55,470	United Co. Rusal International PJSC * (d) (f)		—
		150,462	VTB Bank PJSC * (d) (f)		—
			Total Russia		5
			Saudi Arabia — 0.0%
		2,720	Jamjoom Pharmaceuticals Factory Co.		113,788
			Singapore — 0.7%
		72,800	Asian Pay Television Trust		4,237
		92,400	Bumitama Agri Ltd.		58,636
		885,400	ComfortDelGro Corp. Ltd.		965,276
		42,406	DBS Group Holdings Ltd.		1,345,620
		122,400	First Real Estate Investment Trust – (REIT)		23,286
		188,800	First Resources Ltd.		210,128
		1,607,600	Golden Agri-Resources Ltd.		324,060
		70,794	Hafnia Ltd.		410,352
		116,300	Japfa Ltd.		32,586
		450,800	Oversea-Chinese Banking Corp. Ltd.		5,479,335
		55,900	Sheng Siong Group Ltd.		68,878
		207,100	StarHub Ltd.		188,712
		87,600	United Overseas Bank Ltd.		2,378,405
		45,100	Venture Corp. Ltd.		433,530
		201,200	Wilmar International Ltd.		463,040
		315,300	Yangzijiang Financial Holding Ltd.		94,193
		2,152,077	Yangzijiang Shipbuilding Holdings Ltd.		3,872,627

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			Singapore — continued
		311,100	Yanlord Land Group Ltd. * (a)		149,907
			Total Singapore		16,502,808
			South Africa — 0.4%
		40,294	African Rainbow Minerals Ltd.		355,572
		8,641	Anglo American Platinum Ltd.		288,035
		47,451	AVI Ltd.		289,946
		22,785	Barloworld Ltd.		108,204
		36,644	Clicks Group Ltd.		803,334
		6,036	Coronation Fund Managers Ltd.		13,549
		514,922	FirstRand Ltd.		2,209,342
		3,021	Foschini Group Ltd.		28,672
		18,524	Investec Ltd.		132,315
		5,570	JSE Ltd.		36,512
		30,947	Momentum Group Ltd.		51,833
		19,799	Motus Holdings Ltd.		135,477
		47,353	Mr. Price Group Ltd.		758,863
		30,108	Nedbank Group Ltd.		484,586
		60,133	Ninety One Ltd.		123,868
		13,945	Omnia Holdings Ltd.		56,544
		25,351	Raubex Group Ltd.		74,350
		114,378	Sanlam Ltd.		560,197
		1,156	Santam Ltd.		24,295
		147,078	Sappi Ltd.		411,450
		440,709	Sibanye Stillwater Ltd. *		442,260
		19,577	Tiger Brands Ltd.		275,398
		112,882	Truworths International Ltd.		641,094
		1,767	Wilson Bayly Holmes-Ovcon Ltd.		20,002
			Total South Africa		8,325,698
			South Korea — 2.3%
		35,083	BNK Financial Group, Inc.		266,178
		6,429	Cheil Worldwide, Inc.		83,952
		190	Chong Kun Dang Pharmaceutical Corp.		12,964
		14,534	Coway Co. Ltd.		688,738
		3,783	Daewoong Co. Ltd.		57,616
		7,254	Daou Data Corp.		56,365
		1,657	DB Insurance Co. Ltd.		130,001
		51,766	Doosan Bobcat, Inc.		1,449,911
		1,054	DoubleUGames Co. Ltd.		38,919
		1,694	Global Standard Technology Co. Ltd.		17,170
		32,345	GS Holdings Corp.		973,558
		55,116	Hana Financial Group, Inc.		2,471,565
		4,168	Handsome Co. Ltd.		44,800
		42,108	Hankook Tire & Technology Co. Ltd.		1,141,290
		3,382	Hanyang Digitech Co. Ltd. *		20,137
		9,319	HMM Co. Ltd.		120,083
		12,807	Hyundai Engineering & Construction Co. Ltd.		252,376
		3,133	Hyundai GF Holdings		11,608
		25,497	Hyundai Glovis Co. Ltd.		2,254,363
		1,408	Hyundai Home Shopping Network Corp.		45,619
		9,851	Hyundai Marine & Fire Insurance Co. Ltd.		188,150

	Shares		Description	Value ($)
			South Korea — continued
		38,315	Hyundai Mobis Co. Ltd.		6,597,968
		14,423	Hyundai Motor Co.		2,273,269
		36,262	JB Financial Group Co. Ltd.		512,075
		23,308	KB Financial Group, Inc.		1,609,767
		8,621	KB Financial Group, Inc. ADR		594,246
		537	KCC Glass Corp.		14,867
		146,121	Kia Corp.		9,784,679
		260	KIWOOM Securities Co. Ltd.		24,098
		1,834	Korea Investment Holdings Co. Ltd.		98,541
		1,014	Krafton, Inc. *		227,890
		53,052	KT&G Corp.		4,643,532
		2,442	Kyung Dong Navien Co. Ltd.		132,243
		19,307	LG Corp.		1,040,751
		70,394	LG Electronics, Inc.		4,550,020
		1,080	LG Innotek Co. Ltd.		126,441
		3,404	LOTTE Fine Chemical Co. Ltd.		84,024
		757	LS Electric Co. Ltd.		78,872
		18,375	Mirae Asset Securities Co. Ltd.		113,104
		2,894	NH Investment & Securities Co. Ltd.		27,741
		1,499	PharmaResearch Co. Ltd.		214,100
		14,593	POSCO Holdings, Inc. Sponsored ADR		753,291
		345	S-1 Corp.		15,574
		485	Sajodaerim Corp.		14,073
		893	Samsung Card Co. Ltd.		27,297
		23,667	Samsung E&A Co. Ltd. *		305,479
		111,337	Samsung Electronics Co. Ltd.		4,378,127
		246	Samsung Electronics Co. Ltd. GDR (b)		241,504
		1,475	Samsung Fire & Marine Insurance Co. Ltd.		417,303
		2,586	Samsung Securities Co. Ltd.		88,672
		62,970	Shinhan Financial Group Co. Ltd.		2,412,827
		5,563	T&L Co. Ltd.		240,432
		2,636	Tongyang Life Insurance Co. Ltd.		11,033
		128,915	Woori Financial Group, Inc.		1,547,866
		9,838	Youngone Corp.		289,947
			Total South Korea		53,817,016
			Spain — 1.7%
		117,407	Acerinox SA		1,179,986
		35,169	Amadeus IT Group SA (b)		2,469,937
		50,569	Atresmedia Corp. de Medios de Comunicacion SA		242,997
		1,081,497	Banco Bilbao Vizcaya Argentaria SA		10,215,977
		3,724,737	Banco de Sabadell SA		7,023,130
		1,865,534	Banco Santander SA		8,612,439
		91,238	CaixaBank SA		495,852
		1,514	Faes Farma SA		5,687
		9,143	Iberdrola SA (b)		130,376
		90,121	Industria de Diseno Textil SA (b)		4,973,166
		373,497	Mapfre SA (a)		970,939
		47,480	Prosegur Cia de Seguridad SA		98,049
		207,681	Repsol SA		2,599,503
		65,398	Solaria Energia y Medio Ambiente SA * (b)		626,401

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			Spain — continued
		31,126	Telefonica SA		141,007
			Total Spain		39,785,446
			Sweden — 0.6%
		16,002	AcadeMedia AB (b)		87,499
		17,664	Assa Abloy AB – Class B (b)		542,500
		19,135	Betsson AB – Class B (b)		245,333
		32,278	Boliden AB		963,838
		211,882	Fastighets AB Balder – B Shares *		1,632,718
		125,807	Investor AB – B Shares (b)		3,451,707
		7,570	Inwido AB		127,100
		47,802	Peab AB – Class B		351,718
		9,009	Skanska AB – B Shares		188,094
		25,244	SSAB AB – B Shares		114,360
		32,595	Swedbank AB – Class A		638,504
		10,852	Volvo AB – A Shares		271,831
		89,376	Volvo AB – B Shares (b)		2,226,129
		1,075,979	Volvo Car AB – Class B * (a)		2,359,534
			Total Sweden		13,200,865
			Switzerland — 1.5%
		3,261	ABB Ltd. (Registered) (b)		186,168
		195,473	Adecco Group AG (Registered) (b)		5,219,832
		11,167	Holcim AG (b)		1,138,133
		12,884	Logitech International SA (Registered)		1,047,063
		4,895	Mobilezone Holding AG (Registered)		77,671
		40,903	Novartis AG Sponsored ADR (a)		4,326,310
		32,162	Novartis AG (Registered) (b)		3,409,796
		58,004	Roche Holding AG (b) (c)		16,853,105
		1,976	Roche Holding AG (b) (c)		608,328
		15,780	Sandoz Group AG ADR		719,473
		891	Swatch Group AG		162,384
		2,562	Swisscom AG (Registered)		1,479,919
		1,698	u-blox Holding AG		133,537
			Total Switzerland		35,361,719
			Taiwan — 2.6%
		23,000	Acter Group Corp. Ltd.		223,468
		67,799	Asustek Computer, Inc.		1,236,799
		3,000	Bizlink Holding, Inc.		60,395
		354,000	Catcher Technology Co. Ltd.		2,151,239
		91,000	Cathay Financial Holding Co. Ltd.		185,127
		85,490	Chicony Electronics Co. Ltd.		415,784
		48,000	Chipbond Technology Corp.		95,573
		23,000	Dynapack International Technology Corp.		140,825
		1,152,000	Evergreen Marine Corp. Taiwan Ltd.		7,739,584
		24,000	Everlight Electronics Co. Ltd.		57,753
		102,000	Farglory Land Development Co. Ltd.		206,539
		37,000	FIT Hon Teng Ltd. * (a)		15,261
		7,000	Formosa Advanced Technologies Co. Ltd.		6,605
		89,000	Foxconn Technology Co. Ltd.		221,982
		141,000	Fubon Financial Holding Co. Ltd.		384,223

	Shares		Description	Value ($)
			Taiwan — continued
		19,000	Fusheng Precision Co. Ltd.		183,217
		1,256,406	Hon Hai Precision Industry Co. Ltd.		7,651,115
		76,000	Kung Long Batteries Industrial Co. Ltd.		370,841
		145,000	MediaTek, Inc.		5,693,314
		52,000	Micro-Star International Co. Ltd.		275,634
		136,502	Nantex Industry Co. Ltd.		143,314
		12,000	Nien Made Enterprise Co. Ltd.		148,800
		52,000	Novatek Microelectronics Corp.		780,082
		6,000	Pegatron Corp.		17,526
		5,000	Pixart Imaging, Inc.		33,177
		545,566	Pou Chen Corp.		687,921
		100,000	Primax Electronics Ltd.		243,962
		399,263	Radiant Opto-Electronics Corp.		2,353,937
		52,000	Realtek Semiconductor Corp.		768,304
		8,000	San Fang Chemical Industry Co. Ltd.		9,954
		72,000	Shinkong Insurance Co. Ltd.		222,281
		95,000	Simplo Technology Co. Ltd.		1,108,320
		84,000	T3EX Global Holdings Corp.		204,150
		35,000	TaiDoc Technology Corp.		159,248
		622,000	Taiwan Semiconductor Manufacturing Co. Ltd.		19,381,859
		6	Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (b)		1,108
		17,000	Taiwan Surface Mounting Technology Corp.		54,520
		1,000	Test Research, Inc.		4,037
		4,000	Topkey Corp.		24,242
		9,000	Transcend Information, Inc.		25,507
		30,000	Tripod Technology Corp.		175,935
		3,000	United Integrated Services Co. Ltd.		39,751
		159,000	Wan Hai Lines Ltd.		408,860
		32,000	Wisdom Marine Lines Co. Ltd.		73,705
		1,801,000	Yang Ming Marine Transport Corp.		4,081,582
		156,000	Yuanta Financial Holding Co. Ltd.		160,311
		38,000	YungShin Global Holding Corp.		65,923
			Total Taiwan		58,693,594
			Thailand — 0.9%
		2,585,000	AP Thailand PCL NVDR		653,203
		36,300	Bangkok Bank PCL NVDR		158,533
		1,715,000	Energy Absolute PCL NVDR		319,996
		132,700	GFPT PCL NVDR		41,069
		1,294,600	Kasikornbank PCL NVDR		5,687,931
		9,184,300	Krung Thai Bank PCL NVDR		5,367,332
		9,200	Mega Lifesciences PCL NVDR		9,450
		293,080	Pruksa Holding PCL NVDR		72,315
		82,808	Pruksa Holding PCL (Foreign Registered)		20,432
		875,500	PTT Exploration & Production PCL NVDR		3,261,628
		1,763,800	PTT PCL NVDR		1,661,000
		43,800	Regional Container Lines PCL NVDR		36,213
		3,473,800	Sansiri PCL NVDR		182,258
		477,300	SCB X PCL NVDR		1,594,724
		18,900	Siam Cement PCL NVDR		101,470
		122,000	Somboon Advance Technology PCL NVDR		38,793

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			Thailand — continued
		226,100	Sri Trang Agro-Industry PCL NVDR		121,699
		304,100	Sri Trang Gloves Thailand PCL NVDR		96,831
		462,200	Supalai PCL NVDR		256,718
		196,800	Thai Oil PCL NVDR		216,971
			Total Thailand		19,898,566
			Turkey — 0.1%
		113,275	Akbank TAS		198,885
		65,259	Dogus Otomotiv Servis ve Ticaret AS		402,263
		174,201	Turk Hava Yollari AO *		1,431,536
			Total Turkey		2,032,684
			Ukraine — 0.0%
		36,516	Kernel Holding SA *		119,872
			United Arab Emirates — 0.1%
		115,485	Emaar Development PJSC		357,402
		478,139	Emaar Properties PJSC		1,243,873
		224,466	Emirates NBD Bank PJSC		1,223,006
		24,117	Orascom Construction PLC		143,433
			Total United Arab Emirates		2,967,714
			United Kingdom — 4.8%
		298,904	3i Group PLC		14,124,778
		74,644	abrdn PLC		133,954
		28,379	Anglogold Ashanti PLC *		710,146
		15,407	Ashtead Group PLC (b)		1,234,808
		281,477	Atlantica Sustainable Infrastructure PLC		6,175,605
		46,107	Aviva PLC		283,955
		12,776	Bank of Georgia Group PLC		762,421
		598,410	Barratt Redrow PLC		3,258,973
		42,588	Bellway PLC		1,359,630
		35,332	Berkeley Group Holdings PLC		1,867,266
		631,017	BP PLC (b)		3,090,119
		12,168	British American Tobacco PLC Sponsored ADR (b)		461,654
		6,051,375	BT Group PLC (a)		12,273,060
		16,818	Coca-Cola HBC AG		600,313
		98,238	Compass Group PLC (b)		3,366,001
		187,351	Currys PLC *		189,844
		396,036	DS Smith PLC		2,936,283
		30,601	Evraz PLC * (d)		—
		338,518	Ferrexpo PLC *		350,281
		535,724	Glencore PLC * (b)		2,594,087
		295,471	GSK PLC Sponsored ADR		10,084,425
		31,833	GSK PLC		540,789
		12,278	Halfords Group PLC		23,457
		191,772	Harbour Energy PLC		632,846
		85,824	Howden Joinery Group PLC		892,496
		450,359	HSBC Holdings PLC		4,197,019
		154,198	IG Group Holdings PLC		1,879,197
		40,958	Imperial Brands PLC		1,339,584
		27,836	International Personal Finance PLC		46,978

	Shares		Description	Value ($)
			United Kingdom — continued
		30,824	Investec PLC		224,021
		1,288,488	ITV PLC		1,192,473
		37,644	J Sainsbury PLC		125,188
		11,440	Keller Group PLC		216,367
		1,941,135	Kingfisher PLC		6,122,324
		68,000	Lifezone Metals Ltd. *		482,800
		4,483,087	Lloyds Banking Group PLC		3,022,442
		110,674	MONY Group PLC		276,002
		23,013	Morgan Sindall Group PLC		1,115,225
		97,823	OSB Group PLC		499,173
		45,981	Paragon Banking Group PLC		441,925
		8,029	Pearson PLC ADR (b)		125,493
		78,580	Persimmon PLC		1,258,814
		57,857	Plus500 Ltd.		1,889,181
		14,028	Premier Foods PLC		34,900
		48,441	Reach PLC		54,900
		36,313	Rio Tinto PLC Sponsored ADR (b)		2,281,909
		5,215	Rio Tinto PLC (b)		327,882
		133,823	Shell PLC (b)		4,300,679
		112,797	Standard Chartered PLC		1,394,507
		185,896	Taylor Wimpey PLC		310,201
		813	TBC Bank Group PLC		31,365
		88,208	TP ICAP Group PLC		294,892
		17,213	Vesuvius PLC		91,287
		1,926,216	Vodafone Group PLC		1,737,912
		832,875	Vodafone Group PLC Sponsored ADR		7,470,889
		102,635	Zigup PLC		495,422
			Total United Kingdom		111,228,142
			United States — 23.0%
		12,613	3M Co. (b)		1,684,214
		9,056	Academy Sports & Outdoors, Inc. (a)		446,008
		1,298	Adtalem Global Education, Inc. * (a)		118,650
		3,500	Advanced Drainage Systems, Inc. (a)		473,515
		30,998	Aemetis, Inc. * (a)		126,782
		1,959	Affiliated Managers Group, Inc.		367,391
		14,835	AGCO Corp. (a)		1,501,450
		20,973	Akamai Technologies, Inc. * (a)		1,971,881
		11,000	Albemarle Corp. (a)		1,184,700
		585,291	Albertsons Cos., Inc. – Class A		11,618,026
		2,462	Allison Transmission Holdings, Inc.		291,747
		1,221	Allstate Corp. (b)		253,223
		122,758	Ally Financial, Inc.		4,907,865
		32,920	Alphabet, Inc. – Class A (b)		5,561,834
		27,694	Altair Engineering, Inc. – Class A * (b)		2,924,763
		81,993	Ameresco, Inc. – Class A * (a)		2,309,743
		10,307	American Express Co. (a)		3,140,337
		18,993	ANSYS, Inc. * (b)		6,668,442
		40,875	Aptiv PLC * (a)		2,269,789
		28,512	Arch Capital Group Ltd. (a) (b)		2,871,729
		40,397	Arch Resources, Inc. (a)		6,945,052
		31,390	Archer-Daniels-Midland Co. (b)		1,713,894
		149,900	Array Technologies, Inc. * (a)		1,005,829

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			United States — continued
		5,731	Arrow Electronics, Inc. * (a)		688,637
		5,679	Aspen Technology, Inc. * (a)		1,419,750
		1,712	Atkore, Inc.		161,459
		2,298	Autoliv, Inc.		227,778
		2,683	AutoNation, Inc. *		479,962
		173,761	Avangrid, Inc. (b)		6,272,772
		13,712	Avnet, Inc. (a)		750,184
		187,632	Bank of America Corp. (b)		8,914,396
		22,077	Bank of New York Mellon Corp. (b)		1,807,444
		8,776	Barnes Group, Inc.		411,068
		94,272	Bath & Body Works, Inc.		3,416,417
		13,600	Berry Corp.		55,488
		10,407	Best Buy Co., Inc.		936,630
		5,498	Bio-Rad Laboratories, Inc. – Class A *		1,872,234
		28,343	Block, Inc. * (b)		2,509,773
		691	Boise Cascade Co.		101,992
		801	Booking Holdings, Inc. (b)		4,166,786
		71,189	BorgWarner, Inc.		2,443,206
		553	Brunswick Corp. (a)		44,522
		23,180	Builders FirstSource, Inc. * (a)		4,322,375
		8,322	Bunge Global SA (a)		746,816
		33,500	California Resources Corp. (a)		1,981,860
		33,990	Capital One Financial Corp. (b)		6,526,420
		20,255	CarMax, Inc. * (a)		1,700,812
		2,669	Carter’s, Inc.		145,647
		28,273	CBRE Group, Inc. – Class A * (a) (b)		3,957,937
		77,762	Centene Corp. * (b)		4,665,720
		33,937	Chevron Corp. (b)		5,495,418
		15,988	Chord Energy Corp. (a)		2,038,790
		8,060	Cigna Group (a) (b)		2,722,668
		99,778	Cisco Systems, Inc. (a) (b)		5,907,855
		97,689	Citigroup, Inc. (b)		6,923,219
		151,241	Clean Energy Fuels Corp. * (a)		465,822
		230,415	Cleveland-Cliffs, Inc. * (a)		2,868,667
		222,517	CNH Industrial NV		2,794,814
		71,535	Cognizant Technology Solutions Corp. – Class A (b)		5,757,852
		156,679	Comcast Corp. – Class A (b)		6,766,966
		3,612	Commercial Metals Co.		222,824
		21,211	Conagra Brands, Inc. (a)		584,363
		1,852	Concentrix Corp. (a)		83,247
		18,563	ConocoPhillips (b)		2,011,111
		17,000	Corteva, Inc. (a) (b)		1,058,080
		17,300	Crescent Energy Co. – Class A		257,251
		5,648	Crocs, Inc. * (a)		596,429
		7,039	Cummins, Inc. (b)		2,639,907
		97,585	CVS Health Corp. (a) (b)		5,840,462
		113,373	Darling Ingredients, Inc. * (a)		4,595,008
		700	Deere & Co. (a)		326,130
		33,730	Discover Financial Services (b)		6,153,364
		10,154	Dollar General Corp. (a)		784,600
		22,450	DR Horton, Inc. (a) (b)		3,789,111
		88,036	eBay, Inc. (b)		5,571,798
		4,306	Elevance Health, Inc. (b)		1,752,370

	Shares		Description	Value ($)
			United States — continued
		11,063	Enphase Energy, Inc. * (a)		789,345
		30,881	EOG Resources, Inc. (a)		4,115,202
		17,717	EPAM Systems, Inc. * (b)		4,321,531
		6,725	Everest Group Ltd. (a)		2,606,341
		234,588	Everi Holdings, Inc. * (b)		3,159,900
		15,131	Exelixis, Inc. * (a)		551,676
		23,578	Expedia Group, Inc. * (b)		4,352,970
		33,975	Exxon Mobil Corp. (b)		4,007,691
		10,191	Federated Hermes, Inc.		435,665
		1,266	Fidelity National Financial, Inc.		80,252
		7,971	First Horizon Corp.		168,427
		4,100	First Solar, Inc. * (a)		817,007
		503,417	Ford Motor Co.		5,603,031
		17,208	Fox Corp. – Class A (b)		810,841
		89,718	Fox Corp. – Class B (b)		4,013,086
		189,163	Franklin Resources, Inc. (a)		4,305,350
		21,900	Freeport-McMoRan, Inc. (b)		967,980
		122,600	Frontier Communications Parent, Inc. *		4,267,706
		201,500	GCI Liberty, Inc. * (a) (e)		—
		50,414	GE HealthCare Technologies, Inc. (a) (b)		4,195,453
		15,402	General Mills, Inc. (a) (b)		1,020,537
		101,483	General Motors Co.		5,641,440
		7,748	Goldman Sachs Group, Inc. (b)		4,715,200
		191,236	GrafTech International Ltd. * (a)		374,823
		91	Graham Holdings Co. – Class B (b)		84,732
		100,666	Green Plains, Inc. * (a)		1,087,193
		1,201	Group 1 Automotive, Inc. (a)		511,386
		3,100	Gulfport Energy Corp. *		544,980
		12,179	H&R Block, Inc. (a) (b)		721,971
		11,006	Hartford Financial Services Group, Inc. (b)		1,357,150
		162,108	HashiCorp, Inc. – Class A * (b)		5,450,071
		85,629	Hess Corp. (b)		12,602,876
		285,548	Hewlett Packard Enterprise Co. (a)		6,059,329
		9,968	Hilton Worldwide Holdings, Inc. (b)		2,526,290
		153,828	HP, Inc. (a)		5,450,126
		3,484	Humana, Inc. (a)		1,032,588
		775	Huntington Ingalls Industries, Inc. (a)		153,388
		59,582	Incyte Corp. * (a)		4,444,221
		3,201	Ingredion, Inc.		471,635
		258,103	Intel Corp. (a)		6,207,377
		21,599	Intercontinental Exchange, Inc. (a) (b)		3,476,575
		31,166	International Business Machines Corp. (a) (b)		7,087,460
		16,420	Invesco Ltd.		297,038
		2,833	Jackson Financial, Inc. – Class A		283,838
		8,027	Janus Henderson Group PLC		363,463
		1,719	Jazz Pharmaceuticals PLC *		209,013
		26,596	Johnson & Johnson (b)		4,122,646
		17,352	JPMorgan Chase & Co. (a) (b)		4,333,141
		98,284	Juniper Networks, Inc.		3,530,361
		4,583	KB Home		379,197
		74,346	Kellanova		6,043,586
		1,352	Kimberly-Clark Corp. (a) (b)		188,401
		66,964	Kinder Morgan, Inc. (a) (b)		1,893,072

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			United States — continued
		5,757	Kohl’s Corp. (a)		86,182
		1,011,751	Kosmos Energy Ltd. * (a)		3,986,299
		146,120	Kraft Heinz Co. (a)		4,671,456
		22,683	Kroger Co. (b)		1,385,478
		18,080	Lam Research Corp. (b)		1,335,750
		43,247	Las Vegas Sands Corp. (a) (b)		2,294,686
		2,129	La-Z-Boy, Inc.		96,380
		5,735	Lear Corp.		561,112
		21,876	Lennar Corp. – Class A (a)		3,814,956
		77,042	Liberty Broadband Corp. – Class C * (b)		6,559,356
		18,100	Liberty Energy, Inc. (a)		333,040
		7,771	LKQ Corp.		305,323
		17,266	LyondellBasell Industries NV – Class A (a) (b)		1,438,948
		6,917	M&T Bank Corp.		1,521,671
		8,358	Macy’s, Inc.		135,734
		2,811	ManpowerGroup, Inc. (b)		180,944
		1,424	Markel Group, Inc. *		2,538,878
		109,592	Match Group, Inc. * (a)		3,588,042
		511	Matson, Inc. (a)		78,275
		16,496	Medtronic PLC (b)		1,427,564
		38,883	Merck & Co., Inc. (b)		3,952,068
		17,363	Meta Platforms, Inc. – Class A (b)		9,971,918
		29,084	MGIC Investment Corp.		763,746
		39,101	Micron Technology, Inc. (b)		3,829,943
		21,809	Molson Coors Beverage Co. – Class B		1,353,467
		7,831	Morgan Stanley (b)		1,030,638
		133,873	Mosaic Co. (a)		3,542,280
		3,173	Mueller Industries, Inc. (a)		256,283
		15,500	NEXTracker, Inc. – Class A * (a)		591,480
		2,700	Northern Oil & Gas, Inc. (a)		117,423
		31,521	Nucor Corp. (b)		4,875,983
		42,561	ON Semiconductor Corp. * (a)		3,026,938
		4,547	OneMain Holdings, Inc.		260,770
		4,888	Oshkosh Corp.		555,326
		15,150	Otis Worldwide Corp. (b)		1,560,147
		50,955	Ovintiv, Inc.		2,314,376
		1,622	Owens Corning		333,516
		42,064	PACCAR, Inc. (a) (b)		4,921,488
		316,230	Paramount Global – Class B (a)		3,431,096
		67,897	PayPal Holdings, Inc. * (a) (b)		5,891,423
		755,227	Pershing Square Tontine Holdings Ltd. * (d)		1
		250,978	Pfizer, Inc. (b)		6,578,133
		4,575	Polaris, Inc. (a)		315,675
		3,800	PotlatchDeltic Corp. – (REIT)		170,392
		2,781	PPG Industries, Inc. (b)		345,873
		5,459	Premier, Inc. – Class A (a)		125,011
		2,355	Procter & Gamble Co. (b)		422,157
		17,200	ProPetro Holding Corp. * (a)		144,480
		31,013	PulteGroup, Inc.		4,195,129
		5,547	PVH Corp.		601,128
		6,963	QUALCOMM, Inc. (a)		1,103,844
		19,143	Radian Group, Inc.		685,128
		6,542	Regeneron Pharmaceuticals, Inc. * (b)		4,907,939

	Shares		Description	Value ($)
			United States — continued
		10,765	Regions Financial Corp.		293,454
		2,348	Robert Half, Inc. (b)		175,184
		2,896	Sealed Air Corp.		105,994
		5,049	Signet Jewelers Ltd. (a)		505,910
		10,749	Skechers USA, Inc. – Class A *		686,001
		50,968	Skyworks Solutions, Inc. (a)		4,464,287
		10,371	SLM Corp.		283,958
		8,400	SM Energy Co.		379,596
		524	Snap-on, Inc. (a)		193,718
		80,508	SolarEdge Technologies, Inc. * (a)		1,272,026
		73,201	Solventum Corp. *		5,234,604
		12,710	State Street Corp. (b)		1,252,062
		33,954	Steel Dynamics, Inc.		4,932,498
		140,448	Sunrun, Inc. * (a)		1,619,365
		84,173	Synchrony Financial (b)		5,683,361
		18,183	T. Rowe Price Group, Inc. (a)		2,251,783
		17,327	Tapestry, Inc.		1,079,126
		4,935	Target Corp.		652,950
		1,219	TD SYNNEX Corp.		145,049
		1,635	Terex Corp. (a)		89,582
		11,125	Texas Instruments, Inc. (b)		2,236,459
		804	Toll Brothers, Inc. (a)		132,797
		5,869	TRU TAJ Liquidation Unit Trust / TRU TAJ Finance, Inc. * (d)		59
		160,204	TRU Taj LLC/TRU Taj Finance, Inc. * (d)		226,956
		35,835	Tyson Foods, Inc. – Class A		2,311,358
		58,641	U.S. Bancorp (a)		3,124,979
		193,816	U.S. Steel Corp. (a) (g)		7,901,878
		3,817	UFP Industries, Inc.		518,730
		5,676	United Parcel Service, Inc. – Class B (a)		770,347
		1,090	United Therapeutics Corp. *		403,834
		11,395	Unum Group		876,276
		606	Valero Energy Corp. (b)		84,282
		700	Valmont Industries, Inc.		243,502
		2,100	Veralto Corp. (b)		227,199
		164,700	Verizon Communications, Inc. (b)		7,302,798
		369,446	Viatris, Inc.		4,836,048
		5,100	Viper Energy, Inc.		275,961
		408,257	Walgreens Boots Alliance, Inc. (a)		3,682,478
		45,494	Wells Fargo & Co. (b)		3,465,278
		50,989	Western Union Co. (a)		561,389
		2,141	Westmoreland Mining Holdings * (e)		2,676
		5,566	Whirlpool Corp. (a)		620,164
		65,050	Zoom Communications, Inc. – Class A * (b)		5,378,985
			Total United States		526,327,847
			Vietnam — 0.1%
		4,900	Dong Phu Rubber JSC		7,365
		188,199	Duc Giang Chemicals JSC		814,549
		3,100	Masan Consumer Corp.		28,096
		110,900	PetroVietNam Ca Mau Fertilizer JSC		161,825
		856	PetroVietnam Gas JSC		2,353
		26,300	Quang Ngai Sugar JSC		52,797
		84,180	SSI Securities Corp.		81,760

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares		Description	Value ($)
			Vietnam — continued
		129,200	Vietnam Dairy Products JSC		329,533
		20,900	Vietnam Engine & Agricultural Machinery Corp.		31,570
		166,975	VNDirect Securities Corp.		90,758
			Total Vietnam		1,600,606
			TOTAL COMMON STOCKS (COST $2,044,734,843)		1,843,166,160
			PREFERRED STOCKS (h) — 1.5%
			Brazil — 0.9%
		1,367,152	Bradespar SA		4,192,254
		2,705,750	Cia Energetica de Minas Gerais		5,351,420
		134,100	Gerdau SA		452,438
		593,759	Gerdau SA Sponsored ADR		1,995,030
		331,295	Itausa SA		536,851
		142,800	Marcopolo SA		203,871
		986,800	Petroleo Brasileiro SA		6,379,890
		122,470	Petroleo Brasileiro SA ADR (b)		1,597,009
		16,300	Randon SA Implementos e Participacoes		28,229
		5,920	Unipar Carbocloro SA – Class B		51,164
			Total Brazil		20,788,156
			Chile — 0.1%
		55,100	Sociedad Quimica y Minera de Chile SA Sponsored ADR (a)		2,119,146
			Colombia — 0.0%
		4,913	Bancolombia SA		39,874
		26,410	Bancolombia SA Sponsored ADR		863,607
			Total Colombia		903,481
			Germany — 0.4%
		23,761	Bayerische Motoren Werke AG		1,627,810
		82,624	Porsche Automobil Holding SE		3,033,868
		1,257	Villeroy & Boch AG		20,518
		50,756	Volkswagen AG		4,351,051
			Total Germany		9,033,247
			Russia — 0.0%
		15,222	Bashneft PJSC (d) (f)		—
		79,750	Nizhnekamskneftekhim PJSC (d) (f)		—
		49,530	Sberbank of Russia PJSC (d) (f)		—
		20,862,000	Surgutneftegas PJSC (d) (f)		—
		12,313	Tatneft PJSC (d) (f)		—
		33,700	Transneft PJSC (d) (f)		—
			Total Russia		—
			South Korea — 0.1%
		3,460	Hyundai Motor Co. GDR		194,865
		3,452	LG Electronics, Inc.		106,673

	Shares		Description	Value ($)
			South Korea — continued
		33,261	Samsung Electronics Co. Ltd.		1,111,745
		114	Samsung Electronics Co. Ltd. GDR		95,577
			Total South Korea		1,508,860
			United States — 0.0%
		1,288,200	NII Holdings, Inc. * (e)		450,870
			TOTAL PREFERRED STOCKS (COST $58,840,973)		34,803,760
			RIGHTS/WARRANTS — 0.1%
			Canada — 0.1%
		222,285	Clementia Pharmaceuticals, Inc. * (e)		222
		724,783	Resolute Forest Products, Inc. * (e)		1,449,566
			Total Canada		1,449,788
			United States — 0.0%
		408,963	Bristol-Myers Squibb Co. * (e)		654,341
		50,914	Contra Abiomed, Inc. * (e)		89,099
		188,806	Pershing Square Holdings Ltd. * (e)		56,642
			Total United States		800,082
			TOTAL RIGHTS/WARRANTS (COST $2,258,465)		2,249,870
			INVESTMENT FUNDS — 2.5%
			United States — 2.5%
		4,418,828	Altaba, Inc.* (e)		6,186,359
		84,500	iShares Core S&P 500 ETF (b)		51,128,415
			TOTAL INVESTMENT FUNDS (COST $50,527,977)		57,314,774
			DEBT OBLIGATIONS — 32.0%
			Netherlands — 0.0%
			Corporate Debt — 0.0%
EUR		638,820	HEMA Bondco I B.V., Variable Rate, 10.00%, due 04/19/26 (d) (i)		68
			United States — 32.0%
			U.S. Government — 32.0%
		60,000,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.17%, 4.63%, due 04/30/25		59,996,372
		56,620,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.25%, 4.71%, due 01/31/26 (b) (j)		56,673,335
		223,460,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.61%, due 04/30/26 (b) (j)		223,441,839

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Par Value† / Shares		Description	Value ($)
			United States — continued
			U.S. Government — continued
		179,536,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.65%, due 07/31/26 (b) (j)		179,634,567
		108,106,672	U.S. Treasury Inflation-Indexed Notes, 1.75%, due 01/15/34		106,328,612
		106,707,636	U.S. Treasury Inflation-Indexed Notes, 1.88%, due 07/15/34 (b)		106,211,192
		900,000	U.S. Treasury Notes, 2.88%, due 04/30/25 (b)		894,291
			Total U.S. Government		733,180,208
			Total United States		733,180,208
			TOTAL DEBT OBLIGATIONS (COST $734,101,178)		733,180,276
			MUTUAL FUNDS — 0.3%
			United States — 0.3%
			Affiliated Issuers — 0.3%
		1,358,721	GMO U.S. Treasury Fund, Class VI (formerly Core Class) (k)		6,793,606
			TOTAL MUTUAL FUNDS (COST $6,793,886)		6,793,606
			SHORT-TERM INVESTMENTS — 5.1%
			Money Market Funds — 0.3%
		909,316	State Street Global Advisors Liquidity PLC - U.S. Treasury Liquidity Fund – Class D Shares, 4.50% (j)		909,316
		5,403,535	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (l)		5,403,535
			Total Money Market Funds		6,312,851
			Repurchase Agreements — 4.8%
		110,093,445	Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/29/24, maturing on 12/02/24 with a maturity value of $110,135,372 and an effective yield of 4.57%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $110,661,633.		110,093,445
			TOTAL SHORT-TERM INVESTMENTS (COST $116,406,296)		116,406,296
			TOTAL INVESTMENTS — 121.9% (Cost $3,013,663,618)		2,793,914,742

	Shares			Description	Value ($)
				SECURITIES SOLD SHORT — (22.3)%
				Common Stocks — (22.2)%
				Australia — (0.9)%
		(35,194	)	ASX Ltd.		(1,519,635	)
		(76,127	)	CAR Group Ltd.		(2,069,081	)
		(6,784	)	Cochlear Ltd.		(1,350,824	)
		(361,678	)	Lottery Corp. Ltd.		(1,226,191	)
		(13,500	)	Mineral Resources Ltd.		(297,910	)
		(20,679	)	Pro Medicus Ltd.		(3,412,721	)
		(15,772	)	Ramsay Health Care Ltd.		(408,527	)
		(11,675	)	REA Group Ltd.		(1,925,562	)
		(45,110	)	WiseTech Global Ltd.		(3,789,836	)
		(35,682	)	Xero Ltd. *		(4,063,188	)
				Total Australia		(20,063,475	)
				Austria — (0.0)%
		(15,508	)	Verbund AG		(1,239,043	)
				Belgium — (0.2)%
		(6,296	)	Argenx SE *		(3,885,668	)
		(84	)	Lotus Bakeries NV		(1,011,134	)
				Total Belgium		(4,896,802	)
				Brazil — (0.1)%
		(282,499	)	NU Holdings Ltd. – Class A *		(3,539,712	)
				Canada — (1.5)%
		(30,051	)	Agnico Eagle Mines Ltd.		(2,536,905	)
		(163,100	)	AltaGas Ltd.		(3,988,818	)
		(73,592	)	Cameco Corp.		(4,375,044	)
		(103,882	)	Enbridge, Inc.		(4,506,401	)
		(31,190	)	Franco-Nevada Corp.		(3,824,518	)
		(87,955	)	GFL Environmental, Inc.		(4,142,681	)
		(155,122	)	Pan American Silver Corp.		(3,408,030	)
		(99,598	)	Pembina Pipeline Corp.		(4,120,369	)
		(52,957	)	Restaurant Brands International, Inc.		(3,686,337	)
				Total Canada		(34,589,103	)
				Denmark — (0.2)%
		(30,224	)	Coloplast AS – Class B		(3,814,778	)
		(31,665	)	Tryg AS		(730,774	)
				Total Denmark		(4,545,552	)
				France — (0.4)%
		(20,542	)	Accor SA		(948,856	)
		(19,797	)	Aeroports de Paris SA		(2,292,890	)
		(175,236	)	Getlink SE		(2,865,490	)
		(1,828	)	Hermes International SCA		(3,989,841	)
				Total France		(10,097,077	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares			Description	Value ($)
				Germany — (0.8)%
		(17,241	)	adidas AG		(4,077,134	)
		(1,827	)	CTS Eventim AG & Co. KGaA		(161,695	)
		(90,620	)	Delivery Hero SE *		(3,722,848	)
		(12,492	)	MTU Aero Engines AG		(4,258,754	)
		(12,126	)	Qiagen NV *		(530,398	)
		(1,934	)	Rational AG		(1,811,332	)
		(7,261	)	Siemens Energy AG *		(393,925	)
		(8,508	)	Symrise AG		(941,167	)
		(21,301	)	Talanx AG		(1,805,919	)
				Total Germany		(17,703,172	)
				Israel — (0.4)%
		(12,915	)	CyberArk Software Ltd. *		(4,178,132	)
		(13,106	)	Monday.com Ltd. *		(3,739,928	)
		(9,235	)	Wix.com Ltd. *		(2,066,239	)
				Total Israel		(9,984,299	)
				Italy — (0.6)%
		(72,122	)	Amplifon SpA		(1,831,735	)
		(4,491	)	DiaSorin SpA		(502,139	)
		(9,876	)	Ferrari NV		(4,302,250	)
		(194,674	)	FinecoBank Banca Fineco SpA		(3,123,721	)
		(293,779	)	Infrastrutture Wireless Italiane SpA		(3,027,462	)
				Total Italy		(12,787,307	)
				Japan — (1.8)%
		(14,200	)	Advantest Corp.		(786,401	)
		(158,800	)	Aeon Co. Ltd.		(3,819,213	)
		(70,500	)	ANA Holdings, Inc.		(1,362,204	)
		(65,500	)	Asics Corp.		(1,323,321	)
		(9,200	)	Disco Corp.		(2,514,039	)
		(4,900	)	FANUC Corp.		(127,308	)
		(312,600	)	Japan Exchange Group, Inc.		(3,782,790	)
		(44,600	)	Kintetsu Group Holdings Co. Ltd.		(953,244	)
		(87,700	)	Kobe Bussan Co. Ltd.		(2,214,822	)
		(26,800	)	Lasertec Corp.		(2,951,641	)
		(17,900	)	Mitsubishi Heavy Industries Ltd.		(263,539	)
		(160,800	)	MonotaRO Co. Ltd.		(2,872,909	)
		(152,100	)	Oriental Land Co. Ltd.		(3,589,024	)
		(610,400	)	Rakuten Group, Inc. *		(3,517,822	)
		(130,500	)	Shiseido Co. Ltd.		(2,428,388	)
		(3,230,000	)	SoftBank Corp.		(4,174,806	)
		(113,900	)	Tokyu Corp.		(1,332,744	)
		(28,500	)	West Japan Railway Co.		(536,695	)
		(44,100	)	Zensho Holdings Co. Ltd.		(2,662,546	)
		(4,600	)	ZOZO, Inc.		(145,156	)
				Total Japan		(41,358,612	)
				Netherlands — (0.6)%
		(2,939	)	Adyen NV *		(4,277,750	)
		(953	)	ASM International NV		(512,882	)
		(25,856	)	BE Semiconductor Industries NV		(3,074,299	)
		(27,716	)	InPost SA *		(485,358	)

	Shares			Description	Value ($)
				Netherlands — continued
		(67,339	)	OCI NV		(786,988	)
		(159,333	)	Universal Music Group NV		(3,836,664	)
				Total Netherlands		(12,973,941	)
				Norway — (0.1)%
		(11,264	)	Kongsberg Gruppen ASA		(1,327,372	)
				Peru — (0.2)%
		(35,483	)	Southern Copper Corp.		(3,560,719	)
				Singapore — (0.3)%
		(446,600	)	CapitaLand Investment Ltd.		(911,282	)
		(738,927	)	Grab Holdings Ltd. – Class A *		(3,694,635	)
		(248,500	)	Keppel Ltd.		(1,249,598	)
				Total Singapore		(5,855,515	)
				Spain — (0.4)%
		(108,336	)	Cellnex Telecom SA *		(3,893,104	)
		(103,943	)	Ferrovial SE		(4,287,961	)
				Total Spain		(8,181,065	)
				Sweden — (0.3)%
		(121,235	)	Beijer Ref AB		(1,912,702	)
		(125,237	)	EQT AB		(3,796,841	)
		(5,294	)	Lifco AB – Class B		(160,854	)
				Total Sweden		(5,870,397	)
				Switzerland — (0.2)%
		(50,122	)	Avolta AG		(1,860,452	)
		(7,603	)	Bachem Holding AG		(589,187	)
		(91,445	)	SIG Group AG		(1,812,892	)
		(2,655	)	VAT Group AG		(1,060,602	)
				Total Switzerland		(5,323,133	)
				United Kingdom — (1.3)%
		(2,446	)	Admiral Group PLC		(79,799	)
		(230,304	)	Auto Trader Group PLC		(2,460,085	)
		(382,840	)	Informa PLC		(4,176,477	)
		(34,627	)	InterContinental Hotels Group PLC		(4,320,558	)
		(32,640	)	London Stock Exchange Group PLC		(4,677,924	)
		(83,879	)	M&G PLC		(211,629	)
		(170,471	)	Melrose Industries PLC		(1,247,387	)
		(319,060	)	Phoenix Group Holdings PLC		(2,088,273	)
		(617,076	)	Rolls-Royce Holdings PLC *		(4,389,542	)
		(95,538	)	Severn Trent PLC		(3,279,584	)
		(13,121	)	United Utilities Group PLC		(186,990	)
		(326,457	)	Wise PLC – Class A *		(3,667,540	)
				Total United Kingdom		(30,785,788	)
				United States — (11.9)%
		(4,012	)	AbbVie, Inc.		(733,915	)
		(235,755	)	AES Corp.		(3,074,245	)

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

	Shares			Description	Value ($)
				United States — continued
		(16,158	)	Alnylam Pharmaceuticals, Inc. *		(4,089,105	)
		(15,215	)	Arthur J Gallagher & Co.		(4,750,732	)
		(7,149	)	Axon Enterprise, Inc. *		(4,625,117	)
		(25,933	)	Boeing Co. *		(4,031,025	)
		(15,434	)	Burlington Stores, Inc. *		(4,350,536	)
		(86,449	)	Caesars Entertainment, Inc. *		(3,327,422	)
		(111,172	)	Celsius Holdings, Inc. *		(3,162,843	)
		(18,182	)	Charter Communications, Inc. – Class A *		(7,217,618	)
		(87,781	)	Chevron Corp.		(14,214,377	)
		(74,700	)	Chipotle Mexican Grill, Inc. *		(4,595,544	)
		(44,233	)	Cloudflare, Inc. – Class A *		(4,415,780	)
		(673,863	)	Coeur Mining, Inc. *		(4,353,155	)
		(3	)	ConocoPhillips		(325	)
		(53,569	)	CONSOL Energy, Inc.		(7,001,468	)
		(51,407	)	Dayforce, Inc. *		(4,112,046	)
		(1,515	)	Dexcom, Inc. *		(118,155	)
		(1,173	)	Dominion Energy, Inc.		(68,914	)
		(96,216	)	DraftKings, Inc. – Class A *		(4,199,828	)
		(95,918	)	EQT Corp.		(4,358,514	)
		(83,710	)	Equitable Holdings, Inc.		(4,037,333	)
		(7,284	)	Erie Indemnity Co. – Class A		(3,209,039	)
		(60,536	)	Exact Sciences Corp. *		(3,758,075	)
		(1,933	)	Fair Isaac Corp. *		(4,590,933	)
		(23,725	)	Fastenal Co.		(1,982,461	)
		(52,027	)	Fidelity National Information Services, Inc.		(4,437,903	)
		(2,727	)	Fiserv, Inc. *		(602,558	)
		(16,403	)	Flutter Entertainment PLC *		(4,514,370	)
		(3,802	)	Gartner, Inc. *		(1,969,170	)
		(1,283	)	GE Vernova, Inc. *		(428,676	)
		(6,287	)	HubSpot, Inc. *		(4,533,241	)
		(17,436	)	Hyatt Hotels Corp. – Class A		(2,753,842	)
		(15,828	)	Insulet Corp. *		(4,222,594	)
		(50,891	)	International Paper Co.		(2,993,918	)
		(51,128	)	Liberty Media Corp.-Liberty Formula One – Class C *		(4,517,670	)
		(9,873	)	Linde PLC		(4,551,354	)
		(31,173	)	Live Nation Entertainment, Inc. *		(4,309,667	)
		(12,363	)	Manhattan Associates, Inc. *		(3,528,895	)
		(7,828	)	Mastercard, Inc. – Class A		(4,171,854	)
		(1,221	)	MercadoLibre, Inc. *		(2,423,893	)
		(14,564	)	MongoDB, Inc. *		(4,696,744	)
		(5,171	)	Moody’s Corp.		(2,585,397	)
		(243	)	Motorola Solutions, Inc.		(121,427	)
		(7,331	)	MSCI, Inc.		(4,469,197	)

	Shares			Description	Value ($)
				United States — continued
		(20,567	)	Newmont Corp.		(862,580	)
		(46,618	)	Okta, Inc. *		(3,615,692	)
		(39,412	)	ONEOK, Inc.		(4,477,203	)
		(70,893	)	Palantir Technologies, Inc. – Class A *		(4,755,502	)
		(10,941	)	Palo Alto Networks, Inc. *		(4,243,139	)
		(30,271	)	Paychex, Inc.		(4,427,739	)
		(19,052	)	PTC, Inc. *		(3,811,543	)
		(26,780	)	Repligen Corp. *		(4,031,461	)
		(252,097	)	Rivian Automotive, Inc. – Class A *		(3,083,146	)
		(81,976	)	ROBLOX Corp. – Class A *		(4,109,457	)
		(5,069	)	Roku, Inc. *		(349,913	)
		(82,390	)	Rollins, Inc.		(4,146,689	)
		(77,058	)	Samsara, Inc. – Class A *		(4,121,832	)
		(3,386	)	ServiceNow, Inc. *		(3,553,404	)
		(30,137	)	Snowflake, Inc. – Class A *		(5,267,948	)
		(1,716	)	Starbucks Corp.		(175,821	)
		(6,553	)	Synopsys, Inc. *		(3,659,785	)
		(22,991	)	Take-Two Interactive Software, Inc. *		(4,331,045	)
		(12,904	)	Tesla, Inc. *		(4,453,945	)
		(786	)	Texas Pacific Land Corp.		(1,257,671	)
		(96,370	)	Toast, Inc. – Class A *		(4,195,950	)
		(31,394	)	Trade Desk, Inc. – Class A *		(4,035,699	)
		(3,311	)	TransDigm Group, Inc.		(4,148,584	)
		(59,807	)	Uber Technologies, Inc. *		(4,303,712	)
		(28,437	)	Vistra Corp.		(4,545,370	)
		(7,783	)	Watsco, Inc.		(4,293,103	)
		(76,398	)	Williams Cos., Inc.		(4,470,811	)
		(53,682	)	Zillow Group, Inc. – Class C *		(4,547,402	)
		(20,306	)	Zscaler, Inc. *		(4,195,017	)
				Total United States		(273,682,038	)
				TOTAL COMMON STOCKS (PROCEEDS $378,312,168)		(508,364,122	)
				PREFERRED STOCKS (h) — (0.1)%
				Germany — (0.1)%
		(11,930	)	Sartorius AG		(2,754,634	)
				TOTAL PREFERRED STOCKS (PROCEEDS $3,832,992)		(2,754,634	)
				TOTAL SECURITIES SOLD SHORT (PROCEEDS $382,145,160)		(511,118,756	)
				Other Assets and Liabilities (net) — 0.4%		9,906,374
				TOTAL NET ASSETS — 100.0%	$	2,292,702,360

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 November 30, 2024
Alrosa PJSC	12/06/17	$	15,372,968	0.0%	$	—

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Issuer Description — (Continued)	Acquisition Date	Acquisition Cost		Value as a Percentage of Fund’s Net Assets	Value as of November 30, 2024
Bashneft PJSC	03/29/18	$	444,288	0.0%	$	—
Federal Grid Co-Rosseti PJSC	10/08/19		1,057,715	0.0%		4
Gazprom Neft PJSC	10/12/21		2,944,094	0.0%		—
Gazprom PJSC	08/10/20		17,682,067	0.0%		—
GMK Norilskiy Nickel PAO	02/11/20		4,352,696	0.0%		—
Inter RAO UES PJSC	01/13/20		1,798,790	0.0%		—
LSR Group PJSC	11/30/18		882,290	0.0%		—
LSR Group PJSC GDR	09/07/20		8	0.0%		—
LUKOIL PJSC	01/09/20		18,997,557	0.0%		—
Magnitogorsk Iron & Steel Works PJSC	10/11/17		4,815,566	0.0%		—
Mechel PJSC	11/12/21		133,558	0.0%		—
Moscow Exchange MICEX-Rates PJSC	10/20/17		3,091,486	0.0%		—
Mosenergo PJSC	11/19/21		224,074	0.0%		—
Nizhnekamskneftekhim PJSC	03/24/20		79,541	0.0%		—
Novatek PJSC	10/21/21		2,148,138	0.0%		—
Novolipetsk Steel PJSC	02/13/18		9,617,214	0.0%		—
PhosAgro PJSC	08/15/22		434,931	0.0%		—
PhosAgro PJSC GDR	10/15/21		2,792	0.0%		—
Polyus PJSC	07/27/20		5,699,094	0.0%		—
Polyus PJSC GDR	02/24/23		0	0.0%		—
RusHydro PJSC	05/06/21		538,627	0.0%		1
Sberbank of Russia PJSC	07/10/19		29,636,901	0.0%		—
Sberbank of Russia PJSC	01/10/22		183,324	0.0%		—
Severstal PAO	02/02/21		126,124	0.0%		—
Severstal PAO GDR (Registered)	10/23/17		5,003,828	0.0%		—
SFI PJSC	09/11/18		318,293	0.0%		—
Surgutneftegas PJSC	07/20/17		12,778,800	0.0%		—
Surgutneftegas PJSC	11/02/18		12,687,089	0.0%		—
Tatneft PJSC	11/02/18		8,698,468	0.0%		—
Tatneft PJSC	12/15/21		71,965	0.0%		—
Transneft PJSC	08/12/21		683,438	0.0%		—
Unipro PJSC	12/18/19		32,903	0.0%		—
United Co. Rusal International PJSC	11/12/21		56,186	0.0%		—
VTB Bank PJSC	01/09/20		587,690	0.0%		—
					$	5

A summary of outstanding financial instruments at November 30, 2024 is as follows:

Forward Currency Contracts

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
12/03/2024	BCLY		BRL	47,901,714		USD	8,248,961		287,633
12/03/2024	MSCI		BRL	47,901,714		USD	8,243,282		281,955
02/12/2025	SSB		EUR	1,447,452		USD	1,567,651		33,161
02/12/2025	BCLY		EUR	1,479,258		USD	1,576,673		8,464
02/05/2025	UBSA		USD	1,262,334		CAD	1,778,043		10,748

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/31/2025	MSCI		USD	11,919,654		EUR	11,344,866		100,358
01/31/2025	BOA		USD	2,191,150		GBP	1,747,818		32,494
01/31/2025	BCLY		USD	1,112,679		JPY	170,033,625		32,473
02/04/2025	BCLY		USD	7,987,269		MXN	166,637,596		140,046
02/04/2025	MSCI		USD	7,967,760		MXN	166,637,596		159,555

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Forward Currency Contracts — continued

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
01/28/2025	UBSA		USD	4,430,234		NOK	49,242,561		30,222
01/31/2025	MSCI		AUD	25,376,351		USD	16,447,091		(111,000	)
01/31/2025	SSB		CHF	34,388,999		USD	39,045,867		(259,918	)
02/26/2025	BCLY		JPY	731,558,080		USD	4,795,315		(146,649	)
12/03/2024	BCLY		MXN	166,637,596		USD	8,072,315		(139,468	)
12/03/2024	MSCI		MXN	166,637,596		USD	8,052,505		(159,277	)
01/28/2025	UBSA		NOK	9,112,080		USD	818,348		(7,036	)
01/31/2025	BOA		NZD	12,827,633		USD	7,488,052		(114,388	)
01/21/2025	SSB		SEK	21,846,281		USD	1,994,334		(16,208	)
01/21/2025	UBSA		SEK	6,486,671		USD	590,252		(6,725	)

Settlement Date	Counter- party	Currency Sold			Currency Purchased			Net Unrealized Appreciation (Depreciation) ($)
12/03/2024	MSCI		USD	8,738,637		BRL	47,901,714		(777,310	)
12/03/2024	BCLY		USD	8,737,203		BRL	47,901,714		(775,875	)
02/04/2025	BCLY		USD	8,181,195		BRL	47,901,714		(281,447	)
02/04/2025	MSCI		USD	8,176,447		BRL	47,901,714		(276,699	)
02/05/2025	BOA		USD	9,287,042		CAD	12,883,489		(62,440	)
12/03/2024	MSCI		USD	8,437,800		MXN	166,637,596		(226,018	)
12/03/2024	BCLY		USD	8,439,269		MXN	166,637,596		(227,487	)
01/28/2025	BCLY		USD	52,792,217		NOK	578,750,516		(368,239	)
								$	(2,839,075	)

Futures Contracts

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Buys
18	Australia Government Bond 10 Yr.	December 2024		1,329,786		(12,512	)
351	CAC40 10 Euro	December 2024		26,884,584		27,777
34	Canadian Government Bond 10 Yr.	March 2025		2,997,236		73,581
217	Cotton (j)	March 2025		7,804,405		(16,932	)
55	FTSE 100 Index	December 2024		5,816,623		118,921
121	FTSE MIB Index	December 2024		21,411,949		(172,040	)
60	Hang Seng Index	December 2024		7,562,086		156,938
507	Iron Ore (j)	January 2025		5,273,814		152,759
78	Lean Hogs (j)	February 2025		2,693,340		27,335
28	NY Harbor ULSD Futures (j)	December 2024		2,578,262		(44,875	)
60	NYMEX Platinum Futures (j)	January 2025		2,862,300		(35,542	)
10	RBOB Gasoline (j)	December 2024		797,496		(15,476	)
22	S&P 500 E-Mini	December 2024		6,656,650		160,807
54	Silver (j)	March 2025		8,399,160		(58,592	)
246	Soybean Meal (j)	January 2025		7,180,740		(115,456	)
64	Sugar (j)	February 2025		1,511,014		3,843
231	TOPIX Index	December 2024		41,415,957		1,149,541
1,169	U.S. Treasury Note 10 Yr. (CBT)	March 2025		129,978,188		879,741
1,558	U.S. Treasury Note 5 Yr. (CBT)	March 2025		167,643,235		1,385,617
1,074	U.S. Treasury Ultra 10 Yr. (CBT)	March 2025		123,291,844		729,823
90	UK Gilt Long Bond	March 2025		10,981,378		129,015
58	WTI Crude (j)	December 2024		3,944,000		(53,147	)
			$	589,014,047	$	4,471,126

Number of Contracts +	Type	Expiration Date	Notional Amount ($)		Value/Net Unrealized Appreciation (Depreciation) ($)
Sales
122	Cocoa (j)	March 2025		11,498,500		(2,450,192	)
13	Coffee (j)	March 2025		1,550,494		(288,988	)
60	Copper (j)	March 2025		6,210,000		248,244
724	Corn (j)	March 2025		15,674,600		235,421
26	DAX Index	December 2024		13,532,407		(64,114	)
201	E-mini Russell 2000 Index	December 2024		24,568,230		(1,638,546	)
52	Euro Bund	December 2024		7,406,293		(87,249	)
34	Euro Bund	March 2025		4,901,141		(382	)
51	FTSE Taiwan Index	December 2024		3,832,475		65,549
25	Gold (j)	February 2025		6,702,500		(108,699	)
220	IFSC NIFTY 50 Index	December 2024		10,720,926		27,999
145	KOSPI 200 Index	December 2024		8,544,300		403,583
78	Live Cattle Futures (j)	February 2025		5,885,100		(75,246	)
316	MSCI Singapore	December 2024		8,829,773		(56,864	)
11	Natural Gas (j)	December 2024		369,930		(22,983	)
484	OMX Stockholm 30 Index	December 2024		11,190,153		(4,629	)
95	S&P/TSX 60	December 2024		20,893,825		(1,268,734	)
107	Soybean (j)	January 2025		5,293,825		2,247
395	Soybean Oil (j)	January 2025		9,892,380		1,083,301
103	SPI 200 Futures	December 2024		14,241,597		(386,433	)
42	Swiss Market New Index Futures	December 2024		5,605,092		194,506
194	Wheat (j)	March 2025		5,315,600		233,373
			$	202,659,141	$	(3,958,836	)

+ Buys - Fund is long the futures contract.

  Sales - Fund is short the futures contract.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Written Options

Description	Exercise Price		Expiration Date		Number of Contracts			Notional Amount		Value ($)
Equity Options – Calls
U.S. Steel Corp.(g)		40.00		01/17/25		(1,168	)	USD	(4,761,936)		(735,840	)
		TOTAL WRITTEN OPTIONS
		(Premiums $551,857)								$	(735,840	)

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^:
CDX.EM.S42	USD	53,400,000		1.00%		1.57%		N/A		12/20/2029		Quarterly		1,607,340			1,333,024			(274,316	)
CDX.NA.HY.S43	USD	26,400,000		5.00%		2.95%		N/A		12/20/2029		Quarterly		(1,947,000	)		(2,268,024	)		(321,024	)
													$	(339,660	)	$	(935,000	)	$	(595,340	)

^ 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 November 30, 2024, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity.

  The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract.

⁽²⁾  The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract.

OTC Total Return Swaps

Fund Pays

Fund Receives

Counterparty

Notional Amount

Expiration Date

Periodic Payment Frequency

Premiums Paid/ (Received) ($)

Value ($)

Net Unrealized Appreciation/ (Depreciation) ($)

iShares Core S&P 500 ETF

1 Day Overnight Federal Funds Effective Rate plus 1.40%

GS

USD

50,122,865

01/21/2025

Monthly

—

(1,005,550

)

(1,005,550

)

1 Day Overnight Federal Funds Effective Rate plus 0.31%

Total Return on MSCI World Daily Total Return Net Value Index

GS

USD

5,715,447

04/30/2025

Monthly

—

(81,807

)

(81,807

)

Total Return on MSCI World Daily Total Return Net Growth Index

1 Day Overnight Federal Funds Effective Rate plus 0.24%

GS

USD

2,538,263

04/30/2025

Monthly

—

36,881

36,881

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Swap Contracts — continued

OTC Total Return Swaps — continued

Fund Pays	Fund Receives	Counterparty	Notional Amount			Expiration Date		Periodic Payment Frequency		Premiums Paid/ (Received) ($)		Value ($)			Net Unrealized Appreciation/ (Depreciation) ($)
1 Day Overnight Federal Funds Effective Rate plus 0.17%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	6,403,126		05/22/2025		Monthly		—		88,244			88,244
Total Return on MSCI World Daily Total Return Net Growth Index	1 Day Overnight Federal Funds Effective Rate plus 0.24%	UBSA		USD	8,849,816		05/22/2025		Monthly		—		(204,250	)		(204,250	)
1 Day Overnight Federal Funds Effective Rate plus 0.34%	Total Return on MSCI World Daily Total Return Net Value Index	UBSA		USD	7,313,199		08/08/2025		Monthly		—		(62,842	)		(62,842	)
Total Return on MSCI World Daily Total Return Net Growth Index	1 Day Overnight Federal Funds Effective Rate plus 0.33%	UBSA		USD	5,954,906		08/08/2025		Monthly		—		41,206			41,206
1 Day Overnight Federal Funds Effective Rate plus 0.06%	Total Return on MSCI World Daily Total Return Net Value Index	JPM		USD	2,740,319		12/16/2024		Monthly		—		20,537			20,537
Total Return on MSCI World Daily Total Return Net Growth Index	1 Day Overnight Federal Funds Effective Rate minus 0.17%	JPM		USD	4,001,379		12/16/2024		Monthly		—		(110,145	)		(110,145	)
Total Return on Equity Basket (m)	1 Month Federal Funds Rate minus 0.40%	GS		USD	14,773,953		06/24/2026		Monthly		—		399,660			399,660
Total Return on Equity Basket (n)	1 Month Federal Funds Rate minus 0.40%	MORD		USD	23,258,732		06/18/2025		Monthly		—		(195,601	)		(195,601	)
										$	—	$	(1,073,667	)	$	(1,073,667	)

As of November 30, 2024, 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.

^(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.

^(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.

^(e)  Investment valued using significant unobservable inputs.

^(f)  The security is restricted as to resale.

^(g)  All or a portion of this investment is held in connection with one or more holdings within the Fund.

GMO Implementation Fund

(A Series of GMO Trust)

Consolidated Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

^(h)  Preferred dividend rates are disclosed to the extent that a stated rate exists.

⁽ⁱ⁾  Security is in default.

^(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)  All or a portion of this security is purchased with collateral from securities loaned.

^(l)  The rate disclosed is the 7 day net yield as of November 30, 2024.

^(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 long and/or short positions with in the custom equity basket swap as of November 30, 2024.

Shares	Description	% of Equity Basket			Value ($)
(1,589,000)	Airports Of Thailand PC NVDR		12.0	%		(2,820,678	)
(60,000)	China International Capital Corp.		0.4	%		(105,047	)
(1,212,000)	Genscript Biotech Corp.		7.2	%		(1,691,061	)
(4,375)	Hanmi Pharm Co. Ltd.		3.7	%		(857,387	)
(641,500)	Innovent Biologics, Inc.		13.6	%		(3,199,245	)
(1,728,000)	Kingdee International Software Group Co. Ltd.		8.4	%		(1,962,062	)
(79,868)	Korea Aerospace Industries Ltd.		14.3	%		(3,355,916	)
403,642	Nokia OYJ		(7.2	%)		1,695,474
(53,600)	Nongfu Spring Co. Ltd.		1.0	%		(229,916	)
(90,300)	Rede D’Or Sao Luiz SA		1.7	%		(405,966	)
(5,466)	Samsung Biologics Co. Ltd.		16.3	%		(3,837,537	)
(397,461)	Samsung Heavy Industries Co. Ltd.		14.2	%		(3,322,616	)
(773,500)	Shandong Gold Mining Co. Ltd. - Class H		5.9	%		(1,374,727	)
(145,700)	Xpeng, Inc., Class A		3.7	%		(878,771	)
(9,585)	Yuhan Corp.		3.4	%		(795,464	)
(90,900)	Zhejiang Leapmotor Technology Co., Ltd.		1.4	%		(332,376	)
	TOTAL COMMON STOCKS				$	(23,473,295	)

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

Portfolio Abbreviations:

ADR - American Depositary Receipt

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

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)

Counterparty Abbreviations:

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital

Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

Currency Abbreviations:

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

JPY - Japanese Yen

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

USD - United States Dollar

GMO International Developed Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	8,184,313	GMO International Equity Fund, Class IV		202,561,747
	4,339,609	GMO International Opportunistic Value Fund, Class IV		66,092,248
	1,016,524	GMO-Usonian Japan Value Creation Fund, Class VI		20,991,212
		TOTAL MUTUAL FUNDS (COST $265,328,162)		289,645,207
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	218,746	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (a)		218,746
		TOTAL SHORT-TERM INVESTMENTS (COST $218,746)		218,746
		TOTAL INVESTMENTS — 100.0% (Cost $265,546,908)		289,863,953
		Other Assets and Liabilities (net) — (0.0%)		(77,925	)
		TOTAL NET ASSETS — 100.0%	$	289,786,028

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2024.

GMO International Equity Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		MUTUAL FUNDS — 99.9%
		Affiliated Issuers — 99.9%
	3,437,990	GMO Emerging Markets Fund, Class VI		82,821,182
	5,711,322	GMO International Equity Fund, Class IV		141,355,217
	3,530,013	GMO International Opportunistic Value Fund, Class IV		53,762,092
	1,037,091	GMO-Usonian Japan Value Creation Fund, Class VI		21,415,938
		TOTAL MUTUAL FUNDS (COST $308,926,064)		299,354,429
		SHORT-TERM INVESTMENTS — 0.1%
		Money Market Funds — 0.1%
	283,045	State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (a)		283,045
		TOTAL SHORT-TERM INVESTMENTS (COST $283,045)		283,045
		TOTAL INVESTMENTS — 100.0% (Cost $309,209,109)		299,637,474
		Other Assets and Liabilities (net) — (0.0%)		(70,981	)
		TOTAL NET ASSETS — 100.0%	$	299,566,493

Notes to Schedule of Investments:

(a) The rate disclosed is the 7 day net yield as of November 30, 2024.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		COMMON STOCKS — 21.0%
		Australia — 0.4%
	9,120	BHP Group Ltd. (a)		240,487
	13,712	BlueScope Steel Ltd. (a)		198,685
	13,731	Brambles Ltd. (a)		170,956
	1,859	Fortescue Ltd. (a)		23,047
		Total Australia		633,175
		Belgium — 0.1%
	4,632	Ageas SA (a)		234,138
		Brazil — 0.0%
	760	Vale SA		7,425
		Canada — 1.4%
	700	Alimentation Couche-Tard, Inc. (a)		40,953
	4,076	Brookfield Corp. (a)		250,226
	400	BRP, Inc. (a)		19,539
	2,000	Canadian Tire Corp. Ltd. – Class A (a)		220,521
	900	Empire Co. Ltd. – Class A (a)		26,986
	500	iA Financial Corp., Inc. (a)		47,795
	5,098	Magna International, Inc. (a) (b)		230,124
	1,500	Magna International, Inc. (a) (b)		68,173
	6,323	Manulife Financial Corp. (a) (b)		203,158
	2,200	Manulife Financial Corp. (a) (b)		70,822
	4,468	Nutrien Ltd. (a) (b)		208,477
	1,300	Nutrien Ltd. (a) (b)		60,726
	1,600	Onex Corp. (a)		130,155
	5,200	Open Text Corp. (a) (b)		158,236
	1,800	Open Text Corp. (a) (b)		54,821
	6,600	Power Corp. of Canada (a)		222,318
	7,300	Quebecor, Inc. – Class B (a)		172,378
	2,000	West Fraser Timber Co. Ltd. (a) (b)		196,450
	679	West Fraser Timber Co. Ltd. (a) (b)		67,207
		Total Canada		2,449,065
		China — 0.3%
	46,000	AviChina Industry & Technology Co. Ltd. – Class H (c)		22,419
	78,000	Bank of Communications Co. Ltd. – Class H		56,504
	13,000	Beijing Enterprises Holdings Ltd.		40,985
	240,000	China Construction Bank Corp. – Class H		181,454
	152,000	China Railway Group Ltd. – Class H		73,473
	286,000	China Zhongwang Holdings Ltd. * (d)		—
	110,000	CITIC Ltd.		122,966
	3,500	Orient Overseas International Ltd. (a)		44,876
	8,000	Sinopharm Group Co. Ltd. – Class H		20,971
		Total China		563,648
		Denmark — 0.5%
	66	AP Moller - Maersk AS – Class A (a)		108,486
	110	AP Moller - Maersk AS – Class B (a)		187,206

Shares		Description	Value ($)
		Denmark — continued
	8,238	Danske Bank AS (a)		237,025
	912	Genmab AS * (a)		196,556
	475	Rockwool AS – B Shares (a)		173,688
		Total Denmark		902,961
		Finland — 0.2%
	5,174	Neste OYJ (a)		78,755
	53,204	Nokia OYJ (a)		223,480
		Total Finland		302,235
		France — 0.7%
	9,943	ArcelorMittal SA (c)		249,985
	192	LVMH Moet Hennessy Louis Vuitton SE (a)		120,363
	5,368	Renault SA (a)		230,372
	1,021	Safran SA (a)		238,244
	8,192	Societe Generale SA (a)		217,190
	4,831	STMicroelectronics NV - NY Shares		123,191
	11,205	Vivendi SE (a)		103,008
		Total France		1,282,353
		Germany — 0.5%
	2,413	Bayerische Motoren Werke AG (a)		179,468
	605	Beiersdorf AG (a)		78,496
	1,972	Continental AG (a)		129,779
	968	Daimler Truck Holding AG (a)		36,691
	8,592	E.ON SE (a)		110,741
	1,176	Knorr-Bremse AG (a)		89,900
	3,517	Mercedes-Benz Group AG (a)		197,723
		Total Germany		822,798
		Ireland — 0.2%
	712	Kerry Group PLC – Class A		68,876
	4,638	Ryanair Holdings PLC Sponsored ADR (a)		204,258
		Total Ireland		273,134
		Israel — 0.4%
	7,489	Bank Hapoalim BM		86,078
	23,939	Bank Leumi Le-Israel BM		272,811
	1,304	Check Point Software Technologies Ltd. *		237,328
	512	Nice Ltd. Sponsored ADR* (a)		93,409
		Total Israel		689,626
		Italy — 0.4%
	9,237	Leonardo SpA (a)		248,758
	16,268	Stellantis NV (a)		215,940
	409,297	Telecom Italia SpA * (a)		98,327
	2,779	Tenaris SA ADR (a)		106,519
		Total Italy		669,544
		Japan — 1.4%
	26,500	Honda Motor Co. Ltd. (a)		228,642
	15,300	Inpex Corp. (a)		200,522

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		Japan — continued
	3,700	ITOCHU Corp. (a)		183,069
	13,600	Kawasaki Kisen Kaisha Ltd. (a)		181,216
	16,700	Mazda Motor Corp. (a)		106,498
	6,200	Mitsui OSK Lines Ltd. (a)		212,566
	6,400	Nippon Yusen KK (a)		205,188
	60,300	Nissan Motor Co. Ltd. (a)		145,425
	25,700	Panasonic Holdings Corp. (a)		250,730
	5,100	Renesas Electronics Corp. (a)		66,892
	9,800	Shionogi & Co. Ltd. (a)		139,010
	9,900	Subaru Corp. (a)		158,861
	5,500	Sumitomo Corp. (a)		118,053
	32,300	Tokyo Electric Power Co. Holdings, Inc. * (a)		116,224
	2,400	Toyota Tsusho Corp. (a)		41,063
	17,400	Yamaha Motor Co. Ltd. (a)		151,601
		Total Japan		2,505,560
		Mexico — 0.2%
	11,622	Cemex SAB de CV Sponsored ADR		64,734
	19,154	Fomento Economico Mexicano SAB de CV		168,495
	32,911	Grupo Mexico SAB de CV – Series B		160,318
		Total Mexico		393,547
		Netherlands — 0.6%
	242	Akzo Nobel NV (a)		14,130
	81	ASML Holding NV		55,348
	2,248	EXOR NV (a)		222,034
	459	IMCD NV (a)		68,865
	15,596	ING Groep NV (a)		240,761
	7,186	Koninklijke Ahold Delhaize NV (a)		248,039
	4,525	NN Group NV (a)		209,998
		Total Netherlands		1,059,175
		New Zealand — 0.0%
	10,462	Meridian Energy Ltd. (a)		38,498
		Norway — 0.1%
	8,899	Equinor ASA (a)		215,690
		Poland — 0.1%
	15,981	ORLEN SA		201,059
	11,673	PGE Polska Grupa Energetyczna SA *		19,382
		Total Poland		220,441
		Russia — 0.0%
	2,505	LUKOIL PJSC (d) (e)		—
	5,410	Novatek PJSC (d) (e)		—
		Total Russia		—
		South Korea — 0.8%
	3,040	Doosan Bobcat, Inc.		85,147
	694	GS Holdings Corp.		20,889

Shares		Description	Value ($)
		South Korea — continued
	1,172	Hankook Tire & Technology Co. Ltd.		31,766
	900	Hyundai Engineering & Construction Co. Ltd.		17,736
	478	Hyundai Glovis Co. Ltd.		42,263
	1,074	Hyundai Mobis Co. Ltd.		184,946
	656	Hyundai Motor Co.		103,395
	3,438	Kia Corp.		230,218
	1,183	LG Corp.		63,770
	3,139	LG Electronics, Inc.		202,894
	1,249	POSCO Holdings, Inc. Sponsored ADR (a)		64,473
	1,155	Samsung E&A Co. Ltd. *		14,908
	5,757	Samsung Electronics Co. Ltd.		226,384
	1,167	Shinhan Financial Group Co. Ltd.		44,716
		Total South Korea		1,333,505
		Spain — 0.5%
	2,735	Amadeus IT Group SA (a)		192,080
	22,924	Banco Bilbao Vizcaya Argentaria SA (a)		216,544
	56,504	Banco Santander SA (a)		260,857
	4,668	Industria de Diseno Textil SA (a)		257,595
		Total Spain		927,076
		Sweden — 0.3%
	1,374	Assa Abloy AB – Class B (a)		42,199
	13,201	Fastighets AB Balder – B Shares * (a)		101,724
	6,797	Investor AB – B Shares (a)		186,486
	1,281	Skanska AB – B Shares (a)		26,745
	72,114	Volvo Car AB – Class B * (a) (c)		158,140
		Total Sweden		515,294
		Switzerland — 0.3%
	6,853	Adecco Group AG (Registered) (a)		183,000
	774	Holcim AG (a)		78,886
	803	Roche Holding AG (a) (b)		233,312
	53	Roche Holding AG (a) (b)		16,316
		Total Switzerland		511,514
		Thailand — 0.3%
	57,600	Kasikornbank PCL NVDR		253,070
	379,800	Krung Thai Bank PCL NVDR		221,956
	16,600	PTT Exploration & Production PCL NVDR		61,842
	12,000	SCB X PCL NVDR		40,094
	13,100	Thai Oil PCL NVDR		14,443
		Total Thailand		591,405
		Turkey — 0.1%
	16,425	Akbank TAS		28,839
	9,848	Turk Hava Yollari AO *		80,928
		Total Turkey		109,767
		United Kingdom — 1.1%
	6,236	3i Group PLC (a)		294,684
	1,198	Ashtead Group PLC (a)		96,015

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		United Kingdom — continued
	3,137	Berkeley Group Holdings PLC (a)		165,788
	125,238	BT Group PLC (a)		254,001
	7,640	Compass Group PLC (a)		261,775
	6,632	GSK PLC Sponsored ADR (a) (c)		226,350
	6,674	Howden Joinery Group PLC (a)		69,404
	50,590	Kingfisher PLC (a)		159,560
	6,111	Persimmon PLC (a)		97,895
	4,846	Shell PLC (a)		155,736
	12,188	Taylor Wimpey PLC (a)		20,338
	26,294	Vodafone Group PLC Sponsored ADR (a)		235,857
		Total United Kingdom		2,037,403
		United States — 10.1%
	684	3M Co. (a)		91,335
	1,451	Akamai Technologies, Inc. * (c)		136,423
	6,541	Ally Financial, Inc. (a)		261,509
	1,014	Alphabet, Inc. – Class A (a)		171,315
	787	American Express Co. (c)		239,783
	2,187	Aptiv PLC * (c)		121,444
	1,575	Arch Capital Group Ltd. (a)		158,634
	534	Archer-Daniels-Midland Co. (a)		29,156
	333	Aspen Technology, Inc. * (a) (c)		83,250
	5,849	Bank of America Corp. (a)		277,886
	6,218	Bath & Body Works, Inc. (a)		225,340
	355	Bio-Rad Laboratories, Inc. – Class A * (a)		120,888
	1,677	Block, Inc. * (a)		148,498
	62	Booking Holdings, Inc. (a)		322,523
	3,685	BorgWarner, Inc. (a)		126,469
	1,427	Builders FirstSource, Inc. * (c)		266,093
	1,490	Capital One Financial Corp. (a)		286,095
	1,575	CarMax, Inc. * (c)		132,253
	1,821	CBRE Group, Inc. – Class A * (a)		254,922
	3,513	Centene Corp. * (a)		210,780
	808	Chevron Corp. (a)		130,839
	922	Chord Energy Corp. (a)		117,573
	2,442	Cisco Systems, Inc. (a)		144,591
	3,957	Citigroup, Inc. (a)		280,433
	14,635	Cleveland-Cliffs, Inc. * (a)		182,206
	15,078	CNH Industrial NV (a)		189,380
	3,499	Cognizant Technology Solutions Corp. – Class A (a)		281,635
	5,924	Comcast Corp. – Class A (a)		255,858
	131	Cummins, Inc. (a)		49,130
	4,283	CVS Health Corp. (a)		256,338
	2,937	Darling Ingredients, Inc. * (a)		119,037
	1,522	Discover Financial Services (a) (c)		277,658
	1,390	DR Horton, Inc. (a)		234,604
	3,907	eBay, Inc. (a)		247,274
	230	Enphase Energy, Inc. * (c)		16,411
	1,466	EOG Resources, Inc. (c)		195,359
	1,148	EPAM Systems, Inc. * (a)		280,020
	326	Everest Group Ltd. (c)		126,345

Shares		Description	Value ($)
		United States — continued
	1,444	Expedia Group, Inc. * (a)		266,591
	24,746	Ford Motor Co. (a)		275,423
	871	Fox Corp. – Class A (a)		41,042
	5,495	Fox Corp. – Class B (a)		245,791
	10,933	Franklin Resources, Inc. (c)		248,835
	3,096	GE HealthCare Technologies, Inc. (a)		257,649
	5,254	General Motors Co. (a)		292,070
	179	Goldman Sachs Group, Inc. (a)		108,934
	1,684	Green Plains, Inc. * (a)		18,187
	13,043	Hewlett Packard Enterprise Co. (a)		276,772
	775	Hilton Worldwide Holdings, Inc. (a)		196,416
	7,118	HP, Inc. (a)		252,191
	107	Huntington Ingalls Industries, Inc. (c)		21,177
	3,356	Incyte Corp. * (a)		250,324
	12,139	Intel Corp. (c)		291,943
	1,680	Intercontinental Exchange, Inc. (a)		270,413
	1,123	International Business Machines Corp. (a)		255,381
	4,101	Kinder Morgan, Inc. (a)		115,935
	7,657	Kraft Heinz Co. (c)		244,794
	1,407	Lam Research Corp. (a)		103,949
	3,363	Las Vegas Sands Corp. (a)		178,441
	1,354	Lennar Corp. – Class A (c)		236,124
	111	Markel Group, Inc. * (a)		197,904
	6,412	Match Group, Inc. * (c)		209,929
	542	Merck & Co., Inc. (a)		55,089
	766	Meta Platforms, Inc. – Class A (a)		439,929
	2,712	Micron Technology, Inc. (a)		265,640
	684	Molson Coors Beverage Co. – Class B (a)		42,449
	7,918	Mosaic Co. (a)		209,510
	1,642	Nucor Corp. (a)		254,001
	2,961	ON Semiconductor Corp. * (c)		210,586
	1,178	Otis Worldwide Corp. (a)		121,310
	3,233	Ovintiv, Inc. (a)		146,843
	1,895	PACCAR, Inc. (a)		221,715
	23,008	Paramount Global – Class B (c)		249,637
	3,429	PayPal Holdings, Inc. * (a)		297,534
	9,708	Pfizer, Inc. (a)		254,447
	1,724	PulteGroup, Inc. (a)		233,205
	289	Regeneron Pharmaceuticals, Inc. * (a)		216,814
	2,432	Skyworks Solutions, Inc. (a) (c)		213,019
	903	SolarEdge Technologies, Inc. * (c)		14,267
	3,348	Solventum Corp. * (a)		239,416
	1,732	Steel Dynamics, Inc. (a)		251,608
	3,996	Synchrony Financial (a)		269,810
	671	T. Rowe Price Group, Inc. (c)		83,097
	865	Texas Instruments, Inc. (a)		173,891
	1,979	Tyson Foods, Inc. – Class A (a)		127,646
	3,114	U.S. Bancorp (a)		165,945
	408	United Parcel Service, Inc. – Class B (c)		55,374
	6,285	Verizon Communications, Inc. (a)		278,677
	19,092	Viatris, Inc. (a)		249,914

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares / Par Value†		Description	Value ($)
		United States — continued
	26,017	Walgreens Boots Alliance, Inc. (c)		234,673
	3,382	Wells Fargo & Co. (a)		257,607
	3,362	Zoom Communications, Inc. – Class A * (a)		278,004
		Total United States		18,017,159
		TOTAL COMMON STOCKS (COST $33,521,966)		37,306,136
		PREFERRED STOCKS (f) — 0.3%
		Brazil — 0.0%
	17,765	Bradespar SA		54,475
		Germany — 0.3%
	899	Bayerische Motoren Werke AG (a)		61,588
	5,512	Porsche Automobil Holding SE (a)		202,395
	2,160	Volkswagen AG (a)		185,166
		Total Germany		449,149
		TOTAL PREFERRED STOCKS (COST $683,009)		503,624
		DEBT OBLIGATIONS — 0.8%
		United States — 0.8%
		U.S. Government — 0.8%
	100,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 4.61%, due 04/30/26 (a)		99,992
	1,350,000	U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.18%, 4.65%, due 07/31/26 (a)		1,350,741
		Total U.S. Government		1,450,733
		Total United States		1,450,733
		TOTAL DEBT OBLIGATIONS (COST $1,449,952)		1,450,733
		MUTUAL FUNDS — 86.1%
		United States — 86.1%
		Affiliated Issuers — 86.1%
	538,722	GMO Asset Allocation Bond Fund, Class VI		10,575,107
	110,054	GMO Climate Change Fund, Class III		2,245,109
	307,344	GMO Emerging Country Debt Fund, Class VI		6,417,343
	285,006	GMO Emerging Markets ex-China Fund, Class VI		4,067,041
	418,725	GMO Emerging Markets Fund, Class VI		10,087,072
	1,254,202	GMO International Equity Fund, Class IV		31,041,501
	943,408	GMO International Opportunistic Value Fund, Class IV		14,368,098

Shares / Par Value†			Description	Value ($)
			United States — continued
			Affiliated Issuers — continued
	633,643		GMO-Usonian Japan Value Creation Fund, Class VI		13,084,737
	353,570		GMO Multi-Sector Fixed Income Fund, Class IV		6,353,654
	182,946		GMO Quality Fund, Class VI		6,395,774
	222,372		GMO Resources Fund, Class VI		4,511,931
	244,855		GMO Small Cap Quality Fund, Class VI		6,662,512
	588,664		GMO U.S. Equity Fund, Class VI		8,753,435
	613,573		GMO U.S. Opportunistic Value Fund, Class VI		15,357,722
	2,689,275		GMO U.S. Treasury Fund, Class VI (formerly Core Class)		13,446,377
			Total Affiliated Issuers		153,367,413
			TOTAL MUTUAL FUNDS (COST $140,122,548)		153,367,413
			SHORT-TERM INVESTMENTS — 8.2%
			Money Market Funds — 1.5%
	2,673,623		State Street Institutional Treasury Money Market Fund – Premier Class, 4.57% (g)		2,673,623
			Repurchase Agreements — 6.7%
	11,999,330		Nomura Securities International, Inc. Repurchase Agreement, dated 11/29/24, maturing on 12/02/24 with a maturity value of $12,003,890 and an effective yield of 4.56%, collateralized by a U.S. Treasury Note with maturity date 05/31/27 and a market value of $12,091,303.		11,999,330
			TOTAL SHORT-TERM INVESTMENTS (COST $14,672,953)		14,672,953
			TOTAL INVESTMENTS — 116.4% (Cost $190,450,428)		207,300,859
			SECURITIES SOLD SHORT — (16.5)%
			Common Stocks — (16.4)%
			Australia — (0.7)%
	(2,100	)	ASX Ltd.		(90,676	)
	(5,211	)	CAR Group Ltd.		(141,632	)
	(388	)	Cochlear Ltd.		(77,258	)
	(22,392	)	Lottery Corp. Ltd.		(75,915	)
	(97	)	Mineral Resources Ltd.		(2,141	)
	(1,280	)	Pro Medicus Ltd.		(211,242	)
	(1,031	)	Ramsay Health Care Ltd.		(26,705	)
	(586	)	REA Group Ltd.		(96,649	)
	(1,322	)	SEEK Ltd.		(22,636	)
	(2,793	)	WiseTech Global Ltd.		(234,649	)
	(2,209	)	Xero Ltd. *		(251,544	)
			Total Australia		(1,231,047	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares			Description	Value ($)
			Austria — (0.0)%
	(1,056	)	Verbund AG		(84,371	)
			Belgium — (0.2)%
	(144	)	Anheuser-Busch InBev SA		(7,739	)
	(386	)	Argenx SE *		(238,225	)
	(5	)	Lotus Bakeries NV		(60,187	)
			Total Belgium		(306,151	)
			Brazil — (0.1)%
	(16,947	)	NU Holdings Ltd. – Class A *		(212,346	)
			Canada — (1.2)%
	(1,641	)	Agnico Eagle Mines Ltd.		(138,533	)
	(9,800	)	AltaGas Ltd.		(239,671	)
	(4,761	)	Cameco Corp.		(283,042	)
	(217	)	Descartes Systems Group, Inc. *		(25,361	)
	(6,432	)	Enbridge, Inc.		(279,020	)
	(1,879	)	Franco-Nevada Corp.		(230,403	)
	(5,446	)	GFL Environmental, Inc.		(256,507	)
	(10,685	)	Pan American Silver Corp.		(234,749	)
	(6,238	)	Pembina Pipeline Corp.		(258,066	)
	(3,177	)	Restaurant Brands International, Inc.		(221,151	)
			Total Canada		(2,166,503	)
			Denmark — (0.2)%
	(1,802	)	Coloplast AS – Class B		(227,443	)
	(1,829	)	Tryg AS		(42,210	)
			Total Denmark		(269,653	)
			France — (0.4)%
	(1,632	)	Accor SA		(75,384	)
	(1,214	)	Aeroports de Paris SA		(140,605	)
	(10,850	)	Getlink SE		(177,421	)
	(110	)	Hermes International SCA		(240,089	)
			Total France		(633,499	)
			Germany — (0.6)%
	(1,034	)	adidas AG		(244,519	)
	(5,442	)	Delivery Hero SE *		(223,568	)
	(773	)	MTU Aero Engines AG		(263,530	)
	(751	)	Qiagen NV *		(32,849	)
	(120	)	Rational AG		(112,389	)
	(635	)	Siemens Energy AG *		(34,450	)
	(443	)	Symrise AG		(49,006	)
	(1,255	)	Talanx AG		(106,400	)
			Total Germany		(1,066,711	)
			Israel — (0.3)%
	(800	)	CyberArk Software Ltd. *		(258,808	)
	(823	)	Monday.com Ltd. *		(234,851	)
	(477	)	Wix.com Ltd. *		(106,724	)
			Total Israel		(600,383	)

Shares			Description	Value ($)
			Italy — (0.4)%
	(4,466	)	Amplifon SpA		(113,426	)
	(278	)	DiaSorin SpA		(31,083	)
	(561	)	Ferrari NV (b)		(244,387	)
	(42	)	Ferrari NV (b)		(18,235	)
	(12,053	)	FinecoBank Banca Fineco SpA		(193,401	)
	(17,125	)	Infrastrutture Wireless Italiane SpA		(176,477	)
			Total Italy		(777,009	)
			Japan — (1.5)%
	(900	)	Advantest Corp.		(49,842	)
	(10,700	)	Aeon Co. Ltd.		(257,340	)
	(3,400	)	ANA Holdings, Inc.		(65,695	)
	(4,200	)	Asics Corp.		(84,854	)
	(600	)	Disco Corp.		(163,959	)
	(18,600	)	Japan Exchange Group, Inc.		(225,080	)
	(3,200	)	Kintetsu Group Holdings Co. Ltd.		(68,394	)
	(5,300	)	Kobe Bussan Co. Ltd.		(133,849	)
	(1,500	)	Lasertec Corp.		(165,204	)
	(11,200	)	MonotaRO Co. Ltd.		(200,103	)
	(9,600	)	Oriental Land Co. Ltd.		(226,526	)
	(41,000	)	Rakuten Group, Inc. *		(236,289	)
	(8,900	)	Shiseido Co. Ltd.		(165,614	)
	(217,000	)	SoftBank Corp.		(280,475	)
	(8,400	)	Tokyu Corp.		(98,288	)
	(1,800	)	West Japan Railway Co.		(33,897	)
	(2,800	)	Zensho Holdings Co. Ltd.		(169,050	)
			Total Japan		(2,624,459	)
			Netherlands — (0.4)%
	(168	)	Adyen NV *		(244,526	)
	(59	)	ASM International NV		(31,752	)
	(1,601	)	BE Semiconductor Industries NV		(190,360	)
	(1,224	)	InPost SA *		(21,435	)
	(5,375	)	OCI NV		(62,817	)
	(9,462	)	Universal Music Group NV		(227,841	)
			Total Netherlands		(778,731	)
			Norway — (0.0)%
	(622	)	Kongsberg Gruppen ASA		(73,298	)
			Peru — (0.1)%
	(2,155	)	Southern Copper Corp.		(216,282	)
			Singapore — (0.2)%
	(19,800	)	CapitaLand Investment Ltd.		(40,402	)
	(45,750	)	Grab Holdings Ltd. – Class A *		(228,750	)
	(12,400	)	Keppel Ltd.		(62,354	)
			Total Singapore		(331,506	)
			Spain — (0.3)%
	(6,857	)	Cellnex Telecom SA *		(246,410	)
	(6,237	)	Ferrovial SE		(257,295	)
			Total Spain		(503,705	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares			Description	Value ($)
			Sweden — (0.2)%
	(7,805	)	Beijer Ref AB		(123,138	)
	(7,419	)	EQT AB		(224,924	)
			Total Sweden		(348,062	)
			Switzerland — (0.2)%
	(3,103	)	Avolta AG		(115,179	)
	(298	)	Bachem Holding AG		(23,093	)
	(5,585	)	SIG Group AG		(110,722	)
	(177	)	VAT Group AG		(70,707	)
			Total Switzerland		(319,701	)
			United Kingdom — (1.1)%
	(16,850	)	Auto Trader Group PLC		(179,990	)
	(22,949	)	Informa PLC		(250,355	)
	(2,293	)	InterContinental Hotels Group PLC		(286,107	)
	(1,954	)	London Stock Exchange Group PLC		(280,045	)
	(10,970	)	Melrose Industries PLC		(80,271	)
	(19,752	)	Phoenix Group Holdings PLC		(129,278	)
	(38,017	)	Rolls-Royce Holdings PLC *		(270,432	)
	(6,081	)	Severn Trent PLC		(208,746	)
	(20,210	)	Wise PLC – Class A *		(227,047	)
			Total United Kingdom		(1,912,271	)
			United States — (8.3)%
	(265	)	AbbVie, Inc.		(48,476	)
	(13,767	)	AES Corp.		(179,522	)
	(936	)	Alnylam Pharmaceuticals, Inc. *		(236,873	)
	(110	)	Amgen, Inc.		(31,116	)
	(919	)	Arthur J Gallagher & Co.		(286,949	)
	(469	)	Axon Enterprise, Inc. *		(303,424	)
	(1,625	)	Boeing Co. *		(252,590	)
	(928	)	Burlington Stores, Inc. *		(261,585	)
	(5,074	)	Caesars Entertainment, Inc. *		(195,298	)
	(6,903	)	Celsius Holdings, Inc. *		(196,390	)
	(17	)	Charles Schwab Corp.		(1,407	)
	(4,408	)	Chipotle Mexican Grill, Inc. *		(271,180	)
	(2,936	)	Cloudflare, Inc. – Class A *		(293,101	)
	(3,221	)	Dayforce, Inc. *		(257,648	)
	(152	)	DoorDash, Inc. *		(27,433	)
	(5,957	)	DraftKings, Inc. – Class A *		(260,023	)
	(5,939	)	EQT Corp.		(269,868	)
	(5,568	)	Equitable Holdings, Inc.		(268,545	)
	(469	)	Erie Indemnity Co. – Class A		(206,623	)
	(3,599	)	Exact Sciences Corp. *		(223,426	)
	(120	)	Fair Isaac Corp. *		(285,004	)
	(1,483	)	Fastenal Co.		(123,919	)
	(3,018	)	Fidelity National Information Services, Inc.		(257,435	)
	(257	)	Fiserv, Inc. *		(56,787	)
	(1,013	)	Flutter Entertainment PLC *		(278,794	)

Shares			Description	Value ($)
			United States — continued
	(261	)	Gartner, Inc. *		(135,180	)
	(80	)	GE Vernova, Inc. *		(26,730	)
	(389	)	HubSpot, Inc. *		(280,488	)
	(1,095	)	Hyatt Hotels Corp. – Class A		(172,944	)
	(980	)	Insulet Corp. *		(261,444	)
	(3,147	)	Liberty Media Corp.-Liberty Formula One – Class C *		(278,069	)
	(605	)	Linde PLC		(278,899	)
	(1,930	)	Live Nation Entertainment, Inc. *		(266,822	)
	(751	)	Manhattan Associates, Inc. *		(214,365	)
	(234	)	Marvell Technology, Inc.		(21,689	)
	(533	)	Mastercard, Inc. – Class A		(284,057	)
	(72	)	MercadoLibre, Inc. *		(142,932	)
	(896	)	MongoDB, Inc. *		(288,951	)
	(320	)	Moody’s Corp.		(159,994	)
	(467	)	MSCI, Inc.		(284,697	)
	(1,120	)	Newmont Corp.		(46,973	)
	(3,216	)	Okta, Inc. *		(249,433	)
	(2,440	)	ONEOK, Inc.		(277,184	)
	(4,389	)	Palantir Technologies, Inc. – Class A *		(294,414	)
	(632	)	Palo Alto Networks, Inc. *		(245,102	)
	(1,981	)	Paychex, Inc.		(289,761	)
	(1,227	)	PTC, Inc. *		(245,474	)
	(1,659	)	Repligen Corp. *		(249,746	)
	(16,839	)	Rivian Automotive, Inc. – Class A *		(205,941	)
	(5,136	)	ROBLOX Corp. – Class A *		(257,468	)
	(342	)	Roku, Inc. *		(23,608	)
	(5,279	)	Rollins, Inc.		(265,692	)
	(5,098	)	Samsara, Inc. – Class A *		(272,692	)
	(193	)	ServiceNow, Inc. *		(202,542	)
	(2,001	)	Snowflake, Inc. – Class A *		(349,775	)
	(332	)	Starbucks Corp.		(34,017	)
	(1,423	)	Take-Two Interactive Software, Inc. *		(268,065	)
	(799	)	Tesla, Inc. *		(275,783	)
	(51	)	Texas Pacific Land Corp.		(81,605	)
	(6,382	)	Toast, Inc. – Class A *		(277,872	)
	(1,901	)	Trade Desk, Inc. – Class A *		(244,374	)
	(200	)	TransDigm Group, Inc.		(250,594	)
	(53	)	Tyler Technologies, Inc. *		(33,346	)
	(3,592	)	Uber Technologies, Inc. *		(258,480	)
	(159	)	Vertiv Holdings Co. – Class A		(20,288	)
	(1,761	)	Vistra Corp.		(281,478	)
	(482	)	Watsco, Inc.		(265,871	)
	(4,730	)	Williams Cos., Inc.		(276,800	)
	(3,324	)	Zillow Group, Inc. – Class C *		(281,576	)
	(1,344	)	Zscaler, Inc. *		(277,657	)
			Total United States		(14,774,288	)
			TOTAL COMMON STOCKS (PROCEEDS $22,725,963)		(29,229,976	)

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

(showing percentage of total net assets)

November 30, 2024 (Unaudited)

Shares		Description	Value ($)
		PREFERRED STOCKS (f) — (0.1)%
		Germany — (0.1)%
	(739)	Sartorius AG		(170,635	)
		TOTAL PREFERRED STOCKS (PROCEEDS $256,815)		(170,635	)
		TOTAL SECURITIES SOLD SHORT (PROCEEDS $22,982,778)		(29,400,611	)
		Other Assets and Liabilities (net) — 0.1%		133,910
		TOTAL NET ASSETS — 100.0%	$	178,034,158

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 November 30, 2024
LUKOIL PJSC	04/03/20	$	175,270	0.0%	$	—
Novatek PJSC	02/24/22		46,169	0.0%		—
					$	—

A summary of outstanding financial instruments at November 30, 2024 is as follows:

Swap Contracts

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 Equity Basket (h)	1 Month Federal Funds Rate minus 0.40%	MORD	USD	1,433,873		06/18/2025	Monthly		—		(20,452	)		(20,452	)
Total Return on Equity Basket (h)	1 Month Federal Funds Rate minus 0.40%	GS	USD	1,012,976		06/24/2026	Monthly		—		32,320			32,320
								$	—	$	11,868		$	11,868

As of November 30, 2024, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

Notes to Schedule of Investments:

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

* Non-income producing security.

(a) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, and/or written options, if any.

(b) Securities are traded on separate exchanges for the same entity.

(c) All or a portion of this security is out on loan.

(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.

(e) The security is restricted as to resale.

(f) Preferred dividend rates are disclosed to the extent that a stated rate exists.

(g) The rate disclosed is the 7 day net yield as of November 30, 2024.

(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.

The rates shown on variable rate notes are the current interest rates at November 30, 2024, which are subject to change based on the terms of the security.

GMO Strategic Opportunities Allocation Fund

(A Series of GMO Trust)

Schedule of Investments — (Continued)

November 30, 2024 (Unaudited)

Portfolio Abbreviations:

ADR - American Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

Counterparty Abbreviations:

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

Currency Abbreviations:

USD - United States Dollar

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 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 and Implementation Fund may also invest in GMO Alternative Allocation SPC Ltd. and GMO Implementation 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.

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. 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.

Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.

Basis of presentation

The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.

Basis of presentation and principles of consolidation: Alternative Allocation Fund and Implementation Fund

Alternative Allocation Fund and Implementation Fund include the accounts of their wholly-owned subsidiaries and the accompanying Schedules of Investments have been consolidated for those accounts. The Consolidated Schedules of Investments include all of the assets and liabilities of each wholly-owned subsidiary. Alternative Allocation Fund and Implementation Fund are herein referred to as “Consolidated Alternative Allocation Fund” and “Consolidated Implementation Fund”, respectively.

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 closing 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 valued at the price generally determined by an industry standard model. Unlisted non-fixed income 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 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, prices 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 changes in valuation 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 November 30, 2024, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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 off the last traded price with a discount for liquidity; certain equity securities that are 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 November 30, 2024:

	$		$		$			$
Description	Level 1		Level 2		Level 3			Total
Consolidated Alternative Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	1,417,571	$	—		$	1,417,571
Belgium		—		529,488		—			529,488
Canada		7,067,091		—		—			7,067,091
China		—		1,329,430		0	§		1,329,430
Denmark		—		1,931,688		—			1,931,688
Finland		—		575,910		—			575,910
France		289,349		1,792,549		—			2,081,898
Germany		—		2,982,591		—			2,982,591
Israel		770,312		856,377		—			1,626,689
Italy		275,286		1,244,360		—			1,519,646
Japan		—		16,693,091		—			16,693,091
Mexico		147,282		—		—			147,282
Netherlands		—		2,092,955		—			2,092,955
New Zealand		—		75,060		—			75,060
Norway		—		495,415		—			495,415
Poland		—		436,255		—			436,255
Singapore		—		21,863		—			21,863
South Korea		107,163		2,927,553		—			3,034,716
Spain		—		1,125,488		—			1,125,488
Sweden		—		1,089,107		—			1,089,107
Switzerland		—		1,137,726		—			1,137,726
Thailand		—		1,398,469		—			1,398,469
Turkey		—		197,093		—			197,093
United Kingdom		4,095,641		3,372,312		—			7,467,953
United States		116,406,670		—		0	§		116,406,670
TOTAL COMMON STOCKS		129,158,794		43,722,351		0	§		172,881,145
Preferred Stocks
Germany		—		1,024,196		—			1,024,196
TOTAL PREFERRED STOCKS		—		1,024,196		—			1,024,196
Rights/Warrants
Canada		—		—		352,512			352,512
United States		—		—		347,645			347,645
TOTAL RIGHTS/WARRANTS		—		—		700,157			700,157
Investment Funds
United States		—		—		1,898,521			1,898,521
TOTAL INVESTMENT FUNDS		—		—		1,898,521			1,898,521
Debt Obligations
Dominican Republic		—		774,915		—			774,915
United States		55,139,199		67,751,768		—			122,890,967
Uruguay		—		237,425		—			237,425
TOTAL DEBT OBLIGATIONS		55,139,199		68,764,108		—			123,903,307
Mutual Funds
United States		3,259,691		—		—			3,259,691
TOTAL MUTUAL FUNDS		3,259,691		—		—			3,259,691
Short-Term Investments		2,891,464		22,480,340		—			25,371,804
Total Investments		190,449,148		135,990,995		2,598,678			329,038,821
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—		1,314,592		—			1,314,592
Futures Contracts
Equity Risk		44,058		612,996		—			657,054
Interest Rate Risk		100,666		—		—			100,666

	$			$			$		$
Description	Level 1			Level 2			Level 3		Total
Consolidated Alternative Allocation Fund (continued)
Asset Valuation Inputs (continued)
Derivatives^ (continued)
Physical Commodity Contract Risk	$	565,256		$	—		$	—	$	565,256
Swap Contracts
Credit Risk		—			3,067,623			—		3,067,623
Equity Risk		—			132,818			—		132,818
Interest Rate Risk		—			841,983			—		841,983
Total	$	191,159,128		$	141,961,007		$	2,598,678	$	335,718,813
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(2,836,483	)	$	—	$	(2,836,483	)
Austria		—			(172,018	)		—		(172,018	)
Belgium		—			(682,921	)		—		(682,921	)
Brazil		(504,044	)		—			—		(504,044	)
Canada		(4,955,564	)		—			—		(4,955,564	)
Denmark		—			(596,167	)		—		(596,167	)
France		—			(1,469,041	)		—		(1,469,041	)
Germany		—			(2,492,303	)		—		(2,492,303	)
Israel		(1,406,450	)		—			—		(1,406,450	)
Italy		—			(1,774,315	)		—		(1,774,315	)
Japan		—			(5,925,002	)		—		(5,925,002	)
Netherlands		—			(1,849,792	)		—		(1,849,792	)
Norway		—			(188,076	)		—		(188,076	)
Peru		(502,352	)		—			—		(502,352	)
Singapore		(523,425	)		(274,133	)		—		(797,558	)
Spain		—			(1,090,883	)		—		(1,090,883	)
Sweden		—			(828,323	)		—		(828,323	)
Switzerland		—			(732,073	)		—		(732,073	)
United Kingdom		—			(4,375,020	)		—		(4,375,020	)
United States		(53,443,419	)		(625,841	)		—		(54,069,260	)
TOTAL COMMON STOCKS		(61,335,254	)		(25,912,391	)		—		(87,247,645	)
Preferred Stocks
Germany		—			(390,221	)		—		(390,221	)
TOTAL PREFERRED STOCKS		—			(390,221	)		—		(390,221	)
Debt Obligations
United States		—			(27,638,439	)		—		(27,638,439	)
TOTAL DEBT OBLIGATIONS		—			(27,638,439	)		—		(27,638,439	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(2,155,872	)		—		(2,155,872	)
Futures Contracts
Equity Risk		(2,570,855	)		(198,892	)		—		(2,769,747	)
Interest Rate Risk		(28,762	)		—			—		(28,762	)
Physical Commodity Contract Risk		(938,914	)		—			—		(938,914	)
Written Options
Credit Risk		—			(174,274	)		—		(174,274	)
Equity Risk		(451,587	)		—			—		(451,587	)
Swap Contacts
Credit Risk		—			(3,821,207	)		—		(3,821,207	)
Equity Risk		—			(452,853	)		—		(452,853	)
Interest Rate Risk		—			(1,152,740	)		—		(1,152,740	)
Total	$	(65,325,372	)	$	(61,896,889	)	$	—	$	(127,222,261	)

	$		$		$			$
Description	Level 1		Level 2		Level 3			Total
Benchmark-Free Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	2,349,375,184	$	—	$	—		$	2,349,375,184
Short-Term Investments		4,070,409		—		—			4,070,409
Total Investments		2,353,445,593		—		—			2,353,445,593
Total	$	2,353,445,593	$	—	$	—		$	2,353,445,593
Benchmark-Free Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—	$	14,220,177	$	—		$	14,220,177
Austria		—		2,812,308		—			2,812,308
Belgium		—		6,232,968		—			6,232,968
Brazil		437,371		3,553,550		—			3,990,921
Canada		37,915,026		75,047		—			37,990,073
Chile		—		28,452		—			28,452
China		3,904,609		17,066,132		0	§		20,970,741
Czech Republic		—		209,856		—			209,856
Denmark		—		6,708,295		—			6,708,295
Egypt		—		314,829		—			314,829
Finland		—		4,338,779		—			4,338,779
France		1,429,300		29,516,865		—			30,946,165
Germany		—		13,732,045		—			13,732,045
Greece		—		—		0	§		0	§
Hong Kong		—		8,095,620		—			8,095,620
Hungary		—		3,340,918		—			3,340,918
India		461,812		13,393,902		—			13,855,714
Indonesia		—		6,831,053		—			6,831,053
Ireland		1,089,285		483,849		—			1,573,134
Israel		2,026,066		2,469,619		—			4,495,685
Italy		1,477,890		15,226,619		—			16,704,509
Japan		1,441,283		172,286,213		—			173,727,496
Kuwait		—		69,794		—			69,794
Malaysia		—		708,446		—			708,446
Mexico		7,191,091		—		0	§		7,191,091
Netherlands		—		19,750,781		—			19,750,781
New Zealand		—		270,539		—			270,539
Norway		—		6,088,625		—			6,088,625
Pakistan		—		164,881		—			164,881
Philippines		—		61,676		—			61,676
Poland		—		1,944,703		—			1,944,703
Portugal		—		323,656		—			323,656
Qatar		—		658,640		—			658,640
Russia		—		—		2			2
Saudi Arabia		—		56,434		—			56,434
Singapore		—		7,381,429		—			7,381,429
South Africa		—		2,851,176		—			2,851,176
South Korea		533,354		22,481,050		—			23,014,404
Spain		—		16,722,340		—			16,722,340
Sweden		—		5,120,599		—			5,120,599
Switzerland		2,766,256		13,247,721		—			16,013,977
Taiwan		90,668		26,342,614		—			26,433,282
Thailand		—		8,595,712		—			8,595,712
Turkey		—		757,958		—			757,958
United Arab Emirates		—		1,754,948		—			1,754,948
United Kingdom		8,930,187		31,592,522		0	§		40,522,709
United States		162,517,352		—		—			162,517,352
Vietnam		—		649,348		—			649,348
TOTAL COMMON STOCKS		232,211,550		488,532,688		2			720,744,240
Preferred Stocks
Brazil		2,141,484		5,239,532		—			7,381,016
Colombia		306,039		—		—			306,039
Germany		—		3,853,839		—			3,853,839
Russia		—		—		0	§		0	§
South Korea		—		711,920		—			711,920
TOTAL PREFERRED STOCKS		2,447,523		9,805,291		0	§		12,252,814

	$			$			$		$
Description	Level 1			Level 2			Level 3		Total
Benchmark-Free Fund (continued)
Asset Valuation Inputs (continued)
Rights/Warrants
Canada	$	—		$	—		$	15,800	$	15,800
TOTAL RIGHTS/WARRANTS		—			—			15,800		15,800
Investment Funds
United States		20,390,859			—			—		20,390,859
TOTAL INVESTMENT FUNDS		20,390,859			—			—		20,390,859
Debt Obligations
United States		94,612,544			90,499,360			—		185,111,904
TOTAL DEBT OBLIGATIONS		94,612,544			90,499,360			—		185,111,904
Mutual Funds
United States		132,916,933			—			—		132,916,933
TOTAL MUTUAL FUNDS		132,916,933			—			—		132,916,933
Short-Term Investments		4,169,361			80,999,307			—		85,168,668
Total Investments		486,748,770			669,836,646			15,802		1,156,601,218
Derivatives^
Futures Contracts
Interest Rate Risk		1,234,215			—			—		1,234,215
Swap Contracts
Credit Risk		—			656,527			—		656,527
Equity Risk		—			151,613			—		151,613
Total	$	487,982,985		$	670,644,786		$	15,802	$	1,158,643,573
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(8,108,506	)	$	—	$	(8,108,506	)
Austria		—			(458,928	)		—		(458,928	)
Belgium		—			(1,840,473	)		—		(1,840,473	)
Brazil		(1,379,753	)		—			—		(1,379,753	)
Canada		(12,933,095	)		—			—		(12,933,095	)
Denmark		—			(1,713,969	)		—		(1,713,969	)
France		—			(3,968,405	)		—		(3,968,405	)
Germany		—			(6,540,882	)		—		(6,540,882	)
Israel		(3,652,498	)		—			—		(3,652,498	)
Italy		—			(4,945,392	)		—		(4,945,392	)
Japan		—			(16,855,438	)		—		(16,855,438	)
Netherlands		—			(4,939,129	)		—		(4,939,129	)
Norway		—			(436,133	)		—		(436,133	)
Peru		(1,351,514	)		—			—		(1,351,514	)
Singapore		(1,429,935	)		(870,983	)		—		(2,300,918	)
Spain		—			(3,180,698	)		—		(3,180,698	)
Sweden		—			(2,235,409	)		—		(2,235,409	)
Switzerland		—			(2,098,918	)		—		(2,098,918	)
United Kingdom		—			(11,331,010	)		—		(11,331,010	)
United States		(84,833,672	)		(1,677,993	)		—		(86,511,665	)
TOTAL COMMON STOCKS		(105,580,467	)		(71,202,266	)		—		(176,782,733	)
Preferred Stocks
Germany		—			(1,054,520	)		—		(1,054,520	)
TOTAL PREFERRED STOCKS		—			(1,054,520	)		—		(1,054,520	)
Derivatives^
Swap Contacts
Credit Risk		—			(1,262,877	)		—		(1,262,877	)
Equity Risk		—			(485,036	)		—		(485,036	)
Total	$	(105,580,467	)	$	(74,004,699	)	$	—	$	(179,585,166	)

	$		$		$			$
Description	Level 1		Level 2		Level 3			Total
Global Asset Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	373,711,717	$	—	$	—		$	373,711,717
Short-Term Investments		219,554		—		—			219,554
Total Investments		373,931,271		—		—			373,931,271
Total	$	373,931,271	$	—	$	—		$	373,931,271
Global Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	77,883,757	$	—	$	—		$	77,883,757
Short-Term Investments		82,308		—		—			82,308
Total Investments		77,966,065		—		—			77,966,065
Total	$	77,966,065	$	—	$	—		$	77,966,065
Global Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	588,826,030	$	—	$	—		$	588,826,030
Short-Term Investments		400,670		—		—			400,670
Total Investments		589,226,700		—		—			589,226,700
Total	$	589,226,700	$	—	$	—		$	589,226,700
Consolidated Implementation Fund
Asset Valuation Inputs
Common Stocks
Argentina	$	6,176,115	$	—	$	—		$	6,176,115
Australia		—		31,044,461		—			31,044,461
Austria		—		6,950,087		—			6,950,087
Belgium		—		14,236,046		—			14,236,046
Brazil		2,641,531		10,020,811		—			12,662,342
Canada		102,010,768		144,339		—			102,155,107
Chile		49,980		330,680		—			380,660
China		9,087,599		36,854,533		1			45,942,133
Czech Republic		—		571,815		—			571,815
Denmark		—		16,939,231		—			16,939,231
Egypt		—		649,554		—			649,554
Finland		—		10,916,796		—			10,916,796
France		3,507,806		65,226,477		—			68,734,283
Germany		—		34,788,049		—			34,788,049
Hong Kong		—		17,628,433		—			17,628,433
Hungary		—		7,583,206		—			7,583,206
India		842,108		26,951,407		—			27,793,515
Indonesia		—		13,302,194		—			13,302,194
Ireland		2,626,414		1,248,652		—			3,875,066
Israel		5,401,680		6,143,698		—			11,545,378
Italy		3,359,893		35,869,752		—			39,229,645
Japan		3,213,128		380,698,213		—			383,911,341
Kuwait		—		67,876		—			67,876
Malaysia		—		2,705,570		—			2,705,570
Mexico		17,621,542		—		0	§		17,621,542
Netherlands		—		45,760,943		175			45,761,118
New Zealand		—		637,723		—			637,723
Norway		—		16,401,309		—			16,401,309
Pakistan		—		1,240,121		—			1,240,121
Philippines		—		305,485		—			305,485
Poland		—		6,939,087		—			6,939,087
Portugal		—		3,013,585		—			3,013,585
Qatar		—		1,480,917		—			1,480,917
Russia		—		—		5			5
Saudi Arabia		—		113,788		—			113,788
Singapore		—		16,502,808		—			16,502,808

	$			$			$			$
Description	Level 1			Level 2			Level 3			Total
Consolidated Implementation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
South Africa	$	—		$	8,325,698		$	—		$	8,325,698
South Korea		1,347,537			52,469,479			—			53,817,016
Spain		—			39,785,446			—			39,785,446
Sweden		—			13,200,865			—			13,200,865
Switzerland		5,045,783			30,315,936			—			35,361,719
Taiwan		1,108			58,692,486			—			58,693,594
Thailand		—			19,898,566			—			19,898,566
Turkey		—			2,032,684			—			2,032,684
Ukraine		—			119,872			—			119,872
United Arab Emirates		—			2,967,714			—			2,967,714
United Kingdom		27,082,775			84,145,367			0	§		111,228,142
United States		526,098,155			—			229,692			526,327,847
Vietnam		—			1,600,606			—			1,600,606
TOTAL COMMON STOCKS		716,113,922			1,126,822,365			229,873			1,843,166,160
Preferred Stocks
Brazil		3,592,039			17,196,117			—			20,788,156
Chile		2,119,146			—			—			2,119,146
Colombia		903,481			—			—			903,481
Germany		—			9,033,247			—			9,033,247
Russia		—			—			0	§		0	§
South Korea		—			1,508,860			—			1,508,860
United States		—			—			450,870			450,870
TOTAL PREFERRED STOCKS		6,614,666			27,738,224			450,870			34,803,760
Rights/Warrants
Canada		—			—			1,449,788			1,449,788
United States		—			—			800,082			800,082
TOTAL RIGHTS/WARRANTS		—			—			2,249,870			2,249,870
Investment Funds
United States		51,128,415			—			6,186,359			57,314,774
TOTAL INVESTMENT FUNDS		51,128,415			—			6,186,359			57,314,774
Debt Obligations
Netherlands		—			—			68			68
United States		520,640,404			212,539,804			—			733,180,208
TOTAL DEBT OBLIGATIONS		520,640,404			212,539,804			68			733,180,276
Mutual Funds
United States		6,793,606			—			—			6,793,606
TOTAL MUTUAL FUNDS		6,793,606			—			—			6,793,606
Short-Term Investments		5,403,535			111,002,761			—			116,406,296
Total Investments		1,306,694,548			1,478,103,154			9,117,040			2,793,914,742
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			1,117,109			—			1,117,109
Futures Contracts
Equity Risk		160,807			2,144,814			—			2,305,621
Interest Rate Risk		3,197,777			—			—			3,197,777
Physical Commodity Contract Risk		1,986,523			—			—			1,986,523
Swap Contracts
Credit Risk		—			1,333,024			—			1,333,024
Equity Risk		—			586,528			—			586,528
Total	$	1,312,039,655		$	1,483,284,629		$	9,117,040		$	2,804,441,324
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(20,063,475	)	$	—		$	(20,063,475	)
Austria		—			(1,239,043	)		—			(1,239,043	)
Belgium		—			(4,896,802	)		—			(4,896,802	)
Brazil		(3,539,712	)		—			—			(3,539,712	)
Canada		(34,589,103	)		—			—			(34,589,103	)
Denmark		—			(4,545,552	)		—			(4,545,552	)

	$			$			$			$
Description	Level 1			Level 2			Level 3			Total
Consolidated Implementation Fund (continued)
Liability Valuation Inputs (continued)
Common Stocks (continued)
France	$	—		$	(10,097,077	)	$	—		$	(10,097,077	)
Germany		—			(17,703,172	)		—			(17,703,172	)
Israel		(9,984,299	)		—			—			(9,984,299	)
Italy		—			(12,787,307	)		—			(12,787,307	)
Japan		—			(41,358,612	)		—			(41,358,612	)
Netherlands		—			(12,973,941	)		—			(12,973,941	)
Norway		—			(1,327,372	)		—			(1,327,372	)
Peru		(3,560,719	)		—			—			(3,560,719	)
Singapore		(3,694,635	)		(2,160,880	)		—			(5,855,515	)
Spain		—			(8,181,065	)		—			(8,181,065	)
Sweden		—			(5,870,397	)		—			(5,870,397	)
Switzerland		—			(5,323,133	)		—			(5,323,133	)
United Kingdom		—			(30,785,788	)		—			(30,785,788	)
United States		(269,167,668	)		(4,514,370	)		—			(273,682,038	)
TOTAL COMMON STOCKS		(324,536,136	)		(183,827,986	)		—			(508,364,122	)
Preferred Stocks
Germany		—			(2,754,634	)		—			(2,754,634	)
TOTAL PREFERRED STOCKS		—			(2,754,634	)		—			(2,754,634	)
Derivatives^
Forward Currency Contracts
Foreign Currency Risk		—			(3,956,184	)		—			(3,956,184	)
Futures Contracts
Equity Risk		(2,907,280	)		(684,080	)		—			(3,591,360	)
Interest Rate Risk		(100,143	)		—			—			(100,143	)
Physical Commodity Contract Risk		(3,286,128	)		—			—			(3,286,128	)
Written Options
Equity Risk		(735,840	)		—			—			(735,840	)
Swap Contacts
Credit Risk		—			(2,268,024	)		—			(2,268,024	)
Equity Risk		—			(1,660,195	)		—			(1,660,195	)
Total	$	(331,565,527	)	$	(195,151,103	)	$	—		$	(526,716,630	)
International Developed Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	289,645,207		$	—		$	—		$	289,645,207
Short-Term Investments		218,746			—			—			218,746
Total Investments		289,863,953			—			—			289,863,953
Total	$	289,863,953		$	—		$	—		$	289,863,953
International Equity Allocation Fund
Asset Valuation Inputs
Mutual Funds	$	299,354,429		$	—		$	—		$	299,354,429
Short-Term Investments		283,045			—			—			283,045
Total Investments		299,637,474			—			—			299,637,474
Total	$	299,637,474		$	—		$	—		$	299,637,474
Strategic Opportunities Allocation Fund
Asset Valuation Inputs
Common Stocks
Australia	$	—		$	633,175		$	—		$	633,175
Belgium		—			234,138			—			234,138
Brazil		—			7,425			—			7,425
Canada		2,449,065			—			—			2,449,065
China		—			563,648			0	§		563,648
Denmark		—			902,961			—			902,961
Finland		—			302,235			—			302,235
France		123,191			1,159,162			—			1,282,353

	$			$			$			$
Description	Level 1			Level 2			Level 3			Total
Strategic Opportunities Allocation Fund (continued)
Asset Valuation Inputs (continued)
Common Stocks (continued)
Germany	$	—		$	822,798		$	—		$	822,798
Ireland		204,258			68,876			—			273,134
Israel		330,737			358,889			—			689,626
Italy		106,519			563,025			—			669,544
Japan		—			2,505,560			—			2,505,560
Mexico		393,547			—			—			393,547
Netherlands		—			1,059,175			—			1,059,175
New Zealand		—			38,498			—			38,498
Norway		—			215,690			—			215,690
Poland		—			220,441			—			220,441
Russia		—			—			0	§		0	§
South Korea		64,473			1,269,032			—			1,333,505
Spain		—			927,076			—			927,076
Sweden		—			515,294			—			515,294
Switzerland		—			511,514			—			511,514
Thailand		—			591,405			—			591,405
Turkey		—			109,767			—			109,767
United Kingdom		462,207			1,575,196			—			2,037,403
United States		18,017,159			—			—			18,017,159
TOTAL COMMON STOCKS		22,151,156			15,154,980			0	§		37,306,136
Preferred Stocks
Brazil		—			54,475			—			54,475
Germany		—			449,149			—			449,149
TOTAL PREFERRED STOCKS		—			503,624			—			503,624
Debt Obligations
United States		1,450,733			—			—			1,450,733
TOTAL DEBT OBLIGATIONS		1,450,733			—			—			1,450,733
Mutual Funds
United States		153,367,413			—			—			153,367,413
TOTAL MUTUAL FUNDS		153,367,413			—			—			153,367,413
Short-Term Investments		2,673,623			11,999,330			—			14,672,953
Total Investments		179,642,925			27,657,934			0	§		207,300,859
Derivatives^
Swap Contracts
Equity Risk		—			32,320			—			32,320
Total	$	179,642,925		$	27,690,254		$	0	§	$	207,333,179
Liability Valuation Inputs
Common Stocks
Australia	$	—		$	(1,231,047)		$	—		$	(1,231,047)
Austria		—			(84,371	)		—			(84,371	)
Belgium		—			(306,151	)		—			(306,151	)
Brazil		(212,346	)		—			—			(212,346	)
Canada		(2,166,503	)		—			—			(2,166,503	)
Denmark		—			(269,653	)		—			(269,653	)
France		—			(633,499	)		—			(633,499	)
Germany		—			(1,066,711	)		—			(1,066,711	)
Israel		(600,383	)		—			—			(600,383	)
Italy		(18,235	)		(758,774	)		—			(777,009	)
Japan		—			(2,624,459	)		—			(2,624,459	)
Netherlands		—			(778,731	)		—			(778,731	)
Norway		—			(73,298	)		—			(73,298	)
Peru		(216,282	)		—			—			(216,282	)
Singapore		(228,750	)		(102,756	)		—			(331,506	)
Spain		—			(503,705	)		—			(503,705	)
Sweden		—			(348,062	)		—			(348,062	)
Switzerland		—			(319,701	)		—			(319,701	)
United Kingdom		—			(1,912,271	)		—			(1,912,271	)
United States		(14,495,494	)		(278,794	)		—			(14,774,288	)
TOTAL COMMON STOCKS		(17,937,993	)		(11,291,983	)		—			(29,229,976	)

	$		$			$		$
Description	Level 1		Level 2			Level 3		Total
Strategic Opportunities Allocation Fund (continued)
Liability Valuation Inputs (continued)
Preferred Stocks
Germany	$	—	$	(170,635	)	$	—	$	(170,635	)
TOTAL PREFERRED STOCKS		—		(170,635	)		—		(170,635	)
Derivatives^
Swap Contacts
Equity Risk		—		(20,452	)		—		(20,452	)
Total	$	(17,937,993)	$	(11,483,070)		$	—	$	(29,421,063)

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2024.

^ 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’ financial statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.

As of November 30, 2024, Alternative Allocation Fund’s Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendors).

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

	Balances as of February 29, 2024		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 November 30, 2024		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of November 30, 2024
Consolidated Alternative Allocation Fund
Common Stocks
Canada	$	352,512	$	—	$	—		$	—	$	—	$	—		$	—	$	—	$	352,512	$	—
Rights/Warrants
United States		425,705		—		—			—		—		(78,060	)		—		—		347,645		(78,060	)
Investment Funds
United States		2,351,936		863,287		(1,491,694	)		—		—		174,992			—		—		1,898,521		174,992
Total Investments	$	3,130,153	$	863,287	$	(1,491,694	)	$	—	$	—	$	96,932		$	—	$	—	$	2,598,678	$	96,932

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 November 30, 2024.

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		—		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 November 30, 2024, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund was $2,598,678. The inputs for these investments are not readily available or cannot be reasonably estimated.

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 November 30, 2024 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 Resources Fund,
Class VI	$	3,309,494	$	—	$	—	$	12,547		$	—	$	—		$	(49,803	)	$	3,259,691
Benchmark-Free Allocation Fund
GMO Climate Change Fund, Class III	$	—	$	26,000,000	$	1,670,000	$	—		$	—	$	75,561		$	(1,856,945	)	$	22,548,616
GMO Emerging Country Debt Fund, Class VI		105,862,796		383,632		61,132,744		383,632			—		2,194,163			4,513,550			51,821,397
GMO High Yield Fund, Class VI		34,788,771		1,539,373		13,243,063		1,539,373			—		370,693			210,188			23,665,962
GMO Implementation Fund		3,136,528,946		161,042,612		1,186,158,121		50,887,825			—		63,764,531			(17,339,811	)		2,157,838,157
GMO Opportunistic Income Fund, Class VI		138,482,959		7,229,666		53,389,952		4,204,666			—		125,476			1,052,903			93,501,052
Totals	$	3,415,663,472	$	196,195,283	$	1,315,593,880	$	57,015,496		$	—	$	66,530,424		$	(13,420,115	)	$	2,349,375,184
Benchmark-Free Fund
GMO Climate Change Fund, Class III	$	—	$	13,000,000	$	—	$	—		$	—	$	—		$	(989,131	)	$	12,010,869
GMO Emerging Country Debt Fund, Class VI		42,834,449		192,468		23,790,390		192,468			—		915,801			2,525,756			22,678,084
GMO High Yield Fund, Class VI		13,713,467		843,775		3,524,276		843,775			—		139,819			164,369			11,337,154
GMO Opportunistic Income Fund, Class VI		50,710,981		—		—		2,147,610			—		—			485,980			51,196,961
GMO Resources Fund, Class VI		46,597,781		176,664		12,036,022		176,664			—		(2,001,349	)		944,684			33,681,758
GMO U.S. Treasury Fund, Class VI (formerly Core Class)		1,304,389		141,635,678		140,855,874		—	**		—		(72,086	)		—			2,012,107
Totals	$	155,161,067	$	155,848,585	$	180,206,562	$	3,360,517		$	—	$	(1,017,815)		$	3,131,658		$	132,916,933
Global Asset Allocation Fund
GMO Alternative Allocation Fund, Class VI	$	44,599,515	$	4,004,819	$	—	$	246,283		$	—	$	—		$	(1,995,700)		$	46,608,634
GMO Asset Allocation Bond Fund, Class VI		20,011,560		2,325,446		—		195,131			—		—			175,687			22,512,693
GMO Climate Change Fund, Class III		—		3,670,000		—		—			—		—			(279,239	)		3,390,761
GMO Emerging Country Debt Fund, Class VI		10,841,518		87,480		—		87,480			—		—			1,173,931			12,102,929
GMO Emerging Markets ex-China Fund, Class VI		25,075,781		1,236,650		14,293,015		357,133			879,518		(3,629,447	)		2,759,415			11,149,384
GMO Emerging Markets Fund, Class VI		25,266,027		343,232		5,101,877		343,232			—		(2,034,884	)		2,588,917			21,061,415
GMO International Equity Fund, Class IV		46,775,391		6,715,853		2,071,815		715,853			—		190,534			2,500,946			54,110,909
GMO International Opportunistic Value Fund, Class IV		24,435,325		335,196		1,076,160		317,606			17,590		177,490			1,447,291			25,319,142
GMO-Usonian Japan Value Creation Fund, Class VI		14,671,268		7,038,332		75,000		238,333			—		(859	)		898,164			22,531,905
GMO Multi-Sector Fixed Income Fund, Class IV		41,627,708		1,081,078		95,868		136,825			—		(21,947	)		1,773,138			44,364,109
GMO Opportunistic Income Fund, Class VI		10,427,550		678,627		—		458,628			—		—			102,628			11,208,805

Affiliate	Value, beginning of period		Purchases		Sales Proceeds		Dividend Income*		Distributions of Realized Gains*		Net Realized Gain (Loss)			Net Increase/ Decrease in Unrealized Appreciation/ Depreciation			Value, end of period
Global Asset Allocation Fund (continued)
GMO Quality Cyclicals Fund, Class VI	$	10,854,557	$	24,132	$	—	$	24,132	$	—	$	—		$	856,020		$	11,734,709
GMO Quality Fund, Class VI		11,152,873		25,605		805,503		23,460		2,145		224,699			1,145,633			11,743,307
GMO Resources Fund, Class VI		6,389,597		335,530		—		25,386		—		—			(105,494	)		6,619,633
GMO Small Cap Quality Fund, Class VI		10,991,749		96,003		134,999		6,214		89,789		28,617			1,233,404			12,214,774
GMO U.S. Equity Fund, Class VI		18,492,732		1,395,987		966,601		81,276		1,314,710		(37,445	)		1,786,565			20,671,238
GMO U.S. Opportunistic Value Fund, Class VI		25,419,205		591,480		2,095,217		134,590		456,890		334,111			3,041,780			27,291,359
GMO U.S. Small Cap Value Fund, Class VI		7,198,539		—		169,999		—		—		(34,630)			1,478,607			8,472,517
GMO U.S. Treasury Fund, Class VI (formerly Core Class)		602,314		470,875		470,000		20,957		—		(401	)		706			603,494
Totals	$	354,833,209	$	30,456,325	$	27,356,054	$	3,412,519	$	2,760,642	$	(4,804,162	)	$	20,582,399		$	373,711,717
Global Developed Equity Allocation Fund
GMO Climate Change Fund, Class III	$	—	$	735,000	$	—	$	—	$	—	$	—		$	(55,924	)	$	679,076
GMO Emerging Markets ex-China Fund, Class VI		5,035,139		172,521		3,660,000		60,364		112,158		(421,992	)		315,699			1,441,367
GMO International Equity Fund, Class IV		18,783,784		257,716		455,000		257,716		—		93,930			959,144			19,639,574
GMO International Opportunistic Value Fund, Class IV		6,711,566		1,003,629		—		98,192		5,437		—			430,629			8,145,824
GMO-Usonian Japan Value Creation Fund, Class VI		2,772,982		1,781,972		—		46,972		—		—			183,367			4,738,321
GMO Quality Cyclicals Fund, Class VI		3,569,199		7,935		—		7,935		—		—			281,476			3,858,610
GMO Quality Fund, Class VI		10,982,867		27,000		679,710		24,738		2,262		185,329			1,190,578			11,706,064
GMO Resources Fund, Class VI		1,776,813		561,736		—		6,736		—		—			(19,240	)		2,319,309
GMO Small Cap Quality Fund, Class VI		3,593,635		31,387		—		2,032		29,356		—			415,787			4,040,809
GMO U.S. Equity Fund, Class VI		4,444,399		1,473,645		—		22,918		370,727		—			500,521			6,418,565
GMO U.S. Opportunistic Value Fund, Class VI		10,805,838		258,537		235,000		58,830		199,707		35,509			1,431,942			12,296,826
GMO U.S. Small Cap Value Fund, Class VI		2,161,270		—		—		—		—		—			438,142			2,599,412
Totals	$	70,637,492	$	6,311,078	$	5,029,710	$	586,433	$	719,647	$	(107,224	)	$	6,072,121		$	77,883,757
Global Equity Allocation Fund
GMO Climate Change Fund, Class III	$	—	$	7,400,000	$	1,400,000	$	—	$	—	$	75,578		$	(462,272	)	$	5,613,306
GMO Emerging Markets ex-China Fund, Class VI		73,264,436		3,559,526		62,565,081		1,045,359		2,514,167		(17,654,106	)		15,158,557			11,763,332
GMO Emerging Markets Fund, Class VI		81,077,912		1,003,795		27,206,857		1,003,795		—		(10,251,055	)		12,511,827			57,135,622
GMO International Equity Fund, Class IV		146,614,835		28,807,723		47,257,203		2,007,723		—		1,706,658			5,904,504			135,776,517
GMO International Opportunistic Value Fund, Class IV		71,886,834		8,646,316		21,328,735		872,974		48,342		2,593,544			1,896,174			63,694,133
GMO-Usonian Japan Value Creation Fund, Class VI		29,422,703		14,512,506		9,334,801		434,444		—		(143,216	)		1,599,149			36,056,341
GMO Quality Cyclicals Fund, Class VI		36,774,104		69,747		10,006,169		69,747		—		(1,593,476	)		4,173,925			29,418,131
GMO Quality Fund, Class VI		89,975,382		327,069		29,777,151		173,265		15,841		7,306,979			2,429,922			70,262,201
GMO Resources Fund, Class VI		20,138,162		2,837,001		5,452,998		67,001		—		(488,903	)		487,290			17,520,552
GMO Small Cap Quality Fund, Class VI		37,334,995		287,231		11,228,441		18,592		268,639		2,450,952			1,150,989			29,995,726
GMO U.S. Equity Fund, Class VI		37,610,164		7,862,280		13,476,224		143,355		2,318,925		(1,755,503	)		5,174,537			35,415,254
GMO U.S. Opportunistic Value Fund, Class VI		88,911,262		10,203,846		32,245,577		451,390		1,532,321		4,974,096			6,244,522			78,088,149
GMO U.S. Small Cap Value Fund, Class VI		21,639,012		—		7,341,197		—		—		525,974			3,262,977			18,086,766
Totals	$	734,649,801	$	85,517,040	$	278,620,434	$	6,287,645	$	6,698,235	$	(12,252,478	)	$	59,532,101		$	588,826,030

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 Implementation Fund
GMO U.S. Treasury Fund, Class VI (formerly Core Class)	$	3,301,486	$	86,838,083	$	83,319,379	$	—**	$	—	$	(26,609	)	$	25		$	6,793,606
International Developed Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	21,157,581	$	1,266,117	$	21,971,958	$	283,607	$	436,357	$	(3,316,629	)	$	2,864,889		$	—
GMO International Equity Fund, Class IV		185,602,298		7,070,328		508,572		2,554,268		—		80,937			10,316,756			202,561,747
GMO International Opportunistic Value Fund, Class IV		47,858,092		15,469,501		429,160		799,389		44,267		52,669			3,141,146			66,092,248
GMO-Usonian Japan Value Creation Fund, Class VI		10,805,125		10,000,563		593,153		216,442		—		3,361			775,316			20,991,212
Totals	$	265,423,096	$	33,806,509	$	23,502,843	$	3,853,706	$	480,624	$	(3,179,662	)	$	17,098,107		$	289,645,207
International Equity Allocation Fund
GMO Emerging Markets ex-China Fund, Class VI	$	24,272,532	$	720,810	$	24,563,191	$	252,834	$	467,977	$	(6,735,758	)	$	6,305,607		$	—
GMO Emerging Markets Fund, Class VI		89,931,600		1,682,375		10,875,197		1,324,894		—		(4,079,055	)		6,161,459			82,821,182
GMO International Equity Fund, Class IV		142,434,181		4,845,485		13,785,905		1,817,023		—		867,909			6,993,547			141,355,217
GMO International Opportunistic Value Fund, Class IV		36,353,186		17,030,310		2,091,014		664,771		36,813		276,370			2,193,240			53,762,092
GMO-Usonian Japan Value Creation Fund, Class VI		12,374,718		9,958,055		1,763,718		233,054		—		13,427			833,456			21,415,938
Totals	$	305,366,217	$	34,237,035	$	53,079,025	$	4,292,576	$	504,790	$	(9,657,107	)	$	22,487,309		$	299,354,429
Strategic Opportunities Allocation Fund
GMO Asset Allocation Bond Fund, Class VI	$	13,007,297	$	114,414	$	2,627,305	$	114,414	$	—	$	178,804		$	(98,103	)	$	10,575,107
GMO Climate Change Fund, Class III		—		2,430,000		—		—		—		—			(184,891	)		2,245,109
GMO Emerging Country Debt Fund, Class VI		8,676,483		57,653		3,098,751		57,653		—		(943,988	)		1,725,946			6,417,343
GMO Emerging Markets ex-China Fund, Class VI		17,963,445		606,635		14,163,985		249,814		356,821		(2,170,329	)		1,831,275			4,067,041
GMO Emerging Markets Fund, Class VI		16,002,271		179,010		6,435,834		179,010		—		(1,727,961	)		2,069,586			10,087,072
GMO International Equity Fund, Class IV		31,688,550		7,451,724		9,815,209		451,724		—		1,835,893			(119,457	)		31,041,501
GMO International Opportunistic Value Fund, Class IV		18,074,314		209,564		5,080,904		198,568		10,996		642,912			522,212			14,368,098
GMO-Usonian Japan Value Creation Fund, Class VI		10,795,220		5,160,142		3,518,863		160,142		—		674,684			(26,446	)		13,084,737
GMO Multi-Sector Fixed Income Fund, Class IV		6,634,466		1,197,903		1,741,128		22,903		—		45,154			217,259			6,353,654
GMO Quality Fund, Class VI		8,637,364		17,146		3,085,842		15,710		1,436		896,634			(69,528	)		6,395,774
GMO Resources Fund, Class VI		4,563,997		17,303		—		17,303		—		—			(69,369	)		4,511,931
GMO Small Cap Quality Fund, Class VI		8,341,628		64,218		2,523,587		4,157		60,062		533,521			246,732			6,662,512
GMO U.S. Equity Fund, Class VI		11,100,197		703,016		3,897,700		40,930		662,086		(77,695	)		925,617			8,753,435
GMO U.S. Opportunistic Value Fund, Class VI		18,332,068		377,744		5,513,529		85,955		291,789		831,096			1,330,343			15,357,722
GMO U.S. Treasury Fund, Class VI (formerly Core Class)		3,277,055		10,169,294		—		169,294		—		—			28			13,446,377
Totals	$	177,094,355	$	28,755,766	$	61,502,637	$	1,767,577	$	1,383,190	$	718,725		$	8,301,204		$	153,367,413

* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2024 through November 30, 2024. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2025.

** 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 $103,789 and $98,966 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period.

Subsequent events

On December 16, 2024, GMO Benchmark-Free Fund and GMO Implementation Fund, along with a number of other funds managed by GMO, recognized litigation settlement proceeds related to Bausch Health Companies Inc. (formerly, Valeant Pharmaceuticals International Inc.). On this date, contingencies related to the settlement proceeds were no longer material and the Funds’ net asset value reflected the settlement amounts. Costs in respect of this matter are borne by the Funds along with the other affected funds managed by GMO.

***

For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.