# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001193125-26-211669
**Filing Date:** 2026-5
**Character Count:** 2537946
**Document Hash:** 8ba3ed6d415cfdccbe56dff6c77d0284
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-211669.hdr.sgml**: 20260507

**ACCESSION NUMBER**: 0001193125-26-211669

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 192

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260507

**DATE AS OF CHANGE**: 20260507

**EFFECTIVENESS DATE**: 20260507

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GMO TRUST
- **CENTRAL INDEX KEY:** 0000772129

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 26952637

**BUSINESS ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 6173467646

**MAIL ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GMO CORE TRUST
- **DATE OF NAME CHANGE:** 19900927

## Series and Classes Contracts Data

### GMO U.S. Equity Fund (Series ID: S000004081)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000011423 | Class III    | GMUEX           |
| C000011426 | Class VI     | GMCQX           |

### GMO Quality Fund (Series ID: S000004084)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000011437 | Class III    | GQETX           |
| C000011438 | Class IV     | GQEFX           |
| C000011440 | Class VI     | GQLOX           |
| C000213356 | Class I      | GQLIX           |
| C000213357 | Class R6     | GQESX           |

### GMO International Equity Fund (Series ID: S000004224)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000011881 | Class III    | GMOIX           |
| C000011882 | Class IV     | GMCFX           |
| C000213358 | Class I      | GMOUX           |

### GMO Emerging Markets Fund (Series ID: S000004911)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000013268 | Class II     | GMEMX           |
| C000013269 | Class III    | GMOEX           |
| C000013272 | Class VI     | GEMMX           |
| C000213362 | Class R6     | GEMNX           |
| C000213363 | Class I      | GEMEX           |

### GMO International Opportunistic Value Fund (Series ID: S000004913)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000013282 | Class III    | GTMIX           |
| C000013283 | Class IV     | GMAZX           |
| C000213364 | Class I      | IOVFX           |
| C000213365 | Class R6     | GMBCX           |

### GMO Emerging Country Debt Fund (Series ID: S000004922)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000013327 | Class III    | GMCDX           |
| C000013328 | Class IV     | GMDFX           |
| C000013330 | Class VI     | GMOQX           |

### GMO Benchmark-Free Allocation Fund (Series ID: S000005485)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000014927 | Class III    | GBMFX           |
| C000109350 | Class IV     | GBMBX           |
| C000213372 | Class I      | GBMIX           |
| C000213373 | Class R6     | GBMSX           |

### GMO International Equity Allocation Fund (Series ID: S000005486)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000014930 | Class III    | GIEAX           |
| C000213374 | Class R6     | GSXMX           |

### GMO Global Asset Allocation Fund (Series ID: S000005487)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000014933 | Class III    | GMWAX           |
| C000213376 | Class R6     | GMWRX           |
| C000213377 | Class I      | GMOOX           |

### GMO Global Equity Allocation Fund (Series ID: S000005488)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000014936 | Class III    | GMGEX           |
| C000213378 | Class I      | GAAUX           |
| C000213379 | Class R6     | GMADX           |

### GMO Strategic Opportunities Allocation Fund (Series ID: S000005489)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000014937 | Class III    | GBATX           |

### GMO Global Developed Equity Allocation Fund (Series ID: S000005490)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000014938 | Class III    | GWOAX           |

### GMO Opportunistic Income Fund (Series ID: S000007516)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000020548 | Class VI     | GMODX           |
| C000137450 | Class III    | GMOHX           |
| C000213384 | Class I      | GMOLX           |
| C000213385 | Class R6     | GAAAX           |

### GMO International Developed Equity Allocation Fund (Series ID: S000012211)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000033342 | Class III    | GIOTX           |
| C000213387 | Class R6     | GAAWX           |

### GMO U.S. Treasury Fund (Series ID: S000025186)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000075084 | Class VI     | GUSTX           |

### GMO Asset Allocation Bond Fund (Series ID: S000025199)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000075103 | Class VI     | GABFX           |

### GMO Benchmark-Free Fund (Series ID: S000033464)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000102896 | Class III    | GBFFX           |

### GMO Resources Fund (Series ID: S000034948)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000107485 | Class III    | GOFIX           |
| C000107486 | Class IV     | GOVIX           |
| C000107488 | Class VI     | GMOWX           |
| C000213392 | Class I      | GEACX           |
| C000213393 | Class R6     | GAAHX           |

### GMO Implementation Fund (Series ID: S000036091)

| Class ID   | Class Name              | Ticker Symbol   |
|:---|:---|:---|
| C000110451 | GMO Implementation Fund | GIMFX           |

### GMO Climate Change Fund (Series ID: S000056707)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000179795 | Class III    | GCCHX           |
| C000213398 | Class I      | GCCLX           |
| C000213399 | Class R6     | GCCAX           |

### GMO High Yield Fund (Series ID: S000061716)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000199930 | Class VI     | GHVIX           |
| C000213400 | Class I      | GMOZX           |

### GMO Alternative Allocation Fund (Series ID: S000065268)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000211299 | Class VI     | GAAVX           |
| C000213406 | Class I      | GAAGX           |

### GMO U.S. Small Cap Value Fund (Series ID: S000065871)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000212810 | Class VI     | GCAVX           |

### GMO Emerging Country Debt Shares Fund (Series ID: S000068930)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000220257 | Class I      | GMAJX           |

### GMO-Usonian Japan Value Creation Fund (Series ID: S000069850)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000222625 | Class III    | GMAKX           |
| C000222627 | Class VI     | GMAHX           |
| C000222630 | Class I      | GMIIX           |

### GMO Emerging Markets ex-China Fund (Series ID: S000072426)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000228643 | Class VI     | GMAQX           |
| C000228647 | Class III    | GMAUX           |

### GMO Small Cap Quality Fund (Series ID: S000077554)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000238037 | Class R6     | GMBVX           |
| C000238038 | Class IV     | GMSQX           |
| C000238039 | Class I      | GMAYX           |
| C000238041 | Class III    | GMAWX           |
| C000238042 | Class VI     | GSBGX           |

### GMO Resource Transition Fund (Series ID: S000079719)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000241005 | Class VI     | GMOYX           |

### GMO U.S. Opportunistic Value Fund (Series ID: S000079720)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000241007 | Class III    | PPADX           |
| C000241009 | Class R6     | PPAJX           |
| C000241011 | Class VI     | UUOAX           |
| C000241012 | Class I      | PPAEX           |

### GMO Multi-Asset Credit Fund (Series ID: S000089451)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000256004 | Class R6     |  |
| C000256005 | Class I      | GMIQX           |
| C000256007 | Class IV     | GMCHX           |

### GMO MAC Implementation Fund (Series ID: S000089452)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000256009 | GMO MAC Implementation Fund | GMIHX           |

?xml version='1.0' encoding='ASCII'? GMO TRUST

### UNITED STATES

### SECURITIES AND EXCHANGE COMMISSION

#### Washington, D.C. 20549

### FORM N-CSR

#### CERTIFIED SHAREHOLDER REPORT OF REGISTERED

#### MANAGEMENT INVESTMENT COMPANIES

#### Investment Company Act file number 811-04347

## GMO Trust

#### (Exact name of the registrant as specified in charter)

#### 53 State Street, 33<sup>rd</sup> Floor, Boston, MA 02109

#### (Address of principal executive offices) (Zip Code)

#### Tara Pari, Chief Executive Officer, 53 State Street, 33<sup>rd</sup> Floor, Boston, MA 02109

#### (Name and address of agent for services)

#### Registrant's telephone number, including area code: 617-346-7646

#### Date of fiscal year end: February 28

#### Date of reporting period: February 28, 2026

------

#### Item 1. Reports to Stockholders.
(a) The following is a copy of the reports transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the "1940 Act"):

#### GMO Climate Change Fund
![Image](g12033g00x59.jpg)

#### Class III (GCCHX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Climate Change Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $104 | 0.78% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the MSCI All Country World Index ("ACWI") is included for comparative purposes.

Class III shares of GMO Climate Change Fund returned +67.33% (net) for the fiscal year ended February 28, 2026, as compared with +24.19% for the MSCI ACWI.

The Fund's clean energy holdings, approximately half of the portfolio by weight, returned 101.1% for the year. While performance was strong across clean energy, it was notably high in biofuels, batteries, and battery-related companies. Ameresco (biofuels), Albemarle (lithium), and LG Chem (batteries) were two of the biggest individual contributors along with solar names SolarEdge and Sunrun. The turnaround in performance of these clean energy sectors highlighted the rewards that accrue to patient, long-term capital.

The Fund's energy efficiency, electric grid, copper, and water names also delivered higher returns than broad global equities, while agriculture and timber slightly trailed.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g44b59.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **MSCI ACWI** |
| **2017** | $10000 | $10000 |
| **2017** | $10245 | $10179 |
| **2017** | $10470 | $10404 |
| **2017** | $10570 | $10451 |
| **2017** | $11270 | $10743 |
| **2017** | $11420 | $10784 |
| **2017** | $11930 | $10993 |
| **2017** | $12235 | $11221 |
| **2017** | $12010 | $11438 |
| **2017** | $12468 | $11623 |
| **2018** | $12633 | $12278 |
| **2018** | $12328 | $11763 |
| **2018** | $12349 | $11502 |
| **2018** | $12463 | $11621 |
| **2018** | $12421 | $11635 |
| **2018** | $11872 | $11572 |
| **2018** | $12232 | $11921 |
| **2018** | $11909 | $12015 |
| **2018** | $11825 | $12067 |
| **2018** | $11052 | $11163 |
| **2018** | $11219 | $11326 |
| **2018** | $10497 | $10528 |
| **2019** | $11531 | $11360 |
| **2019** | $11685 | $11664 |
| **2019** | $11446 | $11810 |
| **2019** | $11770 | $12209 |
| **2019** | $10990 | $11485 |
| **2019** | $11897 | $12237 |
| **2019** | $11709 | $12273 |
| **2019** | $11194 | $11982 |
| **2019** | $11698 | $12234 |
| **2019** | $11969 | $12568 |
| **2019** | $12144 | $12875 |
| **2019** | $13274 | $13329 |
| **2020** | $12960 | $13181 |
| **2020** | $12347 | $12117 |
| **2020** | $9536 | $10481 |
| **2020** | $10762 | $11604 |
| **2020** | $11590 | $12108 |
| **2020** | $12027 | $12495 |
| **2020** | $12817 | $13156 |
| **2020** | $14176 | $13961 |
| **2020** | $14227 | $13511 |
| **2020** | $14334 | $13183 |
| **2020** | $16815 | $14808 |
| **2020** | $18965 | $15495 |
| **2021** | $19459 | $15425 |
| **2021** | $20229 | $15782 |
| **2021** | $20570 | $16204 |
| **2021** | $20635 | $16912 |
| **2021** | $20947 | $17167 |
| **2021** | $21376 | $17402 |
| **2021** | $21231 | $17521 |
| **2021** | $21419 | $17960 |
| **2021** | $20762 | $17218 |
| **2021** | $23203 | $18097 |
| **2021** | $21588 | $17661 |
| **2021** | $21135 | $18368 |
| **2022** | $19647 | $17466 |
| **2022** | $20818 | $17014 |
| **2022** | $21961 | $17383 |
| **2022** | $19103 | $15992 |
| **2022** | $20474 | $16010 |
| **2022** | $17388 | $14661 |
| **2022** | $19958 | $15685 |
| **2022** | $19951 | $15107 |
| **2022** | $17264 | $13661 |
| **2022** | $18404 | $14485 |
| **2022** | $20823 | $15609 |
| **2022** | $18970 | $14995 |
| **2023** | $21527 | $16069 |
| **2023** | $20418 | $15609 |
| **2023** | $20107 | $16090 |
| **2023** | $19521 | $16321 |
| **2023** | $18836 | $16147 |
| **2023** | $20143 | $17084 |
| **2023** | $21082 | $17709 |
| **2023** | $18539 | $17215 |
| **2023** | $17021 | $16503 |
| **2023** | $14598 | $16007 |
| **2023** | $15961 | $17484 |
| **2023** | $17674 | $18324 |
| **2024** | $15433 | $18431 |
| **2024** | $15690 | $19222 |
| **2024** | $16554 | $19815 |
| **2024** | $15611 | $19171 |
| **2024** | $16932 | $19950 |
| **2024** | $15040 | $20394 |
| **2024** | $15911 | $20723 |
| **2024** | $16011 | $21250 |
| **2024** | $16518 | $21743 |
| **2024** | $15126 | $21255 |
| **2024** | $14562 | $22050 |
| **2024** | $13145 | $21528 |
| **2025** | $13382 | $22251 |
| **2025** | $12377 | $22117 |
| **2025** | $11874 | $21243 |
| **2025** | $11730 | $21441 |
| **2025** | $12707 | $22674 |
| **2025** | $13634 | $23692 |
| **2025** | $14561 | $24013 |
| **2025** | $16328 | $24606 |
| **2025** | $16902 | $25498 |
| **2025** | $18123 | $26068 |
| **2025** | $18181 | $26065 |
| **2025** | $18311 | $26337 |
| **2026** | $20112 | $27118 |
| **2026** | $20710 | $27467 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 4/5/2017 (commencement of operations) |
| Class III | 67.33% | 0.47% | 8.52% |
| MSCI ACWI | 24.19% | 11.72% | 12.02% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability thereunder.

The gross expense ratio of 0.83% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.78% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $625814331 |
| Number of Portfolio Holdings | 105 |
| Portfolio Turnover Rate | 41%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $2895477 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 73%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 49.3 |
| France | 8.2 |
| South Korea | 7.3 |
| Canada | 5.5 |
| Chile | 3.4 |
| Germany | 3.4 |
| Japan | 3.1 |
| Finland | 3.1 |
| Denmark | 2.9 |
| Norway | 2.6 |
| China | 2.0 |
| United Kingdom | 1.7 |
| Brazil | 1.6 |
| Spain | 1.6 |
| Switzerland | 1.1 |
| Other (each less than 1%) | 3.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 28.3 |
| Materials | 22.4 |
| Semiconductors & Semiconductor Equipment | 10.2 |
| Food, Beverage & Tobacco | 9.2 |
| Utilities | 9.1 |
| Energy | 8.8 |
| Technology Hardware & Equipment | 6.4 |
| Automobiles & Components | 4.5 |
| Other (each less than 1%) | 1.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Climate Change Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GCCAX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Climate Change Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $104 | 0.78% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the MSCI All Country World Index ("ACWI") is included for comparative purposes.

Class R6 shares of GMO Climate Change Fund returned +67.26% (net) for the fiscal year ended February 28, 2026, as compared with +24.19% for the MSCI ACWI.

The Fund's clean energy holdings, approximately half of the portfolio by weight, returned 101.1% for the year. While performance was strong across clean energy, it was notably high in biofuels, batteries, and battery-related companies. Ameresco (biofuels), Albemarle (lithium), and LG Chem (batteries) were two of the biggest individual contributors along with solar names SolarEdge and Sunrun. The turnaround in performance of these clean energy sectors highlighted the rewards that accrue to patient, long-term capital.

The Fund's energy efficiency, electric grid, copper, and water names also delivered higher returns than broad global equities, while agriculture and timber slightly trailed.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g87t50.jpg)

---

| | | |
|:---|:---|:---|
| | **Class R6** | **MSCI ACWI** |
| **2020** | $10000 | $10000 |
| **2020** | $9560 | $9686 |
| **2020** | $9108 | $8904 |
| **2020** | $7031 | $7702 |
| **2020** | $7939 | $8527 |
| **2020** | $8542 | $8897 |
| **2020** | $8864 | $9182 |
| **2020** | $9447 | $9667 |
| **2020** | $10446 | $10259 |
| **2020** | $10484 | $9928 |
| **2020** | $10563 | $9687 |
| **2020** | $12394 | $10881 |
| **2020** | $13981 | $11386 |
| **2021** | $14346 | $11334 |
| **2021** | $14910 | $11597 |
| **2021** | $15162 | $11907 |
| **2021** | $15210 | $12427 |
| **2021** | $15440 | $12615 |
| **2021** | $15753 | $12787 |
| **2021** | $15649 | $12875 |
| **2021** | $15788 | $13197 |
| **2021** | $15307 | $12652 |
| **2021** | $17100 | $13298 |
| **2021** | $15912 | $12978 |
| **2021** | $15576 | $13497 |
| **2022** | $14483 | $12834 |
| **2022** | $15343 | $12503 |
| **2022** | $16187 | $12773 |
| **2022** | $14081 | $11751 |
| **2022** | $15088 | $11765 |
| **2022** | $12820 | $10773 |
| **2022** | $14713 | $11525 |
| **2022** | $14708 | $11101 |
| **2022** | $12724 | $10038 |
| **2022** | $13565 | $10644 |
| **2022** | $15347 | $11470 |
| **2022** | $13981 | $11018 |
| **2023** | $15870 | $11808 |
| **2023** | $15051 | $11470 |
| **2023** | $14821 | $11823 |
| **2023** | $14388 | $11993 |
| **2023** | $13882 | $11865 |
| **2023** | $14847 | $12554 |
| **2023** | $15536 | $13013 |
| **2023** | $13663 | $12650 |
| **2023** | $12547 | $12126 |
| **2023** | $10757 | $11762 |
| **2023** | $11764 | $12847 |
| **2023** | $13028 | $13465 |
| **2024** | $11372 | $13543 |
| **2024** | $11562 | $14125 |
| **2024** | $12200 | $14560 |
| **2024** | $11504 | $14087 |
| **2024** | $12479 | $14660 |
| **2024** | $11082 | $14986 |
| **2024** | $11726 | $15228 |
| **2024** | $11805 | $15615 |
| **2024** | $12174 | $15977 |
| **2024** | $11151 | $15619 |
| **2024** | $10734 | $16203 |
| **2024** | $9689 | $15819 |
| **2025** | $9864 | $16350 |
| **2025** | $9127 | $16252 |
| **2025** | $8750 | $15610 |
| **2025** | $8644 | $15755 |
| **2025** | $9366 | $16661 |
| **2025** | $10050 | $17409 |
| **2025** | $10735 | $17645 |
| **2025** | $12035 | $18081 |
| **2025** | $12454 | $18736 |
| **2025** | $13356 | $19155 |
| **2025** | $13398 | $19153 |
| **2025** | $13493 | $19353 |
| **2026** | $14818 | $19927 |
| **2026** | $15266 | $20183 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 1/16/2020 (commencement of operations) |
| Class R6 | 67.26% | 0.47% | 7.16% |
| MSCI ACWI | 24.19% | 11.72% | 12.16% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability thereunder.

The gross expense ratio of 0.83% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.78% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $625814331 |
| Number of Portfolio Holdings | 105 |
| Portfolio Turnover Rate | 41%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $2895477 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 73%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 49.3 |
| France | 8.2 |
| South Korea | 7.3 |
| Canada | 5.5 |
| Chile | 3.4 |
| Germany | 3.4 |
| Japan | 3.1 |
| Finland | 3.1 |
| Denmark | 2.9 |
| Norway | 2.6 |
| China | 2.0 |
| United Kingdom | 1.7 |
| Brazil | 1.6 |
| Spain | 1.6 |
| Switzerland | 1.1 |
| Other (each less than 1%) | 3.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 28.3 |
| Materials | 22.4 |
| Semiconductors & Semiconductor Equipment | 10.2 |
| Food, Beverage & Tobacco | 9.2 |
| Utilities | 9.1 |
| Energy | 8.8 |
| Technology Hardware & Equipment | 6.4 |
| Automobiles & Components | 4.5 |
| Other (each less than 1%) | 1.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Climate Change Fund
![Image](g12033g00x59.jpg)

#### Class I (GCCLX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Climate Change Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $115 | 0.86% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the MSCI All Country World Index ("ACWI") is included for comparative purposes.

Class I shares of GMO Climate Change Fund returned +67.24% (net) for the fiscal year ended February 28, 2026, as compared with +24.19% for the MSCI ACWI.

The Fund's clean energy holdings, approximately half of the portfolio by weight, returned 101.1% for the year. While performance was strong across clean energy, it was notably high in biofuels, batteries, and battery-related companies. Ameresco (biofuels), Albemarle (lithium), and LG Chem (batteries) were two of the biggest individual contributors along with solar names SolarEdge and Sunrun. The turnaround in performance of these clean energy sectors highlighted the rewards that accrue to patient, long-term capital.

The Fund's energy efficiency, electric grid, copper, and water names also delivered higher returns than broad global equities, while agriculture and timber slightly trailed.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g15j41.jpg)

---

| | | |
|:---|:---|:---|
| | **Class I** | **MSCI ACWI** |
| **2020** | $10000 | $10000 |
| **2020** | $9568 | $9449 |
| **2020** | $7386 | $8173 |
| **2020** | $8335 | $9049 |
| **2020** | $8977 | $9442 |
| **2020** | $9315 | $9744 |
| **2020** | $9927 | $10259 |
| **2020** | $10977 | $10887 |
| **2020** | $11016 | $10536 |
| **2020** | $11099 | $10280 |
| **2020** | $13018 | $11547 |
| **2020** | $14683 | $12083 |
| **2021** | $15066 | $12028 |
| **2021** | $15659 | $12307 |
| **2021** | $15924 | $12636 |
| **2021** | $15970 | $13188 |
| **2021** | $16211 | $13387 |
| **2021** | $16540 | $13570 |
| **2021** | $16429 | $13663 |
| **2021** | $16569 | $14005 |
| **2021** | $16065 | $13427 |
| **2021** | $17948 | $14112 |
| **2021** | $16696 | $13772 |
| **2021** | $16345 | $14323 |
| **2022** | $15197 | $13620 |
| **2022** | $16100 | $13268 |
| **2022** | $16980 | $13555 |
| **2022** | $14770 | $12470 |
| **2022** | $15827 | $12485 |
| **2022** | $13441 | $11432 |
| **2022** | $15429 | $12231 |
| **2022** | $15424 | $11781 |
| **2022** | $13342 | $10653 |
| **2022** | $14225 | $11296 |
| **2022** | $16089 | $12172 |
| **2022** | $14656 | $11693 |
| **2023** | $16631 | $12531 |
| **2023** | $15772 | $12172 |
| **2023** | $15532 | $12547 |
| **2023** | $15078 | $12727 |
| **2023** | $14547 | $12591 |
| **2023** | $15554 | $13322 |
| **2023** | $16276 | $13810 |
| **2023** | $14312 | $13424 |
| **2023** | $13141 | $12869 |
| **2023** | $11270 | $12482 |
| **2023** | $12320 | $13634 |
| **2023** | $13639 | $14289 |
| **2024** | $11907 | $14373 |
| **2024** | $12105 | $14989 |
| **2024** | $12773 | $15452 |
| **2024** | $12045 | $14950 |
| **2024** | $13060 | $15557 |
| **2024** | $11603 | $15904 |
| **2024** | $12271 | $16160 |
| **2024** | $12348 | $16571 |
| **2024** | $12740 | $16955 |
| **2024** | $11664 | $16575 |
| **2024** | $11234 | $17195 |
| **2024** | $10135 | $16788 |
| **2025** | $10318 | $17351 |
| **2025** | $9541 | $17247 |
| **2025** | $9153 | $16565 |
| **2025** | $9042 | $16720 |
| **2025** | $9796 | $17681 |
| **2025** | $10506 | $18475 |
| **2025** | $11221 | $18725 |
| **2025** | $12585 | $19188 |
| **2025** | $13023 | $19883 |
| **2025** | $13966 | $20328 |
| **2025** | $14004 | $20326 |
| **2025** | $14106 | $20538 |
| **2026** | $15490 | $21147 |
| **2026** | $15957 | $21418 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 2/25/2020 (commencement of operations) |
| Class I | 67.24% | 0.38% | 8.09% |
| MSCI ACWI | 24.19% | 11.72% | 13.51% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability thereunder.

The gross expense ratio of 0.93% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.88% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $625814331 |
| Number of Portfolio Holdings | 105 |
| Portfolio Turnover Rate | 41%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $2895477 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 73%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 49.3 |
| France | 8.2 |
| South Korea | 7.3 |
| Canada | 5.5 |
| Chile | 3.4 |
| Germany | 3.4 |
| Japan | 3.1 |
| Finland | 3.1 |
| Denmark | 2.9 |
| Norway | 2.6 |
| China | 2.0 |
| United Kingdom | 1.7 |
| Brazil | 1.6 |
| Spain | 1.6 |
| Switzerland | 1.1 |
| Other (each less than 1%) | 3.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 28.3 |
| Materials | 22.4 |
| Semiconductors & Semiconductor Equipment | 10.2 |
| Food, Beverage & Tobacco | 9.2 |
| Utilities | 9.1 |
| Energy | 8.8 |
| Technology Hardware & Equipment | 6.4 |
| Automobiles & Components | 4.5 |
| Other (each less than 1%) | 1.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Markets ex-China Fund
![Image](g12033g00x59.jpg)

#### Class III (GMAUX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Markets ex-China Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $107 | 0.81% |

---

# How did the Fund perform last year and what affected its performance?
Class III shares of GMO Emerging Markets ex-China Fund returned +64.37% (net) for the fiscal year ended February 28, 2026, as compared with +65.82% for the MSCI Emerging Markets ex-China Index.

Stock selection within sectors and country allocation contributed positively to the portfolio's benchmark relative performance. Areas of strong stock selection included Financials and Consumer Discretionary. Country allocation contributors included underweight positioning toward India and Saudi Arabia.

Information Technology, Industrials, and Materials were the largest detractors, largely from stock selection decisions. Information Technology detracted through a combination of underweight sector allocation and stock selection headwinds in Taiwan and Korea. Underweight positioning toward South African Materials also detracted. Indonesia was also a modest detractor; value lost from the overweight allocation was nearly offset by positive stock selection within the country.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $50,000,000 Investment

![Growth of 10K Chart](g12033g52l16.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **MSCI Emerging Markets ex-China Index** |
| **2021** | $50000000 | $50000000 |
| **2021** | $47675000 | $47667293 |
| **2021** | $50228144 | $49797609 |
| **2022** | $48768609 | $49107537 |
| **2022** | $41898727 | $47850583 |
| **2022** | $39508109 | $48053601 |
| **2022** | $36815518 | $45074320 |
| **2022** | $37419464 | $45126486 |
| **2022** | $32663392 | $39442698 |
| **2022** | $33868674 | $41337467 |
| **2022** | $33615166 | $41545815 |
| **2022** | $29939299 | $37238442 |
| **2022** | $31536400 | $38409592 |
| **2022** | $35567178 | $42004173 |
| **2022** | $33936906 | $40208998 |
| **2023** | $36760583 | $42638257 |
| **2023** | $35177213 | $40709095 |
| **2023** | $35731392 | $41654618 |
| **2023** | $35916119 | $41995978 |
| **2023** | $35995287 | $42587623 |
| **2023** | $37393931 | $44173892 |
| **2023** | $39499023 | $46089446 |
| **2023** | $37493318 | $43821000 |
| **2023** | $37279376 | $42700846 |
| **2023** | $36423608 | $41110665 |
| **2023** | $40033878 | $45362200 |
| **2023** | $43119637 | $48263273 |
| **2024** | $42668123 | $47062704 |
| **2024** | $43655811 | $48734828 |
| **2024** | $44135545 | $50033327 |
| **2024** | $43684030 | $49386963 |
| **2024** | $44339600 | $49335517 |
| **2024** | $45168012 | $52327708 |
| **2024** | $45668142 | $52767215 |
| **2024** | $46918467 | $53724441 |
| **2024** | $47262307 | $54399548 |
| **2024** | $44980463 | $52289508 |
| **2024** | $44511591 | $50580141 |
| **2024** | $43211860 | $49981842 |
| **2025** | $43805837 | $51042234 |
| **2025** | $41949658 | $49102534 |
| **2025** | $42655006 | $49123273 |
| **2025** | $43805837 | $51019210 |
| **2025** | $46218871 | $53522327 |
| **2025** | $49003140 | $57243582 |
| **2025** | $49526329 | $57710732 |
| **2025** | $50281303 | $57580050 |
| **2025** | $52168740 | $61044504 |
| **2025** | $55150889 | $65805369 |
| **2025** | $54244919 | $64261789 |
| **2025** | $56972855 | $67282636 |
| **2026** | $63085822 | $74306956 |
| **2026** | $68954270 | $81421848 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 11/17/2021 (commencement of operations) |
| Class III | 64.37% | 7.80% |
| MSCI Emerging Markets ex-China Index | 65.82% | 12.06% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.41% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.81% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $97821630 |
| Number of Portfolio Holdings | 173 |
| Portfolio Turnover Rate | 85%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $436091 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 92%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Taiwan | 30.7 |
| South Korea | 22.5 |
| India | 10.3 |
| Brazil | 8.0 |
| Thailand | 7.6 |
| Hungary | 4.5 |
| Indonesia | 3.4 |
| Mexico | 3.2 |
| Saudi Arabia | 2.4 |
| United States | 1.6 |
| Other (each less than 1%) | 5.8 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 23.4 |
| Banks | 18.7 |
| Technology Hardware & Equipment | 11.5 |
| Materials | 9.1 |
| Automobiles & Components | 7.1 |
| Transportation | 6.2 |
| Energy | 5.7 |
| Financial Services | 4.0 |
| Capital Goods | 3.4 |
| Utilities | 2.9 |
| Consumer Durables & Apparel | 2.9 |
| Pharmaceuticals, Biotechnology & Life Sciences | 2.4 |
| Food, Beverage & Tobacco | 1.6 |
| Other (each less than 1%) | 1.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Markets ex-China Fund
![Image](g12033g00x59.jpg)

#### Class VI (GMAQX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Markets ex-China Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $90 | 0.68% |

---

# How did the Fund perform last year and what affected its performance?
Class VI shares of GMO Emerging Markets ex-China Fund returned +64.55% (net) for the fiscal year ended February 28, 2026, as compared with +65.82% for the MSCI Emerging Markets ex-China Index.

Stock selection within sectors and country allocation contributed positively to the portfolio's benchmark relative performance. Areas of strong stock selection included Financials and Consumer Discretionary. Country allocation contributors included underweight positioning toward India and Saudi Arabia.

Information Technology, Industrials, and Materials were the largest detractors, largely from stock selection decisions. Information Technology detracted through a combination of underweight sector allocation and stock selection headwinds in Taiwan and Korea. Underweight positioning toward South African Materials also detracted. Indonesia was also a modest detractor; value lost from the overweight allocation was nearly offset by positive stock selection within the country.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g66u53.jpg)

---

| | | |
|:---|:---|:---|
| | **Class VI** | **MSCI Emerging Markets ex-China Index** |
| **2021** | $300000000 | $300000000 |
| **2021** | $297750000 | $295663532 |
| **2021** | $286050000 | $286594293 |
| **2021** | $301391477 | $299402582 |
| **2022** | $292633609 | $295253600 |
| **2022** | $251562225 | $287696302 |
| **2022** | $237217440 | $288916927 |
| **2022** | $220909685 | $271004335 |
| **2022** | $224684628 | $271317977 |
| **2022** | $196146057 | $237144834 |
| **2022** | $203420044 | $248536920 |
| **2022** | $201898578 | $249789590 |
| **2022** | $179837317 | $223891986 |
| **2022** | $189422554 | $230933399 |
| **2022** | $213766015 | $252545414 |
| **2022** | $203771859 | $241752126 |
| **2023** | $220884892 | $256357776 |
| **2023** | $211377651 | $244758901 |
| **2023** | $214705185 | $250443756 |
| **2023** | $215814363 | $252496142 |
| **2023** | $216289725 | $256053345 |
| **2023** | $224687788 | $265590608 |
| **2023** | $237410445 | $277107662 |
| **2023** | $225523860 | $263468887 |
| **2023** | $224238824 | $256734084 |
| **2023** | $219098679 | $247173300 |
| **2023** | $240783665 | $272735177 |
| **2023** | $259358916 | $290177556 |
| **2024** | $256644892 | $282959270 |
| **2024** | $262581819 | $293012732 |
| **2024** | $265635096 | $300819812 |
| **2024** | $262921072 | $296933619 |
| **2024** | $266887284 | $296624303 |
| **2024** | $271866600 | $314614518 |
| **2024** | $275060609 | $317257008 |
| **2024** | $282575927 | $323012222 |
| **2024** | $284642639 | $327071225 |
| **2024** | $270927185 | $314384846 |
| **2024** | $268108941 | $304107468 |
| **2024** | $260338882 | $300510260 |
| **2025** | $263911285 | $306885748 |
| **2025** | $252970800 | $295223523 |
| **2025** | $257213029 | $295348212 |
| **2025** | $264134560 | $306747324 |
| **2025** | $278647448 | $321797035 |
| **2025** | $295616363 | $344170668 |
| **2025** | $298536004 | $346979355 |
| **2025** | $303303499 | $346193640 |
| **2025** | $314654678 | $367023287 |
| **2025** | $332589541 | $395647456 |
| **2025** | $327367998 | $386366851 |
| **2025** | $343649090 | $404529361 |
| **2026** | $380687643 | $446762302 |
| **2026** | $416254465 | $489539800 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 10/18/2021 (commencement of operations) |
| Class VI | 64.55% | 7.79% |
| MSCI Emerging Markets ex-China Index | 65.82% | 11.87% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.13% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.68% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $97821630 |
| Number of Portfolio Holdings | 173 |
| Portfolio Turnover Rate | 85%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $436091 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 92%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Taiwan | 30.7 |
| South Korea | 22.5 |
| India | 10.3 |
| Brazil | 8.0 |
| Thailand | 7.6 |
| Hungary | 4.5 |
| Indonesia | 3.4 |
| Mexico | 3.2 |
| Saudi Arabia | 2.4 |
| United States | 1.6 |
| Other (each less than 1%) | 5.8 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 23.4 |
| Banks | 18.7 |
| Technology Hardware & Equipment | 11.5 |
| Materials | 9.1 |
| Automobiles & Components | 7.1 |
| Transportation | 6.2 |
| Energy | 5.7 |
| Financial Services | 4.0 |
| Capital Goods | 3.4 |
| Utilities | 2.9 |
| Consumer Durables & Apparel | 2.9 |
| Pharmaceuticals, Biotechnology & Life Sciences | 2.4 |
| Food, Beverage & Tobacco | 1.6 |
| Other (each less than 1%) | 1.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Markets Fund
![Image](g12033g00x59.jpg)

#### Class II (GMEMX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Markets Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class II | $132 | 1.03% |

---

# How did the Fund perform last year and what affected its performance?
Class II shares of GMO Emerging Markets Fund returned +56.01% (net) for the fiscal year ended February 28, 2026, as compared with +49.96% for the MSCI Emerging Markets Index.

Stock selection and country allocation contributed to portfolio outperformance. Areas of strong stock selection included China, Financials, Consumer Discretionary, and Health Care. Country allocation contributors included underweight positioning toward India and Saudi Arabia. Indonesia was also a modestly positive contributor; value lost from the overweight allocation was more than offset by positive stock selection within the country.

Information Technology, Industrials, and Materials were the largest detractors, primarily from stock selection. Information Technology, detracted through a combination of underweight sector allocation and stock selection headwinds in Taiwan and Korea. Underweight positioning toward South African Materials also detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g97a28.jpg)

---

| | | |
|:---|:---|:---|
| | **Class II** | **MSCI Emerging Markets Index** |
| **2016** | $10000 | $10000 |
| **2016** | $11434 | $11323 |
| **2016** | $11513 | $11385 |
| **2016** | $11263 | $10960 |
| **2016** | $11724 | $11398 |
| **2016** | $12377 | $11972 |
| **2016** | $12679 | $12269 |
| **2016** | $12794 | $12427 |
| **2016** | $12710 | $12457 |
| **2016** | $12183 | $11883 |
| **2016** | $12200 | $11910 |
| **2017** | $12936 | $12561 |
| **2017** | $13447 | $12946 |
| **2017** | $13851 | $13273 |
| **2017** | $14061 | $13563 |
| **2017** | $14411 | $13964 |
| **2017** | $14564 | $14105 |
| **2017** | $15202 | $14945 |
| **2017** | $15423 | $15279 |
| **2017** | $15085 | $15218 |
| **2017** | $15657 | $15752 |
| **2017** | $15639 | $15783 |
| **2017** | $16100 | $16350 |
| **2018** | $17499 | $17712 |
| **2018** | $16762 | $16896 |
| **2018** | $16587 | $16559 |
| **2018** | $15897 | $16508 |
| **2018** | $15533 | $15923 |
| **2018** | $14926 | $15262 |
| **2018** | $15428 | $15597 |
| **2018** | $14893 | $15175 |
| **2018** | $15123 | $15095 |
| **2018** | $13966 | $13780 |
| **2018** | $14506 | $14348 |
| **2018** | $14028 | $13966 |
| **2019** | $15411 | $15191 |
| **2019** | $15326 | $15225 |
| **2019** | $15435 | $15353 |
| **2019** | $15701 | $15676 |
| **2019** | $14903 | $14539 |
| **2019** | $15863 | $15446 |
| **2019** | $15748 | $15257 |
| **2019** | $14840 | $14513 |
| **2019** | $15309 | $14790 |
| **2019** | $15868 | $15414 |
| **2019** | $15920 | $15393 |
| **2019** | $17127 | $16541 |
| **2020** | $15991 | $15770 |
| **2020** | $15309 | $14938 |
| **2020** | $12969 | $12638 |
| **2020** | $14100 | $13795 |
| **2020** | $14373 | $13901 |
| **2020** | $15026 | $14923 |
| **2020** | $16006 | $16256 |
| **2020** | $16096 | $16615 |
| **2020** | $15656 | $16349 |
| **2020** | $15721 | $16686 |
| **2020** | $17107 | $18229 |
| **2020** | $18062 | $19569 |
| **2021** | $18610 | $20169 |
| **2021** | $18966 | $20323 |
| **2021** | $19137 | $20016 |
| **2021** | $19313 | $20515 |
| **2021** | $19876 | $20750 |
| **2021** | $19607 | $21027 |
| **2021** | $18806 | $19612 |
| **2021** | $19272 | $20125 |
| **2021** | $18495 | $19325 |
| **2021** | $18692 | $19516 |
| **2021** | $17775 | $18720 |
| **2021** | $18419 | $19072 |
| **2022** | $18143 | $18711 |
| **2022** | $16097 | $18151 |
| **2022** | $14839 | $17741 |
| **2022** | $13986 | $16754 |
| **2022** | $14207 | $16828 |
| **2022** | $13300 | $15710 |
| **2022** | $13088 | $15671 |
| **2022** | $12989 | $15737 |
| **2022** | $11491 | $13892 |
| **2022** | $11425 | $13461 |
| **2022** | $13099 | $15457 |
| **2022** | $12595 | $15240 |
| **2023** | $13708 | $16443 |
| **2023** | $12752 | $15377 |
| **2023** | $12980 | $15843 |
| **2023** | $13020 | $15663 |
| **2023** | $12682 | $15400 |
| **2023** | $13114 | $15985 |
| **2023** | $13968 | $16980 |
| **2023** | $13130 | $15934 |
| **2023** | $13101 | $15517 |
| **2023** | $12812 | $14914 |
| **2023** | $13943 | $16108 |
| **2023** | $14814 | $16738 |
| **2024** | $14499 | $15960 |
| **2024** | $14991 | $16720 |
| **2024** | $15091 | $17087 |
| **2024** | $15255 | $17211 |
| **2024** | $15608 | $17308 |
| **2024** | $15677 | $17991 |
| **2024** | $15634 | $18044 |
| **2024** | $15922 | $18335 |
| **2024** | $16509 | $19560 |
| **2024** | $15800 | $18690 |
| **2024** | $15538 | $18018 |
| **2024** | $15298 | $17994 |
| **2025** | $15537 | $18315 |
| **2025** | $15424 | $18404 |
| **2025** | $15782 | $18520 |
| **2025** | $15835 | $18764 |
| **2025** | $16762 | $19564 |
| **2025** | $17703 | $20741 |
| **2025** | $18133 | $21145 |
| **2025** | $18756 | $21416 |
| **2025** | $19466 | $22948 |
| **2025** | $20103 | $23907 |
| **2025** | $19844 | $23335 |
| **2025** | $20465 | $24033 |
| **2026** | $22487 | $26161 |
| **2026** | $24063 | $27599 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class II | 56.01% | 4.88% | 9.18% |
| MSCI Emerging Markets Index | 49.96% | 6.31% | 10.69% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.13% for Class II is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 1.03% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $530049469 |
| Number of Portfolio Holdings | 209 |
| Portfolio Turnover Rate | 91%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $2892491 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 110%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Taiwan | 25.4 |
| China | 21.7 |
| South Korea | 18.7 |
| Thailand | 6.9 |
| Brazil | 6.8 |
| India | 5.7 |
| Hungary | 3.6 |
| Mexico | 2.2 |
| Saudi Arabia | 2.1 |
| Indonesia | 2.0 |
| Other (each less than 1%) | 4.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 18.3 |
| Banks | 17.7 |
| Technology Hardware & Equipment | 9.7 |
| Materials | 8.3 |
| Automobiles & Components | 7.6 |
| Transportation | 6.1 |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.3 |
| Capital Goods | 4.5 |
| Energy | 4.2 |
| Consumer Durables & Apparel | 3.6 |
| Utilities | 3.3 |
| Media & Entertainment | 2.7 |
| Financial Services | 2.6 |
| Consumer Discretionary Distribution & Retail | 2.1 |
| Insurance | 1.8 |
| Food, Beverage & Tobacco | 1 |
| Other (each less than 1%) | 1.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Markets Fund
![Image](g12033g00x59.jpg)

#### Class III (GMOEX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Markets Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $126 | 0.98% |

---

# How did the Fund perform last year and what affected its performance?
Class III shares of GMO Emerging Markets Fund returned +56.14% (net) for the fiscal year ended February 28, 2026, as compared with +49.96% for the MSCI Emerging Markets Index.

Stock selection and country allocation contributed to portfolio outperformance. Areas of strong stock selection included China, Financials, Consumer Discretionary, and Health Care. Country allocation contributors included underweight positioning toward India and Saudi Arabia. Indonesia was also a modestly positive contributor; value lost from the overweight allocation was more than offset by positive stock selection within the country.

Information Technology, Industrials, and Materials were the largest detractors, primarily from stock selection. Information Technology, detracted through a combination of underweight sector allocation and stock selection headwinds in Taiwan and Korea. Underweight positioning toward South African Materials also detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $50,000,000 Investment

![Growth of 10K Chart](g12033g71q12.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **MSCI Emerging Markets Index** |
| **2016** | $50000000 | $50000000 |
| **2016** | $57293035 | $56616373 |
| **2016** | $57621551 | $56924075 |
| **2016** | $56373193 | $54800689 |
| **2016** | $58738502 | $56990918 |
| **2016** | $61942353 | $59858802 |
| **2016** | $63477208 | $61346422 |
| **2016** | $64069224 | $62135248 |
| **2016** | $63630694 | $62283402 |
| **2016** | $60999514 | $59416437 |
| **2016** | $61084214 | $59547639 |
| **2017** | $64781535 | $62806266 |
| **2017** | $67336047 | $64728884 |
| **2017** | $69375175 | $66362862 |
| **2017** | $70428351 | $67815769 |
| **2017** | $72176175 | $69820700 |
| **2017** | $72938047 | $70523555 |
| **2017** | $76146218 | $74727430 |
| **2017** | $77248156 | $76394254 |
| **2017** | $75561515 | $76090494 |
| **2017** | $78440049 | $78757906 |
| **2017** | $78350095 | $78916003 |
| **2017** | $80660292 | $81748863 |
| **2018** | $87675230 | $88562285 |
| **2018** | $83972263 | $84477853 |
| **2018** | $83121270 | $82793520 |
| **2018** | $79671300 | $82540320 |
| **2018** | $77831317 | $79615583 |
| **2018** | $74795343 | $76307796 |
| **2018** | $77335389 | $77984069 |
| **2018** | $74640054 | $75875445 |
| **2018** | $75791907 | $75472749 |
| **2018** | $69986569 | $68900387 |
| **2018** | $72727978 | $71739753 |
| **2018** | $70316840 | $69831339 |
| **2019** | $77234419 | $75954231 |
| **2019** | $76830299 | $76124997 |
| **2019** | $77377050 | $76763900 |
| **2019** | $78708268 | $78379921 |
| **2019** | $74714613 | $72692564 |
| **2019** | $79540279 | $77229391 |
| **2019** | $78975596 | $76285032 |
| **2019** | $74435396 | $72565622 |
| **2019** | $76753287 | $73950884 |
| **2019** | $79572991 | $77069159 |
| **2019** | $79835845 | $76963116 |
| **2019** | $85882679 | $82704973 |
| **2020** | $80206954 | $78849709 |
| **2020** | $76771647 | $74691715 |
| **2020** | $65046794 | $63187487 |
| **2020** | $70722519 | $68973808 |
| **2020** | $72091663 | $69503579 |
| **2020** | $75377609 | $74612719 |
| **2020** | $80306773 | $81280249 |
| **2020** | $80757091 | $83076915 |
| **2020** | $78555535 | $81744418 |
| **2020** | $78880764 | $83428596 |
| **2020** | $85835681 | $91144696 |
| **2020** | $90634677 | $97845059 |
| **2021** | $93401556 | $100844772 |
| **2021** | $95185805 | $101616102 |
| **2021** | $96039142 | $100081433 |
| **2021** | $96944196 | $102573237 |
| **2021** | $99762792 | $103749180 |
| **2021** | $98418140 | $105132817 |
| **2021** | $94401407 | $98057542 |
| **2021** | $96734866 | $100624225 |
| **2021** | $92845767 | $96625347 |
| **2021** | $93831005 | $97578346 |
| **2021** | $89241868 | $93601713 |
| **2021** | $92476436 | $95358010 |
| **2022** | $91098207 | $93552979 |
| **2022** | $80829053 | $90756662 |
| **2022** | $74505416 | $88706860 |
| **2022** | $70235610 | $83772422 |
| **2022** | $71343598 | $84141260 |
| **2022** | $66803550 | $78550110 |
| **2022** | $65734381 | $78357145 |
| **2022** | $65239724 | $78684263 |
| **2022** | $57709950 | $69459935 |
| **2022** | $57380179 | $67303319 |
| **2022** | $65789343 | $77285591 |
| **2022** | $63257906 | $76199294 |
| **2023** | $68860082 | $82216100 |
| **2023** | $64074890 | $76885013 |
| **2023** | $65183654 | $79213647 |
| **2023** | $65417078 | $78315943 |
| **2023** | $63724754 | $77000531 |
| **2023** | $65883926 | $79924227 |
| **2023** | $70175657 | $84899622 |
| **2023** | $65972124 | $79669785 |
| **2023** | $65855359 | $77586246 |
| **2023** | $64377116 | $74571645 |
| **2023** | $70065546 | $80539621 |
| **2023** | $74436633 | $83688254 |
| **2024** | $72911164 | $79802304 |
| **2024** | $75370593 | $83598690 |
| **2024** | $75868705 | $85437239 |
| **2024** | $76709269 | $86053545 |
| **2024** | $78483794 | $86539595 |
| **2024** | $78857378 | $89953028 |
| **2024** | $78644974 | $90220731 |
| **2024** | $80097853 | $91677384 |
| **2024** | $83035196 | $97799147 |
| **2024** | $79466167 | $93449702 |
| **2024** | $78171209 | $90092034 |
| **2024** | $76966449 | $89968316 |
| **2025** | $78178777 | $91576069 |
| **2025** | $77588996 | $92019725 |
| **2025** | $79391105 | $92602244 |
| **2025** | $79685996 | $93819140 |
| **2025** | $84371480 | $97821685 |
| **2025** | $89089729 | $103703426 |
| **2025** | $91232467 | $105724486 |
| **2025** | $94415758 | $107080593 |
| **2025** | $97960041 | $114740550 |
| **2025** | $101176149 | $119535651 |
| **2025** | $99863452 | $116676976 |
| **2025** | $102999266 | $120167146 |
| **2026** | $113192440 | $130805257 |
| **2026** | $121147248 | $137993480 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III | 56.14% | 4.94% | 9.25% |
| MSCI Emerging Markets Index | 49.96% | 6.31% | 10.69% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.06% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.98% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $530049469 |
| Number of Portfolio Holdings | 209 |
| Portfolio Turnover Rate | 91%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $2892491 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 110%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Taiwan | 25.4 |
| China | 21.7 |
| South Korea | 18.7 |
| Thailand | 6.9 |
| Brazil | 6.8 |
| India | 5.7 |
| Hungary | 3.6 |
| Mexico | 2.2 |
| Saudi Arabia | 2.1 |
| Indonesia | 2.0 |
| Other (each less than 1%) | 4.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 18.3 |
| Banks | 17.7 |
| Technology Hardware & Equipment | 9.7 |
| Materials | 8.3 |
| Automobiles & Components | 7.6 |
| Transportation | 6.1 |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.3 |
| Capital Goods | 4.5 |
| Energy | 4.2 |
| Consumer Durables & Apparel | 3.6 |
| Utilities | 3.3 |
| Media & Entertainment | 2.7 |
| Financial Services | 2.6 |
| Consumer Discretionary Distribution & Retail | 2.1 |
| Insurance | 1.8 |
| Food, Beverage & Tobacco | 1 |
| Other (each less than 1%) | 1.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Markets Fund
![Image](g12033g00x59.jpg)

#### Class VI (GEMMX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Markets Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $109 | 0.85% |

---

# How did the Fund perform last year and what affected its performance?
Class VI shares of GMO Emerging Markets Fund returned +56.32% (net) for the fiscal year ended February 28, 2026, as compared with +49.96% for the MSCI Emerging Markets Index.

Stock selection and country allocation contributed to portfolio outperformance. Areas of strong stock selection included China, Financials, Consumer Discretionary, and Health Care.

Country allocation contributors included underweight positioning toward India and Saudi Arabia. Indonesia was also a modestly positive contributor; value lost from the overweight allocation was more than offset by positive stock selection within the country.

Information Technology, Industrials, and Materials were the largest detractors, primarily from stock selection. Information Technology, detracted through a combination of underweight sector allocation and stock selection headwinds in Taiwan and Korea. Underweight positioning toward South African Materials also detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g61p39.jpg)

---

| | | |
|:---|:---|:---|
| | **Class VI** | **MSCI Emerging Markets Index** |
| **2016** | $300000000 | $300000000 |
| **2016** | $343766578 | $339698237 |
| **2016** | $345755968 | $341544447 |
| **2016** | $338196286 | $328804135 |
| **2016** | $352519894 | $341945510 |
| **2016** | $371907485 | $359152811 |
| **2016** | $381205173 | $368078532 |
| **2016** | $384658599 | $372811489 |
| **2016** | $382134941 | $373700409 |
| **2016** | $366328873 | $356498623 |
| **2016** | $366859772 | $357285834 |
| **2017** | $389143106 | $376837594 |
| **2017** | $404496867 | $388373305 |
| **2017** | $416725526 | $398177169 |
| **2017** | $423111604 | $406894616 |
| **2017** | $433709775 | $418924199 |
| **2017** | $438329491 | $423141329 |
| **2017** | $457607780 | $448364579 |
| **2017** | $464431636 | $458365527 |
| **2017** | $454332329 | $456542966 |
| **2017** | $471528446 | $472547436 |
| **2017** | $471119015 | $473496019 |
| **2017** | $485079338 | $490493177 |
| **2018** | $527412011 | $531373712 |
| **2018** | $505197836 | $506867121 |
| **2018** | $500028500 | $496761120 |
| **2018** | $479211443 | $495241919 |
| **2018** | $468313923 | $477693497 |
| **2018** | $450011679 | $457846777 |
| **2018** | $465341854 | $467904417 |
| **2018** | $449242482 | $455252673 |
| **2018** | $456242209 | $452836493 |
| **2018** | $421383568 | $413402319 |
| **2018** | $437762930 | $430438516 |
| **2018** | $423309858 | $418988036 |
| **2019** | $465105741 | $455725385 |
| **2019** | $462791782 | $456749983 |
| **2019** | $465973476 | $460583397 |
| **2019** | $474216954 | $470279525 |
| **2019** | $450065008 | $436155386 |
| **2019** | $479134117 | $463376344 |
| **2019** | $475945187 | $457710194 |
| **2019** | $448598703 | $435393733 |
| **2019** | $462708325 | $443705306 |
| **2019** | $479727147 | $462414956 |
| **2019** | $481327207 | $461778694 |
| **2019** | $517792022 | $496229840 |
| **2020** | $483656891 | $473098252 |
| **2020** | $463024100 | $448150291 |
| **2020** | $392326449 | $379124924 |
| **2020** | $426613292 | $413842847 |
| **2020** | $434957436 | $417021472 |
| **2020** | $454831668 | $447676315 |
| **2020** | $484478679 | $487681494 |
| **2020** | $487224465 | $498461490 |
| **2020** | $474105709 | $490466510 |
| **2020** | $476088777 | $500571578 |
| **2020** | $518190828 | $546868177 |
| **2020** | $547058501 | $587070353 |
| **2021** | $563946920 | $605068631 |
| **2021** | $574679747 | $609696611 |
| **2021** | $580046160 | $600488600 |
| **2021** | $585412574 | $615439420 |
| **2021** | $602616664 | $622495080 |
| **2021** | $594567044 | $630796905 |
| **2021** | $570209255 | $588345252 |
| **2021** | $584460528 | $603745348 |
| **2021** | $561025102 | $579752080 |
| **2021** | $567042306 | $585470074 |
| **2021** | $539331498 | $561610275 |
| **2021** | $558857191 | $572148061 |
| **2022** | $550757812 | $561317875 |
| **2022** | $488607470 | $544539970 |
| **2022** | $450424681 | $532241161 |
| **2022** | $424638901 | $502634530 |
| **2022** | $431581226 | $504847558 |
| **2022** | $403977218 | $471300658 |
| **2022** | $397552666 | $470142870 |
| **2022** | $394692575 | $472105578 |
| **2022** | $349099357 | $416759608 |
| **2022** | $347248710 | $403819917 |
| **2022** | $398225628 | $463713546 |
| **2022** | $382822976 | $457195767 |
| **2023** | $416827822 | $493296599 |
| **2023** | $387834217 | $461310078 |
| **2023** | $394635186 | $475281883 |
| **2023** | $396066969 | $469895660 |
| **2023** | $385865515 | $462003188 |
| **2023** | $399109508 | $479545363 |
| **2023** | $425091802 | $509397734 |
| **2023** | $399542806 | $478018712 |
| **2023** | $398999210 | $465517478 |
| **2023** | $390160345 | $447429871 |
| **2023** | $424558310 | $483237726 |
| **2023** | $451117465 | $502129523 |
| **2024** | $441816074 | $478813823 |
| **2024** | $456737056 | $501592141 |
| **2024** | $459837520 | $512623433 |
| **2024** | $464875773 | $516321270 |
| **2024** | $475727396 | $519237567 |
| **2024** | $478052744 | $539718168 |
| **2024** | $476801383 | $541324386 |
| **2024** | $485656546 | $550064304 |
| **2024** | $503563656 | $586794879 |
| **2024** | $481917699 | $560698214 |
| **2024** | $474046443 | $540552203 |
| **2024** | $466671167 | $539809899 |
| **2025** | $474234388 | $549456415 |
| **2025** | $470759394 | $552118348 |
| **2025** | $481797608 | $555613465 |
| **2025** | $483637311 | $562914839 |
| **2025** | $512050492 | $586930107 |
| **2025** | $540668084 | $622220557 |
| **2025** | $553803856 | $634346917 |
| **2025** | $573055913 | $642483556 |
| **2025** | $594765680 | $688443302 |
| **2025** | $614427355 | $717213903 |
| **2025** | $606439799 | $700061856 |
| **2025** | $625483755 | $721002878 |
| **2026** | $687579350 | $784831539 |
| **2026** | $735875924 | $827960882 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class VI | 56.32% | 5.07% | 9.39% |
| MSCI Emerging Markets Index | 49.96% | 6.31% | 10.69% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.97% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.86% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $530049469 |
| Number of Portfolio Holdings | 209 |
| Portfolio Turnover Rate | 91%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $2892491 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 110%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Taiwan | 25.4 |
| China | 21.7 |
| South Korea | 18.7 |
| Thailand | 6.9 |
| Brazil | 6.8 |
| India | 5.7 |
| Hungary | 3.6 |
| Mexico | 2.2 |
| Saudi Arabia | 2.1 |
| Indonesia | 2.0 |
| Other (each less than 1%) | 4.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 18.3 |
| Banks | 17.7 |
| Technology Hardware & Equipment | 9.7 |
| Materials | 8.3 |
| Automobiles & Components | 7.6 |
| Transportation | 6.1 |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.3 |
| Capital Goods | 4.5 |
| Energy | 4.2 |
| Consumer Durables & Apparel | 3.6 |
| Utilities | 3.3 |
| Media & Entertainment | 2.7 |
| Financial Services | 2.6 |
| Consumer Discretionary Distribution & Retail | 2.1 |
| Insurance | 1.8 |
| Food, Beverage & Tobacco | 1 |
| Other (each less than 1%) | 1.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Markets Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GEMNX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Markets Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $132 | 1.03% |

---

# How did the Fund perform last year and what affected its performance?
Class R6 shares of GMO Emerging Markets Fund returned +56.01% (net) for the fiscal year ended February 28, 2026, as compared with +49.96% for the MSCI Emerging Markets Index.

Stock selection and country allocation contributed to portfolio outperformance. Areas of strong stock selection included China, Financials, Consumer Discretionary, and Health Care. Country allocation contributors included underweight positioning toward India and Saudi Arabia. Indonesia was also a modestly positive contributor; value lost from the overweight allocation was more than offset by positive stock selection within the country.

Information Technology, Industrials, and Materials were the largest detractors, primarily from stock selection. Information Technology, detracted through a combination of underweight sector allocation and stock selection headwinds in Taiwan and Korea. Underweight positioning toward South African Materials also detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g06y19.jpg)

---

| | | |
|:---|:---|:---|
| | **Class R6** | **MSCI Emerging Markets Index** |
| **2020** | $10000 | $10000 |
| **2020** | $10871 | $10916 |
| **2020** | $11083 | $11000 |
| **2020** | $11585 | $11808 |
| **2020** | $12341 | $12863 |
| **2020** | $12410 | $13148 |
| **2020** | $12075 | $12937 |
| **2020** | $12121 | $13203 |
| **2020** | $13190 | $14424 |
| **2020** | $13926 | $15485 |
| **2021** | $14353 | $15960 |
| **2021** | $14624 | $16082 |
| **2021** | $14756 | $15839 |
| **2021** | $14892 | $16233 |
| **2021** | $15326 | $16419 |
| **2021** | $15119 | $16638 |
| **2021** | $14501 | $15519 |
| **2021** | $14861 | $15925 |
| **2021** | $14261 | $15292 |
| **2021** | $14409 | $15443 |
| **2021** | $13705 | $14813 |
| **2021** | $14200 | $15091 |
| **2022** | $13992 | $14806 |
| **2022** | $12412 | $14363 |
| **2022** | $11441 | $14039 |
| **2022** | $10782 | $13258 |
| **2022** | $10957 | $13316 |
| **2022** | $10257 | $12431 |
| **2022** | $10090 | $12401 |
| **2022** | $10018 | $12453 |
| **2022** | $8857 | $10993 |
| **2022** | $8806 | $10651 |
| **2022** | $10103 | $12231 |
| **2022** | $9709 | $12059 |
| **2023** | $10573 | $13011 |
| **2023** | $9835 | $12168 |
| **2023** | $10006 | $12536 |
| **2023** | $10038 | $12394 |
| **2023** | $9781 | $12186 |
| **2023** | $10114 | $12649 |
| **2023** | $10771 | $13436 |
| **2023** | $10125 | $12608 |
| **2023** | $10107 | $12279 |
| **2023** | $9880 | $11802 |
| **2023** | $10752 | $12746 |
| **2023** | $11424 | $13244 |
| **2024** | $11181 | $12629 |
| **2024** | $11560 | $13230 |
| **2024** | $11638 | $13521 |
| **2024** | $11764 | $13619 |
| **2024** | $12036 | $13696 |
| **2024** | $12089 | $14236 |
| **2024** | $12057 | $14278 |
| **2024** | $12279 | $14509 |
| **2024** | $12727 | $15478 |
| **2024** | $12185 | $14789 |
| **2024** | $11983 | $14258 |
| **2024** | $11794 | $14238 |
| **2025** | $11983 | $14493 |
| **2025** | $11896 | $14563 |
| **2025** | $12167 | $14655 |
| **2025** | $12213 | $14848 |
| **2025** | $12929 | $15481 |
| **2025** | $13654 | $16412 |
| **2025** | $13981 | $16732 |
| **2025** | $14467 | $16946 |
| **2025** | $15010 | $18159 |
| **2025** | $15506 | $18918 |
| **2025** | $15301 | $18465 |
| **2025** | $15779 | $19018 |
| **2026** | $17339 | $20701 |
| **2026** | $18560 | $21839 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 3/31/2020 (commencement of operations) |
| Class R6 | 56.01% | 4.88% | 11.02% |
| MSCI Emerging Markets Index | 49.96% | 6.31% | 14.12% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.13% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 1.03% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $530049469 |
| Number of Portfolio Holdings | 209 |
| Portfolio Turnover Rate | 91%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $2892491 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 110%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Taiwan | 25.4 |
| China | 21.7 |
| South Korea | 18.7 |
| Thailand | 6.9 |
| Brazil | 6.8 |
| India | 5.7 |
| Hungary | 3.6 |
| Mexico | 2.2 |
| Saudi Arabia | 2.1 |
| Indonesia | 2.0 |
| Other (each less than 1%) | 4.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 18.3 |
| Banks | 17.7 |
| Technology Hardware & Equipment | 9.7 |
| Materials | 8.3 |
| Automobiles & Components | 7.6 |
| Transportation | 6.1 |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.3 |
| Capital Goods | 4.5 |
| Energy | 4.2 |
| Consumer Durables & Apparel | 3.6 |
| Utilities | 3.3 |
| Media & Entertainment | 2.7 |
| Financial Services | 2.6 |
| Consumer Discretionary Distribution & Retail | 2.1 |
| Insurance | 1.8 |
| Food, Beverage & Tobacco | 1 |
| Other (each less than 1%) | 1.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Markets Fund
![Image](g12033g00x59.jpg)

#### Class I (GEMEX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Markets Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $145 | 1.13% |

---

# How did the Fund perform last year and what affected its performance?
Class I shares of GMO Emerging Markets Fund returned +55.87% (net) for the fiscal year ended February 28, 2026, as compared with +49.96% for the MSCI Emerging Markets Index.

Stock selection and country allocation contributed to portfolio outperformance. Areas of strong stock selection included China, Financials, Consumer Discretionary, and Health Care. Country allocation contributors included underweight positioning toward India and Saudi Arabia. Indonesia was also a modestly positive contributor; value lost from the overweight allocation was more than offset by positive stock selection within the country.

Information Technology, Industrials, and Materials were the largest detractors, primarily from stock selection. Information Technology, detracted through a combination of underweight sector allocation and stock selection headwinds in Taiwan and Korea. Underweight positioning toward South African Materials also detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g04i26.jpg)

---

| | | |
|:---|:---|:---|
| | **Class I** | **MSCI Emerging Markets Index** |
| **2020** | $10000 | $10000 |
| **2020** | $9102 | $9289 |
| **2020** | $8714 | $8799 |
| **2020** | $7382 | $7444 |
| **2020** | $8025 | $8125 |
| **2020** | $8181 | $8188 |
| **2020** | $8552 | $8790 |
| **2020** | $9108 | $9575 |
| **2020** | $9156 | $9787 |
| **2020** | $8909 | $9630 |
| **2020** | $8943 | $9828 |
| **2020** | $9732 | $10737 |
| **2020** | $10275 | $11526 |
| **2021** | $10587 | $11880 |
| **2021** | $10790 | $11971 |
| **2021** | $10887 | $11790 |
| **2021** | $10987 | $12083 |
| **2021** | $11305 | $12222 |
| **2021** | $11152 | $12385 |
| **2021** | $10697 | $11551 |
| **2021** | $10962 | $11854 |
| **2021** | $10517 | $11383 |
| **2021** | $10629 | $11495 |
| **2021** | $10107 | $11026 |
| **2021** | $10473 | $11233 |
| **2022** | $10316 | $11021 |
| **2022** | $9150 | $10691 |
| **2022** | $8437 | $10450 |
| **2022** | $7951 | $9869 |
| **2022** | $8077 | $9912 |
| **2022** | $7560 | $9253 |
| **2022** | $7439 | $9231 |
| **2022** | $7386 | $9269 |
| **2022** | $6529 | $8183 |
| **2022** | $6492 | $7928 |
| **2022** | $7445 | $9104 |
| **2022** | $7158 | $8976 |
| **2023** | $7792 | $9685 |
| **2023** | $7248 | $9057 |
| **2023** | $7374 | $9332 |
| **2023** | $7397 | $9226 |
| **2023** | $7208 | $9071 |
| **2023** | $7450 | $9415 |
| **2023** | $7936 | $10001 |
| **2023** | $7459 | $9385 |
| **2023** | $7446 | $9140 |
| **2023** | $7279 | $8785 |
| **2023** | $7919 | $9488 |
| **2023** | $8414 | $9859 |
| **2024** | $8238 | $9401 |
| **2024** | $8514 | $9848 |
| **2024** | $8568 | $10065 |
| **2024** | $8665 | $10137 |
| **2024** | $8862 | $10195 |
| **2024** | $8905 | $10597 |
| **2024** | $8879 | $10628 |
| **2024** | $9042 | $10800 |
| **2024** | $9373 | $11521 |
| **2024** | $8969 | $11009 |
| **2024** | $8820 | $10613 |
| **2024** | $8684 | $10598 |
| **2025** | $8820 | $10788 |
| **2025** | $8752 | $10840 |
| **2025** | $8955 | $10909 |
| **2025** | $8986 | $11052 |
| **2025** | $9513 | $11524 |
| **2025** | $10044 | $12216 |
| **2025** | $10284 | $12455 |
| **2025** | $10638 | $12614 |
| **2025** | $11042 | $13517 |
| **2025** | $11400 | $14082 |
| **2025** | $11253 | $13745 |
| **2025** | $11606 | $14156 |
| **2026** | $12751 | $15409 |
| **2026** | $13642 | $16256 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 1/14/2020 (commencement of operations) |
| Class I | 55.87% | 4.80% | 5.20% |
| MSCI Emerging Markets Index | 49.96% | 6.31% | 8.26% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.26% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 1.12% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $530049469 |
| Number of Portfolio Holdings | 209 |
| Portfolio Turnover Rate | 91%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $2892491 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 110%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Taiwan | 25.4 |
| China | 21.7 |
| South Korea | 18.7 |
| Thailand | 6.9 |
| Brazil | 6.8 |
| India | 5.7 |
| Hungary | 3.6 |
| Mexico | 2.2 |
| Saudi Arabia | 2.1 |
| Indonesia | 2.0 |
| Other (each less than 1%) | 4.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 18.3 |
| Banks | 17.7 |
| Technology Hardware & Equipment | 9.7 |
| Materials | 8.3 |
| Automobiles & Components | 7.6 |
| Transportation | 6.1 |
| Pharmaceuticals, Biotechnology & Life Sciences | 5.3 |
| Capital Goods | 4.5 |
| Energy | 4.2 |
| Consumer Durables & Apparel | 3.6 |
| Utilities | 3.3 |
| Media & Entertainment | 2.7 |
| Financial Services | 2.6 |
| Consumer Discretionary Distribution & Retail | 2.1 |
| Insurance | 1.8 |
| Food, Beverage & Tobacco | 1 |
| Other (each less than 1%) | 1.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Equity Fund
![Image](g12033g00x59.jpg)

#### Class III (GMOIX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Equity Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $86 | 0.68% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI EAFE Index is included for comparative purposes.

Class III shares of GMO International Equity Fund returned +52.42% (net) for the fiscal year ended February 28, 2026, as compared with +34.63% for the MSCI EAFE Index.

Strong stock selection across sectors drove portfolio outperformance for the period, with broad-based contributions from Consumer Discretionary, Information Technology, Consumer Staples, Health Care, Materials, and Industrials. An underweight allocation toward Danish Health Care was also a notable contributor.

Partially offsetting these gains, underweight positioning in Utilities and stock selection in France were both among the top detractors.

For the year ended February 28, 2026, the Fund's performance was positively impacted by an adjustment to net asset value related to the finalization of an IRS closing agreement. The adjustment contributed 5.49% to the performance during the year. Without this event, performance would have been lower in both absolute terms and relative to the benchmark.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g97h02.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **MSCI EAFE Index** |
| **2016** | $10000 | $10000 |
| **2016** | $10686 | $10651 |
| **2016** | $10925 | $10959 |
| **2016** | $10919 | $10859 |
| **2016** | $10539 | $10495 |
| **2016** | $10917 | $11027 |
| **2016** | $10944 | $11035 |
| **2016** | $11130 | $11170 |
| **2016** | $10977 | $10942 |
| **2016** | $10808 | $10724 |
| **2016** | $11128 | $11091 |
| **2017** | $11411 | $11412 |
| **2017** | $11553 | $11575 |
| **2017** | $11859 | $11894 |
| **2017** | $12130 | $12197 |
| **2017** | $12527 | $12644 |
| **2017** | $12583 | $12622 |
| **2017** | $12883 | $12986 |
| **2017** | $13048 | $12981 |
| **2017** | $13446 | $13304 |
| **2017** | $13765 | $13506 |
| **2017** | $13771 | $13648 |
| **2017** | $13992 | $13867 |
| **2018** | $14815 | $14563 |
| **2018** | $13974 | $13905 |
| **2018** | $13776 | $13631 |
| **2018** | $13840 | $13966 |
| **2018** | $13589 | $13652 |
| **2018** | $13039 | $13486 |
| **2018** | $13423 | $13818 |
| **2018** | $13111 | $13551 |
| **2018** | $13158 | $13668 |
| **2018** | $11929 | $12580 |
| **2018** | $11788 | $12565 |
| **2018** | $11116 | $11955 |
| **2019** | $12126 | $12740 |
| **2019** | $12295 | $13065 |
| **2019** | $12313 | $13147 |
| **2019** | $12688 | $13517 |
| **2019** | $11799 | $12868 |
| **2019** | $12513 | $13631 |
| **2019** | $12139 | $13458 |
| **2019** | $11873 | $13110 |
| **2019** | $12448 | $13485 |
| **2019** | $13066 | $13970 |
| **2019** | $13242 | $14127 |
| **2019** | $13841 | $14586 |
| **2020** | $13603 | $14282 |
| **2020** | $12577 | $12991 |
| **2020** | $10523 | $11257 |
| **2020** | $11331 | $11984 |
| **2020** | $11844 | $12506 |
| **2020** | $12245 | $12932 |
| **2020** | $12685 | $13233 |
| **2020** | $13105 | $13914 |
| **2020** | $12961 | $13552 |
| **2020** | $12396 | $13011 |
| **2020** | $14009 | $15028 |
| **2020** | $14873 | $15726 |
| **2021** | $14762 | $15559 |
| **2021** | $15293 | $15908 |
| **2021** | $15988 | $16274 |
| **2021** | $16408 | $16763 |
| **2021** | $17221 | $17365 |
| **2021** | $16801 | $17115 |
| **2021** | $16730 | $17244 |
| **2021** | $16857 | $17548 |
| **2021** | $16257 | $17039 |
| **2021** | $16557 | $17458 |
| **2021** | $15729 | $16645 |
| **2021** | $16678 | $17498 |
| **2022** | $16538 | $16652 |
| **2022** | $16070 | $16358 |
| **2022** | $15930 | $16463 |
| **2022** | $15008 | $15398 |
| **2022** | $15483 | $15513 |
| **2022** | $14037 | $14074 |
| **2022** | $14402 | $14775 |
| **2022** | $13708 | $14073 |
| **2022** | $12600 | $12757 |
| **2022** | $13392 | $13443 |
| **2022** | $15054 | $14957 |
| **2022** | $14939 | $14969 |
| **2023** | $16025 | $16181 |
| **2023** | $15769 | $15844 |
| **2023** | $16032 | $16236 |
| **2023** | $16323 | $16695 |
| **2023** | $15631 | $15988 |
| **2023** | $16731 | $16716 |
| **2023** | $17378 | $17257 |
| **2023** | $16858 | $16595 |
| **2023** | $16524 | $16029 |
| **2023** | $15894 | $15379 |
| **2023** | $17304 | $16806 |
| **2023** | $18000 | $17699 |
| **2024** | $18063 | $17801 |
| **2024** | $18448 | $18127 |
| **2024** | $19297 | $18703 |
| **2024** | $18912 | $18244 |
| **2024** | $20012 | $18950 |
| **2024** | $19320 | $18644 |
| **2024** | $20062 | $19191 |
| **2024** | $20667 | $19815 |
| **2024** | $20978 | $19998 |
| **2024** | $19815 | $18911 |
| **2024** | $19728 | $18803 |
| **2024** | $20335 | $18376 |
| **2025** | $21326 | $19341 |
| **2025** | $21915 | $19717 |
| **2025** | $22316 | $19637 |
| **2025** | $23446 | $20536 |
| **2025** | $24379 | $21476 |
| **2025** | $25157 | $21949 |
| **2025** | $25034 | $21641 |
| **2025** | $26270 | $22564 |
| **2025** | $26740 | $22996 |
| **2025** | $27111 | $23266 |
| **2025** | $28496 | $23411 |
| **2025** | $29283 | $24113 |
| **2026** | $31179 | $25371 |
| **2026** | $33404 | $26545 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III† | 52.42% | 16.92% | 12.82% |
| MSCI EAFE Index | 34.63% | 10.78% | 10.26% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 5.52% to the performance for the fiscal year ended February 28, 2025. For the year ended February 28, 2026, the Fund's performance was positively impacted by an adjustment to net asset value related to the finalization of an IRS closing agreement. The adjustment contributed 5.49% to the performance during the year. Performance for other periods including these dates were also positively impacted, sometimes materially. Without these events, performance would have been lower in both absolute terms and relative to the benchmark.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.73% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus supplement dated September 3, 2025. The net expense ratio of 0.69% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1149440871 |
| Number of Portfolio Holdings | 192 |
| Portfolio Turnover Rate | 74%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $5119140 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 104%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Japan | 26.7 |
| United Kingdom | 12.3 |
| Netherlands | 8.6 |
| France | 8.6 |
| Spain | 7.3 |
| Switzerland | 6.4 |
| Hong Kong | 5.5 |
| Germany | 4.9 |
| Australia | 4.3 |
| Italy | 3.0 |
| Singapore | 2.7 |
| Finland | 2.4 |
| Norway | 1.7 |
| Israel | 1.5 |
| Canada | 1.4 |
| Belgium | 1.1 |
| Other (each less than 1%) | 1.6 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 18.9 |
| Banks | 15.5 |
| Pharmaceuticals, Biotechnology & Life Sciences | 10.3 |
| Materials | 8.0 |
| Semiconductors & Semiconductor Equipment | 6.0 |
| Automobiles & Components | 6.0 |
| Financial Services | 5.1 |
| Telecommunication Services | 4.5 |
| Technology Hardware & Equipment | 4.4 |
| Insurance | 4.4 |
| Consumer Durables & Apparel | 4.1 |
| Food, Beverage & Tobacco | 3.6 |
| Software & Services | 2.4 |
| Consumer Staples Distribution & Retail | 2.0 |
| Transportation | 1.9 |
| Other (each less than 1%) | 2.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Equity Fund
![Image](g12033g00x59.jpg)

#### Class IV (GMCFX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Equity Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class IV | $78 | 0.62% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI EAFE Index is included for comparative purposes.

Class IV shares of GMO International Equity Fund returned +52.48% (net) for the fiscal year ended February 28, 2026, as compared with +34.63% for the MSCI EAFE Index.

Strong stock selection across sectors drove portfolio outperformance for the period, with broad-based contributions from Consumer Discretionary, Information Technology, Consumer Staples, Health Care, Materials, and Industrials. An underweight allocation toward Danish Health Care was also a notable contributor.

Partially offsetting these gains, underweight positioning in Utilities and stock selection in France were both among the top detractors.

For the year ended February 28, 2026, the Fund's performance was positively impacted by an adjustment to net asset value related to the finalization of an IRS closing agreement. The adjustment contributed 5.49% to the performance during the year. Without this event, performance would have been lower in both absolute terms and relative to the benchmark.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $125,000,000 Investment

![Growth of 10K Chart](g12033g88n26.jpg)

---

| | | |
|:---|:---|:---|
| | **Class IV** | **MSCI EAFE Index** |
| **2016** | $125000000 | $125000000 |
| **2016** | $133510349 | $133133424 |
| **2016** | $136505991 | $136987780 |
| **2016** | $136437909 | $135743359 |
| **2016** | $131672113 | $131186787 |
| **2016** | $136440380 | $137835431 |
| **2016** | $136782336 | $137933291 |
| **2016** | $139107635 | $139627718 |
| **2016** | $137261074 | $136771654 |
| **2016** | $135140948 | $134047705 |
| **2016** | $139142564 | $138631385 |
| **2017** | $142686695 | $142652761 |
| **2017** | $144458760 | $144692624 |
| **2017** | $148286421 | $148675821 |
| **2017** | $151688786 | $152458858 |
| **2017** | $156650569 | $158054719 |
| **2017** | $157359395 | $157775178 |
| **2017** | $161109787 | $162326325 |
| **2017** | $163177125 | $162265161 |
| **2017** | $168167251 | $166302404 |
| **2017** | $172159352 | $168827657 |
| **2017** | $172230640 | $170598535 |
| **2017** | $175065792 | $173336829 |
| **2018** | $185316403 | $182031315 |
| **2018** | $174772917 | $173815157 |
| **2018** | $172356702 | $170389571 |
| **2018** | $173162107 | $174579494 |
| **2018** | $170013705 | $170655315 |
| **2018** | $163131152 | $168570370 |
| **2018** | $167959477 | $172719782 |
| **2018** | $164053443 | $169384142 |
| **2018** | $164643033 | $170854181 |
| **2018** | $149313691 | $157255548 |
| **2018** | $147544920 | $157057392 |
| **2018** | $139094779 | $149433212 |
| **2019** | $151760443 | $159253988 |
| **2019** | $153884027 | $163313589 |
| **2019** | $154111554 | $164343405 |
| **2019** | $158889619 | $168963973 |
| **2019** | $147740801 | $160849324 |
| **2019** | $156690192 | $170391777 |
| **2019** | $151952626 | $168228344 |
| **2019** | $148685644 | $163870232 |
| **2019** | $155903394 | $168566102 |
| **2019** | $163577002 | $174622531 |
| **2019** | $165856291 | $176591085 |
| **2019** | $173344331 | $182330242 |
| **2020** | $170359699 | $178521762 |
| **2020** | $157478652 | $162383799 |
| **2020** | $131795101 | $140710713 |
| **2020** | $141927144 | $149800996 |
| **2020** | $148367667 | $156324059 |
| **2020** | $153394417 | $161646826 |
| **2020** | $158955307 | $165414635 |
| **2020** | $164232812 | $173918749 |
| **2020** | $162342363 | $169399762 |
| **2020** | $155253177 | $162635823 |
| **2020** | $175575510 | $187846553 |
| **2020** | $186391638 | $196580664 |
| **2021** | $184992054 | $194486316 |
| **2021** | $191660659 | $198848511 |
| **2021** | $200387476 | $203420671 |
| **2021** | $205656498 | $209541500 |
| **2021** | $215865227 | $217057888 |
| **2021** | $210596206 | $213939806 |
| **2021** | $209758350 | $215550666 |
| **2021** | $211350603 | $219352827 |
| **2021** | $203808353 | $212986995 |
| **2021** | $207579478 | $218225493 |
| **2021** | $197187934 | $208068465 |
| **2021** | $209182224 | $218722361 |
| **2022** | $207426603 | $208152833 |
| **2022** | $201545273 | $204472382 |
| **2022** | $199701871 | $205786621 |
| **2022** | $188202555 | $192473314 |
| **2022** | $194259447 | $193916246 |
| **2022** | $176000990 | $175923224 |
| **2022** | $180633359 | $184689463 |
| **2022** | $171910089 | $175917712 |
| **2022** | $158076218 | $159461137 |
| **2022** | $168033081 | $168036099 |
| **2022** | $188916059 | $186962988 |
| **2022** | $187441772 | $187113225 |
| **2023** | $201092224 | $202265113 |
| **2023** | $197885742 | $198044534 |
| **2023** | $201183838 | $202952883 |
| **2023** | $204848388 | $208682823 |
| **2023** | $196145080 | $199851763 |
| **2023** | $210070373 | $208946929 |
| **2023** | $218119230 | $215707724 |
| **2023** | $211588715 | $207443441 |
| **2023** | $207390526 | $200357658 |
| **2023** | $199553907 | $192234791 |
| **2023** | $217186300 | $210077610 |
| **2023** | $225984118 | $221238825 |
| **2024** | $226774964 | $222512029 |
| **2024** | $231717748 | $226584984 |
| **2024** | $242295308 | $233781208 |
| **2024** | $237451379 | $228043868 |
| **2024** | $251390032 | $236877146 |
| **2024** | $242690730 | $233053040 |
| **2024** | $251971178 | $239890005 |
| **2024** | $259582390 | $247690317 |
| **2024** | $263488143 | $249977580 |
| **2024** | $248866604 | $236383550 |
| **2024** | $247865129 | $235042448 |
| **2024** | $255407455 | $229697135 |
| **2025** | $267873894 | $241768108 |
| **2025** | $275394969 | $246456790 |
| **2025** | $280340333 | $245462493 |
| **2025** | $294661284 | $256705975 |
| **2025** | $306406524 | $268450996 |
| **2025** | $316091195 | $274365992 |
| **2025** | $314594148 | $270514740 |
| **2025** | $330157842 | $282047418 |
| **2025** | $335968288 | $287445392 |
| **2025** | $340741155 | $290826826 |
| **2025** | $358172493 | $292632590 |
| **2025** | $368123575 | $301411306 |
| **2026** | $392003630 | $317140219 |
| **2026** | $419918214 | $331813390 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class IV† | 52.48% | 16.99% | 12.88% |
| MSCI EAFE Index | 34.63% | 10.78% | 10.26% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 5.52% to the performance for the fiscal year ended February 28, 2025. For the year ended February 28, 2026, the Fund's performance was positively impacted by an adjustment to net asset value related to the finalization of an IRS closing agreement. The adjustment contributed 5.49% to the performance during the year. Performance for other periods including these dates were also positively impacted, sometimes materially. Without these events, performance would have been lower in both absolute terms and relative to the benchmark.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.67% for Class IV is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus supplement dated September 3, 2025. The net expense ratio of 0.63% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1149440871 |
| Number of Portfolio Holdings | 192 |
| Portfolio Turnover Rate | 74%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $5119140 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 104%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Japan | 26.7 |
| United Kingdom | 12.3 |
| Netherlands | 8.6 |
| France | 8.6 |
| Spain | 7.3 |
| Switzerland | 6.4 |
| Hong Kong | 5.5 |
| Germany | 4.9 |
| Australia | 4.3 |
| Italy | 3.0 |
| Singapore | 2.7 |
| Finland | 2.4 |
| Norway | 1.7 |
| Israel | 1.5 |
| Canada | 1.4 |
| Belgium | 1.1 |
| Other (each less than 1%) | 1.6 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 18.9 |
| Banks | 15.5 |
| Pharmaceuticals, Biotechnology & Life Sciences | 10.3 |
| Materials | 8.0 |
| Semiconductors & Semiconductor Equipment | 6.0 |
| Automobiles & Components | 6.0 |
| Financial Services | 5.1 |
| Telecommunication Services | 4.5 |
| Technology Hardware & Equipment | 4.4 |
| Insurance | 4.4 |
| Consumer Durables & Apparel | 4.1 |
| Food, Beverage & Tobacco | 3.6 |
| Software & Services | 2.4 |
| Consumer Staples Distribution & Retail | 2.0 |
| Transportation | 1.9 |
| Other (each less than 1%) | 2.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Equity Fund
![Image](g12033g00x59.jpg)

#### Class I (GMOUX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Equity Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $97 | 0.77% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI EAFE Index is included for comparative purposes.

Class I shares of GMO International Equity Fund returned +52.23% (net) for the fiscal year ended February 28, 2026, as compared with +34.63% for the MSCI EAFE Index.

Strong stock selection across sectors drove portfolio outperformance for the period, with broad-based contributions from Consumer Discretionary, Information Technology, Consumer Staples, Health Care, Materials, and Industrials. An underweight allocation toward Danish Health Care was also a notable contributor.

Partially offsetting these gains, underweight positioning in Utilities and stock selection in France were both among the top detractors.

For the year ended February 28, 2026, the Fund's performance was positively impacted by an adjustment to net asset value related to the finalization of an IRS closing agreement. The adjustment contributed 5.49% to the performance during the year. Without this event, performance would have been lower in both absolute terms and relative to the benchmark.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g48y11.jpg)

---

| | | |
|:---|:---|:---|
| | **Class I** | **MSCI EAFE Index** |
| **2021** | $10000 | $10000 |
| **2021** | $10050 | $10078 |
| **2021** | $9810 | $9933 |
| **2021** | $9763 | $10008 |
| **2021** | $9833 | $10184 |
| **2021** | $9484 | $9889 |
| **2021** | $9663 | $10132 |
| **2021** | $9174 | $9660 |
| **2021** | $9730 | $10155 |
| **2022** | $9645 | $9664 |
| **2022** | $9373 | $9494 |
| **2022** | $9288 | $9555 |
| **2022** | $8748 | $8936 |
| **2022** | $9028 | $9003 |
| **2022** | $8179 | $8168 |
| **2022** | $8392 | $8575 |
| **2022** | $7989 | $8168 |
| **2022** | $7341 | $7404 |
| **2022** | $7801 | $7802 |
| **2022** | $8767 | $8681 |
| **2022** | $8701 | $8688 |
| **2023** | $9330 | $9391 |
| **2023** | $9183 | $9195 |
| **2023** | $9330 | $9423 |
| **2023** | $9500 | $9689 |
| **2023** | $9094 | $9279 |
| **2023** | $9736 | $9701 |
| **2023** | $10106 | $10015 |
| **2023** | $9805 | $9631 |
| **2023** | $9611 | $9302 |
| **2023** | $9241 | $8925 |
| **2023** | $10059 | $9754 |
| **2023** | $10464 | $10272 |
| **2024** | $10500 | $10331 |
| **2024** | $10723 | $10520 |
| **2024** | $11215 | $10854 |
| **2024** | $10987 | $10588 |
| **2024** | $11629 | $10998 |
| **2024** | $11224 | $10821 |
| **2024** | $11648 | $11138 |
| **2024** | $11999 | $11500 |
| **2024** | $12179 | $11606 |
| **2024** | $11501 | $10975 |
| **2024** | $11450 | $10913 |
| **2024** | $11800 | $10665 |
| **2025** | $12372 | $11225 |
| **2025** | $12713 | $11443 |
| **2025** | $12945 | $11397 |
| **2025** | $13597 | $11919 |
| **2025** | $14137 | $12464 |
| **2025** | $14586 | $12739 |
| **2025** | $14513 | $12560 |
| **2025** | $15227 | $13095 |
| **2025** | $15494 | $13346 |
| **2025** | $15713 | $13503 |
| **2025** | $16513 | $13587 |
| **2025** | $16967 | $13994 |
| **2026** | $18067 | $14725 |
| **2026** | $19352 | $15406 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 5/24/2021 (commencement of operations) |
| Class I† | 52.23% | 14.86% |
| MSCI EAFE Index | 34.63% | 9.49% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 5.51% to the performance for the fiscal year ended February 28, 2025. For the year ended February 28, 2026, the Fund's performance was positively impacted by an adjustment to net asset value related to the finalization of an IRS closing agreement. The adjustment contributed 5.49% to the performance during the year. Performance for other periods including these dates were also positively impacted, sometimes materially. Without these events, performance would have been lower in both absolute terms and relative to the benchmark.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.94% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus supplement dated September 3, 2025. The net expense ratio of 0.76% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1149440871 |
| Number of Portfolio Holdings | 192 |
| Portfolio Turnover Rate | 74%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $5119140 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 104%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Japan | 26.7 |
| United Kingdom | 12.3 |
| Netherlands | 8.6 |
| France | 8.6 |
| Spain | 7.3 |
| Switzerland | 6.4 |
| Hong Kong | 5.5 |
| Germany | 4.9 |
| Australia | 4.3 |
| Italy | 3.0 |
| Singapore | 2.7 |
| Finland | 2.4 |
| Norway | 1.7 |
| Israel | 1.5 |
| Canada | 1.4 |
| Belgium | 1.1 |
| Other (each less than 1%) | 1.6 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 18.9 |
| Banks | 15.5 |
| Pharmaceuticals, Biotechnology & Life Sciences | 10.3 |
| Materials | 8.0 |
| Semiconductors & Semiconductor Equipment | 6.0 |
| Automobiles & Components | 6.0 |
| Financial Services | 5.1 |
| Telecommunication Services | 4.5 |
| Technology Hardware & Equipment | 4.4 |
| Insurance | 4.4 |
| Consumer Durables & Apparel | 4.1 |
| Food, Beverage & Tobacco | 3.6 |
| Software & Services | 2.4 |
| Consumer Staples Distribution & Retail | 2.0 |
| Transportation | 1.9 |
| Other (each less than 1%) | 2.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Opportunistic Value Fund
![Image](g12033g00x59.jpg)

#### Class III (GTMIX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Opportunistic Value Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $92 | 0.73% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI World ex USA Index is included for comparative purposes.

Class III shares of GMO International Opportunistic Value Fund returned +51.36% (net) for the fiscal year ended February 28, 2026, as compared with +46.55% for the MSCI World ex USA Value Index for comparative purposes.

Over the fiscal year, the primary source of value added was the portfolio's deep value stock selection. Highlights included overweight positioning toward Spanish and French Financials, Japanese Industrials, and Australian Materials.

Areas where deep value stock selection detracted included overweight positioning in Japanese and German Consumer Discretionary securities and underweight positioning in Utilities.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g50m67.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class III** | **MSCI World ex USA Index** | **MSCI World ex USA Value Index** |
| **2016** | $10000 | $10000 | $10000 |
| **2016** | $10728 | $10679 | $10711 |
| **2016** | $10898 | $11022 | $11192 |
| **2016** | $10836 | $10898 | $10981 |
| **2016** | $10457 | $10566 | $10478 |
| **2016** | $10869 | $11086 | $11003 |
| **2016** | $10947 | $11097 | $11178 |
| **2016** | $11086 | $11232 | $11284 |
| **2016** | $10886 | $11013 | $11315 |
| **2016** | $10679 | $10837 | $11302 |
| **2016** | $10997 | $11191 | $11805 |
| **2017** | $11384 | $11524 | $12120 |
| **2017** | $11505 | $11657 | $12178 |
| **2017** | $11843 | $11953 | $12474 |
| **2017** | $12109 | $12207 | $12672 |
| **2017** | $12488 | $12614 | $12930 |
| **2017** | $12576 | $12626 | $13018 |
| **2017** | $13032 | $13001 | $13473 |
| **2017** | $13226 | $12998 | $13391 |
| **2017** | $13567 | $13335 | $13818 |
| **2017** | $13875 | $13518 | $13923 |
| **2017** | $13891 | $13654 | $14050 |
| **2017** | $14125 | $13900 | $14290 |
| **2018** | $14939 | $14547 | $15007 |
| **2018** | $14117 | $13856 | $14248 |
| **2018** | $13944 | $13595 | $13915 |
| **2018** | $14002 | $13929 | $14348 |
| **2018** | $13694 | $13665 | $13800 |
| **2018** | $13094 | $13515 | $13643 |
| **2018** | $13462 | $13847 | $14023 |
| **2018** | $13066 | $13585 | $13544 |
| **2018** | $13075 | $13691 | $13800 |
| **2018** | $11896 | $12603 | $12873 |
| **2018** | $11767 | $12592 | $12809 |
| **2018** | $11125 | $11941 | $12137 |
| **2019** | $12176 | $12793 | $13024 |
| **2019** | $12212 | $13122 | $13254 |
| **2019** | $12229 | $13189 | $13168 |
| **2019** | $12547 | $13562 | $13491 |
| **2019** | $11867 | $12921 | $12712 |
| **2019** | $12574 | $13689 | $13398 |
| **2019** | $12237 | $13524 | $13114 |
| **2019** | $11970 | $13191 | $12598 |
| **2019** | $12450 | $13561 | $13205 |
| **2019** | $12957 | $14000 | $13639 |
| **2019** | $13135 | $14175 | $13710 |
| **2019** | $13718 | $14627 | $14204 |
| **2020** | $13423 | $14344 | $13697 |
| **2020** | $12493 | $13070 | $12420 |
| **2020** | $10560 | $11225 | $10119 |
| **2020** | $11324 | $12007 | $10679 |
| **2020** | $11830 | $12518 | $10990 |
| **2020** | $12254 | $12947 | $11369 |
| **2020** | $12746 | $13291 | $11421 |
| **2020** | $12995 | $13977 | $12110 |
| **2020** | $12801 | $13584 | $11522 |
| **2020** | $12248 | $13050 | $11086 |
| **2020** | $13853 | $15052 | $13181 |
| **2020** | $14747 | $15737 | $13746 |
| **2021** | $14577 | $15569 | $13667 |
| **2021** | $15058 | $15965 | $14352 |
| **2021** | $15680 | $16373 | $14892 |
| **2021** | $16132 | $16888 | $15223 |
| **2021** | $16857 | $17538 | $15856 |
| **2021** | $16518 | $17297 | $15444 |
| **2021** | $16412 | $17412 | $15376 |
| **2021** | $16526 | $17691 | $15529 |
| **2021** | $15996 | $17183 | $15279 |
| **2021** | $16261 | $17694 | $15618 |
| **2021** | $15419 | $16866 | $14682 |
| **2021** | $16338 | $17723 | $15570 |
| **2022** | $16228 | $16941 | $15809 |
| **2022** | $15776 | $16677 | $15647 |
| **2022** | $15698 | $16871 | $15812 |
| **2022** | $14816 | $15763 | $15018 |
| **2022** | $15224 | $15894 | $15418 |
| **2022** | $13713 | $14398 | $13856 |
| **2022** | $13977 | $15114 | $14167 |
| **2022** | $13446 | $14408 | $13668 |
| **2022** | $12361 | $13074 | $12440 |
| **2022** | $13174 | $13795 | $13233 |
| **2022** | $14835 | $15264 | $14599 |
| **2022** | $14728 | $15190 | $14692 |
| **2023** | $15698 | $16435 | $15864 |
| **2023** | $15395 | $16052 | $15588 |
| **2023** | $15663 | $16408 | $15519 |
| **2023** | $15956 | $16874 | $16025 |
| **2023** | $15126 | $16138 | $15146 |
| **2023** | $16108 | $16906 | $16002 |
| **2023** | $16814 | $17453 | $16721 |
| **2023** | $16287 | $16778 | $16193 |
| **2023** | $16135 | $16212 | $16033 |
| **2023** | $15408 | $15528 | $15311 |
| **2023** | $16545 | $16987 | $16540 |
| **2023** | $17362 | $17915 | $17407 |
| **2024** | $17085 | $17993 | $17353 |
| **2024** | $17254 | $18300 | $17370 |
| **2024** | $18084 | $18899 | $18113 |
| **2024** | $17843 | $18416 | $17911 |
| **2024** | $18770 | $19120 | $18633 |
| **2024** | $17976 | $18803 | $18110 |
| **2024** | $18786 | $19393 | $18981 |
| **2024** | $19407 | $20040 | $19526 |
| **2024** | $19699 | $20262 | $19865 |
| **2024** | $18798 | $19229 | $18975 |
| **2024** | $18615 | $19275 | $18971 |
| **2024** | $18274 | $18757 | $18564 |
| **2025** | $19026 | $19690 | $19442 |
| **2025** | $20054 | $20036 | $20087 |
| **2025** | $20516 | $19921 | $20473 |
| **2025** | $20951 | $20828 | $21315 |
| **2025** | $21953 | $21809 | $22200 |
| **2025** | $22468 | $22320 | $22630 |
| **2025** | $22481 | $22050 | $22706 |
| **2025** | $23890 | $23022 | $24004 |
| **2025** | $24373 | $23511 | $24414 |
| **2025** | $24553 | $23764 | $24572 |
| **2025** | $25506 | $24012 | $25325 |
| **2025** | $26734 | $24733 | $26404 |
| **2026** | $28414 | $25900 | $27814 |
| **2026** | $30355 | $27145 | $29437 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III† | 51.36% | 15.05% | 11.75% |
| MSCI World ex USA Index | 35.48% | 11.20% | 10.50% |
| MSCI World ex USA Value Index | 46.55% | 15.45% | 11.40% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 0.48% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.75% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.69% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $339816620 |
| Number of Portfolio Holdings | 175 |
| Portfolio Turnover Rate | 47%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1726795 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 67%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Japan | 22.3 |
| Canada | 13.8 |
| United Kingdom | 10.1 |
| France | 10.0 |
| Germany | 8.8 |
| Switzerland | 7.5 |
| Australia | 5.5 |
| Spain | 4.8 |
| Sweden | 3.1 |
| Hong Kong | 2.7 |
| Norway | 2.5 |
| Netherlands | 1.9 |
| Italy | 1.8 |
| Israel | 1.6 |
| Austria | 1.2 |
| Other (each less than 1%) | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Banks | 19.8 |
| Pharmaceuticals, Biotechnology & Life Sciences | 11.4 |
| Energy | 11.4 |
| Materials | 8.7 |
| Capital Goods | 8.5 |
| Automobiles & Components | 7.8 |
| Insurance | 5.7 |
| Telecommunication Services | 4.7 |
| Food, Beverage & Tobacco | 3.9 |
| Transportation | 3.5 |
| Financial Services | 3.3 |
| Real Estate Management & Development | 2.6 |
| Consumer Durables & Apparel | 2.0 |
| Consumer Staples Distribution & Retail | 1.8 |
| Technology Hardware & Equipment | 1.6 |
| Household & Personal Products | 1.2 |
| Other (each less than 1%) | 2.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Opportunistic Value Fund
![Image](g12033g00x59.jpg)

#### Class IV (GMAZX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Opportunistic Value Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class IV | $79 | 0.63% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI World ex USA Index is included for comparative purposes.

Class IV shares of GMO International Opportunistic Value Fund returned +51.39% (net) for the fiscal year ended February 28, 2026, as compared with +46.55% for the MSCI World ex USA Value Index for comparative purposes.

Over the fiscal year, the primary source of value added was the portfolio's deep value stock selection. Highlights included overweight positioning toward Spanish and French Financials, Japanese Industrials, and Australian Materials.

Areas where deep value stock selection detracted included overweight positioning in Japanese and German Consumer Discretionary securities and underweight positioning in Utilities.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $125,000,000 Investment

![Growth of 10K Chart](g12033g32m00.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class IV** | **MSCI World ex USA Index** | **MSCI World ex USA Value Index** |
| **2023** | $125000000 | $125000000 | $125000000 |
| **2023** | $123653017 | $124385373 | $124262278 |
| **2023** | $118085489 | $119135120 | $118662797 |
| **2023** | $126795977 | $130331085 | $128188980 |
| **2023** | $133053248 | $137455460 | $134910013 |
| **2024** | $131019077 | $138047380 | $134492115 |
| **2024** | $132313550 | $140404187 | $134622625 |
| **2024** | $138600986 | $144999463 | $140378265 |
| **2024** | $136751740 | $141294592 | $138813329 |
| **2024** | $143871337 | $146698884 | $144406662 |
| **2024** | $137768825 | $144266896 | $140353450 |
| **2024** | $143983079 | $148793051 | $147110056 |
| **2024** | $148760657 | $153757169 | $151332002 |
| **2024** | $151008928 | $155459715 | $153955325 |
| **2024** | $144076757 | $147532988 | $147062275 |
| **2024** | $142671587 | $147885685 | $147031724 |
| **2024** | $140200476 | $143915404 | $143875877 |
| **2025** | $145881538 | $151072596 | $150680093 |
| **2025** | $153794444 | $153725962 | $155678818 |
| **2025** | $157243660 | $152840657 | $158672982 |
| **2025** | $160591428 | $159802921 | $165194860 |
| **2025** | $168301440 | $167327049 | $172053003 |
| **2025** | $172284875 | $171250710 | $175388675 |
| **2025** | $172391158 | $169180629 | $175976365 |
| **2025** | $183232032 | $176631184 | $186035497 |
| **2025** | $186951940 | $180385527 | $189212274 |
| **2025** | $188333620 | $182328835 | $190435735 |
| **2025** | $195667152 | $184233156 | $196274025 |
| **2025** | $205062119 | $189758847 | $204634995 |
| **2026** | $217878502 | $198715886 | $215567425 |
| **2026** | $232830948 | $208264518 | $228141647 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 9/25/2023 (commencement of operations) |
| Class IV† | 51.39% | 29.19% |
| MSCI World ex USA Index | 35.48% | 23.39% |
| MSCI World ex USA Value Index | 46.55% | 28.11% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 0.48% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.70% for Class IV is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.64% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $339816620 |
| Number of Portfolio Holdings | 175 |
| Portfolio Turnover Rate | 47%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1726795 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 67%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Japan | 22.3 |
| Canada | 13.8 |
| United Kingdom | 10.1 |
| France | 10.0 |
| Germany | 8.8 |
| Switzerland | 7.5 |
| Australia | 5.5 |
| Spain | 4.8 |
| Sweden | 3.1 |
| Hong Kong | 2.7 |
| Norway | 2.5 |
| Netherlands | 1.9 |
| Italy | 1.8 |
| Israel | 1.6 |
| Austria | 1.2 |
| Other (each less than 1%) | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Banks | 19.8 |
| Pharmaceuticals, Biotechnology & Life Sciences | 11.4 |
| Energy | 11.4 |
| Materials | 8.7 |
| Capital Goods | 8.5 |
| Automobiles & Components | 7.8 |
| Insurance | 5.7 |
| Telecommunication Services | 4.7 |
| Food, Beverage & Tobacco | 3.9 |
| Transportation | 3.5 |
| Financial Services | 3.3 |
| Real Estate Management & Development | 2.6 |
| Consumer Durables & Apparel | 2.0 |
| Consumer Staples Distribution & Retail | 1.8 |
| Technology Hardware & Equipment | 1.6 |
| Household & Personal Products | 1.2 |
| Other (each less than 1%) | 2.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Opportunistic Value Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GMBCX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Opportunistic Value Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $87 | 0.69% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI World ex USA Index is included for comparative purposes.

Class R6 shares of GMO International Opportunistic Value Fund returned +51.29% (net) for the fiscal year ended February 28, 2026, as compared with +46.55% for the MSCI World ex USA Value Index for comparative purposes.

Over the fiscal year, the primary source of value added was the portfolio's deep value stock selection. Highlights included overweight positioning toward Spanish and French Financials, Japanese Industrials, and Australian Materials.

Areas where deep value stock selection detracted included overweight positioning in Japanese and German Consumer Discretionary securities and underweight positioning in Utilities.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g12l22.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class R6** | **MSCI World ex USA Index** | **MSCI World ex USA Value Index** |
| **2024** | $10000 | $10000 | $10000 |
| **2024** | $9795 | $9787 | $9855 |
| **2024** | $10304 | $10161 | $10252 |
| **2024** | $9868 | $9992 | $9964 |
| **2024** | $10307 | $10306 | $10444 |
| **2024** | $10649 | $10650 | $10744 |
| **2024** | $10810 | $10768 | $10930 |
| **2024** | $10321 | $10219 | $10441 |
| **2024** | $10220 | $10243 | $10439 |
| **2024** | $10033 | $9968 | $10214 |
| **2025** | $10446 | $10464 | $10698 |
| **2025** | $11011 | $10648 | $11052 |
| **2025** | $11258 | $10586 | $11265 |
| **2025** | $11497 | $11068 | $11728 |
| **2025** | $12048 | $11590 | $12215 |
| **2025** | $12338 | $11861 | $12452 |
| **2025** | $12338 | $11718 | $12493 |
| **2025** | $13113 | $12234 | $13208 |
| **2025** | $13378 | $12494 | $13433 |
| **2025** | $13477 | $12629 | $13520 |
| **2025** | $14001 | $12761 | $13934 |
| **2025** | $14676 | $13143 | $14528 |
| **2026** | $15591 | $13764 | $15304 |
| **2026** | $16659 | $14425 | $16197 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 4/8/2024 (commencement of operations) |
| Class R6† | 51.29% | 30.97% |
| MSCI World ex USA Index | 35.48% | 21.37% |
| MSCI World ex USA Value Index | 46.55% | 29.03% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 0.46% to the performance for the period ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.75% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.69% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $339816620 |
| Number of Portfolio Holdings | 175 |
| Portfolio Turnover Rate | 47%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1726795 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 67%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Japan | 22.3 |
| Canada | 13.8 |
| United Kingdom | 10.1 |
| France | 10.0 |
| Germany | 8.8 |
| Switzerland | 7.5 |
| Australia | 5.5 |
| Spain | 4.8 |
| Sweden | 3.1 |
| Hong Kong | 2.7 |
| Norway | 2.5 |
| Netherlands | 1.9 |
| Italy | 1.8 |
| Israel | 1.6 |
| Austria | 1.2 |
| Other (each less than 1%) | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Banks | 19.8 |
| Pharmaceuticals, Biotechnology & Life Sciences | 11.4 |
| Energy | 11.4 |
| Materials | 8.7 |
| Capital Goods | 8.5 |
| Automobiles & Components | 7.8 |
| Insurance | 5.7 |
| Telecommunication Services | 4.7 |
| Food, Beverage & Tobacco | 3.9 |
| Transportation | 3.5 |
| Financial Services | 3.3 |
| Real Estate Management & Development | 2.6 |
| Consumer Durables & Apparel | 2.0 |
| Consumer Staples Distribution & Retail | 1.8 |
| Technology Hardware & Equipment | 1.6 |
| Household & Personal Products | 1.2 |
| Other (each less than 1%) | 2.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Opportunistic Value Fund
![Image](g12033g00x59.jpg)

#### Class I (IOVFX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Opportunistic Value Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $190 | 1.51% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI World ex USA Index is included for comparative purposes.

Class I shares of GMO International Opportunistic Value Fund returned +51.15% (net) for the fiscal year ended February 28, 2026, as compared with +46.55% for the MSCI World ex USA Value Index for comparative purposes.

Over the fiscal year, the primary source of value added was the portfolio's deep value stock selection. Highlights included overweight positioning toward Spanish and French Financials, Japanese Industrials, and Australian Materials.

Areas where deep value stock selection detracted included overweight positioning in Japanese and German Consumer Discretionary securities and underweight positioning in Utilities.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g95d87.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class I** | **MSCI World ex USA Index** | **MSCI World ex USA Value Index** |
| **2023** | $10000 | $10000 | $10000 |
| **2023** | $9986 | $10000 | $10038 |
| **2023** | $9885 | $9662 | $9939 |
| **2023** | $9447 | $9255 | $9491 |
| **2023** | $10144 | $10124 | $10253 |
| **2023** | $10646 | $10678 | $10790 |
| **2024** | $10476 | $10724 | $10757 |
| **2024** | $10572 | $10907 | $10767 |
| **2024** | $11081 | $11264 | $11228 |
| **2024** | $10934 | $10976 | $11102 |
| **2024** | $11495 | $11396 | $11550 |
| **2024** | $11008 | $11207 | $11226 |
| **2024** | $11497 | $11558 | $11766 |
| **2024** | $11878 | $11944 | $12104 |
| **2024** | $12058 | $12076 | $12313 |
| **2024** | $11504 | $11461 | $11762 |
| **2024** | $11392 | $11488 | $11760 |
| **2024** | $11189 | $11180 | $11507 |
| **2025** | $11642 | $11736 | $12051 |
| **2025** | $12273 | $11942 | $12451 |
| **2025** | $12549 | $11873 | $12691 |
| **2025** | $12816 | $12414 | $13212 |
| **2025** | $13423 | $12998 | $13761 |
| **2025** | $13739 | $13303 | $14028 |
| **2025** | $13748 | $13142 | $14075 |
| **2025** | $14605 | $13721 | $14879 |
| **2025** | $14901 | $14013 | $15133 |
| **2025** | $15012 | $14164 | $15231 |
| **2025** | $15588 | $14311 | $15698 |
| **2025** | $16345 | $14741 | $16367 |
| **2026** | $17358 | $15437 | $17241 |
| **2026** | $18552 | $16178 | $18247 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 8/14/2023 (commencement of operations) |
| Class I† | 51.15% | 27.50% |
| MSCI World ex USA Index | 35.48% | 20.82% |
| MSCI World ex USA Value Index | 46.55% | 26.67% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 0.48% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 6.04% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.81% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $339816620 |
| Number of Portfolio Holdings | 175 |
| Portfolio Turnover Rate | 47%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1726795 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 67%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Japan | 22.3 |
| Canada | 13.8 |
| United Kingdom | 10.1 |
| France | 10.0 |
| Germany | 8.8 |
| Switzerland | 7.5 |
| Australia | 5.5 |
| Spain | 4.8 |
| Sweden | 3.1 |
| Hong Kong | 2.7 |
| Norway | 2.5 |
| Netherlands | 1.9 |
| Italy | 1.8 |
| Israel | 1.6 |
| Austria | 1.2 |
| Other (each less than 1%) | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Banks | 19.8 |
| Pharmaceuticals, Biotechnology & Life Sciences | 11.4 |
| Energy | 11.4 |
| Materials | 8.7 |
| Capital Goods | 8.5 |
| Automobiles & Components | 7.8 |
| Insurance | 5.7 |
| Telecommunication Services | 4.7 |
| Food, Beverage & Tobacco | 3.9 |
| Transportation | 3.5 |
| Financial Services | 3.3 |
| Real Estate Management & Development | 2.6 |
| Consumer Durables & Apparel | 2.0 |
| Consumer Staples Distribution & Retail | 1.8 |
| Technology Hardware & Equipment | 1.6 |
| Household & Personal Products | 1.2 |
| Other (each less than 1%) | 2.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO-Usonian Japan Value Creation Fund
![Image](g12033g00x59.jpg)

#### Class III (GMAKX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO-Usonian Japan Value Creation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $89 | 0.70% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the Tokyo Stock Price Index (TR) ("TOPIX") is included for comparative purposes.

Class III shares of GMO-Usonian Japan Value Creation Fund returned +53.11% (net) for the fiscal year ended February 28, 2026, as compared with +44.71% for TOPIX.

In the first half of 2025, the Japanese equity market underwent a period of correction amid concerns over U.S. tariff policy and heightened geopolitical risks. Subsequently, supported by yen depreciation, upward revisions to corporate earnings, and strong performance in AI- and semiconductor-related sectors, the market rallied meaningfully in the second half of the year, with TOPIX reaching record-high territory. While volatility increased thereafter due to heightened valuation awareness, index levels remained elevated, underpinned by ongoing share buybacks and improving earnings momentum in the financial sector.

Relative to the TOPIX, our security selection contributed to returns in the fiscal year. Security selection in Industrials and Consumer Staples contributed to the returns, while Financials and Information Technology detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g42d75.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **Tokyo Stock Price Index (TR)** |
| **2021** | $10000 | $10000 |
| **2021** | $10000 | $10000 |
| **2022** | $9934 | $9511 |
| **2022** | $9950 | $9473 |
| **2022** | $9329 | $9360 |
| **2022** | $8839 | $8463 |
| **2022** | $8844 | $8685 |
| **2022** | $8476 | $8054 |
| **2022** | $8853 | $8492 |
| **2022** | $8432 | $8285 |
| **2022** | $7766 | $7487 |
| **2022** | $7788 | $7662 |
| **2022** | $8651 | $8402 |
| **2022** | $8717 | $8478 |
| **2023** | $9199 | $8982 |
| **2023** | $9033 | $8656 |
| **2023** | $9295 | $8994 |
| **2023** | $9445 | $9028 |
| **2023** | $9461 | $9116 |
| **2023** | $9869 | $9475 |
| **2023** | $10161 | $9783 |
| **2023** | $9993 | $9588 |
| **2023** | $9944 | $9389 |
| **2023** | $9684 | $8975 |
| **2023** | $10221 | $9692 |
| **2023** | $10615 | $10138 |
| **2024** | $10828 | $10541 |
| **2024** | $11036 | $10802 |
| **2024** | $11378 | $11068 |
| **2024** | $11075 | $10616 |
| **2024** | $11316 | $10752 |
| **2024** | $11137 | $10655 |
| **2024** | $11914 | $11330 |
| **2024** | $12130 | $11368 |
| **2024** | $12305 | $11378 |
| **2024** | $11404 | $10885 |
| **2024** | $11704 | $10983 |
| **2024** | $11484 | $10915 |
| **2025** | $11633 | $11094 |
| **2025** | $11725 | $10967 |
| **2025** | $12179 | $11058 |
| **2025** | $12697 | $11631 |
| **2025** | $13220 | $12083 |
| **2025** | $13577 | $12305 |
| **2025** | $13501 | $12185 |
| **2025** | $14238 | $13053 |
| **2025** | $14633 | $13344 |
| **2025** | $14366 | $13585 |
| **2025** | $14964 | $13602 |
| **2025** | $15092 | $13714 |
| **2026** | $15900 | $14541 |
| **2026** | $17953 | $15871 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 12/30/2021 (commencement of operations) |
| Class III | 53.11% | 15.09% |
| Tokyo Stock Price Index (TR) | 44.71% | 11.73% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 0.78% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.68% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $296301318 |
| Number of Portfolio Holdings | 36 |
| Portfolio Turnover Rate | 40%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1020275 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 58%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 31.2 |
| Technology Hardware & Equipment | 12.9 |
| Consumer Durables & Apparel | 9.4 |
| Banks | 9.3 |
| Financial Services | 5.7 |
| Food, Beverage & Tobacco | 5.4 |
| Automobiles & Components | 5.4 |
| Materials | 4.5 |
| Health Care Equipment & Services | 4.5 |
| Insurance | 3.4 |
| Transportation | 3.2 |
| Semiconductors & Semiconductor Equipment | 2.0 |
| Software & Services | 1.9 |
| Real Estate Management & Development | 1.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO-Usonian Japan Value Creation Fund
![Image](g12033g00x59.jpg)

#### Class VI (GMAHX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO-Usonian Japan Value Creation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $76 | 0.60% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the Tokyo Stock Price Index (TR) ("TOPIX") is included for comparative purposes.

Class VI shares of GMO-Usonian Japan Value Creation Fund returned +53.22% (net) for the fiscal year ended February 28, 2026, as compared with +44.71% for TOPIX.

In the first half of 2025, the Japanese equity market underwent a period of correction amid concerns over U.S. tariff policy and heightened geopolitical risks. Subsequently, supported by yen depreciation, upward revisions to corporate earnings, and strong performance in AI- and semiconductor-related sectors, the market rallied meaningfully in the second half of the year, with TOPIX reaching record-high territory. While volatility increased thereafter due to heightened valuation awareness, index levels remained elevated, underpinned by ongoing share buybacks and improving earnings momentum in the financial sector.

Relative to the TOPIX, our security selection contributed to returns in the fiscal year. Security selection in Industrials and Consumer Staples contributed to the returns, while Financials and Information Technology detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g17e51.jpg)

---

| | | |
|:---|:---|:---|
| | **Class VI** | **Tokyo Stock Price Index (TR)** |
| **2020** | $300000000 | $300000000 |
| **2020** | $299550000 | $297807029 |
| **2020** | $293550000 | $292099818 |
| **2020** | $323250000 | $325453450 |
| **2020** | $350534002 | $338382940 |
| **2021** | $348863346 | $334471407 |
| **2021** | $356457237 | $338903001 |
| **2021** | $372708163 | $344944425 |
| **2021** | $372252530 | $338813004 |
| **2021** | $373619430 | $345493420 |
| **2021** | $360861693 | $342190531 |
| **2021** | $365994098 | $338514021 |
| **2021** | $371536993 | $348872735 |
| **2021** | $376264757 | $358043699 |
| **2021** | $364852914 | $345382237 |
| **2021** | $344800676 | $334313329 |
| **2021** | $353083060 | $340943581 |
| **2022** | $350766008 | $324272438 |
| **2022** | $351300712 | $322984858 |
| **2022** | $329377837 | $319117168 |
| **2022** | $312089065 | $288543393 |
| **2022** | $312267300 | $296119292 |
| **2022** | $299256162 | $274594116 |
| **2022** | $312778737 | $289513856 |
| **2022** | $297732255 | $282480916 |
| **2022** | $274410209 | $255262373 |
| **2022** | $275162533 | $261247709 |
| **2022** | $305631658 | $286471530 |
| **2022** | $308125771 | $289055076 |
| **2023** | $324970485 | $306252137 |
| **2023** | $319292491 | $295130580 |
| **2023** | $328377281 | $306644043 |
| **2023** | $333676741 | $307805477 |
| **2023** | $334244540 | $310804814 |
| **2023** | $348818056 | $323057631 |
| **2023** | $359055587 | $333540573 |
| **2023** | $353310698 | $326906049 |
| **2023** | $351587231 | $320123368 |
| **2023** | $342395408 | $305991201 |
| **2023** | $361353543 | $330435419 |
| **2023** | $375314139 | $345648057 |
| **2024** | $382852161 | $359402731 |
| **2024** | $390191814 | $368279490 |
| **2024** | $402490692 | $377372593 |
| **2024** | $391778766 | $361946781 |
| **2024** | $400308633 | $366598307 |
| **2024** | $393960825 | $363271492 |
| **2024** | $421403840 | $386277574 |
| **2024** | $429226186 | $387580884 |
| **2024** | $435443949 | $387923661 |
| **2024** | $403352271 | $371123726 |
| **2024** | $414183212 | $374459295 |
| **2024** | $406437177 | $372151932 |
| **2025** | $411728798 | $378230965 |
| **2025** | $415188704 | $373925900 |
| **2025** | $431063566 | $377010089 |
| **2025** | $449380715 | $396558373 |
| **2025** | $467901387 | $411973151 |
| **2025** | $480723391 | $419534129 |
| **2025** | $477961353 | $415428750 |
| **2025** | $504274924 | $445024316 |
| **2025** | $518254009 | $454958539 |
| **2025** | $508797569 | $463170185 |
| **2025** | $530177346 | $463744378 |
| **2025** | $534823026 | $467586772 |
| **2026** | $563435843 | $495772332 |
| **2026** | $636151122 | $541112963 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 9/14/2020 (commencement of operations) |
| Class VI | 53.22% | 12.28% | 14.77% |
| Tokyo Stock Price Index (TR) | 44.71% | 9.81% | 11.42% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 0.69% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.59% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $296301318 |
| Number of Portfolio Holdings | 36 |
| Portfolio Turnover Rate | 40%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1020275 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 58%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 31.2 |
| Technology Hardware & Equipment | 12.9 |
| Consumer Durables & Apparel | 9.4 |
| Banks | 9.3 |
| Financial Services | 5.7 |
| Food, Beverage & Tobacco | 5.4 |
| Automobiles & Components | 5.4 |
| Materials | 4.5 |
| Health Care Equipment & Services | 4.5 |
| Insurance | 3.4 |
| Transportation | 3.2 |
| Semiconductors & Semiconductor Equipment | 2.0 |
| Software & Services | 1.9 |
| Real Estate Management & Development | 1.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO-Usonian Japan Value Creation Fund
![Image](g12033g00x59.jpg)

#### Class I (GMIIX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO-Usonian Japan Value Creation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $104 | 0.82% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the Tokyo Stock Price Index (TR) ("TOPIX") is included for comparative purposes.

Class I shares of GMO-Usonian Japan Value Creation Fund returned +52.93% (net) for the fiscal year ended February 28, 2026, as compared with +44.71% for TOPIX.

In the first half of 2025, the Japanese equity market underwent a period of correction amid concerns over U.S. tariff policy and heightened geopolitical risks. Subsequently, supported by yen depreciation, upward revisions to corporate earnings, and strong performance in AI- and semiconductor-related sectors, the market rallied meaningfully in the second half of the year, with TOPIX reaching record-high territory. While volatility increased thereafter due to heightened valuation awareness, index levels remained elevated, underpinned by ongoing share buybacks and improving earnings momentum in the financial sector.

Relative to the TOPIX, our security selection contributed to returns in the fiscal year. Security selection in Industrials and Consumer Staples contributed to the returns, while Financials and Information Technology detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g92q05.jpg)

---

| | | |
|:---|:---|:---|
| | **Class I** | **Tokyo Stock Price Index (TR)** |
| **2021** | $10000 | $10000 |
| **2021** | $9519 | $9770 |
| **2021** | $9653 | $9665 |
| **2021** | $9799 | $9961 |
| **2021** | $9920 | $10223 |
| **2021** | $9618 | $9861 |
| **2021** | $9085 | $9545 |
| **2021** | $9304 | $9735 |
| **2022** | $9243 | $9259 |
| **2022** | $9257 | $9222 |
| **2022** | $8679 | $9111 |
| **2022** | $8218 | $8238 |
| **2022** | $8223 | $8455 |
| **2022** | $7880 | $7840 |
| **2022** | $8234 | $8266 |
| **2022** | $7838 | $8065 |
| **2022** | $7218 | $7288 |
| **2022** | $7238 | $7459 |
| **2022** | $8041 | $8179 |
| **2022** | $8101 | $8253 |
| **2023** | $8544 | $8744 |
| **2023** | $8395 | $8426 |
| **2023** | $8639 | $8755 |
| **2023** | $8773 | $8788 |
| **2023** | $8788 | $8874 |
| **2023** | $9167 | $9224 |
| **2023** | $9435 | $9523 |
| **2023** | $9278 | $9334 |
| **2023** | $9233 | $9140 |
| **2023** | $8996 | $8737 |
| **2023** | $9490 | $9434 |
| **2023** | $9853 | $9869 |
| **2024** | $10051 | $10262 |
| **2024** | $10244 | $10515 |
| **2024** | $10562 | $10775 |
| **2024** | $10281 | $10334 |
| **2024** | $10500 | $10467 |
| **2024** | $10338 | $10372 |
| **2024** | $11054 | $11029 |
| **2024** | $11254 | $11066 |
| **2024** | $11412 | $11076 |
| **2024** | $10574 | $10596 |
| **2024** | $10859 | $10691 |
| **2024** | $10648 | $10626 |
| **2025** | $10787 | $10799 |
| **2025** | $10872 | $10676 |
| **2025** | $11289 | $10764 |
| **2025** | $11770 | $11322 |
| **2025** | $12251 | $11763 |
| **2025** | $12583 | $11978 |
| **2025** | $12508 | $11861 |
| **2025** | $13193 | $12706 |
| **2025** | $13555 | $12990 |
| **2025** | $13306 | $13224 |
| **2025** | $13862 | $13241 |
| **2025** | $13981 | $13350 |
| **2026** | $14726 | $14155 |
| **2026** | $16627 | $15450 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 6/7/2021 (commencement of operations) |
| Class I | 52.93% | 11.35% |
| Tokyo Stock Price Index (TR) | 44.71% | 9.64% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 0.89% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.80% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $296301318 |
| Number of Portfolio Holdings | 36 |
| Portfolio Turnover Rate | 40%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1020275 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 58%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 31.2 |
| Technology Hardware & Equipment | 12.9 |
| Consumer Durables & Apparel | 9.4 |
| Banks | 9.3 |
| Financial Services | 5.7 |
| Food, Beverage & Tobacco | 5.4 |
| Automobiles & Components | 5.4 |
| Materials | 4.5 |
| Health Care Equipment & Services | 4.5 |
| Insurance | 3.4 |
| Transportation | 3.2 |
| Semiconductors & Semiconductor Equipment | 2.0 |
| Software & Services | 1.9 |
| Real Estate Management & Development | 1.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Quality Fund
![Image](g12033g00x59.jpg)

#### Class III (GQETX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Quality Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $55 | 0.51% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the S&P 500 Index is included for comparative purposes.

Class III shares of GMO Quality Fund returned +15.46% (net) for the fiscal year ended February 28, 2026, as compared with +16.99% for the S&P 500 Index.

Relative to the S&P 500, sector allocation made a negative contribution this period. The Financials (underweight) and Information Technology (overweight) allocations helped returns, while Health Care (overweight) and Industrials (underweight) reduced returns. Security selection within sector made a negative contribution. Selection results in Information Technology and Communication Services helped returns. Health Care and Consumer Discretionary detracted from returns. Stock selection within sector was more significant than stock sector allocation.

Lam Research, TSMC, and Oracle made the largest positive impact, while Accenture, NVIDIA (underweight), and Salesforce detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g99j22.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **S&P 500 Index** |
| **2016** | $10000 | $10000 |
| **2016** | $10606 | $10678 |
| **2016** | $10506 | $10720 |
| **2016** | $10769 | $10912 |
| **2016** | $10885 | $10941 |
| **2016** | $11270 | $11344 |
| **2016** | $11254 | $11360 |
| **2016** | $11264 | $11362 |
| **2016** | $11018 | $11155 |
| **2016** | $11018 | $11568 |
| **2016** | $11174 | $11797 |
| **2017** | $11387 | $12020 |
| **2017** | $12025 | $12498 |
| **2017** | $12205 | $12512 |
| **2017** | $12500 | $12641 |
| **2017** | $12947 | $12818 |
| **2017** | $12996 | $12899 |
| **2017** | $13129 | $13164 |
| **2017** | $13322 | $13204 |
| **2017** | $13405 | $13476 |
| **2017** | $14006 | $13791 |
| **2017** | $14375 | $14214 |
| **2017** | $14422 | $14372 |
| **2018** | $15301 | $15195 |
| **2018** | $14829 | $14635 |
| **2018** | $14322 | $14263 |
| **2018** | $14416 | $14318 |
| **2018** | $14735 | $14662 |
| **2018** | $14906 | $14753 |
| **2018** | $15705 | $15302 |
| **2018** | $16308 | $15800 |
| **2018** | $16450 | $15890 |
| **2018** | $15619 | $14804 |
| **2018** | $15871 | $15106 |
| **2018** | $14488 | $13742 |
| **2019** | $15399 | $14843 |
| **2019** | $15847 | $15320 |
| **2019** | $16409 | $15617 |
| **2019** | $16878 | $16250 |
| **2019** | $16039 | $15217 |
| **2019** | $17006 | $16289 |
| **2019** | $17381 | $16523 |
| **2019** | $17122 | $16262 |
| **2019** | $17302 | $16566 |
| **2019** | $17864 | $16925 |
| **2019** | $18504 | $17539 |
| **2019** | $19080 | $18069 |
| **2020** | $18965 | $18061 |
| **2020** | $17532 | $16575 |
| **2020** | $15946 | $14527 |
| **2020** | $17733 | $16390 |
| **2020** | $18310 | $17170 |
| **2020** | $18503 | $17512 |
| **2020** | $19358 | $18499 |
| **2020** | $20532 | $19829 |
| **2020** | $19909 | $19076 |
| **2020** | $19182 | $18568 |
| **2020** | $21482 | $20601 |
| **2020** | $22602 | $21393 |
| **2021** | $22222 | $21177 |
| **2021** | $22937 | $21761 |
| **2021** | $24120 | $22714 |
| **2021** | $25497 | $23926 |
| **2021** | $25895 | $24093 |
| **2021** | $26204 | $24656 |
| **2021** | $26975 | $25241 |
| **2021** | $27470 | $26009 |
| **2021** | $26192 | $24799 |
| **2021** | $27784 | $26537 |
| **2021** | $26912 | $26353 |
| **2021** | $28524 | $27534 |
| **2022** | $27474 | $26109 |
| **2022** | $26311 | $25327 |
| **2022** | $26695 | $26268 |
| **2022** | $25072 | $23977 |
| **2022** | $25222 | $24021 |
| **2022** | $23515 | $22038 |
| **2022** | $25238 | $24070 |
| **2022** | $23980 | $23089 |
| **2022** | $21978 | $20962 |
| **2022** | $23661 | $22659 |
| **2022** | $25354 | $23926 |
| **2022** | $24182 | $22547 |
| **2023** | $25808 | $23964 |
| **2023** | $24916 | $23379 |
| **2023** | $26280 | $24238 |
| **2023** | $27119 | $24616 |
| **2023** | $27863 | $24723 |
| **2023** | $29352 | $26357 |
| **2023** | $30138 | $27203 |
| **2023** | $29592 | $26770 |
| **2023** | $28110 | $25494 |
| **2023** | $28016 | $24958 |
| **2023** | $30463 | $27237 |
| **2023** | $31440 | $28474 |
| **2024** | $32294 | $28953 |
| **2024** | $33924 | $30499 |
| **2024** | $34843 | $31480 |
| **2024** | $33530 | $30194 |
| **2024** | $34701 | $31692 |
| **2024** | $36080 | $32829 |
| **2024** | $36514 | $33228 |
| **2024** | $37621 | $34034 |
| **2024** | $38224 | $34761 |
| **2024** | $37051 | $34446 |
| **2024** | $38312 | $36468 |
| **2024** | $37389 | $35599 |
| **2025** | $39327 | $36590 |
| **2025** | $38937 | $36113 |
| **2025** | $37010 | $34078 |
| **2025** | $36792 | $33847 |
| **2025** | $38363 | $35977 |
| **2025** | $40118 | $37807 |
| **2025** | $39643 | $38655 |
| **2025** | $40795 | $39439 |
| **2025** | $42146 | $40878 |
| **2025** | $43369 | $41835 |
| **2025** | $44321 | $41938 |
| **2025** | $44752 | $41964 |
| **2026** | $45404 | $42572 |
| **2026** | $44957 | $42249 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III | 15.46% | 14.41% | 16.22% |
| S&P 500 Index | 16.99% | 14.19% | 15.50% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.51% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.51% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $12115464727 |
| Number of Portfolio Holdings | 50 |
| Portfolio Turnover Rate | 24%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $36868284 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 39%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 77.0 |
| United Kingdom | 6.9 |
| Taiwan | 5.1 |
| France | 4.4 |
| Germany | 2.6 |
| Switzerland | 1.6 |
| Other (each less than 1%) | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 16.4 |
| Pharmaceuticals, Biotechnology & Life Sciences | 14.3 |
| Software & Services | 13.2 |
| Media & Entertainment | 11.0 |
| Health Care Equipment & Services | 10.8 |
| Food, Beverage & Tobacco | 6.0 |
| Consumer Discretionary Distribution & Retail | 4.8 |
| Technology Hardware & Equipment | 4.5 |
| Consumer Services | 4.2 |
| Financial Services | 4.0 |
| Banks | 3.1 |
| Capital Goods | 2.8 |
| Household & Personal Products | 2.1 |
| Consumer Durables & Apparel | 1.4 |
| Transportation | 1.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Quality Fund
![Image](g12033g00x59.jpg)

#### Class IV (GQEFX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Quality Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class IV | $50 | 0.46% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the S&P 500 Index is included for comparative purposes.

Class IV shares of GMO Quality Fund returned +15.53% (net) for the fiscal year ended February 28, 2026, as compared with +16.99% for the S&P 500 Index.

Relative to the S&P 500, sector allocation made a negative contribution this period. The Financials (underweight) and Information Technology (overweight) allocations helped returns, while Health Care (overweight) and Industrials (underweight) reduced returns. Security selection within sector made a negative contribution. Selection results in Information Technology and Communication Services helped returns. Health Care and Consumer Discretionary detracted from returns. Stock selection within sector was more significant than stock sector allocation.

Lam Research, TSMC, and Oracle made the largest positive impact, while Accenture, NVIDIA (underweight), and Salesforce detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $125,000,000 Investment

![Growth of 10K Chart](g12033g04p12.jpg)

---

| | | |
|:---|:---|:---|
| | **Class IV** | **S&P 500 Index** |
| **2016** | $125000000 | $125000000 |
| **2016** | $132627564 | $133479775 |
| **2016** | $131378222 | $133997240 |
| **2016** | $134665965 | $136403583 |
| **2016** | $136112572 | $136757015 |
| **2016** | $140920774 | $141799073 |
| **2016** | $140720223 | $141998166 |
| **2016** | $140853924 | $142025013 |
| **2016** | $137778803 | $139434310 |
| **2016** | $137778803 | $144598243 |
| **2016** | $139785044 | $147456388 |
| **2017** | $142441777 | $150253111 |
| **2017** | $150411977 | $156219049 |
| **2017** | $152659982 | $156401275 |
| **2017** | $156338536 | $158007503 |
| **2017** | $161924488 | $160231111 |
| **2017** | $162605701 | $161231199 |
| **2017** | $164286820 | $164546544 |
| **2017** | $166696727 | $165050257 |
| **2017** | $167660690 | $168454938 |
| **2017** | $175234684 | $172385901 |
| **2017** | $179847935 | $177672940 |
| **2017** | $180406931 | $179648424 |
| **2018** | $191465795 | $189934007 |
| **2018** | $185567734 | $182933587 |
| **2018** | $179227319 | $178284646 |
| **2018** | $180406931 | $178968736 |
| **2018** | $184388122 | $183278656 |
| **2018** | $186526169 | $184406723 |
| **2018** | $196545033 | $191269164 |
| **2018** | $204080797 | $197501729 |
| **2018** | $205849395 | $198625896 |
| **2018** | $195468496 | $185049784 |
| **2018** | $198621213 | $188820801 |
| **2018** | $181330577 | $171772010 |
| **2019** | $192797070 | $185537100 |
| **2019** | $198396984 | $191494368 |
| **2019** | $205419100 | $195215436 |
| **2019** | $211285677 | $203119640 |
| **2019** | $200796948 | $190211758 |
| **2019** | $212885653 | $203617175 |
| **2019** | $217688950 | $206543583 |
| **2019** | $214359272 | $203271867 |
| **2019** | $216699046 | $207075173 |
| **2019** | $223718367 | $211560365 |
| **2019** | $231727593 | $219239769 |
| **2019** | $238968973 | $225856867 |
| **2020** | $237525343 | $225768313 |
| **2020** | $219624324 | $207183249 |
| **2020** | $199702223 | $181593454 |
| **2020** | $222030375 | $204872602 |
| **2020** | $229344770 | $214630286 |
| **2020** | $231847063 | $218898682 |
| **2020** | $242573569 | $231241315 |
| **2020** | $257247772 | $247863062 |
| **2020** | $249361636 | $238445091 |
| **2020** | $240377430 | $232103933 |
| **2020** | $269126890 | $257510948 |
| **2020** | $283206548 | $267411773 |
| **2021** | $278460686 | $264712040 |
| **2021** | $287400566 | $272011452 |
| **2021** | $302300364 | $283924375 |
| **2021** | $319517910 | $299077068 |
| **2021** | $324594878 | $301165935 |
| **2021** | $328457789 | $308196591 |
| **2021** | $338104196 | $315517772 |
| **2021** | $344288344 | $325111297 |
| **2021** | $328322000 | $309990442 |
| **2021** | $348336149 | $331708927 |
| **2021** | $337317123 | $329410531 |
| **2021** | $357583037 | $344173437 |
| **2022** | $344330533 | $326363480 |
| **2022** | $329905242 | $316591684 |
| **2022** | $334713672 | $328346584 |
| **2022** | $314307163 | $299714160 |
| **2022** | $316183623 | $300264021 |
| **2022** | $294838883 | $275479099 |
| **2022** | $316563895 | $300879499 |
| **2022** | $300717556 | $288609068 |
| **2022** | $275556956 | $262028568 |
| **2022** | $296725730 | $283242756 |
| **2022** | $318015468 | $299071501 |
| **2022** | $303326733 | $281840650 |
| **2023** | $323784567 | $299549802 |
| **2023** | $312637670 | $292241100 |
| **2023** | $329685865 | $302970507 |
| **2023** | $340308202 | $307699408 |
| **2023** | $349488000 | $309036873 |
| **2023** | $368241014 | $329456568 |
| **2023** | $378100087 | $340040346 |
| **2023** | $371268536 | $334626383 |
| **2023** | $352744522 | $318672096 |
| **2023** | $351562138 | $311971525 |
| **2023** | $382304119 | $340462452 |
| **2023** | $394512571 | $355929870 |
| **2024** | $405326760 | $361911009 |
| **2024** | $425723142 | $381235468 |
| **2024** | $437358662 | $393501565 |
| **2024** | $420795157 | $377429168 |
| **2024** | $435579112 | $396143870 |
| **2024** | $452827059 | $410358342 |
| **2024** | $458334337 | $415353379 |
| **2024** | $472189999 | $425428481 |
| **2024** | $479872347 | $434514401 |
| **2024** | $465193576 | $430573971 |
| **2024** | $481107010 | $455849155 |
| **2024** | $469489073 | $444982528 |
| **2025** | $493889300 | $457374135 |
| **2025** | $488865724 | $451406263 |
| **2025** | $464752558 | $425972105 |
| **2025** | $462025474 | $423083616 |
| **2025** | $481689187 | $449714490 |
| **2025** | $503792922 | $472583661 |
| **2025** | $497873868 | $483189850 |
| **2025** | $512287942 | $492984837 |
| **2025** | $529349498 | $510978832 |
| **2025** | $544793149 | $522942688 |
| **2025** | $556706822 | $524224422 |
| **2025** | $562090945 | $524545372 |
| **2026** | $570411107 | $532151364 |
| **2026** | $564810998 | $528107098 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class IV | 15.53% | 14.47% | 16.28% |
| S&P 500 Index | 16.99% | 14.19% | 15.50% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.47% for Class IV is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.47% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $12115464727 |
| Number of Portfolio Holdings | 50 |
| Portfolio Turnover Rate | 24%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $36868284 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 39%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 77.0 |
| United Kingdom | 6.9 |
| Taiwan | 5.1 |
| France | 4.4 |
| Germany | 2.6 |
| Switzerland | 1.6 |
| Other (each less than 1%) | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 16.4 |
| Pharmaceuticals, Biotechnology & Life Sciences | 14.3 |
| Software & Services | 13.2 |
| Media & Entertainment | 11.0 |
| Health Care Equipment & Services | 10.8 |
| Food, Beverage & Tobacco | 6.0 |
| Consumer Discretionary Distribution & Retail | 4.8 |
| Technology Hardware & Equipment | 4.5 |
| Consumer Services | 4.2 |
| Financial Services | 4.0 |
| Banks | 3.1 |
| Capital Goods | 2.8 |
| Household & Personal Products | 2.1 |
| Consumer Durables & Apparel | 1.4 |
| Transportation | 1.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Quality Fund
![Image](g12033g00x59.jpg)

#### Class VI (GQLOX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Quality Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $44 | 0.41% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the S&P 500 Index is included for comparative purposes.

Class VI shares of GMO Quality Fund returned +15.59% (net) for the fiscal year ended February 28, 2026, as compared with +16.99% for the S&P 500 Index.

Relative to the S&P 500, sector allocation made a negative contribution this period. The Financials (underweight) and Information Technology (overweight) allocations helped returns, while Health Care (overweight) and Industrials (underweight) reduced returns. Security selection within sector made a negative contribution. Selection results in Information Technology and Communication Services helped returns. Health Care and Consumer Discretionary detracted from returns. Stock selection within sector was more significant than stock sector allocation.

Lam Research, TSMC, and Oracle made the largest positive impact, while Accenture, NVIDIA (underweight), and Salesforce detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g04p89.jpg)

---

| | | |
|:---|:---|:---|
| | **Class VI** | **S&P 500 Index** |
| **2016** | $300000000 | $300000000 |
| **2016** | $318325434 | $320351459 |
| **2016** | $315323855 | $321593377 |
| **2016** | $323222749 | $327368600 |
| **2016** | $326698262 | $328216835 |
| **2016** | $338242117 | $340317776 |
| **2016** | $337920747 | $340795598 |
| **2016** | $338242117 | $340860032 |
| **2016** | $330850603 | $334642343 |
| **2016** | $330850603 | $347035784 |
| **2016** | $335612861 | $353895331 |
| **2017** | $342000807 | $360607466 |
| **2017** | $361164645 | $374925718 |
| **2017** | $366569830 | $375363060 |
| **2017** | $375414679 | $379218007 |
| **2017** | $389009538 | $384554666 |
| **2017** | $390483680 | $386954877 |
| **2017** | $394472784 | $394911707 |
| **2017** | $400434589 | $396120616 |
| **2017** | $402753069 | $404291851 |
| **2017** | $420969696 | $413726164 |
| **2017** | $432065278 | $426415056 |
| **2017** | $433555532 | $431156218 |
| **2018** | $459987518 | $455841617 |
| **2018** | $445795847 | $439040608 |
| **2018** | $430717198 | $427883151 |
| **2018** | $433555532 | $429524967 |
| **2018** | $443134909 | $439868775 |
| **2018** | $448279390 | $442576134 |
| **2018** | $472285920 | $459045994 |
| **2018** | $490422292 | $474004149 |
| **2018** | $494863852 | $476702149 |
| **2018** | $469695010 | $444119481 |
| **2018** | $477467741 | $453169922 |
| **2018** | $435953502 | $412252824 |
| **2019** | $463347733 | $445289040 |
| **2019** | $476830831 | $459586484 |
| **2019** | $493738208 | $468517046 |
| **2019** | $508077376 | $487487136 |
| **2019** | $482823319 | $456508220 |
| **2019** | $511929689 | $488681220 |
| **2019** | $523393900 | $495704598 |
| **2019** | $515375028 | $487852480 |
| **2019** | $521009911 | $496980414 |
| **2019** | $537914559 | $507744876 |
| **2019** | $557419921 | $526175446 |
| **2019** | $574610364 | $542056480 |
| **2020** | $571132093 | $541843950 |
| **2020** | $528001533 | $497239798 |
| **2020** | $480233278 | $435824290 |
| **2020** | $534030536 | $491694245 |
| **2020** | $551653775 | $515112687 |
| **2020** | $557450893 | $525356837 |
| **2020** | $583438038 | $554979156 |
| **2020** | $618805210 | $594871348 |
| **2020** | $600038956 | $572268219 |
| **2020** | $578144992 | $557049438 |
| **2020** | $647435778 | $618026275 |
| **2020** | $681308978 | $641788255 |
| **2021** | $669865116 | $635308895 |
| **2021** | $691422158 | $652827486 |
| **2021** | $727350561 | $681418501 |
| **2021** | $768867827 | $717784964 |
| **2021** | $781110098 | $722798243 |
| **2021** | $790424869 | $739671818 |
| **2021** | $813719212 | $757242653 |
| **2021** | $828637398 | $780267113 |
| **2021** | $790121355 | $743977062 |
| **2021** | $838130788 | $796101425 |
| **2021** | $812091774 | $790585275 |
| **2021** | $860706276 | $826016249 |
| **2022** | $829006472 | $783272351 |
| **2022** | $794193295 | $759820041 |
| **2022** | $805797687 | $788031802 |
| **2022** | $756832812 | $719313985 |
| **2022** | $761078321 | $720633650 |
| **2022** | $709849174 | $661149837 |
| **2022** | $762151241 | $722110798 |
| **2022** | $723897673 | $692661762 |
| **2022** | $663451196 | $628868562 |
| **2022** | $714553290 | $679782615 |
| **2022** | $765655385 | $717771602 |
| **2022** | $730418319 | $676417559 |
| **2023** | $779514086 | $718919525 |
| **2023** | $752590601 | $701378640 |
| **2023** | $794084443 | $727129216 |
| **2023** | $819424194 | $738478578 |
| **2023** | $841913223 | $741688495 |
| **2023** | $886891281 | $790695763 |
| **2023** | $910555087 | $816096829 |
| **2023** | $894368851 | $803103320 |
| **2023** | $849618671 | $764813031 |
| **2023** | $846762277 | $748731661 |
| **2023** | $920711156 | $817109884 |
| **2023** | $950501777 | $854231688 |
| **2024** | $976307255 | $868586423 |
| **2024** | $1025933174 | $914965124 |
| **2024** | $1053392850 | $944403755 |
| **2024** | $1014022954 | $905830004 |
| **2024** | $1049422776 | $950745287 |
| **2024** | $1091108548 | $984860021 |
| **2024** | $1104213196 | $996848109 |
| **2024** | $1138035942 | $1021028354 |
| **2024** | $1156605293 | $1042834563 |
| **2024** | $1121124569 | $1033377531 |
| **2024** | $1159258058 | $1094037972 |
| **2024** | $1131462244 | $1067958068 |
| **2025** | $1190117802 | $1097697924 |
| **2025** | $1178317275 | $1083375032 |
| **2025** | $1120355866 | $1022333051 |
| **2025** | $1113761454 | $1015400679 |
| **2025** | $1161310634 | $1079314776 |
| **2025** | $1214413003 | $1134200788 |
| **2025** | $1200352146 | $1159655639 |
| **2025** | $1235217146 | $1183163609 |
| **2025** | $1276485922 | $1226349197 |
| **2025** | $1313485514 | $1255062450 |
| **2025** | $1342302504 | $1258138612 |
| **2025** | $1355491934 | $1258908892 |
| **2026** | $1375243388 | $1277163274 |
| **2026** | $1362075752 | $1267457036 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class VI | 15.59% | 14.52% | 16.34% |
| S&P 500 Index | 16.99% | 14.19% | 15.50% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.42% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.42% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $12115464727 |
| Number of Portfolio Holdings | 50 |
| Portfolio Turnover Rate | 24%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $36868284 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 39%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 77.0 |
| United Kingdom | 6.9 |
| Taiwan | 5.1 |
| France | 4.4 |
| Germany | 2.6 |
| Switzerland | 1.6 |
| Other (each less than 1%) | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 16.4 |
| Pharmaceuticals, Biotechnology & Life Sciences | 14.3 |
| Software & Services | 13.2 |
| Media & Entertainment | 11.0 |
| Health Care Equipment & Services | 10.8 |
| Food, Beverage & Tobacco | 6.0 |
| Consumer Discretionary Distribution & Retail | 4.8 |
| Technology Hardware & Equipment | 4.5 |
| Consumer Services | 4.2 |
| Financial Services | 4.0 |
| Banks | 3.1 |
| Capital Goods | 2.8 |
| Household & Personal Products | 2.1 |
| Consumer Durables & Apparel | 1.4 |
| Transportation | 1.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Quality Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GQESX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Quality Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $55 | 0.51% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the S&P 500 Index is included for comparative purposes.

Class R6 shares of GMO Quality Fund returned +15.47% (net) for the fiscal year ended February 28, 2026, as compared with +16.99% for the S&P 500 Index.

Relative to the S&P 500, sector allocation made a negative contribution this period. The Financials (underweight) and Information Technology (overweight) allocations helped returns, while Health Care (overweight) and Industrials (underweight) reduced returns. Security selection within sector made a negative contribution. Selection results in Information Technology and Communication Services helped returns. Health Care and Consumer Discretionary detracted from returns. Stock selection within sector was more significant than stock sector allocation.

Lam Research, TSMC, and Oracle made the largest positive impact, while Accenture, NVIDIA (underweight), and Salesforce detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g00l88.jpg)

---

| | | |
|:---|:---|:---|
| | **Class R6** | **S&P 500 Index** |
| **2019** | $10000 | $10000 |
| **2019** | $10198 | $10172 |
| **2019** | $10510 | $10479 |
| **2020** | $10450 | $10475 |
| **2020** | $9661 | $9613 |
| **2020** | $8787 | $8425 |
| **2020** | $9767 | $9506 |
| **2020** | $10090 | $9958 |
| **2020** | $10196 | $10156 |
| **2020** | $10668 | $10729 |
| **2020** | $11315 | $11500 |
| **2020** | $10967 | $11063 |
| **2020** | $10571 | $10769 |
| **2020** | $11839 | $11948 |
| **2020** | $12453 | $12407 |
| **2021** | $12244 | $12282 |
| **2021** | $12638 | $12621 |
| **2021** | $13290 | $13173 |
| **2021** | $14050 | $13876 |
| **2021** | $14269 | $13973 |
| **2021** | $14439 | $14299 |
| **2021** | $14862 | $14639 |
| **2021** | $15134 | $15084 |
| **2021** | $14430 | $14383 |
| **2021** | $15308 | $15390 |
| **2021** | $14827 | $15284 |
| **2021** | $15718 | $15969 |
| **2022** | $15133 | $15142 |
| **2022** | $14497 | $14689 |
| **2022** | $14709 | $15234 |
| **2022** | $13814 | $13906 |
| **2022** | $13897 | $13931 |
| **2022** | $12960 | $12781 |
| **2022** | $13906 | $13960 |
| **2022** | $13212 | $13391 |
| **2022** | $12108 | $12157 |
| **2022** | $13036 | $13142 |
| **2022** | $13970 | $13876 |
| **2022** | $13326 | $13077 |
| **2023** | $14223 | $13898 |
| **2023** | $13731 | $13559 |
| **2023** | $14483 | $14057 |
| **2023** | $14946 | $14276 |
| **2023** | $15351 | $14338 |
| **2023** | $16172 | $15286 |
| **2023** | $16607 | $15777 |
| **2023** | $16305 | $15526 |
| **2023** | $15494 | $14786 |
| **2023** | $15442 | $14475 |
| **2023** | $16786 | $15797 |
| **2023** | $17322 | $16514 |
| **2024** | $17799 | $16792 |
| **2024** | $18693 | $17688 |
| **2024** | $19200 | $18257 |
| **2024** | $18475 | $17512 |
| **2024** | $19127 | $18380 |
| **2024** | $19882 | $19040 |
| **2024** | $20117 | $19271 |
| **2024** | $20728 | $19739 |
| **2024** | $21067 | $20160 |
| **2024** | $20419 | $19977 |
| **2024** | $21115 | $21150 |
| **2024** | $20604 | $20646 |
| **2025** | $21674 | $21221 |
| **2025** | $21452 | $20944 |
| **2025** | $20395 | $19764 |
| **2025** | $20281 | $19630 |
| **2025** | $21136 | $20866 |
| **2025** | $22105 | $21927 |
| **2025** | $21848 | $22419 |
| **2025** | $22478 | $22873 |
| **2025** | $23230 | $23708 |
| **2025** | $23899 | $24263 |
| **2025** | $24424 | $24323 |
| **2025** | $24666 | $24337 |
| **2026** | $25019 | $24690 |
| **2026** | $24772 | $24503 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 11/12/2019 (commencement of operations) |
| Class R6 | 15.47% | 14.41% | 15.50% |
| S&P 500 Index | 16.99% | 14.19% | 15.29% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.51% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.51% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $12115464727 |
| Number of Portfolio Holdings | 50 |
| Portfolio Turnover Rate | 24%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $36868284 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 39%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 77.0 |
| United Kingdom | 6.9 |
| Taiwan | 5.1 |
| France | 4.4 |
| Germany | 2.6 |
| Switzerland | 1.6 |
| Other (each less than 1%) | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 16.4 |
| Pharmaceuticals, Biotechnology & Life Sciences | 14.3 |
| Software & Services | 13.2 |
| Media & Entertainment | 11.0 |
| Health Care Equipment & Services | 10.8 |
| Food, Beverage & Tobacco | 6.0 |
| Consumer Discretionary Distribution & Retail | 4.8 |
| Technology Hardware & Equipment | 4.5 |
| Consumer Services | 4.2 |
| Financial Services | 4.0 |
| Banks | 3.1 |
| Capital Goods | 2.8 |
| Household & Personal Products | 2.1 |
| Consumer Durables & Apparel | 1.4 |
| Transportation | 1.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Quality Fund
![Image](g12033g00x59.jpg)

#### Class I (GQLIX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Quality Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $67 | 0.62% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the S&P 500 Index is included for comparative purposes.

Class I shares of GMO Quality Fund returned +15.37% (net) for the fiscal year ended February 28, 2026, as compared with +16.99% for the S&P 500 Index.

Relative to the S&P 500, sector allocation made a negative contribution this period. The Financials (underweight) and Information Technology (overweight) allocations helped returns, while Health Care (overweight) and Industrials (underweight) reduced returns. Security selection within sector made a negative contribution. Selection results in Information Technology and Communication Services helped returns. Health Care and Consumer Discretionary detracted from returns. Stock selection within sector was more significant than stock sector allocation.

Lam Research, TSMC, and Oracle made the largest positive impact, while Accenture, NVIDIA (underweight), and Salesforce detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g40w88.jpg)

---

| | | |
|:---|:---|:---|
| | **Class I** | **S&P 500 Index** |
| **2019** | $10000 | $10000 |
| **2019** | $10038 | $9999 |
| **2019** | $10359 | $10216 |
| **2019** | $10731 | $10586 |
| **2019** | $11060 | $10906 |
| **2020** | $10993 | $10902 |
| **2020** | $10162 | $10004 |
| **2020** | $9238 | $8769 |
| **2020** | $10274 | $9893 |
| **2020** | $10609 | $10364 |
| **2020** | $10721 | $10570 |
| **2020** | $11217 | $11166 |
| **2020** | $11898 | $11969 |
| **2020** | $11532 | $11514 |
| **2020** | $11110 | $11208 |
| **2020** | $12440 | $12434 |
| **2020** | $13089 | $12912 |
| **2021** | $12869 | $12782 |
| **2021** | $13278 | $13135 |
| **2021** | $13965 | $13710 |
| **2021** | $14758 | $14441 |
| **2021** | $14994 | $14542 |
| **2021** | $15168 | $14882 |
| **2021** | $15612 | $15235 |
| **2021** | $15899 | $15699 |
| **2021** | $15158 | $14968 |
| **2021** | $16076 | $16017 |
| **2021** | $15570 | $15906 |
| **2021** | $16504 | $16619 |
| **2022** | $15889 | $15759 |
| **2022** | $15220 | $15287 |
| **2022** | $15443 | $15855 |
| **2022** | $14497 | $14472 |
| **2022** | $14584 | $14499 |
| **2022** | $13600 | $13302 |
| **2022** | $14593 | $14529 |
| **2022** | $13864 | $13936 |
| **2022** | $12704 | $12653 |
| **2022** | $13679 | $13677 |
| **2022** | $14655 | $14441 |
| **2022** | $13980 | $13609 |
| **2023** | $14915 | $14464 |
| **2023** | $14399 | $14111 |
| **2023** | $15189 | $14629 |
| **2023** | $15669 | $14858 |
| **2023** | $16094 | $14922 |
| **2023** | $16957 | $15908 |
| **2023** | $17410 | $16419 |
| **2023** | $17094 | $16158 |
| **2023** | $16236 | $15388 |
| **2023** | $16181 | $15064 |
| **2023** | $17593 | $16440 |
| **2023** | $18153 | $17187 |
| **2024** | $18648 | $17476 |
| **2024** | $19586 | $18409 |
| **2024** | $20112 | $19001 |
| **2024** | $19357 | $18225 |
| **2024** | $20029 | $19129 |
| **2024** | $20822 | $19815 |
| **2024** | $21069 | $20056 |
| **2024** | $21710 | $20543 |
| **2024** | $22060 | $20981 |
| **2024** | $21380 | $20791 |
| **2024** | $22104 | $22012 |
| **2024** | $21568 | $21487 |
| **2025** | $22684 | $22085 |
| **2025** | $22451 | $21797 |
| **2025** | $21343 | $20569 |
| **2025** | $21217 | $20429 |
| **2025** | $22113 | $21715 |
| **2025** | $23128 | $22820 |
| **2025** | $22852 | $23332 |
| **2025** | $23512 | $23805 |
| **2025** | $24294 | $24674 |
| **2025** | $24994 | $25251 |
| **2025** | $25538 | $25313 |
| **2025** | $25783 | $25329 |
| **2026** | $26153 | $25696 |
| **2026** | $25901 | $25501 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 9/26/2019 (commencement of operations) |
| Class I | 15.37% | 14.30% | 15.96% |
| S&P 500 Index | 16.99% | 14.19% | 15.68% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.63% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.63% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $12115464727 |
| Number of Portfolio Holdings | 50 |
| Portfolio Turnover Rate | 24%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $36868284 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 39%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 77.0 |
| United Kingdom | 6.9 |
| Taiwan | 5.1 |
| France | 4.4 |
| Germany | 2.6 |
| Switzerland | 1.6 |
| Other (each less than 1%) | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 16.4 |
| Pharmaceuticals, Biotechnology & Life Sciences | 14.3 |
| Software & Services | 13.2 |
| Media & Entertainment | 11.0 |
| Health Care Equipment & Services | 10.8 |
| Food, Beverage & Tobacco | 6.0 |
| Consumer Discretionary Distribution & Retail | 4.8 |
| Technology Hardware & Equipment | 4.5 |
| Consumer Services | 4.2 |
| Financial Services | 4.0 |
| Banks | 3.1 |
| Capital Goods | 2.8 |
| Household & Personal Products | 2.1 |
| Consumer Durables & Apparel | 1.4 |
| Transportation | 1.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Resource Transition Fund
![Image](g12033g00x59.jpg)

#### Class VI (GMOYX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Resource Transition Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $124 | 0.86% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI All Country World Index ("ACWI") Commodity Producers ex-Energy is included for comparative purposes.

Class VI shares of GMO Resource Transition Fund returned +87.53% (net) for the fiscal year ended February 28, 2026, as compared with +98.31% for the MSCI ACWI Commodity Producers ex-Energy.

The Fund's industrial metals portfolio, its largest segment, delivered a standout year. Being overweight the sector and strong stock selection helped performance. However, not holding any pure play gold or silver miners, two commodity markets that we consider out of scope for this Fund, was a headwind in a year when precious metals re-rated significantly.

The Fund's clean energy holdings, approximately 40% of the portfolio by weight, delivered strong performance across the board, but it was notably high in solar and biofuels.

The Fund's agriculture, timber, and water positions delivered decent absolute returns but did not keep up with a roaring benchmark.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g80x41.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class VI** | **MSCI ACWI** | **MSCI ACWI Commodity Producers ex-Energy** |
| **2023** | $300000000 | $300000000 | $300000000 |
| **2023** | $284700000 | $289271603 | $288965966 |
| **2023** | $277200000 | $298190593 | $293555321 |
| **2023** | $271800000 | $302476357 | $287270239 |
| **2023** | $250950000 | $299236677 | $260085552 |
| **2023** | $269850000 | $316610640 | $277175120 |
| **2023** | $289608150 | $328201108 | $298592120 |
| **2023** | $253275764 | $319029883 | $278420159 |
| **2023** | $240964791 | $305837730 | $273124522 |
| **2023** | $209436687 | $296642153 | $259260104 |
| **2023** | $223248999 | $324020990 | $278812603 |
| **2023** | $248645108 | $339585005 | $298215817 |
| **2024** | $214882384 | $341575745 | $276354097 |
| **2024** | $211884759 | $356233897 | $267928069 |
| **2024** | $227819503 | $367224552 | $290449924 |
| **2024** | $223086411 | $355296293 | $296575960 |
| **2024** | $238547845 | $369726160 | $305159719 |
| **2024** | $211095911 | $377960750 | $290299393 |
| **2024** | $218348317 | $384056307 | $291670111 |
| **2024** | $215961126 | $393809993 | $290061318 |
| **2024** | $225509887 | $402958629 | $313881787 |
| **2024** | $210709308 | $393913490 | $293482870 |
| **2024** | $205616636 | $408647306 | $284117467 |
| **2024** | $183409733 | $398973960 | $260120938 |
| **2025** | $188261842 | $412365902 | $275012782 |
| **2025** | $172088144 | $409881659 | $273303156 |
| **2025** | $168529931 | $393689429 | $282319432 |
| **2025** | $162545663 | $397361199 | $286055701 |
| **2025** | $174028988 | $420201071 | $293937724 |
| **2025** | $187129683 | $439068549 | $305950464 |
| **2025** | $195054795 | $445023148 | $307893637 |
| **2025** | $224005714 | $456011140 | $339578898 |
| **2025** | $235489040 | $472537879 | $374288344 |
| **2025** | $248751472 | $483106621 | $374797480 |
| **2025** | $257485269 | $483053007 | $394777016 |
| **2025** | $270323365 | $488094387 | $425026187 |
| **2026** | $310997407 | $502563626 | $483749922 |
| **2026** | $322714209 | $509024404 | $541993986 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 2/15/2023 (commencement of operations) |
| Class VI | 87.53% | 2.43% |
| MSCI ACWI | 24.19% | 19.02% |
| MSCI ACWI Commodity Producers ex-Energy | 98.31% | 21.51% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.02% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.86% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $180472881 |
| Number of Portfolio Holdings | 61 |
| Portfolio Turnover Rate | 53%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1002141 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 73%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 39.6 |
| United Kingdom | 18.4 |
| Canada | 11.1 |
| Brazil | 10.2 |
| Chile | 4.4 |
| Finland | 3.7 |
| Norway | 2.8 |
| France | 2.0 |
| Denmark | 2.0 |
| China | 1.7 |
| Italy | 1.4 |
| Japan | 1.1 |
| Other (each less than 1%) | 1.6 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Industrial Metals | 48.8 |
| Energy | 37.4 |
| Agriculture | 6.8 |
| Water | 3.9 |
| Timber | 3.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Resources Fund
![Image](g12033g00x59.jpg)

#### Class III (GOFIX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Resources Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $90 | 0.70% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the MSCI All Country World Index ("ACWI") Commodity Producers Index is included for comparative purposes.

Class III shares of GMO Resources Fund returned +57.72% (net) for the fiscal year ended February 28, 2026, as compared with +57.78% for the MSCI ACWI Commodity Producers Index.

The Fund's energy portfolio delivered strong positive returns, both absolute and relative. This was driven by an underweight to fossil fuels in an unfavorable price environment, along with an off-benchmark position in clean energy that went through a significant revaluation. The Fund's metals positions also delivered a standout year, and being overweight the sector helped performance. That was true despite not holding any pure play gold or silver miners, in a year when precious metals re-rated significantly.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g02n36.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class III** | **MSCI ACWI** | **MSCI ACWI Commodity Producers** |
| **2016** | $10000 | $10000 | $10000 |
| **2016** | $11218 | $10741 | $11019 |
| **2016** | $12717 | $10900 | $12227 |
| **2016** | $11499 | $10913 | $11657 |
| **2016** | $12095 | $10847 | $12205 |
| **2016** | $12528 | $11315 | $12307 |
| **2016** | $12365 | $11353 | $12210 |
| **2016** | $12989 | $11422 | $12573 |
| **2016** | $13305 | $11229 | $12510 |
| **2016** | $14134 | $11314 | $13043 |
| **2016** | $14439 | $11558 | $13453 |
| **2017** | $15763 | $11874 | $13592 |
| **2017** | $15175 | $12207 | $13275 |
| **2017** | $15061 | $12357 | $13243 |
| **2017** | $14825 | $12549 | $13039 |
| **2017** | $14562 | $12826 | $12900 |
| **2017** | $14492 | $12885 | $12733 |
| **2017** | $15920 | $13245 | $13450 |
| **2017** | $16484 | $13296 | $13427 |
| **2017** | $17049 | $13552 | $14112 |
| **2017** | $17363 | $13834 | $14377 |
| **2017** | $17202 | $14102 | $14491 |
| **2017** | $18535 | $14329 | $15295 |
| **2018** | $19543 | $15137 | $16050 |
| **2018** | $19121 | $14502 | $14956 |
| **2018** | $18874 | $14181 | $14860 |
| **2018** | $19460 | $14327 | $15888 |
| **2018** | $19460 | $14345 | $16048 |
| **2018** | $18883 | $14267 | $16057 |
| **2018** | $19468 | $14697 | $16232 |
| **2018** | $18717 | $14813 | $15553 |
| **2018** | $19672 | $14877 | $16296 |
| **2018** | $18467 | $13762 | $14884 |
| **2018** | $18106 | $13964 | $14398 |
| **2018** | $17286 | $12980 | $13498 |
| **2019** | $19045 | $14005 | $14748 |
| **2019** | $19311 | $14380 | $15112 |
| **2019** | $19340 | $14560 | $15287 |
| **2019** | $19454 | $15052 | $15243 |
| **2019** | $18142 | $14159 | $14179 |
| **2019** | $19625 | $15086 | $15317 |
| **2019** | $18934 | $15130 | $14809 |
| **2019** | $17411 | $14772 | $13736 |
| **2019** | $18287 | $15082 | $14184 |
| **2019** | $18772 | $15495 | $14184 |
| **2019** | $18820 | $15873 | $14324 |
| **2019** | $20757 | $16432 | $15260 |
| **2020** | $19592 | $16251 | $13938 |
| **2020** | $17740 | $14938 | $12054 |
| **2020** | $13371 | $12922 | $9339 |
| **2020** | $15389 | $14306 | $10722 |
| **2020** | $16545 | $14928 | $10980 |
| **2020** | $16927 | $15405 | $11221 |
| **2020** | $18000 | $16220 | $11515 |
| **2020** | $19371 | $17212 | $11765 |
| **2020** | $18401 | $16657 | $10723 |
| **2020** | $18049 | $16253 | $10291 |
| **2020** | $22468 | $18256 | $12416 |
| **2020** | $25425 | $19103 | $13381 |
| **2021** | $25842 | $19017 | $13448 |
| **2021** | $28272 | $19457 | $14949 |
| **2021** | $28394 | $19977 | $15231 |
| **2021** | $28841 | $20850 | $15764 |
| **2021** | $29990 | $21165 | $16568 |
| **2021** | $30630 | $21454 | $16467 |
| **2021** | $29939 | $21602 | $16267 |
| **2021** | $29907 | $22142 | $15957 |
| **2021** | $29865 | $21228 | $16133 |
| **2021** | $32180 | $22311 | $17018 |
| **2021** | $30244 | $21774 | $16212 |
| **2021** | $31160 | $22645 | $17146 |
| **2022** | $31848 | $21533 | $18478 |
| **2022** | $32028 | $20976 | $19532 |
| **2022** | $33878 | $21431 | $20662 |
| **2022** | $30675 | $19715 | $19763 |
| **2022** | $33224 | $19739 | $21263 |
| **2022** | $27967 | $18075 | $17890 |
| **2022** | $29970 | $19337 | $18762 |
| **2022** | $30486 | $18625 | $19096 |
| **2022** | $27082 | $16842 | $17541 |
| **2022** | $29124 | $17858 | $19906 |
| **2022** | $32916 | $19244 | $21384 |
| **2022** | $31129 | $18486 | $20759 |
| **2023** | $34013 | $19811 | $21944 |
| **2023** | $31557 | $19244 | $20577 |
| **2023** | $30525 | $19837 | $20499 |
| **2023** | $30525 | $20122 | $21021 |
| **2023** | $28283 | $19906 | $19006 |
| **2023** | $30373 | $21062 | $20196 |
| **2023** | $32893 | $21833 | $21533 |
| **2023** | $30587 | $21223 | $21206 |
| **2023** | $30224 | $20346 | $21519 |
| **2023** | $27385 | $19734 | $20459 |
| **2023** | $28487 | $21555 | $20950 |
| **2023** | $30667 | $22591 | $21515 |
| **2024** | $27694 | $22723 | $20772 |
| **2024** | $27560 | $23698 | $20764 |
| **2024** | $29374 | $24429 | $22404 |
| **2024** | $29307 | $23636 | $22984 |
| **2024** | $30694 | $24596 | $23223 |
| **2024** | $28107 | $25143 | $22412 |
| **2024** | $28457 | $25549 | $22572 |
| **2024** | $28390 | $26198 | $22387 |
| **2024** | $28176 | $26806 | $22554 |
| **2024** | $26865 | $26205 | $21867 |
| **2024** | $27239 | $27185 | $21936 |
| **2024** | $25239 | $26541 | $20319 |
| **2025** | $25612 | $27432 | $21066 |
| **2025** | $24026 | $27267 | $21274 |
| **2025** | $23751 | $26190 | $22325 |
| **2025** | $21559 | $26434 | $20718 |
| **2025** | $23241 | $27953 | $21136 |
| **2025** | $24743 | $29209 | $22185 |
| **2025** | $25784 | $29605 | $22676 |
| **2025** | $28008 | $30336 | $24100 |
| **2025** | $28409 | $31435 | $24901 |
| **2025** | $29736 | $32138 | $25072 |
| **2025** | $30427 | $32135 | $25963 |
| **2025** | $31059 | $32470 | $26918 |
| **2026** | $35967 | $33433 | $30554 |
| **2026** | $37895 | $33862 | $33567 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III | 57.72% | 6.04% | 14.25% |
| MSCI ACWI | 24.19% | 11.72% | 12.97% |
| MSCI ACWI Commodity Producers | 57.78% | 17.56% | 12.88% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.72% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.72% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1265851623 |
| Number of Portfolio Holdings | 110 |
| Portfolio Turnover Rate | 43%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $6326028 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 82%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 39.7 |
| United Kingdom | 19.7 |
| Brazil | 10.8 |
| Canada | 8.7 |
| Argentina | 5.1 |
| Chile | 2.8 |
| Norway | 2.8 |
| Finland | 2.4 |
| France | 1.4 |
| China | 1.3 |
| Denmark | 1.2 |
| Japan | 1.1 |
| Other (each less than 1%) | 3.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Energy | 59.8 |
| Industrial Metals | 31.1 |
| Agriculture | 4.6 |
| Water | 2.5 |
| Timber | 2.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Resources Fund
![Image](g12033g00x59.jpg)

#### Class IV (GOVIX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Resources Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class IV | $84 | 0.65% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the MSCI All Country World Index ("ACWI") Commodity Producers Index is included for comparative purposes.

Class IV shares of GMO Resources Fund returned +57.81% (net) for the fiscal year ended February 28, 2026, as compared with +57.78% for the MSCI ACWI Commodity Producers Index.

The Fund's energy portfolio delivered strong positive returns, both absolute and relative. This was driven by an underweight to fossil fuels in an unfavorable price environment, along with an off-benchmark position in clean energy that went through a significant revaluation. The Fund's metals positions also delivered a standout year, and being overweight the sector helped performance. That was true despite not holding any pure play gold or silver miners, in a year when precious metals re-rated significantly.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $125,000,000 Investment

![Growth of 10K Chart](g12033g71j17.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class IV** | **MSCI ACWI** | **MSCI ACWI Commodity Producers** |
| **2016** | $125000000 | $125000000 | $125000000 |
| **2016** | $140157985 | $134263708 | $137737936 |
| **2016** | $158838599 | $136245590 | $152842323 |
| **2016** | $143787361 | $136417733 | $145714893 |
| **2016** | $151259607 | $135591355 | $152560288 |
| **2016** | $156537888 | $141434861 | $153834012 |
| **2016** | $154609290 | $141910481 | $152623798 |
| **2016** | $162323683 | $142780199 | $157164531 |
| **2016** | $166288023 | $140356828 | $156371826 |
| **2016** | $176681025 | $141423487 | $163042042 |
| **2016** | $180417255 | $144478475 | $168160645 |
| **2017** | $197128665 | $148428963 | $169899812 |
| **2017** | $189652508 | $152592589 | $165938376 |
| **2017** | $188333186 | $154459336 | $165536209 |
| **2017** | $185254768 | $156866534 | $162984469 |
| **2017** | $182066407 | $160330595 | $161247259 |
| **2017** | $181186860 | $161059689 | $159167902 |
| **2017** | $199045413 | $165560772 | $168123997 |
| **2017** | $206130081 | $166195054 | $167839341 |
| **2017** | $213214748 | $169405944 | $176401168 |
| **2017** | $217150674 | $172923716 | $179714302 |
| **2017** | $215238938 | $176271211 | $181140227 |
| **2017** | $231825546 | $179113005 | $191190373 |
| **2018** | $244468486 | $189217953 | $200622112 |
| **2018** | $239181439 | $181271126 | $186943852 |
| **2018** | $236078172 | $177261791 | $185752621 |
| **2018** | $243434064 | $179084706 | $198605466 |
| **2018** | $243434064 | $179308290 | $200604335 |
| **2018** | $236193108 | $178337266 | $200706420 |
| **2018** | $243516706 | $183715336 | $202903153 |
| **2018** | $234097005 | $185158674 | $194406840 |
| **2018** | $246075143 | $185964523 | $203698654 |
| **2018** | $231073397 | $172028540 | $186048624 |
| **2018** | $226537986 | $174544529 | $179979522 |
| **2018** | $216218755 | $162248393 | $168720065 |
| **2019** | $238294069 | $175061815 | $184350599 |
| **2019** | $241515872 | $179744219 | $188896137 |
| **2019** | $241873850 | $182004683 | $191087769 |
| **2019** | $243425088 | $188150185 | $190539170 |
| **2019** | $226958097 | $176989299 | $177234600 |
| **2019** | $245572956 | $188578490 | $191467993 |
| **2019** | $236926569 | $189131054 | $185116307 |
| **2019** | $217929431 | $184644430 | $171695975 |
| **2019** | $228802007 | $188529635 | $177296689 |
| **2019** | $235014908 | $193689450 | $177304222 |
| **2019** | $235492823 | $198417693 | $179048890 |
| **2019** | $259867530 | $205405015 | $190752329 |
| **2020** | $245232303 | $203136126 | $174230147 |
| **2020** | $222111103 | $186728865 | $150669751 |
| **2020** | $167382730 | $161519849 | $116738161 |
| **2020** | $192717662 | $178822672 | $134029610 |
| **2020** | $207229905 | $186599853 | $137247533 |
| **2020** | $211903339 | $192562184 | $140256250 |
| **2020** | $225383134 | $202746226 | $143931756 |
| **2020** | $242606736 | $215155331 | $147065810 |
| **2020** | $230427189 | $208218033 | $134032869 |
| **2020** | $225998263 | $203156545 | $128642634 |
| **2020** | $281359840 | $228198215 | $155196330 |
| **2020** | $318458197 | $238793336 | $167256842 |
| **2021** | $323693476 | $237707293 | $168105589 |
| **2021** | $354083632 | $243213415 | $186856696 |
| **2021** | $355615909 | $249709485 | $190384849 |
| **2021** | $361234258 | $260627415 | $197050903 |
| **2021** | $375535508 | $264562474 | $207099565 |
| **2021** | $383579961 | $268171689 | $205837852 |
| **2021** | $374961040 | $270019133 | $203334863 |
| **2021** | $374696610 | $276777529 | $199461195 |
| **2021** | $374167751 | $265343918 | $201665188 |
| **2021** | $403122782 | $278888006 | $212726416 |
| **2021** | $378927482 | $272172256 | $202656185 |
| **2021** | $390390732 | $283059281 | $214323261 |
| **2022** | $399040872 | $269157560 | $230971350 |
| **2022** | $401309761 | $262205963 | $244154155 |
| **2022** | $424565874 | $267885086 | $258279201 |
| **2022** | $384434898 | $246443072 | $247041397 |
| **2022** | $416341151 | $246731475 | $265791063 |
| **2022** | $350401562 | $225932910 | $223622744 |
| **2022** | $375617612 | $241710376 | $234519128 |
| **2022** | $382111591 | $232811832 | $238693853 |
| **2022** | $339457960 | $210524918 | $219263440 |
| **2022** | $364991102 | $223229474 | $248823210 |
| **2022** | $412662807 | $240543909 | $267296960 |
| **2022** | $390308503 | $231078276 | $259492705 |
| **2023** | $426424711 | $247641241 | $274294134 |
| **2023** | $395694253 | $240543842 | $257208046 |
| **2023** | $382705090 | $247960430 | $256237463 |
| **2023** | $382705090 | $251524257 | $262765093 |
| **2023** | $354509103 | $248830301 | $237571614 |
| **2023** | $380804237 | $263277622 | $252449553 |
| **2023** | $412298726 | $272915677 | $269166362 |
| **2023** | $383594385 | $265289344 | $265077967 |
| **2023** | $378864692 | $254319408 | $268992776 |
| **2023** | $343473543 | $246672824 | $255739433 |
| **2023** | $357173343 | $269439700 | $261879124 |
| **2023** | $384617962 | $282381959 | $268934315 |
| **2024** | $347348129 | $284037359 | $259646836 |
| **2024** | $345669307 | $296226347 | $259555858 |
| **2024** | $368501277 | $305365628 | $280050982 |
| **2024** | $367661866 | $295446683 | $287302731 |
| **2024** | $384953726 | $307445840 | $290283681 |
| **2024** | $352720357 | $314293315 | $280152867 |
| **2024** | $356999876 | $319362076 | $282154286 |
| **2024** | $356157497 | $327472756 | $279831486 |
| **2024** | $353461887 | $335080304 | $281924096 |
| **2024** | $336951275 | $327558818 | $273340227 |
| **2024** | $341837068 | $339810724 | $274194521 |
| **2024** | $316773218 | $331766852 | $253986617 |
| **2025** | $321288625 | $342902924 | $263324840 |
| **2025** | $301490299 | $340837151 | $265927141 |
| **2025** | $298016909 | $327372500 | $279064809 |
| **2025** | $270577123 | $330425761 | $258980959 |
| **2025** | $291764806 | $349418260 | $264198988 |
| **2025** | $310521115 | $365107514 | $277312694 |
| **2025** | $323684043 | $370059061 | $283450142 |
| **2025** | $351542810 | $379196128 | $301248066 |
| **2025** | $356592211 | $392938940 | $311267316 |
| **2025** | $373133354 | $401727379 | $313395185 |
| **2025** | $382013336 | $401682796 | $324539973 |
| **2025** | $390023034 | $405874956 | $336472566 |
| **2026** | $451491099 | $417906854 | $381921758 |
| **2026** | $475788210 | $423279315 | $419582453 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class IV | 57.81% | 6.09% | 14.30% |
| MSCI ACWI | 24.19% | 11.72% | 12.97% |
| MSCI ACWI Commodity Producers | 57.78% | 17.56% | 12.88% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.67% for Class IV is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.67% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1265851623 |
| Number of Portfolio Holdings | 110 |
| Portfolio Turnover Rate | 43%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $6326028 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 82%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 39.7 |
| United Kingdom | 19.7 |
| Brazil | 10.8 |
| Canada | 8.7 |
| Argentina | 5.1 |
| Chile | 2.8 |
| Norway | 2.8 |
| Finland | 2.4 |
| France | 1.4 |
| China | 1.3 |
| Denmark | 1.2 |
| Japan | 1.1 |
| Other (each less than 1%) | 3.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Energy | 59.8 |
| Industrial Metals | 31.1 |
| Agriculture | 4.6 |
| Water | 2.5 |
| Timber | 2.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Resources Fund
![Image](g12033g00x59.jpg)

#### Class VI (GMOWX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Resources Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $79 | 0.61% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the MSCI All Country World Index ("ACWI") Commodity Producers Index is included for comparative purposes.

Class VI shares of GMO Resources Fund returned +57.87% (net) for the fiscal year ended February 28, 2026, as compared with +57.78% for the MSCI ACWI Commodity Producers Index.

The Fund's energy portfolio delivered strong positive returns, both absolute and relative. This was driven by an underweight to fossil fuels in an unfavorable price environment, along with an off-benchmark position in clean energy that went through a significant revaluation. The Fund's metals positions also delivered a standout year, and being overweight the sector helped performance. That was true despite not holding any pure play gold or silver miners, in a year when precious metals re-rated significantly.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g94j97.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class VI** | **MSCI ACWI** | **MSCI ACWI Commodity Producers** |
| **2022** | $300000000 | $300000000 | $300000000 |
| **2022** | $291652353 | $290373240 | $302349332 |
| **2022** | $308553762 | $296662438 | $319841143 |
| **2022** | $279388526 | $272917033 | $305924760 |
| **2022** | $302679492 | $273236417 | $329143488 |
| **2022** | $254757815 | $250203582 | $276924172 |
| **2022** | $273123925 | $267675930 | $290417755 |
| **2022** | $277738592 | $257821467 | $295587544 |
| **2022** | $246723734 | $233140398 | $271525810 |
| **2022** | $265397040 | $247209731 | $308131276 |
| **2022** | $299953387 | $266384157 | $331008322 |
| **2022** | $283784812 | $255901685 | $321343890 |
| **2023** | $310054782 | $274243914 | $339673302 |
| **2023** | $287587044 | $266384083 | $318514673 |
| **2023** | $278139072 | $274597391 | $317312748 |
| **2023** | $278139072 | $278544060 | $325396266 |
| **2023** | $257745280 | $275560708 | $294197814 |
| **2023** | $276756442 | $291560021 | $312621973 |
| **2023** | $299761227 | $302233437 | $333323305 |
| **2023** | $278781497 | $293787851 | $328260423 |
| **2023** | $275462670 | $281639478 | $333108344 |
| **2023** | $249741758 | $273171465 | $316696010 |
| **2023** | $259698240 | $298384056 | $324299122 |
| **2023** | $279637891 | $312716627 | $333035948 |
| **2024** | $252540723 | $314549857 | $321534759 |
| **2024** | $251442190 | $328048238 | $321422096 |
| **2024** | $267920197 | $338169300 | $346802320 |
| **2024** | $267309901 | $327184819 | $355782554 |
| **2024** | $279882010 | $340472977 | $359474026 |
| **2024** | $256446622 | $348056036 | $346928489 |
| **2024** | $259599679 | $353669305 | $349406955 |
| **2024** | $258987127 | $362651268 | $346530506 |
| **2024** | $257026960 | $371076052 | $349121898 |
| **2024** | $245143444 | $362746576 | $338492028 |
| **2024** | $248573737 | $376314634 | $339549947 |
| **2024** | $230417188 | $367406655 | $314525403 |
| **2025** | $233701644 | $379739011 | $326089431 |
| **2025** | $219300569 | $377451324 | $329312001 |
| **2025** | $216774065 | $362540243 | $345581089 |
| **2025** | $196814681 | $365921498 | $320710167 |
| **2025** | $212226357 | $386954252 | $327171936 |
| **2025** | $225995806 | $404328912 | $343411349 |
| **2025** | $235478926 | $409812375 | $351011684 |
| **2025** | $255746074 | $419930985 | $373051818 |
| **2025** | $259419495 | $435150108 | $385459199 |
| **2025** | $271579783 | $444882638 | $388094254 |
| **2025** | $277913267 | $444833266 | $401895451 |
| **2025** | $283750625 | $449475766 | $416672228 |
| **2026** | $328643698 | $462800181 | $472954427 |
| **2026** | $346204811 | $468749775 | $519591707 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 2/8/2022 (commencement of operations) |
| Class VI | 57.87% | 3.60% |
| MSCI ACWI | 24.19% | 11.64% |
| MSCI ACWI Commodity Producers | 57.78% | 14.51% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.63% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.63% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1265851623 |
| Number of Portfolio Holdings | 110 |
| Portfolio Turnover Rate | 43%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $6326028 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 82%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 39.7 |
| United Kingdom | 19.7 |
| Brazil | 10.8 |
| Canada | 8.7 |
| Argentina | 5.1 |
| Chile | 2.8 |
| Norway | 2.8 |
| Finland | 2.4 |
| France | 1.4 |
| China | 1.3 |
| Denmark | 1.2 |
| Japan | 1.1 |
| Other (each less than 1%) | 3.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Energy | 59.8 |
| Industrial Metals | 31.1 |
| Agriculture | 4.6 |
| Water | 2.5 |
| Timber | 2.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Resources Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GAAHX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Resources Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $90 | 0.70% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the MSCI All Country World Index ("ACWI") Commodity Producers Index is included for comparative purposes.

Class R6 shares of GMO Resources Fund returned +57.74% (net) for the fiscal year ended February 28, 2026, as compared with +57.78% for the MSCI ACWI Commodity Producers Index.

The Fund's energy portfolio delivered strong positive returns, both absolute and relative. This was driven by an underweight to fossil fuels in an unfavorable price environment, along with an off-benchmark position in clean energy that went through a significant revaluation. The Fund's metals positions also delivered a standout year, and being overweight the sector helped performance. That was true despite not holding any pure play gold or silver miners, in a year when precious metals re-rated significantly.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g28x15.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class R6** | **MSCI ACWI** | **MSCI ACWI Commodity Producers** |
| **2021** | $10000 | $10000 | $10000 |
| **2021** | $9267 | $9646 | $9451 |
| **2021** | $10138 | $9869 | $10505 |
| **2021** | $10178 | $10133 | $10704 |
| **2021** | $10338 | $10576 | $11079 |
| **2021** | $10750 | $10735 | $11644 |
| **2021** | $10979 | $10882 | $11573 |
| **2021** | $10733 | $10957 | $11432 |
| **2021** | $10721 | $11231 | $11214 |
| **2021** | $10706 | $10767 | $11338 |
| **2021** | $11536 | $11317 | $11960 |
| **2021** | $10842 | $11044 | $11394 |
| **2021** | $11169 | $11486 | $12050 |
| **2022** | $11420 | $10922 | $12986 |
| **2022** | $11480 | $10640 | $13727 |
| **2022** | $12148 | $10870 | $14521 |
| **2022** | $10999 | $10000 | $13889 |
| **2022** | $11913 | $10012 | $14943 |
| **2022** | $10028 | $9168 | $12572 |
| **2022** | $10745 | $9808 | $13185 |
| **2022** | $10931 | $9447 | $13420 |
| **2022** | $9709 | $8543 | $12327 |
| **2022** | $10442 | $9058 | $13989 |
| **2022** | $11803 | $9761 | $15028 |
| **2022** | $11162 | $9377 | $14589 |
| **2023** | $12197 | $10049 | $15421 |
| **2023** | $11316 | $9761 | $14461 |
| **2023** | $10941 | $10062 | $14406 |
| **2023** | $10941 | $10206 | $14773 |
| **2023** | $10141 | $10097 | $13357 |
| **2023** | $10891 | $10683 | $14193 |
| **2023** | $11793 | $11074 | $15133 |
| **2023** | $10965 | $10765 | $14903 |
| **2023** | $10835 | $10320 | $15123 |
| **2023** | $9821 | $10009 | $14378 |
| **2023** | $10211 | $10933 | $14723 |
| **2023** | $10998 | $11458 | $15120 |
| **2024** | $9930 | $11526 | $14598 |
| **2024** | $9882 | $12020 | $14593 |
| **2024** | $10533 | $12391 | $15745 |
| **2024** | $10509 | $11988 | $16153 |
| **2024** | $11002 | $12475 | $16320 |
| **2024** | $10078 | $12753 | $15751 |
| **2024** | $10204 | $12959 | $15863 |
| **2024** | $10180 | $13288 | $15733 |
| **2024** | $10098 | $13597 | $15850 |
| **2024** | $9632 | $13292 | $15368 |
| **2024** | $9767 | $13789 | $15416 |
| **2024** | $9048 | $13462 | $14280 |
| **2025** | $9182 | $13914 | $14805 |
| **2025** | $8612 | $13830 | $14951 |
| **2025** | $8513 | $13284 | $15690 |
| **2025** | $7731 | $13408 | $14560 |
| **2025** | $8335 | $14179 | $14854 |
| **2025** | $8870 | $14815 | $15591 |
| **2025** | $9244 | $15016 | $15936 |
| **2025** | $10043 | $15387 | $16937 |
| **2025** | $10182 | $15944 | $17500 |
| **2025** | $10658 | $16301 | $17620 |
| **2025** | $10911 | $16299 | $18246 |
| **2025** | $11136 | $16469 | $18917 |
| **2026** | $12898 | $16958 | $21472 |
| **2026** | $13586 | $17176 | $23590 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 1/22/2021 (commencement of operations) |
| Class R6 | 57.74% | 6.03% | 6.19% |
| MSCI ACWI | 24.19% | 11.72% | 11.19% |
| MSCI ACWI Commodity Producers | 57.78% | 17.56% | 18.32% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.72% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.72% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1265851623 |
| Number of Portfolio Holdings | 110 |
| Portfolio Turnover Rate | 43%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $6326028 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 82%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 39.7 |
| United Kingdom | 19.7 |
| Brazil | 10.8 |
| Canada | 8.7 |
| Argentina | 5.1 |
| Chile | 2.8 |
| Norway | 2.8 |
| Finland | 2.4 |
| France | 1.4 |
| China | 1.3 |
| Denmark | 1.2 |
| Japan | 1.1 |
| Other (each less than 1%) | 3.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Energy | 59.8 |
| Industrial Metals | 31.1 |
| Agriculture | 4.6 |
| Water | 2.5 |
| Timber | 2.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Resources Fund
![Image](g12033g00x59.jpg)

#### Class I (GEACX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Resources Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $106 | 0.82% |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the MSCI All Country World Index ("ACWI") Commodity Producers Index is included for comparative purposes.

Class I shares of GMO Resources Fund returned +57.54% (net) for the fiscal year ended February 28, 2026, as compared with +57.78% for the MSCI ACWI Commodity Producers Index.

The Fund's energy portfolio delivered strong positive returns, both absolute and relative. This was driven by an underweight to fossil fuels in an unfavorable price environment, along with an off-benchmark position in clean energy that went through a significant revaluation. The Fund's metals positions also delivered a standout year, and being overweight the sector helped performance. That was true despite not holding any pure play gold or silver miners, in a year when precious metals re-rated significantly.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g89r34.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class I** | **MSCI ACWI** | **MSCI ACWI Commodity Producers** |
| **2021** | $10000 | $10000 | $10000 |
| **2021** | $9267 | $9646 | $9451 |
| **2021** | $10135 | $9869 | $10505 |
| **2021** | $10179 | $10133 | $10704 |
| **2021** | $10335 | $10576 | $11079 |
| **2021** | $10747 | $10735 | $11644 |
| **2021** | $10977 | $10882 | $11573 |
| **2021** | $10726 | $10957 | $11432 |
| **2021** | $10718 | $11231 | $11214 |
| **2021** | $10699 | $10767 | $11338 |
| **2021** | $11529 | $11317 | $11960 |
| **2021** | $10831 | $11044 | $11394 |
| **2021** | $11160 | $11486 | $12050 |
| **2022** | $11407 | $10922 | $12986 |
| **2022** | $11472 | $10640 | $13727 |
| **2022** | $12134 | $10870 | $14521 |
| **2022** | $10983 | $10000 | $13889 |
| **2022** | $11896 | $10012 | $14943 |
| **2022** | $10013 | $9168 | $12572 |
| **2022** | $10732 | $9808 | $13185 |
| **2022** | $10913 | $9447 | $13420 |
| **2022** | $9694 | $8543 | $12327 |
| **2022** | $10421 | $9058 | $13989 |
| **2022** | $11779 | $9761 | $15028 |
| **2022** | $11141 | $9377 | $14589 |
| **2023** | $12173 | $10049 | $15421 |
| **2023** | $11294 | $9761 | $14461 |
| **2023** | $10920 | $10062 | $14406 |
| **2023** | $10920 | $10206 | $14773 |
| **2023** | $10118 | $10097 | $13357 |
| **2023** | $10866 | $10683 | $14193 |
| **2023** | $11765 | $11074 | $15133 |
| **2023** | $10939 | $10765 | $14903 |
| **2023** | $10805 | $10320 | $15123 |
| **2023** | $9794 | $10009 | $14378 |
| **2023** | $10183 | $10933 | $14723 |
| **2023** | $10967 | $11458 | $15120 |
| **2024** | $9899 | $11526 | $14598 |
| **2024** | $9856 | $12020 | $14593 |
| **2024** | $10500 | $12391 | $15745 |
| **2024** | $10476 | $11988 | $16153 |
| **2024** | $10967 | $12475 | $16320 |
| **2024** | $10047 | $12753 | $15751 |
| **2024** | $10169 | $12959 | $15863 |
| **2024** | $10140 | $13288 | $15733 |
| **2024** | $10064 | $13597 | $15850 |
| **2024** | $9595 | $13292 | $15368 |
| **2024** | $9729 | $13789 | $15416 |
| **2024** | $9011 | $13462 | $14280 |
| **2025** | $9144 | $13914 | $14805 |
| **2025** | $8579 | $13830 | $14951 |
| **2025** | $8475 | $13284 | $15690 |
| **2025** | $7698 | $13408 | $14560 |
| **2025** | $8298 | $14179 | $14854 |
| **2025** | $8829 | $14815 | $15591 |
| **2025** | $9202 | $15016 | $15936 |
| **2025** | $9995 | $15387 | $16937 |
| **2025** | $10133 | $15944 | $17500 |
| **2025** | $10606 | $16301 | $17620 |
| **2025** | $10852 | $16299 | $18246 |
| **2025** | $11079 | $16469 | $18917 |
| **2026** | $12828 | $16958 | $21472 |
| **2026** | $13515 | $17176 | $23590 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 1/22/2021 (commencement of operations) |
| Class I | 57.54% | 5.93% | 6.08% |
| MSCI ACWI | 24.19% | 11.72% | 11.19% |
| MSCI ACWI Commodity Producers | 57.78% | 17.56% | 18.32% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.84% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.84% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1265851623 |
| Number of Portfolio Holdings | 110 |
| Portfolio Turnover Rate | 43%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $6326028 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 82%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| United States | 39.7 |
| United Kingdom | 19.7 |
| Brazil | 10.8 |
| Canada | 8.7 |
| Argentina | 5.1 |
| Chile | 2.8 |
| Norway | 2.8 |
| Finland | 2.4 |
| France | 1.4 |
| China | 1.3 |
| Denmark | 1.2 |
| Japan | 1.1 |
| Other (each less than 1%) | 3.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Industry Group Summary<sup>**Footnote Reference \*\***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Energy | 59.8 |
| Industrial Metals | 31.1 |
| Agriculture | 4.6 |
| Water | 2.5 |
| Timber | 2.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Small Cap Quality Fund
![Image](g12033g00x59.jpg)

#### Class III (GMAWX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Small Cap Quality Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $81 | 0.76% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the S&P 600 Index is included for comparative purposes.

Class III shares of GMO Small Cap Quality Fund returned +13.91% (net) for the fiscal year ended February 28, 2026, as compared with +17.89% (net) for the S&P 600 Index.

Relative to the S&P 600, sector allocation added to returns. Our allocations toward Information Technology (overweight), Industrials (overweight), and Healthcare (underweight) helped returns, while our weighting in Consumer Staples (overweight) and Energy (underweight) detracted. Security selection within sectors detracted from returns. Selections within Communication Services, Consumer Staples, and Consumer Discretionary added value, while selection within Information Technology, Materials, and Industrials detracted. Stock selection outweighed the impact of sector selection.

Among our holdings, Fabrinet, Woodward, and Curtiss-Wright made the largest positive impact, while Booz Allen Hamilton, Trex, Dolby detracted. Not holding Sandisk, while it was a member of the S&P 600, was also a notable detractor to relative returns.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g90p37.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class III** | **S&P Composite 1500 Index** | **S&P 600 Index** |
| **2022** | $10000 | $10000 | $10000 |
| **2022** | $10039 | $10222 | $10076 |
| **2022** | $9421 | $9632 | $9400 |
| **2023** | $10450 | $10262 | $10292 |
| **2023** | $10457 | $10019 | $10166 |
| **2023** | $10551 | $10322 | $9641 |
| **2023** | $10442 | $10458 | $9373 |
| **2023** | $10225 | $10477 | $9209 |
| **2023** | $11374 | $11188 | $9967 |
| **2023** | $11868 | $11559 | $10516 |
| **2023** | $12073 | $11360 | $10081 |
| **2023** | $11448 | $10812 | $9476 |
| **2023** | $10858 | $10554 | $8933 |
| **2023** | $11512 | $11512 | $9671 |
| **2023** | $12498 | $12085 | $10909 |
| **2024** | $12353 | $12247 | $10478 |
| **2024** | $13066 | $12899 | $10827 |
| **2024** | $13210 | $13331 | $11177 |
| **2024** | $12359 | $12767 | $10550 |
| **2024** | $13216 | $13396 | $11082 |
| **2024** | $13307 | $13819 | $10830 |
| **2024** | $14084 | $14053 | $11999 |
| **2024** | $13943 | $14360 | $11826 |
| **2024** | $14149 | $14655 | $11927 |
| **2024** | $13776 | $14517 | $11612 |
| **2024** | $14678 | $15411 | $12882 |
| **2024** | $13650 | $14980 | $11857 |
| **2025** | $13883 | $15406 | $12203 |
| **2025** | $12960 | $15163 | $11506 |
| **2025** | $12310 | $14308 | $10799 |
| **2025** | $12105 | $14186 | $10347 |
| **2025** | $12663 | $15069 | $10888 |
| **2025** | $13017 | $15820 | $11328 |
| **2025** | $13177 | $16165 | $11433 |
| **2025** | $13308 | $16523 | $12241 |
| **2025** | $13320 | $17088 | $12361 |
| **2025** | $13177 | $17451 | $12252 |
| **2025** | $13600 | $17519 | $12577 |
| **2025** | $13450 | $17529 | $12571 |
| **2026** | $14395 | $17823 | $13276 |
| **2026** | $14762 | $17746 | $13564 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 11/15/2022 (commencement of operations) |
| Class III | 13.91% | 12.57% |
| S&P Composite 1500 Index | 17.04% | 19.06% |
| S&P 600 Index | 17.89% | 9.71% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.84% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.76% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $687865448 |
| Number of Portfolio Holdings | 43 |
| Portfolio Turnover Rate | 61%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $3482819 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 72%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 19.6 |
| Semiconductors & Semiconductor Equipment | 10.3 |
| Commercial & Professional Services | 9.1 |
| Financial Services | 9.0 |
| Materials | 7.9 |
| Food, Beverage & Tobacco | 5.8 |
| Technology Hardware & Equipment | 5.1 |
| Health Care Equipment & Services | 4.6 |
| Consumer Staples Distribution & Retail | 4.4 |
| Media & Entertainment | 4.3 |
| Software & Services | 4.0 |
| Consumer Services | 3.8 |
| Consumer Durables & Apparel | 3.6 |
| Consumer Discretionary Distribution & Retail | 3.4 |
| Energy | 1.9 |
| Pharmaceuticals, Biotechnology & Life Sciences | 1.2 |
| Transportation | 1.1 |
| Other (each less than 1%) | 0.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Small Cap Quality Fund
![Image](g12033g00x59.jpg)

#### Class IV (GMSQX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Small Cap Quality Fund for the period of March 31, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last period?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment<sup>Footnote Reference\*</sup> | Costs paid as a percentage of a $10,000 investment |
| Class IV | $71 | 0.71%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;For the period March 31, 2025 (commencement of operations) through February 28, 2026. The costs would have been higher had the Class operated the full year. |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# How did the Fund perform last period and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the S&P 600 Index is included for comparative purposes.

Class IV shares of GMO Small Cap Quality Fund returned +20.00% (net) for the period from March 31, 2025 (commencement of operations) through February 28, 2026, as compared with +25.61% (net) for the S&P 600 Index.

Relative to the S&P 600, sector allocation added to returns. Our allocations toward Information Technology (overweight), Industrials (overweight), and Healthcare (underweight) helped returns, while our weighting in Consumer Staples (overweight) and Energy (underweight) detracted. Security selection within sectors detracted from returns. Selections within Communication Services, Consumer Staples, and Consumer Discretionary added value, while selection within Information Technology, Materials, and Industrials detracted. Stock selection outweighed the impact of sector selection.

Among our holdings, Fabrinet, Woodward, and Curtiss-Wright made the largest positive impact, while Booz Allen Hamilton, Trex, Dolby detracted. Not holding Sandisk, while it was a member of the S&P 600, was also a notable detractor to relative returns.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $125,000,000 Investment

![Growth of 10K Chart](g12033g18y16.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class IV** | **S&P Composite 1500 Index** | **S&P 600 Index** |
| **3/31/2025** | $125000000 | $125000000 | $125000000 |
| **04/2025** | $122915702 | $123940464 | $119764610 |
| **05/2025** | $128589625 | $131652393 | $126028803 |
| **06/2025** | $132237147 | $138211908 | $131124223 |
| **07/2025** | $133790850 | $141227394 | $132339924 |
| **08/2025** | $135185110 | $144353348 | $141688498 |
| **09/2025** | $135301298 | $149289139 | $143075116 |
| **10/2025** | $133790850 | $152457759 | $141822269 |
| **11/2025** | $138147912 | $153052941 | $145583297 |
| **12/2025** | $136613796 | $153142720 | $145508219 |
| **01/2026** | $146276297 | $155714505 | $153667875 |
| **02/2026** | $150001599 | $155037353 | $157007719 |

---

# Average Annual Total Returns

---

| | |
|:---|:---|
| AATR | Since 3/31/2025 (commencement of operations) |
| Class IV | 20.00% |
| S&P Composite 1500 Index | 24.03% |
| S&P 600 Index | 25.61% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.79% for Class IV is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.71% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $687865448 |
| Number of Portfolio Holdings | 43 |
| Portfolio Turnover Rate | 61%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $3482819 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 72%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at period ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 19.6 |
| Semiconductors & Semiconductor Equipment | 10.3 |
| Commercial & Professional Services | 9.1 |
| Financial Services | 9.0 |
| Materials | 7.9 |
| Food, Beverage & Tobacco | 5.8 |
| Technology Hardware & Equipment | 5.1 |
| Health Care Equipment & Services | 4.6 |
| Consumer Staples Distribution & Retail | 4.4 |
| Media & Entertainment | 4.3 |
| Software & Services | 4.0 |
| Consumer Services | 3.8 |
| Consumer Durables & Apparel | 3.6 |
| Consumer Discretionary Distribution & Retail | 3.4 |
| Energy | 1.9 |
| Pharmaceuticals, Biotechnology & Life Sciences | 1.2 |
| Transportation | 1.1 |
| Other (each less than 1%) | 0.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Small Cap Quality Fund
![Image](g12033g00x59.jpg)

#### Class VI (GSBGX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Small Cap Quality Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $71 | 0.66% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the S&P 600 Index is included for comparative purposes.

Class VI shares of GMO Small Cap Quality Fund returned +14.07% (net) for the fiscal year ended February 28, 2026, as compared with +17.89% (net) for the S&P 600 Index.

Relative to the S&P 600, sector allocation added to returns. Our allocations toward Information Technology (overweight), Industrials (overweight), and Healthcare (underweight) helped returns, while our weighting in Consumer Staples (overweight) and Energy (underweight) detracted. Security selection within sectors detracted from returns. Selections within Communication Services, Consumer Staples, and Consumer Discretionary added value, while selection within Information Technology, Materials, and Industrials detracted. Stock selection outweighed the impact of sector selection.

Among our holdings, Fabrinet, Woodward, and Curtiss-Wright made the largest positive impact, while Booz Allen Hamilton, Trex, Dolby detracted. Not holding Sandisk, while it was a member of the S&P 600, was also a notable detractor to relative returns.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g60m04.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class VI** | **S&P Composite 1500 Index** | **S&P 600 Index** |
| **2022** | $300000000 | $300000000 | $300000000 |
| **2022** | $286950000 | $279119935 | $279951705 |
| **2022** | $318450000 | $302397476 | $314568733 |
| **2022** | $345750000 | $319281549 | $327677839 |
| **2022** | $324460398 | $300852167 | $305685603 |
| **2023** | $360060914 | $320515923 | $334705629 |
| **2023** | $360289238 | $312916489 | $330594105 |
| **2023** | $363545354 | $322392847 | $313536214 |
| **2023** | $359800821 | $326649887 | $304821998 |
| **2023** | $352474560 | $327240490 | $299477797 |
| **2023** | $392036370 | $349439859 | $324126865 |
| **2023** | $409093083 | $361041770 | $341984660 |
| **2023** | $416149308 | $354797400 | $327828343 |
| **2023** | $394644621 | $337685449 | $308163491 |
| **2023** | $374315971 | $329648812 | $290490196 |
| **2023** | $396828691 | $359571050 | $314512670 |
| **2023** | $430828978 | $377466719 | $354755951 |
| **2024** | $426029684 | $382511568 | $340754324 |
| **2024** | $450579921 | $402873297 | $352080936 |
| **2024** | $455563804 | $416376584 | $363485835 |
| **2024** | $426214272 | $398754052 | $343086762 |
| **2024** | $455932981 | $418409964 | $360387761 |
| **2024** | $458886393 | $431628240 | $352186677 |
| **2024** | $485793578 | $438932836 | $390206640 |
| **2024** | $481138599 | $448521971 | $384587719 |
| **2024** | $488214167 | $457712627 | $387858513 |
| **2024** | $475366426 | $453410473 | $377632756 |
| **2024** | $506647883 | $481347171 | $418929419 |
| **2024** | $471140091 | $467879021 | $385607194 |
| **2025** | $479198808 | $481191592 | $396835385 |
| **2025** | $447357049 | $473578081 | $374170178 |
| **2025** | $424949886 | $446878426 | $351187465 |
| **2025** | $417873940 | $443090557 | $336478637 |
| **2025** | $437136238 | $470660912 | $354077886 |
| **2025** | $449519144 | $494111358 | $368393468 |
| **2025** | $454941555 | $504891804 | $371808978 |
| **2025** | $459674367 | $516067175 | $398073796 |
| **2025** | $460068768 | $533712764 | $401969498 |
| **2025** | $455138756 | $545040666 | $398449624 |
| **2025** | $469731593 | $547168460 | $409016232 |
| **2025** | $464631761 | $547489423 | $408805300 |
| **2026** | $497438598 | $556683624 | $431729852 |
| **2026** | $510284648 | $554262786 | $441113142 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 9/20/2022 (commencement of operations) |
| Class VI | 14.07% | 16.69% |
| S&P Composite 1500 Index | 17.04% | 19.53% |
| S&P 600 Index | 17.89% | 11.85% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.75% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.67% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $687865448 |
| Number of Portfolio Holdings | 43 |
| Portfolio Turnover Rate | 61%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $3482819 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 72%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 19.6 |
| Semiconductors & Semiconductor Equipment | 10.3 |
| Commercial & Professional Services | 9.1 |
| Financial Services | 9.0 |
| Materials | 7.9 |
| Food, Beverage & Tobacco | 5.8 |
| Technology Hardware & Equipment | 5.1 |
| Health Care Equipment & Services | 4.6 |
| Consumer Staples Distribution & Retail | 4.4 |
| Media & Entertainment | 4.3 |
| Software & Services | 4.0 |
| Consumer Services | 3.8 |
| Consumer Durables & Apparel | 3.6 |
| Consumer Discretionary Distribution & Retail | 3.4 |
| Energy | 1.9 |
| Pharmaceuticals, Biotechnology & Life Sciences | 1.2 |
| Transportation | 1.1 |
| Other (each less than 1%) | 0.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Small Cap Quality Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GMBVX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Small Cap Quality Fund for the period of April 29, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last period?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment<sup>Footnote Reference\*</sup> | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $70 | 0.76%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;For the period April 29, 2025 (commencement of operations) through February 28, 2026. The costs would have been higher had the Class operated the full year. |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# How did the Fund perform last period and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the S&P 600 Index is included for comparative purposes.

Class R6 shares of GMO Small Cap Quality Fund returned +21.47% (net) for the period from April 29, 2025 (commencement of operations) through February 28, 2026, as compared with +30.27% (net) for the S&P 600 Index.

Relative to the S&P 600, sector allocation added to returns. Our allocations toward Information Technology (overweight), Industrials (overweight), and Healthcare (underweight) helped returns, while our weighting in Consumer Staples (overweight) and Energy (underweight) detracted. Security selection within sectors detracted from returns. Selections within Communication Services, Consumer Staples, and Consumer Discretionary added value, while selection within Information Technology, Materials, and Industrials detracted. Stock selection outweighed the impact of sector selection.

Among our holdings, Fabrinet, Woodward, and Curtiss-Wright made the largest positive impact, while Booz Allen Hamilton, Trex, Dolby detracted. Not holding Sandisk, while it was a member of the S&P 600, was also a notable detractor to relative returns.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g82r96.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class R6** | **S&P Composite 1500 Index** | **S&P 600 Index** |
| **04/25** | $9958 | $10012 | $9937 |
| **05/25** | $10417 | $10635 | $10457 |
| **06/25** | $10708 | $11165 | $10880 |
| **07/25** | $10840 | $11409 | $10981 |
| **08/25** | $10948 | $11661 | $11756 |
| **09/25** | $10957 | $12060 | $11871 |
| **10/25** | $10840 | $12316 | $11767 |
| **11/25** | $11188 | $12364 | $12079 |
| **12/25** | $11067 | $12371 | $12073 |
| **01/26** | $11845 | $12579 | $12750 |
| **02/26** | $12147 | $12524 | $13027 |

---

# Average Annual Total Returns

---

| | |
|:---|:---|
| AATR | Since 4/29/2025 (commencement of operations) |
| Class R6 | 21.47% |
| S&P Composite 1500 Index | 25.24% |
| S&P 600 Index | 30.27% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.84% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.76% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $687865448 |
| Number of Portfolio Holdings | 43 |
| Portfolio Turnover Rate | 61%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $3482819 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 72%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at period ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 19.6 |
| Semiconductors & Semiconductor Equipment | 10.3 |
| Commercial & Professional Services | 9.1 |
| Financial Services | 9.0 |
| Materials | 7.9 |
| Food, Beverage & Tobacco | 5.8 |
| Technology Hardware & Equipment | 5.1 |
| Health Care Equipment & Services | 4.6 |
| Consumer Staples Distribution & Retail | 4.4 |
| Media & Entertainment | 4.3 |
| Software & Services | 4.0 |
| Consumer Services | 3.8 |
| Consumer Durables & Apparel | 3.6 |
| Consumer Discretionary Distribution & Retail | 3.4 |
| Energy | 1.9 |
| Pharmaceuticals, Biotechnology & Life Sciences | 1.2 |
| Transportation | 1.1 |
| Other (each less than 1%) | 0.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Small Cap Quality Fund
![Image](g12033g00x59.jpg)

#### Class I (GMAYX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Small Cap Quality Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $81 | 0.76% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the S&P 600 Index is included for comparative purposes.

Class I shares of GMO Small Cap Quality Fund returned +13.93% (net) for the fiscal year ended February 28, 2026, as compared with +17.89% (net) for the S&P 600 Index.

Relative to the S&P 600, sector allocation added to returns. Our allocations toward Information Technology (overweight), Industrials (overweight), and Healthcare (underweight) helped returns, while our weighting in Consumer Staples (overweight) and Energy (underweight) detracted. Security selection within sectors detracted from returns. Selections within Communication Services, Consumer Staples, and Consumer Discretionary added value, while selection within Information Technology, Materials, and Industrials detracted. Stock selection outweighed the impact of sector selection.

Among our holdings, Fabrinet, Woodward, and Curtiss-Wright made the largest positive impact, while Booz Allen Hamilton, Trex, Dolby detracted. Not holding Sandisk, while it was a member of the S&P 600, was also a notable detractor to relative returns.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g62o84.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class I** | **S&P Composite 1500 Index** | **S&P 600 Index** |
| **2022** | $10000 | $10000 | $10000 |
| **2022** | $10039 | $10222 | $10076 |
| **2022** | $9420 | $9632 | $9400 |
| **2023** | $10449 | $10262 | $10292 |
| **2023** | $10451 | $10019 | $10166 |
| **2023** | $10546 | $10322 | $9641 |
| **2023** | $10437 | $10458 | $9373 |
| **2023** | $10219 | $10477 | $9209 |
| **2023** | $11368 | $11188 | $9967 |
| **2023** | $11865 | $11559 | $10516 |
| **2023** | $12070 | $11360 | $10081 |
| **2023** | $11441 | $10812 | $9476 |
| **2023** | $10856 | $10554 | $8933 |
| **2023** | $11505 | $11512 | $9671 |
| **2023** | $12489 | $12085 | $10909 |
| **2024** | $12344 | $12247 | $10478 |
| **2024** | $13056 | $12899 | $10827 |
| **2024** | $13201 | $13331 | $11177 |
| **2024** | $12349 | $12767 | $10550 |
| **2024** | $13206 | $13396 | $11082 |
| **2024** | $13297 | $13819 | $10830 |
| **2024** | $14071 | $14053 | $11999 |
| **2024** | $13936 | $14360 | $11826 |
| **2024** | $14142 | $14655 | $11927 |
| **2024** | $13764 | $14517 | $11612 |
| **2024** | $14671 | $15411 | $12882 |
| **2024** | $13646 | $14980 | $11857 |
| **2025** | $13874 | $15406 | $12203 |
| **2025** | $12950 | $15163 | $11506 |
| **2025** | $12300 | $14308 | $10799 |
| **2025** | $12095 | $14186 | $10347 |
| **2025** | $12654 | $15069 | $10888 |
| **2025** | $13013 | $15820 | $11328 |
| **2025** | $13167 | $16165 | $11433 |
| **2025** | $13304 | $16523 | $12241 |
| **2025** | $13310 | $17088 | $12361 |
| **2025** | $13167 | $17451 | $12252 |
| **2025** | $13590 | $17519 | $12577 |
| **2025** | $13438 | $17529 | $12571 |
| **2026** | $14388 | $17823 | $13276 |
| **2026** | $14755 | $17746 | $13564 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 11/15/2022 (commencement of operations) |
| Class I | 13.93% | 12.56% |
| S&P Composite 1500 Index | 17.04% | 19.06% |
| S&P 600 Index | 17.89% | 9.71% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.94% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.86% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $687865448 |
| Number of Portfolio Holdings | 43 |
| Portfolio Turnover Rate | 61%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $3482819 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 72%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 19.6 |
| Semiconductors & Semiconductor Equipment | 10.3 |
| Commercial & Professional Services | 9.1 |
| Financial Services | 9.0 |
| Materials | 7.9 |
| Food, Beverage & Tobacco | 5.8 |
| Technology Hardware & Equipment | 5.1 |
| Health Care Equipment & Services | 4.6 |
| Consumer Staples Distribution & Retail | 4.4 |
| Media & Entertainment | 4.3 |
| Software & Services | 4.0 |
| Consumer Services | 3.8 |
| Consumer Durables & Apparel | 3.6 |
| Consumer Discretionary Distribution & Retail | 3.4 |
| Energy | 1.9 |
| Pharmaceuticals, Biotechnology & Life Sciences | 1.2 |
| Transportation | 1.1 |
| Other (each less than 1%) | 0.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO U.S. Equity Fund
![Image](g12033g00x59.jpg)

#### Class III (GMUEX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO U.S. Equity Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $55 | 0.49% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the S&P Composite 1500 Index is included for comparative purposes.

Class III shares of GMO U.S. Equity Fund returned +24.81% (net) for the fiscal year ended February 28, 2026, as compared with +17.04% for the S&P Composite 1500 Index.

Outperformance for the period was driven by stock selection. Highlights included contributions from Financials, Information Technology, Consumer Discretionary, and Health Care, with several top stock contributors related to overweight holdings in semiconductors and semiconductor equipment companies.

Sector allocation detracted, including underweight positioning in Energy and Utilities.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g30t97.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **S&P Composite 1500 Index** |
| **2016** | $10000 | $10000 |
| **2016** | $10674 | $10695 |
| **2016** | $10631 | $10746 |
| **2016** | $10790 | $10943 |
| **2016** | $10783 | $10973 |
| **2016** | $11140 | $11387 |
| **2016** | $11184 | $11411 |
| **2016** | $11184 | $11410 |
| **2016** | $10918 | $11185 |
| **2016** | $11599 | $11665 |
| **2016** | $11861 | $11902 |
| **2017** | $11877 | $12117 |
| **2017** | $12359 | $12576 |
| **2017** | $12334 | $12585 |
| **2017** | $12383 | $12712 |
| **2017** | $12375 | $12860 |
| **2017** | $12514 | $12958 |
| **2017** | $12652 | $13210 |
| **2017** | $12695 | $13222 |
| **2017** | $13209 | $13534 |
| **2017** | $13628 | $13843 |
| **2017** | $14038 | $14275 |
| **2017** | $14050 | $14418 |
| **2018** | $14633 | $15200 |
| **2018** | $14059 | $14631 |
| **2018** | $13849 | $14314 |
| **2018** | $13794 | $14365 |
| **2018** | $14159 | $14746 |
| **2018** | $13958 | $14837 |
| **2018** | $14443 | $15366 |
| **2018** | $14770 | $15874 |
| **2018** | $14760 | $15928 |
| **2018** | $13641 | $14792 |
| **2018** | $13908 | $15102 |
| **2018** | $12675 | $13702 |
| **2019** | $13651 | $14832 |
| **2019** | $14331 | $15323 |
| **2019** | $14331 | $15572 |
| **2019** | $14737 | $16201 |
| **2019** | $13837 | $15144 |
| **2019** | $14890 | $16219 |
| **2019** | $15070 | $16448 |
| **2019** | $14811 | $16147 |
| **2019** | $15206 | $16468 |
| **2019** | $15398 | $16813 |
| **2019** | $15951 | $17413 |
| **2019** | $16297 | $17937 |
| **2020** | $16087 | $17882 |
| **2020** | $14691 | $16390 |
| **2020** | $12850 | $14246 |
| **2020** | $14394 | $16083 |
| **2020** | $15148 | $16870 |
| **2020** | $15395 | $17205 |
| **2020** | $16074 | $18159 |
| **2020** | $16804 | $19414 |
| **2020** | $16313 | $18678 |
| **2020** | $15782 | $18252 |
| **2020** | $17574 | $20316 |
| **2020** | $18528 | $21151 |
| **2021** | $18719 | $21008 |
| **2021** | $19648 | $21666 |
| **2021** | $20972 | $22613 |
| **2021** | $21832 | $23787 |
| **2021** | $22242 | $23955 |
| **2021** | $22296 | $24453 |
| **2021** | $22667 | $24973 |
| **2021** | $23292 | $25710 |
| **2021** | $22013 | $24539 |
| **2021** | $23191 | $26220 |
| **2021** | $23074 | $25994 |
| **2021** | $24481 | $27168 |
| **2022** | $23301 | $25717 |
| **2022** | $22752 | $25032 |
| **2022** | $23301 | $25908 |
| **2022** | $21971 | $23677 |
| **2022** | $22204 | $23738 |
| **2022** | $20392 | $21758 |
| **2022** | $22175 | $23789 |
| **2022** | $21313 | $22830 |
| **2022** | $19465 | $20724 |
| **2022** | $21348 | $22452 |
| **2022** | $22738 | $23706 |
| **2022** | $21436 | $22337 |
| **2023** | $22793 | $23797 |
| **2023** | $22382 | $23233 |
| **2023** | $22846 | $23937 |
| **2023** | $22953 | $24253 |
| **2023** | $22543 | $24297 |
| **2023** | $24149 | $25945 |
| **2023** | $24925 | $26806 |
| **2023** | $24321 | $26343 |
| **2023** | $23490 | $25072 |
| **2023** | $22848 | $24475 |
| **2023** | $24812 | $26697 |
| **2023** | $26126 | $28026 |
| **2024** | $26327 | $28400 |
| **2024** | $27878 | $29912 |
| **2024** | $29329 | $30915 |
| **2024** | $27858 | $29606 |
| **2024** | $29449 | $31066 |
| **2024** | $29973 | $32047 |
| **2024** | $30666 | $32589 |
| **2024** | $30882 | $33301 |
| **2024** | $31294 | $33984 |
| **2024** | $31034 | $33664 |
| **2024** | $32746 | $35738 |
| **2024** | $31590 | $34738 |
| **2025** | $32818 | $35727 |
| **2025** | $31850 | $35162 |
| **2025** | $29796 | $33179 |
| **2025** | $29300 | $32898 |
| **2025** | $31189 | $34945 |
| **2025** | $32936 | $36686 |
| **2025** | $33472 | $37487 |
| **2025** | $34703 | $38316 |
| **2025** | $36206 | $39626 |
| **2025** | $37265 | $40467 |
| **2025** | $38053 | $40625 |
| **2025** | $38611 | $40649 |
| **2026** | $39937 | $41332 |
| **2026** | $39752 | $41152 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III | 24.81% | 15.14% | 14.80% |
| S&P Composite 1500 Index | 17.04% | 13.69% | 15.20% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.59% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.49% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $216130574 |
| Number of Portfolio Holdings | 155 |
| Portfolio Turnover Rate | 95%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $598654 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 101%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 18.4 |
| Pharmaceuticals, Biotechnology & Life Sciences | 9.8 |
| Technology Hardware & Equipment | 9.0 |
| Media & Entertainment | 8.0 |
| Financial Services | 7.7 |
| Banks | 6.2 |
| Automobiles & Components | 5.9 |
| Food, Beverage & Tobacco | 5.0 |
| Software & Services | 4.8 |
| Capital Goods | 4.4 |
| Consumer Discretionary Distribution & Retail | 4.1 |
| Consumer Durables & Apparel | 3.8 |
| Transportation | 1.8 |
| Insurance | 1.6 |
| Consumer Staples Distribution & Retail | 1.6 |
| Telecommunication Services | 1.5 |
| Materials | 1.5 |
| Health Care Equipment & Services | 1.3 |
| Household & Personal Products | 1.2 |
| Commercial & Professional Services | 1.2 |
| Other (each less than 1%) | 1.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO U.S. Equity Fund
![Image](g12033g00x59.jpg)

#### Class VI (GMCQX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO U.S. Equity Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $45 | 0.40% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the S&P Composite 1500 Index is included for comparative purposes.

Class VI shares of GMO U.S. Equity Fund returned +24.82% (net) for the fiscal year ended February 28, 2026, as compared with +17.04% for the S&P Composite 1500 Index.

Outperformance for the period was driven by stock selection. Highlights included contributions from Financials, Information Technology, Consumer Discretionary, and Health Care, with several top stock contributors related to overweight holdings in semiconductors and semiconductor equipment companies.

Sector allocation detracted, including underweight positioning in Energy and Utilities.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g37o71.jpg)

---

| | | |
|:---|:---|:---|
| | **Class VI** | **S&P Composite 1500 Index** |
| **2016** | $300000000 | $300000000 |
| **2016** | $320101967 | $320864097 |
| **2016** | $318790969 | $322381439 |
| **2016** | $323597961 | $328277946 |
| **2016** | $323379461 | $329200894 |
| **2016** | $334012424 | $341623902 |
| **2016** | $335575317 | $342321240 |
| **2016** | $335575317 | $342292349 |
| **2016** | $327760855 | $335552248 |
| **2016** | $348078456 | $349937527 |
| **2016** | $356015846 | $357071973 |
| **2017** | $356508602 | $363513132 |
| **2017** | $371044889 | $377293980 |
| **2017** | $370059378 | $377562705 |
| **2017** | $371537644 | $381372338 |
| **2017** | $371291266 | $385791713 |
| **2017** | $375726066 | $388752643 |
| **2017** | $379867590 | $396293655 |
| **2017** | $381159656 | $396646156 |
| **2017** | $396664456 | $406005542 |
| **2017** | $409068296 | $415282680 |
| **2017** | $421730549 | $428255975 |
| **2017** | $421830714 | $432530008 |
| **2018** | $439487461 | $456005247 |
| **2018** | $422382488 | $438939829 |
| **2018** | $416037094 | $429410117 |
| **2018** | $414381774 | $430951726 |
| **2018** | $425417241 | $442369604 |
| **2018** | $419623621 | $445103999 |
| **2018** | $433838401 | $460988973 |
| **2018** | $444032254 | $476218975 |
| **2018** | $443732435 | $477827483 |
| **2018** | $409852864 | $443767394 |
| **2018** | $418247802 | $453053796 |
| **2018** | $381182235 | $411068344 |
| **2019** | $410427253 | $444961678 |
| **2019** | $431031699 | $459696056 |
| **2019** | $431031699 | $467158454 |
| **2019** | $443327900 | $486043037 |
| **2019** | $416076859 | $454331278 |
| **2019** | $447648187 | $486573817 |
| **2019** | $453241324 | $493450908 |
| **2019** | $445367797 | $484423942 |
| **2019** | $457349251 | $494034121 |
| **2019** | $463511143 | $504380832 |
| **2019** | $479942852 | $522402568 |
| **2019** | $490318321 | $538099291 |
| **2020** | $484315955 | $536467805 |
| **2020** | $441924241 | $491707420 |
| **2020** | $386777498 | $427392688 |
| **2020** | $433295839 | $482486593 |
| **2020** | $456179861 | $506099761 |
| **2020** | $463307672 | $516154942 |
| **2020** | $484104934 | $544778408 |
| **2020** | $505889656 | $582412467 |
| **2020** | $491366508 | $560339993 |
| **2020** | $475229677 | $547567639 |
| **2020** | $528884641 | $609466022 |
| **2020** | $557750149 | $634534851 |
| **2021** | $563564372 | $630251670 |
| **2021** | $591804886 | $649983160 |
| **2021** | $631673847 | $678384979 |
| **2021** | $657837852 | $713624596 |
| **2021** | $670296902 | $718653808 |
| **2021** | $671958109 | $733579453 |
| **2021** | $683089679 | $749197806 |
| **2021** | $701683177 | $771310717 |
| **2021** | $663168075 | $736174273 |
| **2021** | $699026963 | $786597364 |
| **2021** | $695485344 | $779814344 |
| **2021** | $738117609 | $815028784 |
| **2022** | $702606796 | $771504943 |
| **2022** | $685865984 | $750968741 |
| **2022** | $702606796 | $777227328 |
| **2022** | $662530307 | $710317234 |
| **2022** | $669632470 | $712135618 |
| **2022** | $614844359 | $652752687 |
| **2022** | $668513906 | $713659264 |
| **2022** | $642698405 | $684893971 |
| **2022** | $586764820 | $621711472 |
| **2022** | $644311874 | $673559844 |
| **2022** | $685724240 | $711167411 |
| **2022** | $646835756 | $670117823 |
| **2023** | $687774728 | $713916854 |
| **2023** | $675765963 | $696989884 |
| **2023** | $689412287 | $718097514 |
| **2023** | $692687404 | $727579640 |
| **2023** | $680132786 | $728895149 |
| **2023** | $728713700 | $778342002 |
| **2023** | $752713845 | $804184088 |
| **2023** | $734213966 | $790275383 |
| **2023** | $709354753 | $752160239 |
| **2023** | $689698631 | $734259443 |
| **2023** | $749245118 | $800908206 |
| **2023** | $789429078 | $840769002 |
| **2024** | $794988437 | $852005894 |
| **2024** | $841934142 | $897359589 |
| **2024** | $885791313 | $927436797 |
| **2024** | $841934142 | $888184388 |
| **2024** | $889497552 | $931965947 |
| **2024** | $905557925 | $961408321 |
| **2024** | $926445501 | $977678572 |
| **2024** | $933101000 | $999037401 |
| **2024** | $945746449 | $1019508659 |
| **2024** | $937759850 | $1009926046 |
| **2024** | $989672744 | $1072152220 |
| **2024** | $954753419 | $1042153276 |
| **2025** | $991810058 | $1071805683 |
| **2025** | $963472628 | $1054847357 |
| **2025** | $900984961 | $995376571 |
| **2025** | $885726345 | $986939474 |
| **2025** | $943127806 | $1048349657 |
| **2025** | $995443062 | $1100583158 |
| **2025** | $1012198344 | $1124595514 |
| **2025** | $1050136812 | $1149487523 |
| **2025** | $1094904205 | $1188791292 |
| **2025** | $1126772519 | $1214023048 |
| **2025** | $1151811908 | $1218762495 |
| **2025** | $1168191378 | $1219477407 |
| **2026** | $1208332596 | $1239956561 |
| **2026** | $1202598136 | $1234564390 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class VI | 24.82% | 15.24% | 14.90% |
| S&P Composite 1500 Index | 17.04% | 13.69% | 15.20% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.50% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.40% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $216130574 |
| Number of Portfolio Holdings | 155 |
| Portfolio Turnover Rate | 95%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $598654 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 101%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 18.4 |
| Pharmaceuticals, Biotechnology & Life Sciences | 9.8 |
| Technology Hardware & Equipment | 9.0 |
| Media & Entertainment | 8.0 |
| Financial Services | 7.7 |
| Banks | 6.2 |
| Automobiles & Components | 5.9 |
| Food, Beverage & Tobacco | 5.0 |
| Software & Services | 4.8 |
| Capital Goods | 4.4 |
| Consumer Discretionary Distribution & Retail | 4.1 |
| Consumer Durables & Apparel | 3.8 |
| Transportation | 1.8 |
| Insurance | 1.6 |
| Consumer Staples Distribution & Retail | 1.6 |
| Telecommunication Services | 1.5 |
| Materials | 1.5 |
| Health Care Equipment & Services | 1.3 |
| Household & Personal Products | 1.2 |
| Commercial & Professional Services | 1.2 |
| Other (each less than 1%) | 1.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO U.S. Opportunistic Value Fund
![Image](g12033g00x59.jpg)

#### Class III (PPADX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO U.S. Opportunistic Value Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $53 | 0.49% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI USA Value (Gross) Index is included for comparative purposes.

Class III shares of GMO U.S. Opportunistic Value Fund returned +17.71% (net) for the fiscal year ended February 28, 2026, as compared with +14.68% for the MSCI USA Value (Gross) Index.

Over the fiscal year, the primary source of value added was the portfolio's deep value stock selection. Notable contributors included holdings in Communication Services, Financials, Consumer Discretionary, Health Care, and Industrials. Overweight positioning in Energy also added value.

In contrast, deep value stock selection detracted within the Information Technology sector.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g46o43.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class III** | **MSCI USA Index** | **MSCI USA Value (Gross) Index** |
| **2023** | $10000 | $10000 | $10000 |
| **2023** | $9587 | $9658 | $9571 |
| **2023** | $9383 | $9589 | $9911 |
| **2023** | $9492 | $9714 | $10037 |
| **2023** | $9169 | $9319 | $10103 |
| **2023** | $9729 | $9894 | $10776 |
| **2023** | $10156 | $10250 | $11147 |
| **2023** | $9890 | $9994 | $10959 |
| **2023** | $9614 | $9633 | $10445 |
| **2023** | $9270 | $9359 | $10205 |
| **2023** | $9943 | $10031 | $11167 |
| **2023** | $10659 | $10584 | $11693 |
| **2024** | $10714 | $10642 | $11876 |
| **2024** | $11044 | $11010 | $12513 |
| **2024** | $11754 | $11544 | $12911 |
| **2024** | $11204 | $11058 | $12378 |
| **2024** | $11579 | $11378 | $12969 |
| **2024** | $11554 | $11378 | $13433 |
| **2024** | $12032 | $11925 | $13601 |
| **2024** | $12170 | $12269 | $13929 |
| **2024** | $12283 | $12482 | $14229 |
| **2024** | $12063 | $12335 | $14124 |
| **2024** | $12815 | $13006 | $15008 |
| **2024** | $12039 | $12101 | $14626 |
| **2025** | $12582 | $12642 | $15071 |
| **2025** | $12510 | $12763 | $14834 |
| **2025** | $12145 | $12453 | $13966 |
| **2025** | $11630 | $12013 | $13895 |
| **2025** | $11910 | $12331 | $14791 |
| **2025** | $12503 | $12881 | $15552 |
| **2025** | $12491 | $12945 | $15908 |
| **2025** | $13206 | $13304 | $16221 |
| **2025** | $13218 | $13545 | $16816 |
| **2025** | $13096 | $13420 | $17215 |
| **2025** | $13579 | $13656 | $17220 |
| **2025** | $13820 | $13761 | $17222 |
| **2026** | $14381 | $14377 | $17445 |
| **2026** | $14726 | $14636 | $17291 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 2/15/2023 (commencement of operations) |
| Class III | 17.71% | 13.59% |
| MSCI USA Index | 14.68% | 13.37% |
| MSCI USA Value (Gross) Index | 16.57% | 19.76% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.53% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.49% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $319546217 |
| Number of Portfolio Holdings | 168 |
| Portfolio Turnover Rate | 72%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1093062 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 76%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Pharmaceuticals, Biotechnology & Life Sciences | 13.3 |
| Energy | 10.8 |
| Banks | 9.7 |
| Financial Services | 7.5 |
| Telecommunication Services | 6.4 |
| Insurance | 6.4 |
| Media & Entertainment | 6.2 |
| Health Care Equipment & Services | 5.0 |
| Technology Hardware & Equipment | 3.7 |
| Household & Personal Products | 3.7 |
| Consumer Durables & Apparel | 3.5 |
| Food, Beverage & Tobacco | 3.3 |
| Capital Goods | 3.0 |
| Semiconductors & Semiconductor Equipment | 3.0 |
| Automobiles & Components | 2.9 |
| Consumer Discretionary Distribution & Retail | 2.8 |
| Consumer Staples Distribution & Retail | 2.6 |
| Transportation | 2.5 |
| Materials | 1.2 |
| Software & Services | 1.2 |
| Other (each less than 1%) | 1.3 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO U.S. Opportunistic Value Fund
![Image](g12033g00x59.jpg)

#### Class VI (UUOAX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO U.S. Opportunistic Value Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $44 | 0.40% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI USA Value (Gross) Index is included for comparative purposes.

Class VI shares of GMO U.S. Opportunistic Value Fund returned +17.81% (net) for the fiscal year ended February 28, 2026, as compared with +14.68% for the MSCI USA Value (Gross) Index.

Over the fiscal year, the primary source of value added was the portfolio's deep value stock selection. Notable contributors included holdings in Communication Services, Financials, Consumer Discretionary, Health Care, and Industrials. Overweight positioning in Energy also added value.

In contrast, deep value stock selection detracted within the Information Technology sector.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g04e61.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class VI** | **MSCI USA Index** | **MSCI USA Value (Gross) Index** |
| **2022** | $300000000 | $300000000 | $300000000 |
| **2022** | $289929453 | $292757295 | $286502872 |
| **2023** | $313213943 | $302151828 | $305353528 |
| **2023** | $303299257 | $291833964 | $298064034 |
| **2023** | $296989911 | $289742070 | $308650841 |
| **2023** | $300445029 | $293531941 | $312567690 |
| **2023** | $290229898 | $281580434 | $314600935 |
| **2023** | $307956155 | $298967187 | $335579072 |
| **2023** | $321656789 | $309721834 | $347130594 |
| **2023** | $313079275 | $301984849 | $341279427 |
| **2023** | $304501760 | $291074168 | $325276977 |
| **2023** | $293626697 | $282784542 | $317791831 |
| **2023** | $314917313 | $303092733 | $347757121 |
| **2023** | $337615618 | $319801174 | $364141620 |
| **2024** | $339360812 | $321553345 | $369813865 |
| **2024** | $349990627 | $332680601 | $389657636 |
| **2024** | $372519488 | $348816374 | $402051643 |
| **2024** | $355067553 | $334130164 | $385455652 |
| **2024** | $366966600 | $343792906 | $403866791 |
| **2024** | $366173330 | $343799173 | $418309656 |
| **2024** | $381528636 | $360326328 | $423560196 |
| **2024** | $385912157 | $370715854 | $433775246 |
| **2024** | $389483914 | $377158639 | $443107850 |
| **2024** | $382502752 | $372711073 | $439835440 |
| **2024** | $406368586 | $392977963 | $467364297 |
| **2024** | $381795370 | $365646363 | $455470490 |
| **2025** | $399060708 | $381985618 | $469337073 |
| **2025** | $396924790 | $385645630 | $461944160 |
| **2025** | $385355234 | $376270719 | $434917245 |
| **2025** | $368979861 | $362971028 | $432689543 |
| **2025** | $377879520 | $372593578 | $460617791 |
| **2025** | $396650182 | $389212868 | $484313877 |
| **2025** | $396455936 | $391155791 | $495396392 |
| **2025** | $419182710 | $401998754 | $505122995 |
| **2025** | $419376955 | $409268475 | $523661166 |
| **2025** | $415686283 | $405483452 | $536100105 |
| **2025** | $431031711 | $412641649 | $536259383 |
| **2025** | $438804559 | $415787809 | $536314815 |
| **2026** | $456445962 | $434421564 | $543248897 |
| **2026** | $467598573 | $442240474 | $538467544 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 12/13/2022 (commencement of operations) |
| Class VI | 17.81% | 14.82% |
| MSCI USA Index | 14.68% | 12.84% |
| MSCI USA Value (Gross) Index | 16.57% | 19.98% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.43% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.39% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $319546217 |
| Number of Portfolio Holdings | 168 |
| Portfolio Turnover Rate | 72%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1093062 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 76%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Pharmaceuticals, Biotechnology & Life Sciences | 13.3 |
| Energy | 10.8 |
| Banks | 9.7 |
| Financial Services | 7.5 |
| Telecommunication Services | 6.4 |
| Insurance | 6.4 |
| Media & Entertainment | 6.2 |
| Health Care Equipment & Services | 5.0 |
| Technology Hardware & Equipment | 3.7 |
| Household & Personal Products | 3.7 |
| Consumer Durables & Apparel | 3.5 |
| Food, Beverage & Tobacco | 3.3 |
| Capital Goods | 3.0 |
| Semiconductors & Semiconductor Equipment | 3.0 |
| Automobiles & Components | 2.9 |
| Consumer Discretionary Distribution & Retail | 2.8 |
| Consumer Staples Distribution & Retail | 2.6 |
| Transportation | 2.5 |
| Materials | 1.2 |
| Software & Services | 1.2 |
| Other (each less than 1%) | 1.3 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO U.S. Opportunistic Value Fund
![Image](g12033g00x59.jpg)

#### Class R6 (PPAJX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO U.S. Opportunistic Value Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $53 | 0.49% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI USA Value (Gross) Index is included for comparative purposes.

Class R6 shares of GMO U.S. Opportunistic Value Fund returned +17.88% (net) for the fiscal year ended February 28, 2026, as compared with +14.68% for the MSCI USA Value (Gross) Index.

Over the fiscal year, the primary source of value added was the portfolio's deep value stock selection. Notable contributors included holdings in Communication Services, Financials, Consumer Discretionary, Health Care, and Industrials. Overweight positioning in Energy also added value.

In contrast, deep value stock selection detracted within the Information Technology sector.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g74c64.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class R6** | **MSCI USA Index** | **MSCI USA Value (Gross) Index** |
| **2023** | $10000 | $10000 | $10000 |
| **2023** | $10099 | $10079 | $10185 |
| **2023** | $9822 | $9714 | $9707 |
| **2023** | $9471 | $9438 | $9484 |
| **2023** | $10158 | $10116 | $10378 |
| **2023** | $10886 | $10673 | $10867 |
| **2024** | $10947 | $10732 | $11036 |
| **2024** | $11285 | $11103 | $11629 |
| **2024** | $12013 | $11642 | $11999 |
| **2024** | $11444 | $11151 | $11503 |
| **2024** | $11828 | $11474 | $12053 |
| **2024** | $11803 | $11474 | $12484 |
| **2024** | $12296 | $12026 | $12640 |
| **2024** | $12432 | $12373 | $12945 |
| **2024** | $12548 | $12588 | $13224 |
| **2024** | $12322 | $12439 | $13126 |
| **2024** | $13093 | $13115 | $13948 |
| **2024** | $12298 | $12203 | $13593 |
| **2025** | $12855 | $12749 | $14007 |
| **2025** | $12780 | $12871 | $13786 |
| **2025** | $12413 | $12558 | $12979 |
| **2025** | $11884 | $12114 | $12913 |
| **2025** | $12171 | $12435 | $13746 |
| **2025** | $12774 | $12990 | $14454 |
| **2025** | $12761 | $13055 | $14784 |
| **2025** | $13494 | $13417 | $15075 |
| **2025** | $13501 | $13659 | $15628 |
| **2025** | $13381 | $13533 | $15999 |
| **2025** | $13877 | $13772 | $16004 |
| **2025** | $14128 | $13877 | $16005 |
| **2026** | $14704 | $14499 | $16212 |
| **2026** | $15066 | $14760 | $16070 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 8/28/2023 (commencement of operations) |
| Class R6 | 17.88% | 17.77% |
| MSCI USA Index | 14.68% | 16.81% |
| MSCI USA Value (Gross) Index | 16.57% | 20.85% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.53% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.49% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $319546217 |
| Number of Portfolio Holdings | 168 |
| Portfolio Turnover Rate | 72%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1093062 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 76%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Pharmaceuticals, Biotechnology & Life Sciences | 13.3 |
| Energy | 10.8 |
| Banks | 9.7 |
| Financial Services | 7.5 |
| Telecommunication Services | 6.4 |
| Insurance | 6.4 |
| Media & Entertainment | 6.2 |
| Health Care Equipment & Services | 5.0 |
| Technology Hardware & Equipment | 3.7 |
| Household & Personal Products | 3.7 |
| Consumer Durables & Apparel | 3.5 |
| Food, Beverage & Tobacco | 3.3 |
| Capital Goods | 3.0 |
| Semiconductors & Semiconductor Equipment | 3.0 |
| Automobiles & Components | 2.9 |
| Consumer Discretionary Distribution & Retail | 2.8 |
| Consumer Staples Distribution & Retail | 2.6 |
| Transportation | 2.5 |
| Materials | 1.2 |
| Software & Services | 1.2 |
| Other (each less than 1%) | 1.3 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO U.S. Opportunistic Value Fund
![Image](g12033g00x59.jpg)

#### Class I (PPAEX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO U.S. Opportunistic Value Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $66 | 0.61% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the MSCI USA Value (Gross) Index is included for comparative purposes.

Class I shares of GMO U.S. Opportunistic Value Fund returned +17.57% (net) for the fiscal year ended February 28, 2026, as compared with +14.68% for the MSCI USA Value (Gross) Index.

Over the fiscal year, the primary source of value added was the portfolio's deep value stock selection. Notable contributors included holdings in Communication Services, Financials, Consumer Discretionary, Health Care, and Industrials. Overweight positioning in Energy also added value.

In contrast, deep value stock selection detracted within the Information Technology sector.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g67e00.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class I** | **MSCI USA Index** | **MSCI USA Value (Gross) Index** |
| **2023** | $10000 | $10000 | $10000 |
| **2023** | $9587 | $9658 | $9571 |
| **2023** | $9383 | $9589 | $9911 |
| **2023** | $9487 | $9714 | $10037 |
| **2023** | $9165 | $9319 | $10103 |
| **2023** | $9725 | $9894 | $10776 |
| **2023** | $10155 | $10250 | $11147 |
| **2023** | $9884 | $9994 | $10959 |
| **2023** | $9613 | $9633 | $10445 |
| **2023** | $9264 | $9359 | $10205 |
| **2023** | $9937 | $10031 | $11167 |
| **2023** | $10652 | $10584 | $11693 |
| **2024** | $10708 | $10642 | $11876 |
| **2024** | $11038 | $11010 | $12513 |
| **2024** | $11750 | $11544 | $12911 |
| **2024** | $11194 | $11058 | $12378 |
| **2024** | $11569 | $11378 | $12969 |
| **2024** | $11544 | $11378 | $13433 |
| **2024** | $12023 | $11925 | $13601 |
| **2024** | $12156 | $12269 | $13929 |
| **2024** | $12269 | $12482 | $14229 |
| **2024** | $12043 | $12335 | $14124 |
| **2024** | $12797 | $13006 | $15008 |
| **2024** | $12021 | $12101 | $14626 |
| **2025** | $12560 | $12642 | $15071 |
| **2025** | $12487 | $12763 | $14834 |
| **2025** | $12122 | $12453 | $13966 |
| **2025** | $11606 | $12013 | $13895 |
| **2025** | $11886 | $12331 | $14791 |
| **2025** | $12471 | $12881 | $15552 |
| **2025** | $12459 | $12945 | $15908 |
| **2025** | $13175 | $13304 | $16221 |
| **2025** | $13181 | $13545 | $16816 |
| **2025** | $13065 | $13420 | $17215 |
| **2025** | $13542 | $13656 | $17220 |
| **2025** | $13781 | $13761 | $17222 |
| **2026** | $14336 | $14377 | $17445 |
| **2026** | $14681 | $14636 | $17291 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 2/15/2023 (commencement of operations) |
| Class I | 17.57% | 13.48% |
| MSCI USA Index | 14.68% | 13.37% |
| MSCI USA Value (Gross) Index | 16.57% | 19.76% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.65% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.61% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $319546217 |
| Number of Portfolio Holdings | 168 |
| Portfolio Turnover Rate | 72%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $1093062 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 76%. |

---

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Pharmaceuticals, Biotechnology & Life Sciences | 13.3 |
| Energy | 10.8 |
| Banks | 9.7 |
| Financial Services | 7.5 |
| Telecommunication Services | 6.4 |
| Insurance | 6.4 |
| Media & Entertainment | 6.2 |
| Health Care Equipment & Services | 5.0 |
| Technology Hardware & Equipment | 3.7 |
| Household & Personal Products | 3.7 |
| Consumer Durables & Apparel | 3.5 |
| Food, Beverage & Tobacco | 3.3 |
| Capital Goods | 3.0 |
| Semiconductors & Semiconductor Equipment | 3.0 |
| Automobiles & Components | 2.9 |
| Consumer Discretionary Distribution & Retail | 2.8 |
| Consumer Staples Distribution & Retail | 2.6 |
| Transportation | 2.5 |
| Materials | 1.2 |
| Software & Services | 1.2 |
| Other (each less than 1%) | 1.3 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO U.S. Small Cap Value Fund
![Image](g12033g00x59.jpg)

#### Class VI (GCAVX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO U.S. Small Cap Value Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $56 | 0.50% |

---

# How did the Fund perform last year and what affected its performance?
Class VI shares of GMO U.S. Small Cap Value Fund returned +25.13% (net) for the fiscal year ended February 28, 2026, as compared with +19.72% for the S&P SmallCap 600 Value Index.

Stock selection drove outperformance for the period, with contributions from a range of sectors including Consumer Discretionary, Industrials, Information Technology, Consumer Staples, and Real Estate. Health Care was also a top contributor from a mix of underweight allocation and stock selection.

Materials and Communication Services were the largest detractors, primarily from stock selection.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g93p10.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class VI** | **S&P Composite 1500 Index** | **S&P SmallCap 600 Value Index** |
| **2019** | $300000000 | $300000000 | $300000000 |
| **2019** | $305400000 | $301350913 | $305470528 |
| **2019** | $287250000 | $295838137 | $289793176 |
| **2019** | $301050000 | $301707082 | $306371332 |
| **2019** | $309750000 | $308025828 | $312199218 |
| **2019** | $318300000 | $319031718 | $320663189 |
| **2019** | $325799156 | $328617721 | $330290185 |
| **2020** | $308707557 | $327621371 | $309076160 |
| **2020** | $273163081 | $300286163 | $277453853 |
| **2020** | $201771622 | $261009099 | $206853638 |
| **2020** | $232476000 | $294654996 | $235069937 |
| **2020** | $242004944 | $309075579 | $240689233 |
| **2020** | $248206321 | $315216287 | $249498346 |
| **2020** | $256784741 | $332696663 | $255637958 |
| **2020** | $271640056 | $355679817 | $268889638 |
| **2020** | $261787041 | $342200138 | $254713894 |
| **2020** | $266789341 | $334400049 | $263962508 |
| **2020** | $311961627 | $372201447 | $314615590 |
| **2020** | $333587556 | $387511004 | $338658929 |
| **2021** | $344963353 | $384895261 | $359953415 |
| **2021** | $384163733 | $396945300 | $398861994 |
| **2021** | $413371860 | $414290317 | $420503707 |
| **2021** | $420750756 | $435811183 | $428978321 |
| **2021** | $435662273 | $438882527 | $445334093 |
| **2021** | $427361016 | $447997631 | $442255017 |
| **2021** | $417264621 | $457535774 | $423004852 |
| **2021** | $425629595 | $471040148 | $431116746 |
| **2021** | $418576774 | $449582290 | $424479826 |
| **2021** | $432190360 | $480375718 | $436490384 |
| **2021** | $429730073 | $476233321 | $425541874 |
| **2021** | $452774409 | $497738811 | $443460454 |
| **2022** | $433165201 | $471158762 | $424299239 |
| **2022** | $434927826 | $458617285 | $434232019 |
| **2022** | $427216340 | $474653428 | $436207493 |
| **2022** | $403861553 | $433791373 | $408867065 |
| **2022** | $416860916 | $434901862 | $418244216 |
| **2022** | $370151342 | $398636653 | $380648193 |
| **2022** | $410030371 | $435832354 | $413445467 |
| **2022** | $392765934 | $418265364 | $396138481 |
| **2022** | $347926356 | $379679755 | $354827408 |
| **2022** | $393005718 | $411343602 | $405955017 |
| **2022** | $412907777 | $434310577 | $422022101 |
| **2022** | $389324712 | $409241557 | $394489697 |
| **2023** | $430616727 | $435989665 | $441651374 |
| **2023** | $422505796 | $425652349 | $434308590 |
| **2023** | $405055004 | $438542797 | $406519915 |
| **2023** | $392765713 | $444333540 | $396709380 |
| **2023** | $382688496 | $445136923 | $381893028 |
| **2023** | $423980510 | $475334160 | $414431431 |
| **2023** | $449004001 | $491115945 | $439343262 |
| **2023** | $432483810 | $482621887 | $417726031 |
| **2023** | $419169029 | $459344934 | $391232156 |
| **2023** | $396484587 | $448412902 | $366661478 |
| **2023** | $428045549 | $489115362 | $399659533 |
| **2023** | $477815493 | $513458385 | $453221545 |
| **2024** | $463776843 | $520320766 | $428928982 |
| **2024** | $478567564 | $548018308 | $438984111 |
| **2024** | $502633821 | $566386486 | $453844261 |
| **2024** | $471548238 | $542415004 | $424329748 |
| **2024** | $499625539 | $569152441 | $443870699 |
| **2024** | $486840340 | $587132926 | $431833024 |
| **2024** | $545000463 | $597069183 | $482360179 |
| **2024** | $536727687 | $610113039 | $476375731 |
| **2024** | $534722165 | $622614854 | $480632048 |
| **2024** | $525948009 | $616762744 | $472359188 |
| **2024** | $575584665 | $654764324 | $522860168 |
| **2024** | $531147983 | $636443942 | $487497934 |
| **2025** | $548462491 | $654552694 | $496330065 |
| **2025** | $521726854 | $644196229 | $469011588 |
| **2025** | $491426466 | $607877367 | $439158175 |
| **2025** | $469019456 | $602724824 | $413566934 |
| **2025** | $503648471 | $640228078 | $431650874 |
| **2025** | $520199103 | $672127124 | $450214379 |
| **2025** | $526202894 | $686791491 | $456079354 |
| **2025** | $573413144 | $701993063 | $496079630 |
| **2025** | $587703814 | $725995910 | $502942637 |
| **2025** | $585662289 | $741404967 | $501271245 |
| **2025** | $603525627 | $744299351 | $515201026 |
| **2025** | $612186794 | $744735949 | $520161321 |
| **2026** | $646269999 | $757242587 | $553786985 |
| **2026** | $652824462 | $753949583 | $561520036 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 7/2/2019 (commencement of operations) |
| Class VI | 25.13% | 11.19% | 12.38% |
| S&P Composite 1500 Index | 17.04% | 13.69% | 14.84% |
| S&P SmallCap 600 Value Index | 19.72% | 7.08% | 9.87% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.68% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.48% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $43519129 |
| Number of Portfolio Holdings | 271 |
| Portfolio Turnover Rate | 92%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $117273 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 98%. |

---

#### February 28, 2026

#### What does the Fund invest in?
The Fund primarily invested in equity securities at year ended.

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 11.7 |
| Banks | 10.5 |
| Financial Services | 10.4 |
| Consumer Durables & Apparel | 9.0 |
| Semiconductors & Semiconductor Equipment | 7.9 |
| Automobiles & Components | 6.6 |
| Food, Beverage & Tobacco | 4.8 |
| Equity Real Estate Investment Trusts (REITs) | 4.7 |
| Materials | 4.4 |
| Consumer Discretionary Distribution & Retail | 3.7 |
| Pharmaceuticals, Biotechnology & Life Sciences | 3.3 |
| Energy | 3.3 |
| Commercial & Professional Services | 3.2 |
| Insurance | 2.8 |
| Transportation | 2.2 |
| Consumer Services | 2.1 |
| Utilities | 1.9 |
| Technology Hardware & Equipment | 1.8 |
| Media & Entertainment | 1.6 |
| Health Care Equipment & Services | 1.1 |
| Real Estate Management & Development | 1.1 |
| Other (each less than 1%) | 1.9 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Asset Allocation Bond Fund
![Image](g12033g00x59.jpg)

#### Class VI (GABFX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Asset Allocation Bond Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $37 | 0.36% |

---

# How did the Fund perform last year and what affected its performance?
Class VI shares of GMO Asset Allocation Bond Fund returned +5.49% (net) for the fiscal year ended February 28, 2026, as compared with a +4.28% return for the FTSE 3-Month Treasury Bill Index.

For the period in question, the Fund predominantly had exposure to U.S. nominal government bonds, implemented largely through futures contracts. At the start of the fiscal year, the 10-year nominal yield was 4.24% and, despite intra-period volatility, having almost touched 4.6% mid-year, had fallen to 3.97% at the end of February 2026. Against this strong backdrop for bonds, the Fund return lagged the Bloomberg U.S. Treasury 7-10 Year index return of 6.91%.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g85k22.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class VI** | **Bloomberg U.S. Aggregate Index** | **FTSE 3-Month Treasury Bill Index** |
| **2016** | $300000000 | $300000000 | $300000000 |
| **2016** | $300945520 | $302752500 | $300069926 |
| **2016** | $301215669 | $303914590 | $300140816 |
| **2016** | $299864926 | $303992544 | $300204578 |
| **2016** | $301620892 | $309454634 | $300264583 |
| **2016** | $302431337 | $311411066 | $300331331 |
| **2016** | $301891040 | $311054961 | $300402702 |
| **2016** | $302836560 | $310872726 | $300474651 |
| **2016** | $302296263 | $308494890 | $300550308 |
| **2016** | $297838811 | $301197840 | $300627795 |
| **2016** | $297298514 | $301622643 | $300720934 |
| **2017** | $299729851 | $302214471 | $300832614 |
| **2017** | $300270149 | $304245660 | $300950265 |
| **2017** | $300675372 | $304086110 | $301085158 |
| **2017** | $301755966 | $306432753 | $301238061 |
| **2017** | $301891040 | $308791410 | $301420486 |
| **2017** | $300000000 | $308480622 | $301633828 |
| **2017** | $301350743 | $309808068 | $301876548 |
| **2017** | $303647006 | $312586972 | $302143298 |
| **2017** | $302026114 | $311098160 | $302403836 |
| **2017** | $302836560 | $311278383 | $302676847 |
| **2017** | $302836560 | $310878824 | $302947113 |
| **2017** | $304462240 | $312305618 | $303250320 |
| **2018** | $302414287 | $308708840 | $303583818 |
| **2018** | $300639395 | $305782448 | $303910526 |
| **2018** | $302687348 | $307743427 | $304288982 |
| **2018** | $302687348 | $305454596 | $304717519 |
| **2018** | $304325710 | $307634576 | $305172329 |
| **2018** | $306837189 | $307256203 | $305634026 |
| **2018** | $305322963 | $307329276 | $306129818 |
| **2018** | $307800787 | $309306794 | $306645934 |
| **2018** | $305735934 | $307315002 | $307162290 |
| **2018** | $302569825 | $304886472 | $307721267 |
| **2018** | $304221708 | $306706513 | $308288623 |
| **2018** | $306808216 | $312341115 | $308899082 |
| **2019** | $311833151 | $315658006 | $309526588 |
| **2019** | $311115303 | $315475095 | $310099772 |
| **2019** | $316714517 | $321532823 | $310742641 |
| **2019** | $317719504 | $321615135 | $311368317 |
| **2019** | $322888010 | $327324306 | $312018940 |
| **2019** | $326333680 | $331434901 | $312648565 |
| **2019** | $327274378 | $332163922 | $313273423 |
| **2019** | $333585049 | $340770851 | $313868663 |
| **2019** | $329622535 | $338955929 | $314407173 |
| **2019** | $329769294 | $339976896 | $314939566 |
| **2019** | $329769294 | $339803796 | $315408534 |
| **2019** | $331331524 | $339566955 | $315857661 |
| **2020** | $339152332 | $346101766 | $316283239 |
| **2020** | $341709134 | $352331099 | $316682666 |
| **2020** | $338400331 | $350257697 | $317082671 |
| **2020** | $346521939 | $356483934 | $317342680 |
| **2020** | $349078741 | $358143688 | $317479402 |
| **2020** | $352688345 | $360399703 | $317510801 |
| **2020** | $359972093 | $365782997 | $317546920 |
| **2020** | $364946581 | $362830452 | $317582076 |
| **2020** | $363288419 | $362631550 | $317612946 |
| **2020** | $360575061 | $361012320 | $317640252 |
| **2020** | $364042129 | $364554660 | $317666257 |
| **2020** | $368708925 | $365057007 | $317690818 |
| **2021** | $370687957 | $362439591 | $317713982 |
| **2021** | $363532995 | $357205782 | $317731945 |
| **2021** | $362315129 | $352745478 | $317748127 |
| **2021** | $369317858 | $355532131 | $317758866 |
| **2021** | $370535724 | $356693706 | $317765929 |
| **2021** | $374037089 | $359199825 | $317771195 |
| **2021** | $381039818 | $363216070 | $317778130 |
| **2021** | $379517486 | $362524518 | $317787858 |
| **2021** | $373580389 | $359385825 | $317799945 |
| **2021** | $371449123 | $359286715 | $317811503 |
| **2021** | $375407188 | $360349691 | $317823591 |
| **2021** | $373625565 | $359427638 | $317836979 |
| **2022** | $365877212 | $351684083 | $317851812 |
| **2022** | $364482509 | $347760604 | $317875603 |
| **2022** | $350070573 | $338099178 | $317926073 |
| **2022** | $335968571 | $325268977 | $318016177 |
| **2022** | $337983143 | $327366203 | $318169659 |
| **2022** | $334573868 | $322230460 | $318384398 |
| **2022** | $344630278 | $330104046 | $318714622 |
| **2022** | $331369267 | $320776429 | $319188550 |
| **2022** | $315924089 | $306916827 | $319813793 |
| **2022** | $311399744 | $302941532 | $320606002 |
| **2022** | $322320577 | $314082416 | $321524916 |
| **2022** | $318108256 | $312665651 | $322609977 |
| **2023** | $329029088 | $322284516 | $323800650 |
| **2023** | $317796232 | $313951722 | $324930210 |
| **2023** | $335269564 | $321926877 | $326229240 |
| **2023** | $337453731 | $323877980 | $327527644 |
| **2023** | $332149326 | $320351379 | $328913889 |
| **2023** | $325284803 | $319208805 | $330314389 |
| **2023** | $321196943 | $318986298 | $331819152 |
| **2023** | $318803524 | $316948830 | $333361961 |
| **2023** | $296464938 | $308894609 | $334867110 |
| **2023** | $283221349 | $304019892 | $336444737 |
| **2023** | $312580632 | $317787822 | $337982922 |
| **2023** | $344721175 | $329952422 | $339573071 |
| **2024** | $337330774 | $329046323 | $341159270 |
| **2024** | $320579197 | $324397478 | $342640918 |
| **2024** | $325013438 | $327392937 | $344153114 |
| **2024** | $295451832 | $319123482 | $345774212 |
| **2024** | $305798394 | $324533666 | $347381216 |
| **2024** | $317130343 | $327606119 | $348944733 |
| **2024** | $331132264 | $335258021 | $350567437 |
| **2024** | $343064958 | $340075638 | $352184410 |
| **2024** | $349528501 | $344629029 | $353728037 |
| **2024** | $320691156 | $336082626 | $355254761 |
| **2024** | $325331649 | $339635952 | $356667011 |
| **2024** | $304287518 | $334077609 | $358069390 |
| **2025** | $304805307 | $335849952 | $359447255 |
| **2025** | $324481301 | $343239250 | $360671832 |
| **2025** | $324308705 | $343368415 | $362013241 |
| **2025** | $328968808 | $344717874 | $363312753 |
| **2025** | $313089936 | $342249666 | $364660374 |
| **2025** | $323963512 | $347512222 | $365973418 |
| **2025** | $317097845 | $346595593 | $367334766 |
| **2025** | $324198343 | $350741026 | $368706563 |
| **2025** | $329913378 | $354567186 | $370018259 |
| **2025** | $332684304 | $356782407 | $371341368 |
| **2025** | $337187059 | $358999497 | $372572157 |
| **2025** | $331120569 | $358468351 | $373810459 |
| **2026** | $328638938 | $358851074 | $375019336 |
| **2026** | $342287912 | $364727730 | $376099340 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class VI | 5.49% | (1.20%) | 1.33% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.97% |
| FTSE 3-Month Treasury Bill Index | 4.28% | 3.43% | 2.29% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 0.71% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.39% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $105957457 |
| Number of Portfolio Holdings | 11 |
| Portfolio Turnover Rate | 95% |
| Total Advisory Fees Paid, Net | $111757 |

---

#### February 28, 2026

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Short-Term Investments | 90.5 |
| Debt Obligations | 8.8 |
| Futures Contracts | 1.1 |
| Other | (0.4) |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Country Debt Fund
![Image](g12033g00x59.jpg)

#### Class III (GMCDX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Country Debt Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $69 | 0.62%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Includes interest and/or dividend expenses and/or borrowing costs to average daily net assets of 0.08%. |

---

# How did the Fund perform last year and what affected its performance?
Class III shares of GMO Emerging Country Debt Fund returned +23.05% (net) for the fiscal year ended February 28, 2026, as compared with +13.24% for the J.P. Morgan EMBI Global Diversified + ("EMBIGD").

EMBIGD's spread over U.S. Treasuries tightened by 69 basis points to 259 basis points during the fiscal year, and the yield on the 10-year U.S. Treasury bond fell by 27 basis points to 3.94%.

The Fund had positive alpha from country selection during the fiscal year, driven by overweights in Venezuela, Ecuador, Argentina, Lebanon, and Egypt, and underweights in Indonesia, Malaysia, Uruguay, and the United Arab Emirates.

In terms of security selection, positive alpha was driven by the holding of bonds in off-benchmark countries. The most notable countries in this category were the Republic of Congo, Tunisia, Grenada, Belarus, and Chad. Security selection in on-benchmark countries such as Venezuela, Mexico, Ghana, and Uruguay also contributed positive alpha during the fiscal year, though negative alpha from security selection in Turkey, Egypt, Colombia, and Suriname partly offset these gains. Within quasi-sovereign security selection, the portfolio had positive alpha from Venezuela, Ghana, and Mexico, while Brazil, Israel, and Colombia detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g46b89.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **J.P. Morgan EMBI Global Diversified +\*** |
| **2016** | $9925 | $10000 |
| **2016** | $10360 | $10334 |
| **2016** | $10692 | $10531 |
| **2016** | $10658 | $10500 |
| **2016** | $11127 | $10892 |
| **2016** | $11346 | $11061 |
| **2016** | $11676 | $11260 |
| **2016** | $11820 | $11298 |
| **2016** | $11606 | $11133 |
| **2016** | $11102 | $10669 |
| **2016** | $11313 | $10822 |
| **2017** | $11567 | $10978 |
| **2017** | $11857 | $11206 |
| **2017** | $11955 | $11245 |
| **2017** | $12201 | $11428 |
| **2017** | $12323 | $11523 |
| **2017** | $12315 | $11493 |
| **2017** | $12309 | $11569 |
| **2017** | $12635 | $11769 |
| **2017** | $12722 | $11767 |
| **2017** | $12731 | $11788 |
| **2017** | $12580 | $11757 |
| **2017** | $12725 | $11831 |
| **2018** | $12791 | $11808 |
| **2018** | $12546 | $11577 |
| **2018** | $12576 | $11620 |
| **2018** | $12401 | $11450 |
| **2018** | $12208 | $11326 |
| **2018** | $11989 | $11212 |
| **2018** | $12265 | $11443 |
| **2018** | $11950 | $11223 |
| **2018** | $12203 | $11422 |
| **2018** | $11887 | $11167 |
| **2018** | $11834 | $11123 |
| **2018** | $11973 | $11286 |
| **2019** | $12606 | $11784 |
| **2019** | $12668 | $11857 |
| **2019** | $12786 | $12030 |
| **2019** | $12819 | $12044 |
| **2019** | $12857 | $12113 |
| **2019** | $13187 | $12482 |
| **2019** | $13337 | $12625 |
| **2019** | $13299 | $12695 |
| **2019** | $13289 | $12649 |
| **2019** | $13332 | $12696 |
| **2019** | $13337 | $12675 |
| **2019** | $13683 | $12913 |
| **2020** | $13925 | $13138 |
| **2020** | $13804 | $13031 |
| **2020** | $11702 | $11226 |
| **2020** | $11883 | $11478 |
| **2020** | $12554 | $12175 |
| **2020** | $13169 | $12603 |
| **2020** | $13766 | $13071 |
| **2020** | $13931 | $13138 |
| **2020** | $13574 | $12894 |
| **2020** | $13522 | $12891 |
| **2020** | $14248 | $13388 |
| **2020** | $14673 | $13642 |
| **2021** | $14484 | $13494 |
| **2021** | $14173 | $13150 |
| **2021** | $13996 | $13023 |
| **2021** | $14412 | $13311 |
| **2021** | $14617 | $13453 |
| **2021** | $14728 | $13551 |
| **2021** | $14801 | $13608 |
| **2021** | $14989 | $13741 |
| **2021** | $14658 | $13456 |
| **2021** | $14641 | $13460 |
| **2021** | $14270 | $13212 |
| **2021** | $14483 | $13397 |
| **2022** | $14036 | $13016 |
| **2022** | $13063 | $12164 |
| **2022** | $13204 | $12054 |
| **2022** | $12481 | $11380 |
| **2022** | $12445 | $11383 |
| **2022** | $11465 | $10676 |
| **2022** | $11748 | $10985 |
| **2022** | $11698 | $10881 |
| **2022** | $10981 | $10189 |
| **2022** | $11062 | $10204 |
| **2022** | $12006 | $10979 |
| **2022** | $12119 | $11015 |
| **2023** | $12635 | $11364 |
| **2023** | $12342 | $11113 |
| **2023** | $12342 | $11220 |
| **2023** | $12342 | $11279 |
| **2023** | $12279 | $11215 |
| **2023** | $12760 | $11465 |
| **2023** | $13221 | $11684 |
| **2023** | $13066 | $11508 |
| **2023** | $12743 | $11209 |
| **2023** | $12778 | $11057 |
| **2023** | $13572 | $11683 |
| **2023** | $14257 | $12236 |
| **2024** | $14273 | $12111 |
| **2024** | $14581 | $12230 |
| **2024** | $15059 | $12485 |
| **2024** | $14959 | $12226 |
| **2024** | $15183 | $12447 |
| **2024** | $15260 | $12523 |
| **2024** | $15529 | $12757 |
| **2024** | $15833 | $13053 |
| **2024** | $16221 | $13294 |
| **2024** | $16074 | $13065 |
| **2024** | $16268 | $13221 |
| **2024** | $16162 | $13036 |
| **2025** | $16673 | $13223 |
| **2025** | $16945 | $13431 |
| **2025** | $16739 | $13329 |
| **2025** | $16599 | $13299 |
| **2025** | $16904 | $13447 |
| **2025** | $17489 | $13772 |
| **2025** | $17901 | $13946 |
| **2025** | $18252 | $14173 |
| **2025** | $18653 | $14426 |
| **2025** | $19373 | $14733 |
| **2025** | $19590 | $14794 |
| **2025** | $19773 | $14900 |
| **2026** | $20536 | $15002 |
| **2026** | $20696 | $15210 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III | 21.22% | 7.70% | 7.55% |
| J.P. Morgan EMBI Global Diversified +\* | 13.24% | 2.95% | 4.28% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of 0.75% on the purchase and 0.75% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

For J.P. Morgan disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

\*The J.P. Morgan Emerging Markets Bond Index Global Diversified + (composite index) reflects the performance of the J.P. Morgan Emerging Markets Bond Index Global through 2/29/2020 and the J.P. Morgan EMBI Global Diversified thereafter.

The gross expense ratio of 0.61% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.61% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $2453070565 |
| Number of Portfolio Holdings | 311 |
| Portfolio Turnover Rate | 41% |
| Total Advisory Fees Paid, Net | $8226029 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 94.8 |
| Short-Term Investments | 2.4 |
| Rights/Warrants | 1 |
| Loan Assignments | 0.9 |
| Investment Funds | 0.7 |
| Swap Contracts | 0.3 |
| Loan Participations | 0.1 |
| Forward Currency Contracts | (0.1) |
| Securities Sold Short | (0.1) |
| Reverse Repurchase Agreements | (1.7) |
| Other | 1.7 |

---

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Mexico | 6.4 |
| Colombia | 5.6 |
| Venezuela | 5.5 |
| Turkey | 5.1 |
| Brazil | 4.5 |
| Argentina | 4.3 |
| Romania | 3.7 |
| Poland | 3.3 |
| Other (each between (3)% and 3%) | 61.6 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and currency linked derivatives such as forward currency contracts and currency options, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Country Debt Fund
![Image](g12033g00x59.jpg)

#### Class IV (GMDFX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Country Debt Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class IV | $64 | 0.57%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Includes interest and/or dividend expenses and/or borrowing costs to average daily net assets of 0.08%. |

---

# How did the Fund perform last year and what affected its performance?
Class IV shares of GMO Emerging Country Debt Fund returned +23.06% (net) for the fiscal year ended February 28, 2026, as compared with +13.24% for the J.P. Morgan EMBI Global Diversified + ("EMBIGD").

EMBIGD's spread over U.S. Treasuries tightened by 69 basis points to 259 basis points during the fiscal year, and the yield on the 10-year U.S. Treasury bond fell by 27 basis points to 3.94%.

The Fund had positive alpha from country selection during the fiscal year, driven by overweights in Venezuela, Ecuador, Argentina, Lebanon, and Egypt, and underweights in Indonesia, Malaysia, Uruguay, and the United Arab Emirates.

In terms of security selection, positive alpha was driven by the holding of bonds in off-benchmark countries. The most notable countries in this category were the Republic of Congo, Tunisia, Grenada, Belarus, and Chad. Security selection in on-benchmark countries such as Venezuela, Mexico, Ghana, and Uruguay also contributed positive alpha during the fiscal year, though negative alpha from security selection in Turkey, Egypt, Colombia, and Suriname partly offset these gains. Within quasi-sovereign security selection, the portfolio had positive alpha from Venezuela, Ghana, and Mexico, while Brazil, Israel, and Colombia detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $125,000,000 Investment

![Growth of 10K Chart](g12033g54b59.jpg)

---

| | | |
|:---|:---|:---|
| | **Class IV** | **J.P. Morgan EMBI Global Diversified +\*** |
| **2016** | $124062500 | $125000000 |
| **2016** | $129506351 | $129170113 |
| **2016** | $133660869 | $131642665 |
| **2016** | $133231091 | $131250129 |
| **2016** | $139104720 | $136147377 |
| **2016** | $141830672 | $138265152 |
| **2016** | $145956478 | $140751544 |
| **2016** | $147752418 | $141228708 |
| **2016** | $145082778 | $139160706 |
| **2016** | $138821260 | $133363620 |
| **2016** | $141448019 | $135280775 |
| **2017** | $144623173 | $137224049 |
| **2017** | $148259238 | $140072534 |
| **2017** | $149488330 | $140558832 |
| **2017** | $152561060 | $142851455 |
| **2017** | $154097425 | $144036362 |
| **2017** | $153995001 | $143666863 |
| **2017** | $153952018 | $144612009 |
| **2017** | $158032295 | $147109924 |
| **2017** | $159130832 | $147090441 |
| **2017** | $159235454 | $147353999 |
| **2017** | $157352249 | $146961462 |
| **2017** | $159153181 | $147888279 |
| **2018** | $160031873 | $147598071 |
| **2018** | $156901531 | $144706314 |
| **2018** | $157340877 | $145250853 |
| **2018** | $155144146 | $143126756 |
| **2018** | $152727742 | $141575346 |
| **2018** | $149981828 | $140153077 |
| **2018** | $153466570 | $143040901 |
| **2018** | $149512969 | $140290847 |
| **2018** | $152686987 | $142770961 |
| **2018** | $148733385 | $139586142 |
| **2018** | $148120855 | $139038121 |
| **2018** | $149801778 | $141069497 |
| **2019** | $157795153 | $147302657 |
| **2019** | $158505675 | $148218490 |
| **2019** | $159985930 | $150370890 |
| **2019** | $160459612 | $150551522 |
| **2019** | $160933293 | $151414104 |
| **2019** | $165078006 | $156024119 |
| **2019** | $166985747 | $157818410 |
| **2019** | $166444951 | $158683199 |
| **2019** | $166384863 | $158111395 |
| **2019** | $166925659 | $158697857 |
| **2019** | $166985747 | $158437181 |
| **2019** | $171310966 | $161410394 |
| **2020** | $174409614 | $164219559 |
| **2020** | $172891909 | $162883969 |
| **2020** | $146585020 | $140326267 |
| **2020** | $148861578 | $143479003 |
| **2020** | $157208956 | $152184138 |
| **2020** | $164923957 | $157533284 |
| **2020** | $172382209 | $163381377 |
| **2020** | $174528045 | $164220642 |
| **2020** | $170041296 | $161180787 |
| **2020** | $169391043 | $161132664 |
| **2020** | $178494592 | $167348269 |
| **2020** | $183810287 | $170524506 |
| **2021** | $181511787 | $168673371 |
| **2021** | $177611304 | $164368714 |
| **2021** | $175312805 | $162784309 |
| **2021** | $180536666 | $166391747 |
| **2021** | $183113772 | $168157243 |
| **2021** | $184576453 | $169390875 |
| **2021** | $185462770 | $170097067 |
| **2021** | $187825809 | $171766139 |
| **2021** | $183744196 | $168205546 |
| **2021** | $183529375 | $168245407 |
| **2021** | $178874903 | $165150497 |
| **2021** | $181480601 | $167462883 |
| **2022** | $175946249 | $162698430 |
| **2022** | $163724557 | $152047266 |
| **2022** | $165492475 | $150680750 |
| **2022** | $156499154 | $142255738 |
| **2022** | $155961092 | $142293680 |
| **2022** | $143739400 | $133452242 |
| **2022** | $147325145 | $137309790 |
| **2022** | $146614193 | $136011639 |
| **2022** | $137687790 | $127357072 |
| **2022** | $138714721 | $127551542 |
| **2022** | $150563929 | $137234543 |
| **2022** | $151949547 | $137682497 |
| **2023** | $158430393 | $142044568 |
| **2023** | $154752075 | $138908386 |
| **2023** | $154839654 | $140246947 |
| **2023** | $154752075 | $140991646 |
| **2023** | $154051443 | $140182808 |
| **2023** | $160094393 | $143312072 |
| **2023** | $165881502 | $146050999 |
| **2023** | $163937233 | $143853371 |
| **2023** | $159871943 | $140111821 |
| **2023** | $160313822 | $138214998 |
| **2023** | $170300295 | $146041225 |
| **2023** | $178867013 | $152953017 |
| **2024** | $179061012 | $151390303 |
| **2024** | $182940990 | $152870541 |
| **2024** | $188954957 | $156066354 |
| **2024** | $187790963 | $152826294 |
| **2024** | $190603948 | $155581573 |
| **2024** | $191573943 | $156539343 |
| **2024** | $194917204 | $159463124 |
| **2024** | $198729527 | $163160636 |
| **2024** | $203617120 | $166173076 |
| **2024** | $201759834 | $163317268 |
| **2024** | $204203631 | $165260673 |
| **2024** | $202984336 | $162950147 |
| **2025** | $209311390 | $165293095 |
| **2025** | $212837944 | $167885840 |
| **2025** | $210141167 | $166606816 |
| **2025** | $208377890 | $166236646 |
| **2025** | $212319333 | $168090277 |
| **2025** | $219579887 | $172145712 |
| **2025** | $224797630 | $174328062 |
| **2025** | $229219879 | $177168352 |
| **2025** | $234273877 | $180323462 |
| **2025** | $243328957 | $184159241 |
| **2025** | $246066539 | $184920013 |
| **2025** | $248444428 | $186251653 |
| **2026** | $257948974 | $187519901 |
| **2026** | $259963164 | $190119023 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class IV | 21.23% | 7.76% | 7.60% |
| J.P. Morgan EMBI Global Diversified +\* | 13.24% | 2.95% | 4.28% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of 0.75% on the purchase and 0.75% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

For J.P. Morgan disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

\*The J.P. Morgan Emerging Markets Bond Index Global Diversified + (composite index) reflects the performance of the J.P. Morgan Emerging Markets Bond Index Global through 2/29/2020 and the J.P. Morgan EMBI Global Diversified thereafter.

The gross expense ratio of 0.56% for Class IV is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.56% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $2453070565 |
| Number of Portfolio Holdings | 311 |
| Portfolio Turnover Rate | 41% |
| Total Advisory Fees Paid, Net | $8226029 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 94.8 |
| Short-Term Investments | 2.4 |
| Rights/Warrants | 1 |
| Loan Assignments | 0.9 |
| Investment Funds | 0.7 |
| Swap Contracts | 0.3 |
| Loan Participations | 0.1 |
| Forward Currency Contracts | (0.1) |
| Securities Sold Short | (0.1) |
| Reverse Repurchase Agreements | (1.7) |
| Other | 1.7 |

---

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Mexico | 6.4 |
| Colombia | 5.6 |
| Venezuela | 5.5 |
| Turkey | 5.1 |
| Brazil | 4.5 |
| Argentina | 4.3 |
| Romania | 3.7 |
| Poland | 3.3 |
| Other (each between (3)% and 3%) | 61.6 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and currency linked derivatives such as forward currency contracts and currency options, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Country Debt Fund
![Image](g12033g00x59.jpg)

#### Class VI (GMOQX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Country Debt Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $59 | 0.53%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Includes interest and/or dividend expenses and/or borrowing costs to average daily net assets of 0.08%. |

---

# How did the Fund perform last year and what affected its performance?
Class VI shares of GMO Emerging Country Debt Fund returned +23.17% (net) for the fiscal year ended February 28, 2026, as compared with +13.24% for the J.P. Morgan EMBI Global Diversified + ("EMBIGD").

EMBIGD's spread over U.S. Treasuries tightened by 69 basis points to 259 basis points during the fiscal year, and the yield on the 10-year U.S. Treasury bond fell by 27 basis points to 3.94%.

The Fund had positive alpha from country selection during the fiscal year, driven by overweights in Venezuela, Ecuador, Argentina, Lebanon, and Egypt, and underweights in Indonesia, Malaysia, Uruguay, and the United Arab Emirates.

In terms of security selection, positive alpha was driven by the holding of bonds in off-benchmark countries. The most notable countries in this category were the Republic of Congo, Tunisia, Grenada, Belarus, and Chad. Security selection in on-benchmark countries such as Venezuela, Mexico, Ghana, and Uruguay also contributed positive alpha during the fiscal year, though negative alpha from security selection in Turkey, Egypt, Colombia, and Suriname partly offset these gains. Within quasi-sovereign security selection, the portfolio had positive alpha from Venezuela, Ghana, and Mexico, while Brazil, Israel, and Colombia detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g73j55.jpg)

---

| | | |
|:---|:---|:---|
| | **Class VI** | **J.P. Morgan EMBI Global Diversified** |
| **2021** | $297750000 | $300000000 |
| **2021** | $297865006 | $300203345 |
| **2021** | $301660197 | $303149080 |
| **2021** | $295104867 | $296865010 |
| **2021** | $294759849 | $296935361 |
| **2021** | $287284473 | $291473171 |
| **2021** | $291648359 | $295554288 |
| **2022** | $282630854 | $287145533 |
| **2022** | $263113513 | $268347354 |
| **2022** | $265831118 | $265935597 |
| **2022** | $251378403 | $251066342 |
| **2022** | $250637239 | $251133305 |
| **2022** | $230996371 | $235529101 |
| **2022** | $236691194 | $242337267 |
| **2022** | $235675352 | $240046166 |
| **2022** | $221326583 | $224771771 |
| **2022** | $222850346 | $225114991 |
| **2022** | $241897384 | $242204463 |
| **2022** | $244156236 | $242995054 |
| **2023** | $254575822 | $250693650 |
| **2023** | $248662003 | $245158620 |
| **2023** | $248802808 | $247521037 |
| **2023** | $248662003 | $248835352 |
| **2023** | $247535561 | $247407839 |
| **2023** | $257251121 | $252930659 |
| **2023** | $266589002 | $257764577 |
| **2023** | $263462691 | $253885995 |
| **2023** | $256925861 | $247282554 |
| **2023** | $257636386 | $243934863 |
| **2023** | $273694252 | $257747326 |
| **2023** | $287541842 | $269945908 |
| **2024** | $287853878 | $267187883 |
| **2024** | $294094613 | $269800346 |
| **2024** | $303767751 | $275440620 |
| **2024** | $301739513 | $269722256 |
| **2024** | $306264045 | $274585032 |
| **2024** | $307980247 | $276275395 |
| **2024** | $313217711 | $281435558 |
| **2024** | $319507224 | $287961277 |
| **2024** | $327369114 | $293277915 |
| **2024** | $324381596 | $288237717 |
| **2024** | $328312541 | $291667620 |
| **2024** | $326258727 | $287589786 |
| **2025** | $336605551 | $291724842 |
| **2025** | $342112731 | $296300762 |
| **2025** | $337940625 | $294043420 |
| **2025** | $335103593 | $293390110 |
| **2025** | $341445194 | $296661572 |
| **2025** | $353127093 | $303818987 |
| **2025** | $361402088 | $307670603 |
| **2025** | $368687738 | $312683416 |
| **2025** | $376820555 | $318251851 |
| **2025** | $391391854 | $325021596 |
| **2025** | $395797130 | $326364278 |
| **2025** | $399507242 | $328714481 |
| **2026** | $414982367 | $330952805 |
| **2026** | $418225472 | $335539980 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 7/29/2021 (commencement of operations) |
| Class VI | 21.33% | 7.51% |
| J.P. Morgan EMBI Global Diversified | 13.24% | 2.47% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Each performance figure assumes a purchase at the beginning and redemption at the end of the stated period and reflects a transaction fee of 0.75% on the purchase and 0.75% on the redemption. Transaction fees are retained by the Fund to cover trading costs. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

For J.P. Morgan disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/

The gross expense ratio of 0.51% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.51% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $2453070565 |
| Number of Portfolio Holdings | 311 |
| Portfolio Turnover Rate | 41% |
| Total Advisory Fees Paid, Net | $8226029 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 94.8 |
| Short-Term Investments | 2.4 |
| Rights/Warrants | 1 |
| Loan Assignments | 0.9 |
| Investment Funds | 0.7 |
| Swap Contracts | 0.3 |
| Loan Participations | 0.1 |
| Forward Currency Contracts | (0.1) |
| Securities Sold Short | (0.1) |
| Reverse Repurchase Agreements | (1.7) |
| Other | 1.7 |

---

# Country/Region Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Mexico | 6.4 |
| Colombia | 5.6 |
| Venezuela | 5.5 |
| Turkey | 5.1 |
| Brazil | 4.5 |
| Argentina | 4.3 |
| Romania | 3.7 |
| Poland | 3.3 |
| Other (each between (3)% and 3%) | 61.6 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and currency linked derivatives such as forward currency contracts and currency options, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO High Yield Fund
![Image](g12033g00x59.jpg)

#### Class VI (GHVIX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO High Yield Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).**This report describes changes to the Fund that occurred during the reporting period.**

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $37 | 0.36% |

---

# How did the Fund perform last year and what affected its performance?
Class VI shares of GMO High Yield Fund returned +7.64% (net) for the fiscal year ended February 28, 2026, as compared with +7.22% for the Markit iBoxx USD Liquid High Yield Index.

The Fund was invested in a mix of index portfolio products and cash high-yield bonds. During the fiscal year, the Fund moved exposures between different products based on changes in the model's alpha signals and other factors.

The Fund's allocation to high-quality BB bonds drove relative outperformance, along with relative gains from allocations to carry and portfolio products, including standardized Total Return Swaps and Credit Default Swap indices.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g56g77.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class VI** | **Bloomberg U.S. Aggregate Index** | **Markit iBoxx USD Liquid High Yield Index** |
| **2018** | $300000000 | $300000000 | $300000000 |
| **2018** | $298800000 | $300701425 | $298516962 |
| **2018** | $303150000 | $300772939 | $302099341 |
| **2018** | $306000000 | $302708270 | $304343310 |
| **2018** | $308100000 | $300758969 | $305979162 |
| **2018** | $303750000 | $298382248 | $301040985 |
| **2018** | $302700000 | $300163461 | $299587539 |
| **2018** | $297893165 | $305677859 | $293111425 |
| **2019** | $311462121 | $308923990 | $307118420 |
| **2019** | $315205281 | $308744980 | $312094858 |
| **2019** | $319572301 | $314673477 | $315084370 |
| **2019** | $323315461 | $314754033 | $319142119 |
| **2019** | $318636511 | $320341409 | $314711625 |
| **2019** | $328618271 | $324364312 | $322706047 |
| **2019** | $329039505 | $325077781 | $324586371 |
| **2019** | $330948826 | $333501095 | $326007668 |
| **2019** | $332380816 | $331724892 | $326982444 |
| **2019** | $333176366 | $332724078 | $328270819 |
| **2019** | $335085686 | $332554671 | $329631998 |
| **2019** | $340594280 | $332322883 | $336052742 |
| **2020** | $340089696 | $338718285 | $334936052 |
| **2020** | $335380244 | $344814726 | $329390271 |
| **2020** | $302414082 | $342785557 | $295743550 |
| **2020** | $314860490 | $348878968 | $306247010 |
| **2020** | $324279393 | $350503314 | $319147072 |
| **2020** | $323606615 | $352711200 | $318661847 |
| **2020** | $337992984 | $357979650 | $333935598 |
| **2020** | $340369630 | $355090093 | $336435707 |
| **2020** | $336465140 | $354895434 | $332230481 |
| **2020** | $337992984 | $353310748 | $333376063 |
| **2020** | $353101661 | $356777519 | $345903895 |
| **2020** | $359211560 | $357269148 | $351725595 |
| **2021** | $358695451 | $354707570 | $352528373 |
| **2021** | $359555632 | $349585415 | $352747239 |
| **2021** | $362308211 | $345220265 | $354119148 |
| **2021** | $366437080 | $347947469 | $357612887 |
| **2021** | $367297261 | $349084264 | $358254014 |
| **2021** | $372114274 | $351536919 | $362422661 |
| **2021** | $372613222 | $355467484 | $363101968 |
| **2021** | $375586694 | $354790685 | $365421082 |
| **2021** | $374285800 | $351718951 | $364792190 |
| **2021** | $374099958 | $351621956 | $363674618 |
| **2021** | $370383118 | $352662255 | $359834109 |
| **2021** | $377126796 | $351759872 | $367475077 |
| **2022** | $366944765 | $344181512 | $356940332 |
| **2022** | $364399257 | $340341734 | $354498211 |
| **2022** | $361462132 | $330886419 | $351388265 |
| **2022** | $346972317 | $318329928 | $337545628 |
| **2022** | $352063333 | $320382412 | $340853192 |
| **2022** | $330328611 | $315356231 | $316647582 |
| **2022** | $351556350 | $323061848 | $338215482 |
| **2022** | $339589309 | $313933220 | $326630244 |
| **2022** | $328406992 | $300369289 | $314441236 |
| **2022** | $340962576 | $296478800 | $324330433 |
| **2022** | $350575445 | $307382012 | $331578359 |
| **2022** | $346850885 | $305995471 | $328008142 |
| **2023** | $359963540 | $315409134 | $341057990 |
| **2023** | $353830201 | $307254106 | $335502254 |
| **2023** | $359963540 | $315059125 | $339969938 |
| **2023** | $363135957 | $316968605 | $342614023 |
| **2023** | $358906068 | $313517237 | $338402895 |
| **2023** | $364616418 | $312399039 | $344125665 |
| **2023** | $369057801 | $312181278 | $348910160 |
| **2023** | $369480790 | $310187276 | $349646785 |
| **2023** | $364404923 | $302304878 | $345388292 |
| **2023** | $360598023 | $297534155 | $340895044 |
| **2023** | $378786545 | $311008369 | $356704071 |
| **2023** | $391753362 | $322913459 | $370281154 |
| **2024** | $392415854 | $322026690 | $369490247 |
| **2024** | $392857515 | $317477020 | $370378639 |
| **2024** | $397715787 | $320408576 | $374455123 |
| **2024** | $392636684 | $312315536 | $370682347 |
| **2024** | $398599109 | $317610303 | $375167444 |
| **2024** | $402353228 | $320617211 | $378720459 |
| **2024** | $410471637 | $328105873 | $386662484 |
| **2024** | $416815503 | $332820714 | $392643375 |
| **2024** | $423394327 | $337276966 | $399088139 |
| **2024** | $419165083 | $328912886 | $396841252 |
| **2024** | $425743907 | $332390408 | $401525741 |
| **2024** | $422825949 | $326950642 | $399707347 |
| **2025** | $428659780 | $328685175 | $405445972 |
| **2025** | $431957163 | $335916836 | $408116159 |
| **2025** | $428152490 | $336043245 | $404291454 |
| **2025** | $429167070 | $337363916 | $404636350 |
| **2025** | $437537349 | $334948363 | $411539750 |
| **2025** | $445146695 | $340098651 | $419160291 |
| **2025** | $446414919 | $339201577 | $420937791 |
| **2025** | $451741460 | $343258574 | $425851064 |
| **2025** | $455546133 | $347003110 | $428680866 |
| **2025** | $456560712 | $349171073 | $429617295 |
| **2025** | $459858095 | $351340866 | $431921905 |
| **2025** | $462544586 | $350821050 | $435006869 |
| **2026** | $464689720 | $351195608 | $437061699 |
| **2026** | $464957862 | $356946896 | $437572774 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 6/25/2018 (commencement of operations) |
| Class VI | 7.64% | 5.28% | 5.87% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 2.29% |
| Markit iBoxx USD Liquid High Yield Index | 7.22% | 4.40% | 5.04% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 0.56% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.36% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $136855547 |
| Number of Portfolio Holdings | 116 |
| Portfolio Turnover Rate | 160% |
| Total Advisory Fees Paid, Net | $476005 |

---

#### February 28, 2026

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 83.8 |
| Short-Term Investments | 12.9 |
| Swap Contracts | 1.9 |
| Futures Contracts | 0.0 |
| Forward Currency Contracts | 0.0 |
| Other | 1.4 |

---

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Consumer Cyclical | 19.3 |
| Communications | 12.4 |
| Consumer Non-Cyclical | 11.9 |
| Energy | 11.8 |
| Capital Goods | 11.3 |
| Technology | 7.7 |
| Basic Industry | 7.3 |
| Electric | 4.9 |
| Finance Companies | 3.3 |
| Insurance | 2.9 |
| REITS | 2.0 |
| Transportation | 1.8 |
| Other Financial | 1.3 |
| Brokerage/Asset Managers/Exchanges | 0.6 |
| Other Industrial | 0.6 |
| Cash / Cash Equivalents | 0.5 |
| Government Owned No Guarantee | 0.3 |
| Banking | 0.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and currency linked derivatives such as forward currency contracts and currency options, if any. |

---

#### Material Fund Changes
This is a summary of certain changes to the Fund since March 1, 2025.

Effective March 21, 2025, the expense cap for Class VI changed from 0.455% to 0.35% of the average daily net assets of the class.

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO High Yield Fund
![Image](g12033g00x59.jpg)

#### Class I (GMOZX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO High Yield Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).**This report describes changes to the Fund that occurred during the reporting period.**

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $49 | 0.47% |

---

# How did the Fund perform last year and what affected its performance?
Class I shares of GMO High Yield Fund returned +7.51% (net) for the fiscal year ended February 28, 2026, as compared with +7.22% for the Markit iBoxx USD Liquid High Yield Index.

The Fund was invested in a mix of index portfolio products and cash high-yield bonds. During the fiscal year, the Fund moved exposures between different products based on changes in the model's alpha signals and other factors.

The Fund's allocation to high-quality BB bonds drove relative outperformance, along with relative gains from allocations to carry and portfolio products, including standardized Total Return Swaps and Credit Default Swap indices.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g95q00.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class I** | **Bloomberg U.S. Aggregate Index** | **Markit iBoxx USD Liquid High Yield Index** |
| **2023** | $10000 | $10000 | $10000 |
| **2023** | $10012 | $10014 | $10001 |
| **2023** | $9889 | $9905 | $9878 |
| **2023** | $10047 | $9869 | $10045 |
| **2023** | $10175 | $9863 | $10184 |
| **2023** | $10181 | $9800 | $10206 |
| **2023** | $10041 | $9551 | $10082 |
| **2023** | $9936 | $9400 | $9950 |
| **2023** | $10437 | $9825 | $10412 |
| **2023** | $10790 | $10202 | $10808 |
| **2024** | $10808 | $10174 | $10785 |
| **2024** | $10820 | $10030 | $10811 |
| **2024** | $10948 | $10122 | $10930 |
| **2024** | $10808 | $9867 | $10820 |
| **2024** | $10972 | $10034 | $10951 |
| **2024** | $11070 | $10129 | $11055 |
| **2024** | $11292 | $10366 | $11286 |
| **2024** | $11467 | $10515 | $11461 |
| **2024** | $11642 | $10655 | $11649 |
| **2024** | $11532 | $10391 | $11583 |
| **2024** | $11706 | $10501 | $11720 |
| **2024** | $11624 | $10329 | $11667 |
| **2025** | $11785 | $10384 | $11835 |
| **2025** | $11876 | $10612 | $11913 |
| **2025** | $11764 | $10616 | $11801 |
| **2025** | $11799 | $10658 | $11811 |
| **2025** | $12022 | $10582 | $12012 |
| **2025** | $12232 | $10745 | $12235 |
| **2025** | $12267 | $10716 | $12287 |
| **2025** | $12407 | $10844 | $12430 |
| **2025** | $12511 | $10963 | $12513 |
| **2025** | $12539 | $11031 | $12540 |
| **2025** | $12630 | $11100 | $12607 |
| **2025** | $12701 | $11083 | $12697 |
| **2026** | $12761 | $11095 | $12757 |
| **2026** | $12768 | $11277 | $12772 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 4/13/2023 (commencement of operations) |
| Class I | 7.51% | 8.85% |
| Bloomberg U.S. Aggregate Index | 6.26% | 4.26% |
| Markit iBoxx USD Liquid High Yield Index | 7.22% | 8.87% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 2.03% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.46% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $136855547 |
| Number of Portfolio Holdings | 116 |
| Portfolio Turnover Rate | 160% |
| Total Advisory Fees Paid, Net | $476005 |

---

#### February 28, 2026

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 83.8 |
| Short-Term Investments | 12.9 |
| Swap Contracts | 1.9 |
| Futures Contracts | 0.0 |
| Forward Currency Contracts | 0.0 |
| Other | 1.4 |

---

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Consumer Cyclical | 19.3 |
| Communications | 12.4 |
| Consumer Non-Cyclical | 11.9 |
| Energy | 11.8 |
| Capital Goods | 11.3 |
| Technology | 7.7 |
| Basic Industry | 7.3 |
| Electric | 4.9 |
| Finance Companies | 3.3 |
| Insurance | 2.9 |
| REITS | 2.0 |
| Transportation | 1.8 |
| Other Financial | 1.3 |
| Brokerage/Asset Managers/Exchanges | 0.6 |
| Other Industrial | 0.6 |
| Cash / Cash Equivalents | 0.5 |
| Government Owned No Guarantee | 0.3 |
| Banking | 0.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and currency linked derivatives such as forward currency contracts and currency options, if any. |

---

#### Material Fund Changes
This is a summary of certain changes to the Fund since March 1, 2025.

Effective March 21, 2025, the expense cap for Class I changed from 0.55% to 0.35% of the average daily net assets of the class.

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Opportunistic Income Fund
![Image](g12033g00x59.jpg)

#### Class III (GMOHX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Opportunistic Income Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $60 | 0.58% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the Bloomberg U.S. Securitized Index is included for comparative purposes.

Class III shares of GMO Opportunistic Income Fund returned +5.78% (net) for the fiscal year ended February 28, 2026, as compared with +7.49% for the Bloomberg U.S. Securitized Index.

Absolute performance was driven by gains from the portfolio's Residential Mortgage-Backed Securities (RMBS), Student Loan, and Commercial Mortgage-Backed Securities (CMBS) sectors, which contributed positively. The portfolio's Small Balance Commercials and Collateralized Loan Obligations (CLO) also posted gains during the fiscal year, while Credit Spread Hedging positions contributed negatively.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g42y93.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class III †** | **Bloomberg U.S. Aggregate Index** | **Bloomberg U.S. Securitized Index** |
| **2021** | $10000 | $10000 | $10000 |
| **2021** | $10004 | $10038 | $10028 |
| **2021** | $10015 | $10019 | $10012 |
| **2021** | $10027 | $9932 | $9973 |
| **2021** | $10027 | $9929 | $9953 |
| **2021** | $10046 | $9959 | $9943 |
| **2021** | $10039 | $9933 | $9934 |
| **2022** | $10047 | $9719 | $9787 |
| **2022** | $10004 | $9611 | $9691 |
| **2022** | $9930 | $9344 | $9438 |
| **2022** | $9887 | $8989 | $9117 |
| **2022** | $9855 | $9047 | $9211 |
| **2022** | $9820 | $8905 | $9070 |
| **2022** | $9870 | $9123 | $9351 |
| **2022** | $9834 | $8865 | $9039 |
| **2022** | $9706 | $8482 | $8598 |
| **2022** | $9634 | $8372 | $8475 |
| **2022** | $9750 | $8680 | $8809 |
| **2022** | $9815 | $8641 | $8774 |
| **2023** | $9955 | $8907 | $9058 |
| **2023** | $9938 | $8676 | $8825 |
| **2023** | $9992 | $8897 | $8991 |
| **2023** | $10099 | $8951 | $9040 |
| **2023** | $10132 | $8853 | $8975 |
| **2023** | $10116 | $8822 | $8934 |
| **2023** | $10169 | $8815 | $8930 |
| **2023** | $10223 | $8759 | $8862 |
| **2023** | $10202 | $8537 | $8594 |
| **2023** | $10198 | $8402 | $8426 |
| **2023** | $10348 | $8782 | $8849 |
| **2023** | $10508 | $9118 | $9220 |
| **2024** | $10593 | $9093 | $9185 |
| **2024** | $10578 | $8965 | $9042 |
| **2024** | $10646 | $9048 | $9136 |
| **2024** | $10603 | $8819 | $8870 |
| **2024** | $10707 | $8969 | $9043 |
| **2024** | $10800 | $9054 | $9147 |
| **2024** | $10923 | $9265 | $9383 |
| **2024** | $11027 | $9398 | $9532 |
| **2024** | $11115 | $9524 | $9645 |
| **2024** | $11061 | $9288 | $9381 |
| **2024** | $11129 | $9386 | $9502 |
| **2024** | $11135 | $9232 | $9354 |
| **2025** | $11196 | $9281 | $9403 |
| **2025** | $11316 | $9486 | $9635 |
| **2025** | $11368 | $9489 | $9635 |
| **2025** | $11427 | $9527 | $9666 |
| **2025** | $11449 | $9458 | $9583 |
| **2025** | $11522 | $9604 | $9749 |
| **2025** | $11540 | $9578 | $9712 |
| **2025** | $11638 | $9693 | $9867 |
| **2025** | $11693 | $9799 | $9981 |
| **2025** | $11758 | $9860 | $10064 |
| **2025** | $11830 | $9921 | $10127 |
| **2025** | $11845 | $9907 | $10149 |
| **2026** | $11873 | $9917 | $10190 |
| **2026** | $11971 | $10080 | $10356 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 7/21/2021 (commencement of operations) |
| Class III† | 5.78% | 3.98% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.17% |
| Bloomberg U.S. Securitized Index | 7.49% | 0.76% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†For the period December 28, 2021 to February 1, 2022, no Class III shares were outstanding. Performance for that period is that of Class I shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class III expenses had been applied throughout.

The gross expense ratio of 0.61% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.58% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1258948597 |
| Number of Portfolio Holdings | 330 |
| Portfolio Turnover Rate | 277%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $5208413 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 274%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 92.6 |
| Short-Term Investments | 7.2 |
| Swap Contracts | 1.1 |
| Investment Funds | 0.9 |
| Futures Contracts | 0.0 |
| Purchased Options | 0.0 |
| Forward Currency Contracts | 0.0 |
| Written Options | (0.0) |
| Securities Sold Short | (2.4) |
| Other | 0.6 |

---

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Commercial Mortgage-Backed Securities | 24.6 |
| Student Loans - Private | 14.7 |
| U.S. Government | 14.7 |
| Collateralized Loan Obligations | 12.2 |
| Residential Mortgage-Backed Securities - Other | 11.1 |
| Small Balance Commercial Mortgages | 5.0 |
| Student Loans - Federal Family Education Loan Program | 4.5 |
| Residential Mortgage-Backed Securities - Alt-A | 3.6 |
| U.S. Government Agency | 3.1 |
| Residential Mortgage-Backed Securities - Prime | 2.8 |
| Residential Mortgage-Backed Securities - Subprime | 2.1 |
| Auto Retail Subprime | 1.8 |
| Credit Cards | 1.2 |
| Other (each less than 1%) | (1.4) |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Opportunistic Income Fund
![Image](g12033g00x59.jpg)

#### Class VI (GMODX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Opportunistic Income Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $50 | 0.49% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the Bloomberg U.S. Securitized Index is included for comparative purposes.

Class VI shares of GMO Opportunistic Income Fund returned +5.88% (net) for the fiscal year ended February 28, 2026, as compared with +7.49% for the Bloomberg U.S. Securitized Index.

Absolute performance was driven by gains from the portfolio's Residential Mortgage-Backed Securities (RMBS), Student Loan, and Commercial Mortgage-Backed Securities (CMBS) sectors, which contributed positively. The portfolio's Small Balance Commercials and Collateralized Loan Obligations (CLO) also posted gains during the fiscal year, while Credit Spread Hedging positions contributed negatively.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g18h04.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Class VI** | **Bloomberg U.S. Aggregate Index** | **Bloomberg U.S. Securitized Index** | **Bloomberg U.S. Securitized + Index\*** |
| **2016** | $300000000 | $300000000 | $300000000 | $300000000 |
| **2016** | $301221001 | $302752500 | $301040963 | $300252600 |
| **2016** | $303663004 | $303914590 | $301571761 | $300480685 |
| **2016** | $305616606 | $303992544 | $301958702 | $300704358 |
| **2016** | $305982906 | $309454634 | $304570080 | $300976177 |
| **2016** | $308777834 | $311411066 | $305310949 | $301152781 |
| **2016** | $310987775 | $311054961 | $305605246 | $301459411 |
| **2016** | $314057137 | $310872726 | $306363499 | $301805854 |
| **2016** | $315284882 | $308494890 | $305479131 | $302178086 |
| **2016** | $316758176 | $301197840 | $300282330 | $302526685 |
| **2016** | $316836751 | $301622643 | $300204385 | $302871951 |
| **2017** | $320218013 | $302214471 | $300223855 | $302891594 |
| **2017** | $322847883 | $304245660 | $301599068 | $304279027 |
| **2017** | $325227290 | $304086110 | $301693638 | $304374437 |
| **2017** | $326229145 | $306432753 | $303667958 | $306366300 |
| **2017** | $327857160 | $308791410 | $305580726 | $308296065 |
| **2017** | $329986103 | $308480622 | $304382566 | $307087259 |
| **2017** | $331454086 | $309808068 | $305777553 | $308494641 |
| **2017** | $333468239 | $312586972 | $308065313 | $310802730 |
| **2017** | $333720008 | $311098160 | $307241443 | $309971539 |
| **2017** | $335608277 | $311278383 | $307227789 | $309957764 |
| **2017** | $336615353 | $310878824 | $306752698 | $309478451 |
| **2017** | $337134175 | $312305618 | $307729118 | $310463548 |
| **2018** | $337777070 | $308708840 | $304189597 | $306892575 |
| **2018** | $339577176 | $305782448 | $302225986 | $304911516 |
| **2018** | $340862966 | $307743427 | $304081194 | $306783208 |
| **2018** | $340991545 | $305454596 | $302545132 | $305233497 |
| **2018** | $342791651 | $307634576 | $304661907 | $307369082 |
| **2018** | $344077441 | $307256203 | $304768743 | $307476867 |
| **2018** | $345088090 | $307329276 | $304472778 | $307178272 |
| **2018** | $346384926 | $309306794 | $306379656 | $309102094 |
| **2018** | $346384926 | $307315002 | $304555963 | $307262196 |
| **2018** | $347941129 | $304886472 | $302689713 | $305379363 |
| **2018** | $348719231 | $306706513 | $305341567 | $308054781 |
| **2018** | $350674079 | $312341115 | $310782706 | $313544269 |
| **2019** | $350942486 | $315658006 | $313278089 | $316061825 |
| **2019** | $351747708 | $315475095 | $313114887 | $315897173 |
| **2019** | $354163373 | $321532823 | $317689633 | $320512570 |
| **2019** | $355102799 | $321615135 | $317576413 | $320398344 |
| **2019** | $358457889 | $327324306 | $321820216 | $324679857 |
| **2019** | $359128908 | $331434901 | $324180132 | $327060742 |
| **2019** | $360833790 | $332163922 | $325423742 | $328315403 |
| **2019** | $362596601 | $340770851 | $328666114 | $331586587 |
| **2019** | $363545807 | $338955929 | $328715495 | $331636406 |
| **2019** | $364495012 | $339976896 | $329866777 | $332797918 |
| **2019** | $364630613 | $339803796 | $330017865 | $332950349 |
| **2019** | $364118291 | $339566955 | $330801694 | $333741143 |
| **2020** | $367664437 | $346101766 | $333545333 | $336509161 |
| **2020** | $370926892 | $352331099 | $337204654 | $340200998 |
| **2020** | $349366323 | $350257697 | $339567951 | $342585295 |
| **2020** | $354330928 | $356483934 | $341904268 | $344942372 |
| **2020** | $360146607 | $358143688 | $342602151 | $345646457 |
| **2020** | $365253058 | $360399703 | $342772450 | $345818269 |
| **2020** | $367771147 | $365782997 | $343660381 | $346714090 |
| **2020** | $371212281 | $362830452 | $343830499 | $346885720 |
| **2020** | $374653414 | $362631550 | $343589249 | $346642326 |
| **2020** | $374796795 | $361012320 | $343344910 | $346395816 |
| **2020** | $375083556 | $364554660 | $343769726 | $346824407 |
| **2020** | $376258558 | $365057007 | $344642693 | $347705131 |
| **2021** | $379657595 | $362439591 | $344883581 | $347948159 |
| **2021** | $381874357 | $357205782 | $342465211 | $345508300 |
| **2021** | $381726573 | $352745478 | $340573850 | $343600132 |
| **2021** | $382465494 | $355532131 | $342535710 | $345579425 |
| **2021** | $383352199 | $356693706 | $342170820 | $345211293 |
| **2021** | $384238905 | $359199825 | $342088565 | $345128307 |
| **2021** | $385432131 | $363216070 | $344285867 | $347345134 |
| **2021** | $385877374 | $362524518 | $343724599 | $346778878 |
| **2021** | $386322617 | $359385825 | $342392128 | $345434568 |
| **2021** | $386322617 | $359286715 | $341689736 | $344725934 |
| **2021** | $387213103 | $360349691 | $341371750 | $344405122 |
| **2021** | $386900948 | $359427638 | $341047665 | $344078158 |
| **2022** | $387202743 | $351684083 | $335996778 | $338982390 |
| **2022** | $385693769 | $347760604 | $332706872 | $335663250 |
| **2022** | $382826718 | $338099178 | $324018573 | $326897748 |
| **2022** | $381317744 | $325268977 | $312994823 | $315776042 |
| **2022** | $380110565 | $327366203 | $316243436 | $319053522 |
| **2022** | $378752488 | $322230460 | $311390939 | $314157907 |
| **2022** | $380837707 | $330104046 | $321022173 | $323874722 |
| **2022** | $379448915 | $320776429 | $310326629 | $313084140 |
| **2022** | $374510987 | $306916827 | $295185904 | $297808876 |
| **2022** | $371733402 | $302941532 | $290970123 | $293555635 |
| **2022** | $376208400 | $314082416 | $302436031 | $305123427 |
| **2022** | $378837317 | $312665651 | $301242166 | $303918953 |
| **2023** | $384247005 | $322284516 | $310959357 | $313722490 |
| **2023** | $383451463 | $313951722 | $302975453 | $305667643 |
| **2023** | $385678982 | $321926877 | $308691448 | $311434429 |
| **2023** | $389815803 | $323877980 | $310350834 | $313108559 |
| **2023** | $391088671 | $320351379 | $308119283 | $310857180 |
| **2023** | $390611345 | $319208805 | $306733630 | $309459214 |
| **2023** | $392700627 | $318986298 | $306583117 | $309307363 |
| **2023** | $394631151 | $316948830 | $304253920 | $306957469 |
| **2023** | $393987643 | $308894609 | $295057750 | $297679584 |
| **2023** | $393826766 | $304019892 | $289264069 | $291834421 |
| **2023** | $399457459 | $317787822 | $303793139 | $306492594 |
| **2023** | $405640910 | $329952422 | $316538244 | $319350950 |
| **2024** | $409134258 | $329046323 | $315335470 | $318137489 |
| **2024** | $408594629 | $324397478 | $310430671 | $313189106 |
| **2024** | $411214742 | $327392937 | $313660218 | $316447350 |
| **2024** | $409579791 | $319123482 | $304525044 | $307231003 |
| **2024** | $413637872 | $324533666 | $310470202 | $313228988 |
| **2024** | $417266244 | $327606119 | $314033961 | $316824415 |
| **2024** | $422061950 | $335258021 | $322140930 | $325003421 |
| **2024** | $426125928 | $340075638 | $327234328 | $330142078 |
| **2024** | $429559435 | $344629029 | $331125858 | $334068187 |
| **2024** | $427509225 | $336082626 | $322048863 | $324910535 |
| **2024** | $430170775 | $339635952 | $326233173 | $329132027 |
| **2024** | $430431754 | $334077609 | $321146634 | $324000289 |
| **2025** | $432816506 | $335849952 | $322813861 | $325682331 |
| **2025** | $437468523 | $343239250 | $330782815 | $333722095 |
| **2025** | $439522337 | $343368415 | $330789734 | $333729077 |
| **2025** | $441830009 | $344717874 | $331864988 | $334813884 |
| **2025** | $442712582 | $342249666 | $329009397 | $331932920 |
| **2025** | $445607591 | $347512222 | $334703093 | $337677209 |
| **2025** | $446309163 | $346595593 | $333432368 | $336395192 |
| **2025** | $450129951 | $350741026 | $338737602 | $341747567 |
| **2025** | $452318876 | $354567186 | $342662175 | $345707014 |
| **2025** | $454847792 | $356782407 | $345518072 | $348588288 |
| **2025** | $457679442 | $358999497 | $347688368 | $350777868 |
| **2025** | $458289557 | $358468351 | $348422120 | $351518141 |
| **2026** | $459445586 | $358851074 | $349828727 | $352937246 |
| **2026** | $463208449 | $364727730 | $355547623 | $358706959 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class VI | 5.88% | 3.94% | 4.44% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.97% |
| Bloomberg U.S. Securitized Index | 7.49% | 0.75% | 1.71% |
| Bloomberg U.S. Securitized + Index\* | 7.49% | 0.75% | 1.80% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

\*The Bloomberg U.S. Securitized + Index is a composite benchmark computed by GMO and comprised of the J.P. Morgan U.S. 3 Month Cash Index through December 30, 2016 and the Bloomberg U.S. Securitized thereafter.

The gross expense ratio of 0.52% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.49% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1258948597 |
| Number of Portfolio Holdings | 330 |
| Portfolio Turnover Rate | 277%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $5208413 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 274%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 92.6 |
| Short-Term Investments | 7.2 |
| Swap Contracts | 1.1 |
| Investment Funds | 0.9 |
| Futures Contracts | 0.0 |
| Purchased Options | 0.0 |
| Forward Currency Contracts | 0.0 |
| Written Options | (0.0) |
| Securities Sold Short | (2.4) |
| Other | 0.6 |

---

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Commercial Mortgage-Backed Securities | 24.6 |
| Student Loans - Private | 14.7 |
| U.S. Government | 14.7 |
| Collateralized Loan Obligations | 12.2 |
| Residential Mortgage-Backed Securities - Other | 11.1 |
| Small Balance Commercial Mortgages | 5.0 |
| Student Loans - Federal Family Education Loan Program | 4.5 |
| Residential Mortgage-Backed Securities - Alt-A | 3.6 |
| U.S. Government Agency | 3.1 |
| Residential Mortgage-Backed Securities - Prime | 2.8 |
| Residential Mortgage-Backed Securities - Subprime | 2.1 |
| Auto Retail Subprime | 1.8 |
| Credit Cards | 1.2 |
| Other (each less than 1%) | (1.4) |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Opportunistic Income Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GAAAX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Opportunistic Income Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $60 | 0.58% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the Bloomberg U.S. Securitized Index is included for comparative purposes.

Class R6 shares of GMO Opportunistic Income Fund returned +5.81% (net) for the fiscal year ended February 28, 2026, as compared with +7.49% for the Bloomberg U.S. Securitized Index.

Absolute performance was driven by gains from the portfolio's Residential Mortgage-Backed Securities (RMBS), Student Loan, and Commercial Mortgage-Backed Securities (CMBS) sectors, which contributed positively. The portfolio's Small Balance Commercials and Collateralized Loan Obligations (CLO) also posted gains during the fiscal year, while Credit Spread Hedging positions contributed negatively.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g47e90.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class R6** | **Bloomberg U.S. Aggregate Index** | **Bloomberg U.S. Securitized Index** |
| **2021** | $10000 | $10000 | $10000 |
| **2021** | $10004 | $10066 | $10026 |
| **2021** | $10027 | $10137 | $10024 |
| **2021** | $10056 | $10250 | $10088 |
| **2021** | $10068 | $10231 | $10072 |
| **2021** | $10080 | $10142 | $10033 |
| **2021** | $10080 | $10139 | $10012 |
| **2021** | $10103 | $10169 | $10003 |
| **2021** | $10094 | $10143 | $9993 |
| **2022** | $10102 | $9925 | $9845 |
| **2022** | $10062 | $9814 | $9749 |
| **2022** | $9983 | $9541 | $9494 |
| **2022** | $9944 | $9179 | $9171 |
| **2022** | $9912 | $9239 | $9267 |
| **2022** | $9877 | $9094 | $9124 |
| **2022** | $9928 | $9316 | $9407 |
| **2022** | $9892 | $9053 | $9093 |
| **2022** | $9762 | $8661 | $8650 |
| **2022** | $9690 | $8549 | $8526 |
| **2022** | $9807 | $8864 | $8862 |
| **2022** | $9874 | $8824 | $8827 |
| **2023** | $10015 | $9095 | $9112 |
| **2023** | $9994 | $8860 | $8878 |
| **2023** | $10052 | $9085 | $9045 |
| **2023** | $10156 | $9140 | $9094 |
| **2023** | $10190 | $9041 | $9029 |
| **2023** | $10177 | $9008 | $8988 |
| **2023** | $10229 | $9002 | $8984 |
| **2023** | $10280 | $8945 | $8915 |
| **2023** | $10258 | $8717 | $8646 |
| **2023** | $10254 | $8580 | $8476 |
| **2023** | $10406 | $8968 | $8902 |
| **2023** | $10566 | $9312 | $9275 |
| **2024** | $10652 | $9286 | $9240 |
| **2024** | $10637 | $9155 | $9096 |
| **2024** | $10705 | $9239 | $9191 |
| **2024** | $10661 | $9006 | $8923 |
| **2024** | $10766 | $9159 | $9097 |
| **2024** | $10860 | $9245 | $9202 |
| **2024** | $10985 | $9461 | $9439 |
| **2024** | $11090 | $9597 | $9589 |
| **2024** | $11179 | $9726 | $9703 |
| **2024** | $11125 | $9485 | $9437 |
| **2024** | $11194 | $9585 | $9559 |
| **2024** | $11195 | $9428 | $9410 |
| **2025** | $11261 | $9478 | $9459 |
| **2025** | $11378 | $9687 | $9693 |
| **2025** | $11435 | $9690 | $9693 |
| **2025** | $11494 | $9728 | $9724 |
| **2025** | $11511 | $9659 | $9641 |
| **2025** | $11586 | $9807 | $9808 |
| **2025** | $11603 | $9781 | $9770 |
| **2025** | $11702 | $9898 | $9926 |
| **2025** | $11758 | $10006 | $10041 |
| **2025** | $11823 | $10069 | $10124 |
| **2025** | $11896 | $10131 | $10188 |
| **2025** | $11911 | $10116 | $10210 |
| **2026** | $11941 | $10127 | $10251 |
| **2026** | $12039 | $10293 | $10418 |

---

# Average Annual Total Returns

---

| | | |
|:---|:---|:---|
| AATR | 1 Year | Since 5/19/2021 (commencement of operations) |
| Class R6 | 5.81% | 3.96% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.61% |
| Bloomberg U.S. Securitized Index | 7.49% | 0.86% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

The gross expense ratio of 0.61% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.58% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1258948597 |
| Number of Portfolio Holdings | 330 |
| Portfolio Turnover Rate | 277%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $5208413 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 274%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 92.6 |
| Short-Term Investments | 7.2 |
| Swap Contracts | 1.1 |
| Investment Funds | 0.9 |
| Futures Contracts | 0.0 |
| Purchased Options | 0.0 |
| Forward Currency Contracts | 0.0 |
| Written Options | (0.0) |
| Securities Sold Short | (2.4) |
| Other | 0.6 |

---

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Commercial Mortgage-Backed Securities | 24.6 |
| Student Loans - Private | 14.7 |
| U.S. Government | 14.7 |
| Collateralized Loan Obligations | 12.2 |
| Residential Mortgage-Backed Securities - Other | 11.1 |
| Small Balance Commercial Mortgages | 5.0 |
| Student Loans - Federal Family Education Loan Program | 4.5 |
| Residential Mortgage-Backed Securities - Alt-A | 3.6 |
| U.S. Government Agency | 3.1 |
| Residential Mortgage-Backed Securities - Prime | 2.8 |
| Residential Mortgage-Backed Securities - Subprime | 2.1 |
| Auto Retail Subprime | 1.8 |
| Credit Cards | 1.2 |
| Other (each less than 1%) | (1.4) |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Opportunistic Income Fund
![Image](g12033g00x59.jpg)

#### Class I (GMOLX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Opportunistic Income Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $72 | 0.70% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the Bloomberg U.S. Securitized Index is included for comparative purposes.

Class I shares of GMO Opportunistic Income Fund returned +5.66% (net) for the fiscal year ended February 28, 2026, as compared with +7.49% for the Bloomberg U.S. Securitized Index.

Absolute performance was driven by gains from the portfolio's Residential Mortgage-Backed Securities (RMBS), Student Loan, and Commercial Mortgage-Backed Securities (CMBS) sectors, which contributed positively. The portfolio's Small Balance Commercials and Collateralized Loan Obligations (CLO) also posted gains during the fiscal year, while Credit Spread Hedging positions contributed negatively.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g37f27.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class I** | **Bloomberg U.S. Aggregate Index** | **Bloomberg U.S. Securitized Index** |
| **2019** | $10000 | $10000 | $10000 |
| **2019** | $10015 | $10072 | $10035 |
| **2019** | $10001 | $10065 | $10059 |
| **2020** | $10094 | $10259 | $10142 |
| **2020** | $10180 | $10444 | $10253 |
| **2020** | $9587 | $10382 | $10325 |
| **2020** | $9724 | $10567 | $10396 |
| **2020** | $9880 | $10616 | $10417 |
| **2020** | $10020 | $10683 | $10423 |
| **2020** | $10084 | $10842 | $10450 |
| **2020** | $10175 | $10755 | $10455 |
| **2020** | $10269 | $10749 | $10447 |
| **2020** | $10273 | $10701 | $10440 |
| **2020** | $10277 | $10806 | $10453 |
| **2020** | $10310 | $10821 | $10480 |
| **2021** | $10403 | $10743 | $10487 |
| **2021** | $10464 | $10588 | $10413 |
| **2021** | $10456 | $10456 | $10356 |
| **2021** | $10476 | $10539 | $10415 |
| **2021** | $10497 | $10573 | $10404 |
| **2021** | $10517 | $10647 | $10402 |
| **2021** | $10551 | $10766 | $10469 |
| **2021** | $10559 | $10746 | $10452 |
| **2021** | $10571 | $10653 | $10411 |
| **2021** | $10571 | $10650 | $10390 |
| **2021** | $10591 | $10681 | $10380 |
| **2021** | $10582 | $10654 | $10370 |
| **2022** | $10590 | $10425 | $10217 |
| **2022** | $10545 | $10308 | $10117 |
| **2022** | $10466 | $10022 | $9852 |
| **2022** | $10421 | $9642 | $9517 |
| **2022** | $10388 | $9704 | $9616 |
| **2022** | $10351 | $9551 | $9468 |
| **2022** | $10404 | $9785 | $9761 |
| **2022** | $10366 | $9508 | $9436 |
| **2022** | $10226 | $9098 | $8976 |
| **2022** | $10155 | $8980 | $8848 |
| **2022** | $10273 | $9310 | $9196 |
| **2022** | $10341 | $9268 | $9160 |
| **2023** | $10489 | $9553 | $9455 |
| **2023** | $10468 | $9306 | $9213 |
| **2023** | $10524 | $9542 | $9386 |
| **2023** | $10633 | $9600 | $9437 |
| **2023** | $10668 | $9496 | $9369 |
| **2023** | $10655 | $9462 | $9327 |
| **2023** | $10706 | $9455 | $9322 |
| **2023** | $10759 | $9395 | $9251 |
| **2023** | $10737 | $9156 | $8972 |
| **2023** | $10733 | $9012 | $8796 |
| **2023** | $10887 | $9420 | $9237 |
| **2023** | $11058 | $9780 | $9625 |
| **2024** | $11147 | $9753 | $9588 |
| **2024** | $11130 | $9616 | $9439 |
| **2024** | $11201 | $9704 | $9537 |
| **2024** | $11154 | $9459 | $9260 |
| **2024** | $11263 | $9620 | $9440 |
| **2024** | $11360 | $9711 | $9549 |
| **2024** | $11484 | $9938 | $9795 |
| **2024** | $11598 | $10080 | $9950 |
| **2024** | $11690 | $10215 | $10069 |
| **2024** | $11631 | $9962 | $9793 |
| **2024** | $11702 | $10067 | $9920 |
| **2024** | $11702 | $9903 | $9765 |
| **2025** | $11770 | $9955 | $9816 |
| **2025** | $11892 | $10174 | $10058 |
| **2025** | $11949 | $10178 | $10058 |
| **2025** | $12010 | $10218 | $10091 |
| **2025** | $12026 | $10145 | $10004 |
| **2025** | $12108 | $10301 | $10177 |
| **2025** | $12125 | $10274 | $10139 |
| **2025** | $12226 | $10397 | $10300 |
| **2025** | $12278 | $10510 | $10419 |
| **2025** | $12350 | $10576 | $10506 |
| **2025** | $12420 | $10641 | $10572 |
| **2025** | $12434 | $10626 | $10594 |
| **2026** | $12462 | $10637 | $10637 |
| **2026** | $12564 | $10811 | $10811 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 11/5/2019 (commencement of operations) |
| Class I | 5.66% | 3.73% | 3.68% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.24% |
| Bloomberg U.S. Securitized Index | 7.49% | 0.75% | 1.24% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

The gross expense ratio of 0.73% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.70% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1258948597 |
| Number of Portfolio Holdings | 330 |
| Portfolio Turnover Rate | 277%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $5208413 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 274%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 92.6 |
| Short-Term Investments | 7.2 |
| Swap Contracts | 1.1 |
| Investment Funds | 0.9 |
| Futures Contracts | 0.0 |
| Purchased Options | 0.0 |
| Forward Currency Contracts | 0.0 |
| Written Options | (0.0) |
| Securities Sold Short | (2.4) |
| Other | 0.6 |

---

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Investments

---

| | |
|:---|:---|
| Commercial Mortgage-Backed Securities | 24.6 |
| Student Loans - Private | 14.7 |
| U.S. Government | 14.7 |
| Collateralized Loan Obligations | 12.2 |
| Residential Mortgage-Backed Securities - Other | 11.1 |
| Small Balance Commercial Mortgages | 5.0 |
| Student Loans - Federal Family Education Loan Program | 4.5 |
| Residential Mortgage-Backed Securities - Alt-A | 3.6 |
| U.S. Government Agency | 3.1 |
| Residential Mortgage-Backed Securities - Prime | 2.8 |
| Residential Mortgage-Backed Securities - Subprime | 2.1 |
| Auto Retail Subprime | 1.8 |
| Credit Cards | 1.2 |
| Other (each less than 1%) | (1.4) |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO U.S. Treasury Fund
![Image](g12033g00x59.jpg)

#### Class VI (GUSTX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO U.S. Treasury Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $9 | 0.09% |

---

# How did the Fund perform last year and what affected its performance?
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund's performance relative to the FTSE 3-Month Treasury Bill Index is included for comparative purposes.

Class VI shares of GMO U.S. Treasury Fund returned +4.08% (net) for the fiscal year ended February 28, 2026, as compared with +4.28% for the FTSE 3-Month Treasury Bill Index.

Security selection in Repurchase Agreements collateralized by U.S. Treasury securities drove performance during the year, followed by gains from U.S. Treasury Bills/Notes, Floating Rate U.S. Treasury Notes, and U.S. Treasury Inflation Protected Securities (TIPS).

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g81c57.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class VI** | **FTSE 3-Month Treasury Bill Index** | **Bloomberg U.S. Aggregate Index** |
| **2016** | $10000 | $10000 | $10000 |
| **2016** | $10007 | $10002 | $10092 |
| **2016** | $10011 | $10005 | $10130 |
| **2016** | $10011 | $10007 | $10133 |
| **2016** | $10018 | $10009 | $10315 |
| **2016** | $10022 | $10011 | $10380 |
| **2016** | $10026 | $10013 | $10369 |
| **2016** | $10030 | $10016 | $10362 |
| **2016** | $10034 | $10018 | $10283 |
| **2016** | $10038 | $10021 | $10040 |
| **2016** | $10044 | $10024 | $10054 |
| **2017** | $10049 | $10028 | $10074 |
| **2017** | $10054 | $10032 | $10142 |
| **2017** | $10056 | $10036 | $10136 |
| **2017** | $10062 | $10041 | $10214 |
| **2017** | $10064 | $10047 | $10293 |
| **2017** | $10077 | $10054 | $10283 |
| **2017** | $10085 | $10063 | $10327 |
| **2017** | $10094 | $10071 | $10420 |
| **2017** | $10103 | $10080 | $10370 |
| **2017** | $10113 | $10089 | $10376 |
| **2017** | $10119 | $10098 | $10363 |
| **2017** | $10130 | $10108 | $10410 |
| **2018** | $10142 | $10119 | $10290 |
| **2018** | $10150 | $10130 | $10193 |
| **2018** | $10165 | $10143 | $10258 |
| **2018** | $10184 | $10157 | $10182 |
| **2018** | $10200 | $10172 | $10254 |
| **2018** | $10216 | $10188 | $10242 |
| **2018** | $10232 | $10204 | $10244 |
| **2018** | $10252 | $10222 | $10310 |
| **2018** | $10264 | $10239 | $10244 |
| **2018** | $10283 | $10257 | $10163 |
| **2018** | $10310 | $10276 | $10224 |
| **2018** | $10328 | $10297 | $10411 |
| **2019** | $10349 | $10318 | $10522 |
| **2019** | $10369 | $10337 | $10516 |
| **2019** | $10391 | $10358 | $10718 |
| **2019** | $10413 | $10379 | $10721 |
| **2019** | $10436 | $10401 | $10911 |
| **2019** | $10455 | $10422 | $11048 |
| **2019** | $10475 | $10442 | $11072 |
| **2019** | $10494 | $10462 | $11359 |
| **2019** | $10510 | $10480 | $11299 |
| **2019** | $10547 | $10498 | $11333 |
| **2019** | $10540 | $10514 | $11327 |
| **2019** | $10554 | $10529 | $11319 |
| **2020** | $10591 | $10543 | $11537 |
| **2020** | $10625 | $10556 | $11744 |
| **2020** | $10653 | $10569 | $11675 |
| **2020** | $10677 | $10578 | $11883 |
| **2020** | $10679 | $10583 | $11938 |
| **2020** | $10681 | $10584 | $12013 |
| **2020** | $10683 | $10585 | $12193 |
| **2020** | $10684 | $10586 | $12094 |
| **2020** | $10686 | $10587 | $12088 |
| **2020** | $10687 | $10588 | $12034 |
| **2020** | $10688 | $10589 | $12152 |
| **2020** | $10690 | $10590 | $12169 |
| **2021** | $10691 | $10590 | $12081 |
| **2021** | $10692 | $10591 | $11907 |
| **2021** | $10692 | $10592 | $11758 |
| **2021** | $10693 | $10592 | $11851 |
| **2021** | $10694 | $10592 | $11890 |
| **2021** | $10694 | $10592 | $11973 |
| **2021** | $10700 | $10593 | $12107 |
| **2021** | $10701 | $10593 | $12084 |
| **2021** | $10702 | $10593 | $11980 |
| **2021** | $10682 | $10594 | $11976 |
| **2021** | $10683 | $10594 | $12012 |
| **2021** | $10690 | $10595 | $11981 |
| **2022** | $10671 | $10595 | $11723 |
| **2022** | $10653 | $10596 | $11592 |
| **2022** | $10657 | $10598 | $11270 |
| **2022** | $10643 | $10601 | $10842 |
| **2022** | $10652 | $10606 | $10912 |
| **2022** | $10644 | $10613 | $10741 |
| **2022** | $10661 | $10624 | $11003 |
| **2022** | $10682 | $10640 | $10693 |
| **2022** | $10684 | $10660 | $10231 |
| **2022** | $10708 | $10687 | $10098 |
| **2022** | $10739 | $10718 | $10469 |
| **2022** | $10775 | $10754 | $10422 |
| **2023** | $10830 | $10793 | $10743 |
| **2023** | $10865 | $10831 | $10465 |
| **2023** | $10909 | $10874 | $10731 |
| **2023** | $10973 | $10918 | $10796 |
| **2023** | $11021 | $10964 | $10678 |
| **2023** | $11071 | $11010 | $10640 |
| **2023** | $11117 | $11061 | $10633 |
| **2023** | $11169 | $11112 | $10565 |
| **2023** | $11221 | $11162 | $10296 |
| **2023** | $11272 | $11215 | $10134 |
| **2023** | $11322 | $11266 | $10593 |
| **2023** | $11375 | $11319 | $10998 |
| **2024** | $11421 | $11372 | $10968 |
| **2024** | $11467 | $11421 | $10813 |
| **2024** | $11523 | $11472 | $10913 |
| **2024** | $11579 | $11526 | $10637 |
| **2024** | $11638 | $11579 | $10818 |
| **2024** | $11663 | $11631 | $10920 |
| **2024** | $11737 | $11686 | $11175 |
| **2024** | $11789 | $11739 | $11336 |
| **2024** | $11832 | $11791 | $11488 |
| **2024** | $11875 | $11842 | $11203 |
| **2024** | $11920 | $11889 | $11321 |
| **2024** | $11963 | $11936 | $11136 |
| **2025** | $12028 | $11982 | $11195 |
| **2025** | $12066 | $12022 | $11441 |
| **2025** | $12112 | $12067 | $11446 |
| **2025** | $12156 | $12110 | $11491 |
| **2025** | $12201 | $12155 | $11408 |
| **2025** | $12243 | $12199 | $11584 |
| **2025** | $12287 | $12244 | $11553 |
| **2025** | $12333 | $12290 | $11691 |
| **2025** | $12372 | $12334 | $11819 |
| **2025** | $12417 | $12378 | $11893 |
| **2025** | $12454 | $12419 | $11967 |
| **2025** | $12494 | $12460 | $11949 |
| **2026** | $12525 | $12501 | $11962 |
| **2026** | $12558 | $12537 | $12158 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class VI | 4.08% | 3.27% | 2.30% |
| FTSE 3-Month Treasury Bill Index | 4.28% | 3.43% | 2.29% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.97% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 0.13% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.09% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $355645871 |
| Number of Portfolio Holdings | 16 |
| Portfolio Turnover Rate | 0% |
| Total Advisory Fees Paid, Net | $326680 |

---

#### February 28, 2026

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Short-Term Investments | 99.9 |
| Other | 0.1 |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Alternative Allocation Fund
![Image](g12033g00x59.jpg)

#### Class VI (GAAVX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Alternative Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

GMO Alternative SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the amounts presented for GMO Alternative Allocation Fund are consolidated with its subsidiary.

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class VI | $298 | 2.74%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Includes interest and/or dividend expenses and/or borrowing costs to average daily net assets of 1.91%. |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the FTSE 3-Month Treasury Bill Index is included for comparative purposes only.

Class VI shares of GMO Alternative Allocation Fund returned +17.31% (net) for the fiscal year ended February 28, 2026, as compared with +4.28% for the FTSE 3-Month Treasury Bill Index.

The Fund had an excellent year as many of the underlying strategies enjoyed very strong returns, while crucially, none of the underlying strategies suffered from a particularly challenging year. The initiative undertaken towards the end of the last fiscal year to increase the overall level of exposures in the Fund, while also broadening the exposures to include more alpha sources, proved to be a considerable success for this fiscal year. The long-term aim of the changes is to improve both the level and consistency of returns.

Equity Dislocation, which is broadly 100% long cheap global value and 100% short expensive global growth, was the largest contributor to returns, which was an excellent result in an environment where MSCI ACWI Value only beat MSCI ACWI Growth by a modest 3%. Following a very solid year last year, Event-Driven had a strong return again, and was the second largest contributor. A long position in Emerging Market currencies versus the U.S. dollar, one of the new positions introduced to the Fund, was the third largest contributor.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $300,000,000 Investment

![Growth of 10K Chart](g12033g31k60.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class VI** | **Bloomberg U.S. Aggregate Index** | **FTSE 3-Month Treasury Bill Index** |
| **2019** | $300000000 | $300000000 | $300000000 |
| **2019** | $298200000 | $305246555 | $300598345 |
| **2019** | $301350000 | $309079894 | $301204925 |
| **2019** | $300450000 | $309759744 | $301806912 |
| **2019** | $301200000 | $317786142 | $302380365 |
| **2019** | $303450000 | $316093635 | $302899164 |
| **2019** | $303300000 | $317045739 | $303412070 |
| **2019** | $304500000 | $316884314 | $303863873 |
| **2019** | $308293832 | $316663448 | $304296561 |
| **2020** | $300751946 | $322757491 | $304706561 |
| **2020** | $299366702 | $328566661 | $305091369 |
| **2020** | $286745586 | $326633109 | $305476733 |
| **2020** | $291824816 | $332439391 | $305727224 |
| **2020** | $293363976 | $333987196 | $305858942 |
| **2020** | $292748312 | $336091044 | $305889192 |
| **2020** | $298454054 | $341111239 | $305923989 |
| **2020** | $299071014 | $338357841 | $305957858 |
| **2020** | $298762534 | $338172355 | $305987598 |
| **2020** | $300304932 | $336662341 | $306013904 |
| **2020** | $305086367 | $339965754 | $306038958 |
| **2020** | $307448957 | $340434217 | $306062620 |
| **2021** | $306187628 | $337993343 | $306084937 |
| **2021** | $299407984 | $333112550 | $306102242 |
| **2021** | $300511647 | $328953091 | $306117831 |
| **2021** | $304453301 | $331551786 | $306128178 |
| **2021** | $310917612 | $332635014 | $306134982 |
| **2021** | $304137968 | $334972097 | $306140055 |
| **2021** | $295111950 | $338717449 | $306146736 |
| **2021** | $295111950 | $338072542 | $306156108 |
| **2021** | $294297174 | $335145552 | $306167753 |
| **2021** | $285334635 | $335053127 | $306178888 |
| **2021** | $283379172 | $336044406 | $306190534 |
| **2021** | $291693379 | $335184544 | $306203432 |
| **2022** | $303006951 | $327963285 | $306217722 |
| **2022** | $296448359 | $324304442 | $306240641 |
| **2022** | $290873555 | $315294672 | $306289264 |
| **2022** | $293333028 | $303329857 | $306376071 |
| **2022** | $298251972 | $305285626 | $306523934 |
| **2022** | $288086154 | $300496285 | $306730814 |
| **2022** | $291175636 | $307838804 | $307048950 |
| **2022** | $292168844 | $299140327 | $307505532 |
| **2022** | $288527080 | $286215544 | $308107890 |
| **2022** | $290347962 | $282508379 | $308871102 |
| **2022** | $298459165 | $292897820 | $309756382 |
| **2022** | $302266465 | $291576614 | $310801727 |
| **2023** | $305577160 | $300546695 | $311948819 |
| **2023** | $306073764 | $292775941 | $313037034 |
| **2023** | $302597534 | $300213179 | $314288517 |
| **2023** | $304252882 | $302032681 | $315539396 |
| **2023** | $296307213 | $298743946 | $316874901 |
| **2023** | $304252882 | $297678438 | $318224140 |
| **2023** | $309549994 | $297470939 | $319673826 |
| **2023** | $310874272 | $295570896 | $321160164 |
| **2023** | $318157801 | $288059926 | $322610221 |
| **2023** | $314516037 | $283514005 | $324130103 |
| **2023** | $314350502 | $296353299 | $325611988 |
| **2023** | $320579852 | $307697407 | $327143933 |
| **2024** | $322147053 | $306852424 | $328672074 |
| **2024** | $320405718 | $302517140 | $330099490 |
| **2024** | $321798786 | $305310557 | $331556337 |
| **2024** | $318664383 | $297598870 | $333118099 |
| **2024** | $324236656 | $302644142 | $334666283 |
| **2024** | $323191855 | $305509361 | $336172572 |
| **2024** | $325951453 | $312645148 | $337735881 |
| **2024** | $321925200 | $317137821 | $339293669 |
| **2024** | $318774219 | $321384089 | $340780796 |
| **2024** | $314047748 | $313414134 | $342251638 |
| **2024** | $308621059 | $316727791 | $343612197 |
| **2024** | $312357099 | $311544354 | $344963245 |
| **2025** | $312177169 | $313197153 | $346290678 |
| **2025** | $319014479 | $320088050 | $347470432 |
| **2025** | $328370798 | $320208502 | $348762743 |
| **2025** | $318834550 | $321466942 | $350014689 |
| **2025** | $318834550 | $319165212 | $351312985 |
| **2025** | $322433134 | $324072813 | $352577969 |
| **2025** | $325688105 | $323218011 | $353889488 |
| **2025** | $333322875 | $327083837 | $355211074 |
| **2025** | $334998800 | $330651926 | $356474759 |
| **2025** | $337233366 | $332717732 | $357749439 |
| **2025** | $353433975 | $334785282 | $358935179 |
| **2025** | $359708127 | $334289961 | $360128156 |
| **2026** | $365205850 | $334646869 | $361292785 |
| **2026** | $374237822 | $340127150 | $362333259 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 5/1/2019 (commencement of operations) |
| Class VI | 17.31% | 4.56% | 3.29% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.85% |
| FTSE 3-Month Treasury Bill Index | 4.28% | 3.43% | 2.80% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The performance information for all periods prior to January 31, 2025 was achieved prior to the change in the Fund's investment objective and principal investment strategies.

The gross expense ratio of 2.70% for Class VI is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 2.50% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $813099957 |
| Number of Portfolio Holdings | 1503 |
| Portfolio Turnover Rate | 789%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $5230184 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 764%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Common Stocks | 135.4 |
| Debt Obligations | 25.6 |
| Short-Term Investments | 18.2 |
| Swap Contracts | 2.5 |
| Investment Funds | 1.6 |
| Preferred Stocks | 0.6 |
| Forward Currency Contracts | 0.3 |
| Rights/Warrants | 0.1 |
| Purchased Options | 0.0 |
| Futures Contracts | (0.8) |
| Written Options | (0.8) |
| Securities Sold Short | (86.4) |
| Other | 3.7 |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| U.S. Treasury Floating Rate Notes, 3.78%, due 04/30/27 | 5.3 |
| U.S. Treasury Floating Rate Notes, 3.78%, due 07/31/27 | 4.7 |
| U.S. Treasury Floating Rate Notes, 3.72%, due 01/31/28 | 2.8 |
| Warner Bros Discovery, Inc. | 1.9 |
| Hologic, Inc. | 1.8 |
| New Gold, Inc. | 1.5 |
| Northwestern Energy Group, Inc. | 1.5 |
| TXNM Energy, Inc. | 1.4 |
| JDE Peet's NV | 1.3 |
| Chart Industries, Inc. | 1.3 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Alternative Allocation Fund
![Image](g12033g00x59.jpg)

#### Class I (GAAGX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Alternative Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

GMO Alternative SPC Ltd. is a 100% owned subsidiary of GMO Alternative Allocation Fund. As such, the amounts presented for GMO Alternative Allocation Fund are consolidated with its subsidiary.

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $328 | 3.02%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Includes interest and/or dividend expenses and/or borrowing costs to average daily net assets of 1.91%. |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the FTSE 3-Month Treasury Bill Index is included for comparative purposes only.

Class I shares of GMO Alternative Allocation Fund returned +16.93% (net) for the fiscal year ended February 28, 2026, as compared with +4.28% for the FTSE 3-Month Treasury Bill Index.

The Fund had an excellent year as many of the underlying strategies enjoyed very strong returns, while crucially, none of the underlying strategies suffered from a particularly challenging year. The initiative undertaken towards the end of the last fiscal year to increase the overall level of exposures in the Fund, while also broadening the exposures to include more alpha sources, proved to be a considerable success for this fiscal year. The long-term aim of the changes is to improve both the level and consistency of returns.

Equity Dislocation, which is broadly 100% long cheap global value and 100% short expensive global growth, was the largest contributor to returns, which was an excellent result in an environment where MSCI ACWI Value only beat MSCI ACWI Growth by a modest 3%. Following a very solid year last year, Event-Driven had a strong return again, and was the second largest contributor. A long position in Emerging Market currencies versus the U.S. dollar, one of the new positions introduced to the Fund, was the third largest contributor.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g88i51.jpg)

---

| | | | |
|:---|:---|:---|:---|
| | **Class I** | **Bloomberg U.S. Aggregate Index** | **FTSE 3-Month Treasury Bill Index** |
| **2019** | $10000 | $10000 | $10000 |
| **2019** | $10025 | $9922 | $10015 |
| **2019** | $10015 | $9951 | $10032 |
| **2019** | $10055 | $9946 | $10047 |
| **2019** | $10175 | $9939 | $10062 |
| **2020** | $9926 | $10131 | $10075 |
| **2020** | $9880 | $10313 | $10088 |
| **2020** | $9463 | $10252 | $10101 |
| **2020** | $9626 | $10435 | $10109 |
| **2020** | $9672 | $10483 | $10113 |
| **2020** | $9651 | $10549 | $10114 |
| **2020** | $9839 | $10707 | $10115 |
| **2020** | $9854 | $10620 | $10117 |
| **2020** | $9844 | $10615 | $10118 |
| **2020** | $9890 | $10567 | $10118 |
| **2020** | $10048 | $10671 | $10119 |
| **2020** | $10126 | $10686 | $10120 |
| **2021** | $10079 | $10609 | $10121 |
| **2021** | $9851 | $10456 | $10121 |
| **2021** | $9892 | $10325 | $10122 |
| **2021** | $10012 | $10407 | $10122 |
| **2021** | $10225 | $10441 | $10122 |
| **2021** | $10001 | $10514 | $10123 |
| **2021** | $9704 | $10632 | $10123 |
| **2021** | $9699 | $10611 | $10123 |
| **2021** | $9672 | $10520 | $10124 |
| **2021** | $9376 | $10517 | $10124 |
| **2021** | $9307 | $10548 | $10124 |
| **2021** | $9581 | $10521 | $10125 |
| **2022** | $9953 | $10294 | $10125 |
| **2022** | $9732 | $10179 | $10126 |
| **2022** | $9548 | $9896 | $10128 |
| **2022** | $9624 | $9521 | $10130 |
| **2022** | $9786 | $9582 | $10135 |
| **2022** | $9451 | $9432 | $10142 |
| **2022** | $9547 | $9662 | $10153 |
| **2022** | $9580 | $9389 | $10168 |
| **2022** | $9455 | $8984 | $10188 |
| **2022** | $9515 | $8867 | $10213 |
| **2022** | $9782 | $9193 | $10242 |
| **2022** | $9902 | $9152 | $10277 |
| **2023** | $10006 | $9434 | $10315 |
| **2023** | $10022 | $9190 | $10351 |
| **2023** | $9907 | $9423 | $10392 |
| **2023** | $9957 | $9480 | $10433 |
| **2023** | $9695 | $9377 | $10478 |
| **2023** | $9951 | $9344 | $10522 |
| **2023** | $10126 | $9337 | $10570 |
| **2023** | $10169 | $9277 | $10619 |
| **2023** | $10404 | $9042 | $10667 |
| **2023** | $10284 | $8899 | $10717 |
| **2023** | $10273 | $9302 | $10766 |
| **2023** | $10473 | $9658 | $10817 |
| **2024** | $10524 | $9631 | $10868 |
| **2024** | $10461 | $9495 | $10915 |
| **2024** | $10507 | $9583 | $10963 |
| **2024** | $10398 | $9341 | $11015 |
| **2024** | $10581 | $9499 | $11066 |
| **2024** | $10541 | $9589 | $11116 |
| **2024** | $10627 | $9813 | $11167 |
| **2024** | $10495 | $9954 | $11219 |
| **2024** | $10391 | $10088 | $11268 |
| **2024** | $10236 | $9837 | $11317 |
| **2024** | $10058 | $9941 | $11362 |
| **2024** | $10177 | $9779 | $11406 |
| **2025** | $10165 | $9831 | $11450 |
| **2025** | $10389 | $10047 | $11489 |
| **2025** | $10690 | $10051 | $11532 |
| **2025** | $10378 | $10090 | $11573 |
| **2025** | $10372 | $10018 | $11616 |
| **2025** | $10490 | $10172 | $11658 |
| **2025** | $10590 | $10145 | $11701 |
| **2025** | $10840 | $10266 | $11745 |
| **2025** | $10889 | $10378 | $11787 |
| **2025** | $10962 | $10443 | $11829 |
| **2025** | $11481 | $10508 | $11868 |
| **2025** | $11686 | $10493 | $11908 |
| **2026** | $11859 | $10504 | $11946 |
| **2026** | $12148 | $10676 | $11981 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 9/4/2019 (commencement of operations) |
| Class I | 16.93% | 4.28% | 3.05% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.01% |
| FTSE 3-Month Treasury Bill Index | 4.28% | 3.43% | 2.83% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The performance information for all periods prior to January 31, 2025 was achieved prior to the change in the Fund's investment objective and principal investment strategies.

The gross expense ratio of 2.59% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 2.29% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $813099957 |
| Number of Portfolio Holdings | 1503 |
| Portfolio Turnover Rate | 789%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $5230184 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 764%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Common Stocks | 135.4 |
| Debt Obligations | 25.6 |
| Short-Term Investments | 18.2 |
| Swap Contracts | 2.5 |
| Investment Funds | 1.6 |
| Preferred Stocks | 0.6 |
| Forward Currency Contracts | 0.3 |
| Rights/Warrants | 0.1 |
| Purchased Options | 0.0 |
| Futures Contracts | (0.8) |
| Written Options | (0.8) |
| Securities Sold Short | (86.4) |
| Other | 3.7 |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| U.S. Treasury Floating Rate Notes, 3.78%, due 04/30/27 | 5.3 |
| U.S. Treasury Floating Rate Notes, 3.78%, due 07/31/27 | 4.7 |
| U.S. Treasury Floating Rate Notes, 3.72%, due 01/31/28 | 2.8 |
| Warner Bros Discovery, Inc. | 1.9 |
| Hologic, Inc. | 1.8 |
| New Gold, Inc. | 1.5 |
| Northwestern Energy Group, Inc. | 1.5 |
| TXNM Energy, Inc. | 1.4 |
| JDE Peet's NV | 1.3 |
| Chart Industries, Inc. | 1.3 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Benchmark-Free Allocation Fund
![Image](g12033g00x59.jpg)

#### Class III (GBMFX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Benchmark-Free Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $76<sup>Footnote Reference1</sup> | 0.66%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the Consumer Price Index ("CPI") is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Allocation Fund returned +30.55% (net) for the fiscal year ended February 28, 2026, as compared with +2.40% for the CPI.

This was a strong 12 months for absolute performance, as well as a very satisfactory outcome in relation to traditional risk assets. Over the same period, developed equities, as measured by the MSCI World Index, were up 21.3%, emerging equities, as measured by the MSCI Emerging Markets Index, were up 50.0%, and bonds, as measured by the Bloomberg U.S. Aggregate Index, were up 6.3%.

The Fund had an average equity exposure of about 49%, and this had a better return than MSCI ACWI, returning 50.9%. Within developed markets, we were leaning away from the U.S. as we believed it was trading at an unfavorable valuation, and it went on to underperform relative to other markets. We also had a meaningful investment in emerging markets as we believed they were trading at preferential valuations, and they strongly outperformed developed markets for the period. There was a broadly 29% average exposure to alternatives and this delivered an excellent 23.1% return, almost keeping pace with buoyant equity markets. Fixed income assets accounted for an average 22% of the Fund, and these were up 6.3% for the 12 months, in line with the Bloomberg U.S. Aggregate.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g69s92.jpg)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Class III** | **MSCI World Index** | **Consumer Price Index** | **Bloomberg U.S. Aggregate Index** | **Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index** |
| **2016** | $10000 | $10000 | $10000 | $10000 | $10000 |
| **2016** | $10426 | $10679 | $10009 | $10092 | $10144 |
| **2016** | $10529 | $10848 | $10050 | $10130 | $10171 |
| **2016** | $10465 | $10908 | $10072 | $10133 | $10112 |
| **2016** | $10516 | $10786 | $10093 | $10315 | $10278 |
| **2016** | $10748 | $11242 | $10089 | $10380 | $10311 |
| **2016** | $10803 | $11251 | $10109 | $10369 | $10258 |
| **2016** | $10888 | $11311 | $10139 | $10362 | $10337 |
| **2016** | $10816 | $11092 | $10175 | $10283 | $10324 |
| **2016** | $10654 | $11252 | $10195 | $10040 | $10173 |
| **2016** | $10763 | $11521 | $10224 | $10054 | $10184 |
| **2017** | $10992 | $11799 | $10271 | $10074 | $10260 |
| **2017** | $11166 | $12126 | $10284 | $10142 | $10285 |
| **2017** | $11269 | $12255 | $10254 | $10136 | $10292 |
| **2017** | $11378 | $12437 | $10271 | $10214 | $10337 |
| **2017** | $11525 | $12700 | $10258 | $10293 | $10332 |
| **2017** | $11581 | $12749 | $10256 | $10283 | $10250 |
| **2017** | $11759 | $13054 | $10267 | $10327 | $10302 |
| **2017** | $11855 | $13072 | $10308 | $10420 | $10373 |
| **2017** | $11842 | $13366 | $10365 | $10370 | $10322 |
| **2017** | $12024 | $13618 | $10376 | $10376 | $10339 |
| **2017** | $12007 | $13913 | $10416 | $10363 | $10328 |
| **2017** | $12167 | $14102 | $10431 | $10410 | $10377 |
| **2018** | $12588 | $14846 | $10485 | $10290 | $10299 |
| **2018** | $12313 | $14231 | $10501 | $10193 | $10252 |
| **2018** | $12260 | $13912 | $10495 | $10258 | $10336 |
| **2018** | $12198 | $14081 | $10518 | $10182 | $10322 |
| **2018** | $12140 | $14169 | $10540 | $10254 | $10370 |
| **2018** | $11976 | $14162 | $10553 | $10242 | $10399 |
| **2018** | $12140 | $14605 | $10571 | $10244 | $10359 |
| **2018** | $12002 | $14785 | $10595 | $10310 | $10429 |
| **2018** | $12033 | $14868 | $10601 | $10244 | $10356 |
| **2018** | $11598 | $13776 | $10636 | $10163 | $10276 |
| **2018** | $11696 | $13933 | $10638 | $10224 | $10309 |
| **2018** | $11515 | $12873 | $10632 | $10411 | $10351 |
| **2019** | $12086 | $13875 | $10630 | $10522 | $10467 |
| **2019** | $12122 | $14292 | $10648 | $10516 | $10477 |
| **2019** | $12150 | $14480 | $10692 | $10718 | $10617 |
| **2019** | $12325 | $14993 | $10726 | $10721 | $10663 |
| **2019** | $11989 | $14128 | $10734 | $10911 | $10779 |
| **2019** | $12343 | $15059 | $10740 | $11048 | $10886 |
| **2019** | $12235 | $15134 | $10776 | $11072 | $10902 |
| **2019** | $11996 | $14824 | $10782 | $11359 | $11042 |
| **2019** | $12194 | $15139 | $10785 | $11299 | $10951 |
| **2019** | $12387 | $15525 | $10823 | $11333 | $10982 |
| **2019** | $12461 | $15957 | $10851 | $11327 | $10984 |
| **2019** | $12854 | $16435 | $10875 | $11319 | $11060 |
| **2020** | $12535 | $16335 | $10888 | $11537 | $11204 |
| **2020** | $12136 | $14954 | $10898 | $11744 | $11301 |
| **2020** | $10791 | $12975 | $10852 | $11675 | $11094 |
| **2020** | $11537 | $14393 | $10765 | $11883 | $11320 |
| **2020** | $11485 | $15088 | $10760 | $11938 | $11390 |
| **2020** | $11637 | $15487 | $10821 | $12013 | $11511 |
| **2020** | $11994 | $16228 | $10884 | $12193 | $11676 |
| **2020** | $11994 | $17312 | $10924 | $12094 | $11841 |
| **2020** | $11903 | $16715 | $10947 | $12088 | $11800 |
| **2020** | $11903 | $16202 | $10952 | $12034 | $11751 |
| **2020** | $12300 | $18274 | $10972 | $12152 | $11841 |
| **2020** | $12534 | $19049 | $11013 | $12169 | $11988 |
| **2021** | $12628 | $18859 | $11032 | $12081 | $12063 |
| **2021** | $12815 | $19343 | $11071 | $11907 | $11976 |
| **2021** | $13161 | $19986 | $11139 | $11758 | $11995 |
| **2021** | $13180 | $20916 | $11225 | $11851 | $12148 |
| **2021** | $13516 | $21243 | $11298 | $11890 | $12261 |
| **2021** | $13235 | $21534 | $11400 | $11973 | $12271 |
| **2021** | $12983 | $21920 | $11454 | $12107 | $12554 |
| **2021** | $13022 | $22465 | $11485 | $12084 | $12530 |
| **2021** | $12968 | $21533 | $11533 | $11980 | $12478 |
| **2021** | $12776 | $22752 | $11641 | $11976 | $12579 |
| **2021** | $12514 | $22254 | $11732 | $12012 | $12609 |
| **2021** | $12905 | $23205 | $11787 | $11981 | $12670 |
| **2022** | $13254 | $21977 | $11861 | $11723 | $12516 |
| **2022** | $12926 | $21421 | $11955 | $11592 | $12638 |
| **2022** | $12648 | $22009 | $12103 | $11270 | $12449 |
| **2022** | $12592 | $20181 | $12144 | $10842 | $12333 |
| **2022** | $12830 | $20196 | $12262 | $10912 | $12327 |
| **2022** | $12167 | $18446 | $12424 | $10741 | $12023 |
| **2022** | $12283 | $19911 | $12422 | $11003 | $12456 |
| **2022** | $12187 | $19079 | $12436 | $10693 | $12159 |
| **2022** | $11692 | $17305 | $12484 | $10231 | $11549 |
| **2022** | $11914 | $18548 | $12539 | $10098 | $11676 |
| **2022** | $12688 | $19837 | $12551 | $10469 | $11819 |
| **2022** | $12614 | $18995 | $12541 | $10422 | $11739 |
| **2023** | $13167 | $20339 | $12643 | $10743 | $11897 |
| **2023** | $12990 | $19850 | $12690 | $10465 | $11755 |
| **2023** | $12943 | $20463 | $12697 | $10731 | $12085 |
| **2023** | $13126 | $20822 | $12743 | $10796 | $12108 |
| **2023** | $12740 | $20614 | $12759 | $10678 | $11971 |
| **2023** | $13235 | $21861 | $12782 | $10640 | $11913 |
| **2023** | $13671 | $22595 | $12803 | $10633 | $11967 |
| **2023** | $13462 | $22056 | $12884 | $10565 | $11914 |
| **2023** | $13473 | $21104 | $12935 | $10296 | $11793 |
| **2023** | $13153 | $20492 | $12941 | $10134 | $11779 |
| **2023** | $13692 | $22413 | $12954 | $10593 | $12003 |
| **2023** | $14305 | $23513 | $12993 | $10998 | $12252 |
| **2024** | $14272 | $23796 | $13028 | $10968 | $12297 |
| **2024** | $14349 | $24804 | $13086 | $10813 | $12186 |
| **2024** | $14741 | $25594 | $13135 | $10913 | $12284 |
| **2024** | $14570 | $24651 | $13176 | $10637 | $12158 |
| **2024** | $15016 | $25751 | $13177 | $10818 | $12327 |
| **2024** | $14801 | $26275 | $13170 | $10920 | $12421 |
| **2024** | $15193 | $26738 | $13190 | $11175 | $12606 |
| **2024** | $15282 | $27445 | $13215 | $11336 | $12693 |
| **2024** | $15342 | $27948 | $13238 | $11488 | $12856 |
| **2024** | $14823 | $27393 | $13271 | $11203 | $12686 |
| **2024** | $14806 | $28650 | $13312 | $11321 | $12743 |
| **2024** | $14915 | $27904 | $13365 | $11136 | $12631 |
| **2025** | $15124 | $28888 | $13424 | $11195 | $12783 |
| **2025** | $15385 | $28680 | $13452 | $11441 | $13004 |
| **2025** | $15617 | $27403 | $13446 | $11446 | $13137 |
| **2025** | $15629 | $27647 | $13475 | $11491 | $13216 |
| **2025** | $15867 | $29283 | $13486 | $11408 | $13163 |
| **2025** | $16273 | $30547 | $13525 | $11584 | $13272 |
| **2025** | $16375 | $30940 | $13552 | $11553 | $13308 |
| **2025** | $17037 | $31747 | $13603 | $11691 | $13535 |
| **2025** | $17258 | $32768 | $13646 | $11819 | $13533 |
| **2025** | $17479 | $33424 | $13646 | $11893 | $13554 |
| **2025** | $17967 | $33519 | $13674 | $11967 | $13600 |
| **2025** | $18327 | $33789 | $13716 | $11949 | $13575 |
| **2026** | $19106 | $34546 | $13739 | $11962 | $13637 |
| **2026** | $20085 | $34799 | $13776 | $12158 | $13757 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III† | 30.55% | 9.40% | 7.22% |
| MSCI World Index | 21.33% | 12.46% | 13.28% |
| Consumer Price Index | 2.40% | 4.47% | 3.26% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.97% |
| Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index | 5.79% | 2.81% | 3.24% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 2.52% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.28% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 1.23% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $2587119664 |
| Number of Portfolio Holdings | 6 |
| Portfolio Turnover Rate | 11% |
| Total Advisory Fees Paid, Net | $12242611 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 83 |
| GMO Alternative Funds | 12.9 |
| GMO Fixed Income Funds | 3 |
| GMO International Equity Funds | 1 |
| Short-Term Investments | 0.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Implementation Fund | 83 |
| GMO Alternative Allocation Fund, Class VI | 13 |
| GMO Opportunistic Income Fund, Class VI | 2 |
| GMO Climate Change Fund, Class III | 1 |
| GMO High Yield Fund, Class VI | 1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Benchmark-Free Allocation Fund
![Image](g12033g00x59.jpg)

#### Class IV (GBMBX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Benchmark-Free Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class IV | $71<sup>Footnote Reference1</sup> | 0.62%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the Consumer Price Index ("CPI") is included for comparative purposes only.

Class IV shares of GMO Benchmark-Free Allocation Fund returned +30.62% (net) for the fiscal year ended February 28, 2026, as compared with +2.40% for the CPI.

This was a strong 12 months for absolute performance, as well as a very satisfactory outcome in relation to traditional risk assets. Over the same period, developed equities, as measured by the MSCI World Index, were up 21.3%, emerging equities, as measured by the MSCI Emerging Markets Index, were up 50.0%, and bonds, as measured by the Bloomberg U.S. Aggregate Index, were up 6.3%.

The Fund had an average equity exposure of about 49%, and this had a better return than MSCI ACWI, returning 50.9%. Within developed markets, we were leaning away from the U.S. as we believed it was trading at an unfavorable valuation, and it went on to underperform relative to other markets. We also had a meaningful investment in emerging markets as we believed they were trading at preferential valuations, and they strongly outperformed developed markets for the period. There was a broadly 29% average exposure to alternatives and this delivered an excellent 23.1% return, almost keeping pace with buoyant equity markets. Fixed income assets accounted for an average 22% of the Fund, and these were up 6.3% for the 12 months, in line with the Bloomberg U.S. Aggregate.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $125,000,000 Investment

![Growth of 10K Chart](g12033g05h85.jpg)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Class IV** | **MSCI World Index** | **Consumer Price Index** | **Bloomberg U.S. Aggregate Index** | **Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index** |
| **2016** | $125000000 | $125000000 | $125000000 | $125000000 | $125000000 |
| **2016** | $130328218 | $133482384 | $125112008 | $126146875 | $126800397 |
| **2016** | $131606991 | $135594538 | $125622089 | $126631079 | $127136436 |
| **2016** | $130807758 | $136356121 | $125895535 | $126663560 | $126405438 |
| **2016** | $131447144 | $134828194 | $126167404 | $128939431 | $128468788 |
| **2016** | $134369533 | $140524475 | $126115344 | $129754611 | $128881373 |
| **2016** | $135062434 | $140641265 | $126366178 | $129606234 | $128228899 |
| **2016** | $136128436 | $141388341 | $126732700 | $129530302 | $129206639 |
| **2016** | $135222335 | $138652067 | $127185464 | $128539537 | $129053477 |
| **2016** | $133196931 | $140645748 | $127440505 | $125499100 | $127162055 |
| **2016** | $134600182 | $144011174 | $127800191 | $125676101 | $127301828 |
| **2017** | $137470931 | $147486905 | $128392307 | $125922696 | $128245842 |
| **2017** | $139637533 | $151578698 | $128549012 | $126769025 | $128559552 |
| **2017** | $140937495 | $153193300 | $128178808 | $126702546 | $128643803 |
| **2017** | $142291621 | $155461614 | $128392307 | $127680314 | $129217020 |
| **2017** | $144133233 | $158750325 | $128228239 | $128663087 | $129153121 |
| **2017** | $144891544 | $159361117 | $128198791 | $128533593 | $128129326 |
| **2017** | $147101871 | $163175016 | $128334462 | $129086695 | $128774327 |
| **2017** | $148295615 | $163404795 | $128850854 | $130244572 | $129662429 |
| **2017** | $148132832 | $167072290 | $129557081 | $129624233 | $129031089 |
| **2017** | $150411799 | $170229701 | $129696959 | $129699326 | $129240476 |
| **2017** | $150194754 | $173918159 | $130198101 | $129532844 | $129099598 |
| **2017** | $152191282 | $176270139 | $130393194 | $130127341 | $129714495 |
| **2018** | $157519642 | $185577239 | $131067343 | $128628683 | $128738215 |
| **2018** | $154022905 | $177889241 | $131264014 | $127409353 | $128150529 |
| **2018** | $153412364 | $173900987 | $131181455 | $128226428 | $129198759 |
| **2018** | $152635312 | $176011489 | $131471202 | $127272748 | $129025892 |
| **2018** | $151913763 | $177114453 | $131745700 | $128181074 | $129624155 |
| **2018** | $149860124 | $177029968 | $131915026 | $128023418 | $129992799 |
| **2018** | $151886900 | $182559241 | $132140619 | $128053865 | $129487355 |
| **2018** | $150219646 | $184818018 | $132435099 | $128877831 | $130358629 |
| **2018** | $150608672 | $185847110 | $132512926 | $128047918 | $129452205 |
| **2018** | $145162306 | $172200749 | $132950965 | $127036030 | $128448777 |
| **2018** | $146440535 | $174156934 | $132976732 | $127794381 | $128861552 |
| **2018** | $144175429 | $160914391 | $132901534 | $130142131 | $129385854 |
| **2019** | $151315107 | $173434462 | $132869983 | $131524169 | $130835400 |
| **2019** | $151718153 | $178649607 | $133101360 | $131447956 | $130963719 |
| **2019** | $152063621 | $180996075 | $133645623 | $133972009 | $132706792 |
| **2019** | $154309165 | $187414071 | $134071567 | $134006306 | $133281629 |
| **2019** | $150105968 | $176600118 | $134175161 | $136385127 | $134732002 |
| **2019** | $154539477 | $188237165 | $134254040 | $138097875 | $136069326 |
| **2019** | $153221995 | $189169569 | $134704174 | $138401634 | $136278119 |
| **2019** | $150224424 | $185300193 | $134777268 | $141987854 | $138028644 |
| **2019** | $152703185 | $189243561 | $134807768 | $141231637 | $136890923 |
| **2019** | $155124300 | $194059333 | $135287875 | $141657040 | $137274084 |
| **2019** | $156046630 | $199463917 | $135637571 | $141584915 | $137295599 |
| **2019** | $160961856 | $205439505 | $135934680 | $141486231 | $138254537 |
| **2020** | $156972051 | $204189065 | $136102429 | $144209069 | $140046980 |
| **2020** | $152029456 | $186929934 | $136223376 | $146804625 | $141258445 |
| **2020** | $135176994 | $162191115 | $135646510 | $145940707 | $138679500 |
| **2020** | $144526239 | $179909562 | $134567977 | $148534973 | $141495915 |
| **2020** | $143811647 | $188600663 | $134497512 | $149226537 | $142374456 |
| **2020** | $145776775 | $193589348 | $135257902 | $150166543 | $143890311 |
| **2020** | $150267810 | $202850925 | $136051421 | $152409582 | $145948732 |
| **2020** | $150267810 | $216404282 | $136555192 | $151179355 | $148017500 |
| **2020** | $149128054 | $208938522 | $136832845 | $151096479 | $147498318 |
| **2020** | $149128054 | $202529329 | $136893844 | $150421800 | $146888480 |
| **2020** | $154106988 | $228425037 | $137152566 | $151897775 | $148015518 |
| **2020** | $157092754 | $238109507 | $137656337 | $152107086 | $149854748 |
| **2021** | $158267858 | $235743015 | $137896128 | $151016496 | $150781568 |
| **2021** | $160556217 | $241783780 | $138385176 | $148835742 | $149695919 |
| **2021** | $164947392 | $249828437 | $139243375 | $146977283 | $149940163 |
| **2021** | $165194782 | $261455481 | $140315599 | $148138388 | $151850401 |
| **2021** | $169400415 | $265541149 | $141219548 | $148622377 | $153265381 |
| **2021** | $165875105 | $269174950 | $142497381 | $149666594 | $153392850 |
| **2021** | $162720880 | $273996636 | $143172582 | $151340029 | $156920917 |
| **2021** | $163215661 | $280815962 | $143565398 | $151051882 | $156628734 |
| **2021** | $162535338 | $269156334 | $144157513 | $149744094 | $155974279 |
| **2021** | $160123284 | $284401485 | $145517381 | $149702798 | $157239446 |
| **2021** | $156907212 | $278169406 | $146651129 | $150145705 | $157616082 |
| **2021** | $161796052 | $290058419 | $147341054 | $149761516 | $158374191 |
| **2022** | $166170632 | $274711165 | $148256572 | $146535034 | $156452730 |
| **2022** | $162049651 | $267763385 | $149439226 | $144900252 | $157969882 |
| **2022** | $158562667 | $275111713 | $151293399 | $140874658 | $155610788 |
| **2022** | $157865270 | $252257263 | $151795593 | $135528741 | $154156655 |
| **2022** | $160845057 | $252448312 | $153273778 | $136402585 | $154090030 |
| **2022** | $152603095 | $230580735 | $155300433 | $134262692 | $150284698 |
| **2022** | $154061288 | $248887994 | $155270459 | $137543352 | $155698645 |
| **2022** | $152856693 | $238482533 | $155453983 | $133656846 | $151985067 |
| **2022** | $146643522 | $216313221 | $156053987 | $127882011 | $144368662 |
| **2022** | $149433109 | $231847306 | $156738127 | $126225638 | $145947978 |
| **2022** | $159196664 | $247967748 | $156889048 | $130867673 | $147742319 |
| **2022** | $158231415 | $237437227 | $156764420 | $130277355 | $146743107 |
| **2023** | $165170815 | $254237351 | $158039099 | $134285215 | $148707431 |
| **2023** | $162944970 | $248125864 | $158623852 | $130813217 | $146943002 |
| **2023** | $162355776 | $255792876 | $158707989 | $134136199 | $151059222 |
| **2023** | $164647087 | $260276820 | $159291691 | $134949159 | $151351794 |
| **2023** | $159868066 | $257678368 | $159489413 | $133479741 | $149634452 |
| **2023** | $166021874 | $273262185 | $159777058 | $133003669 | $148910022 |
| **2023** | $171516451 | $282441816 | $160043667 | $132910957 | $149589309 |
| **2023** | $168889859 | $275695489 | $161053839 | $132062012 | $148925154 |
| **2023** | $169086853 | $263802432 | $161691179 | $128706087 | $147413835 |
| **2023** | $165015636 | $256147983 | $161763747 | $126674955 | $147234736 |
| **2023** | $171779110 | $280162388 | $161920453 | $132411592 | $150035236 |
| **2023** | $179549763 | $293916749 | $162411078 | $137480176 | $153147504 |
| **2024** | $179134299 | $297443892 | $162850169 | $137102635 | $153713251 |
| **2024** | $180172959 | $310054819 | $163570067 | $135165616 | $152330009 |
| **2024** | $185089285 | $319927174 | $164188476 | $136413724 | $153547804 |
| **2024** | $182942720 | $308131386 | $164702239 | $132968118 | $151978213 |
| **2024** | $188620730 | $321890064 | $164711704 | $135222361 | $154084499 |
| **2024** | $185850969 | $328439851 | $164619153 | $136502550 | $155260209 |
| **2024** | $190808633 | $334227757 | $164874194 | $139690842 | $157569324 |
| **2024** | $191918792 | $343061562 | $165182872 | $141698183 | $158658231 |
| **2024** | $192682027 | $349344369 | $165479982 | $143595429 | $160696832 |
| **2024** | $186159841 | $342414453 | $165883840 | $140034428 | $158575828 |
| **2024** | $186021071 | $358126681 | $166402862 | $141514980 | $159290599 |
| **2024** | $187383806 | $348793695 | $167057028 | $139199004 | $157884384 |
| **2025** | $190006596 | $361102132 | $167793755 | $139937480 | $159789036 |
| **2025** | $193285084 | $358503204 | $168156070 | $143016354 | $162553450 |
| **2025** | $196272151 | $342542445 | $168071933 | $143070173 | $164207458 |
| **2025** | $196345006 | $345586640 | $168443189 | $143632448 | $165201180 |
| **2025** | $199332073 | $366042557 | $168579386 | $142604028 | $164538766 |
| **2025** | $204431944 | $381838397 | $169063174 | $144796759 | $165897443 |
| **2025** | $205754720 | $386753668 | $169395516 | $144414831 | $166349733 |
| **2025** | $214148404 | $396842307 | $170043373 | $146142094 | $169190152 |
| **2025** | $216848980 | $409599153 | $170571334 | $147736328 | $169159468 |
| **2025** | $219622545 | $417801520 | $170571334 | $148659336 | $169420315 |
| **2025** | $225826571 | $418981696 | $170919977 | $149583124 | $170001989 |
| **2025** | $230374092 | $422368494 | $171445309 | $149361813 | $169681574 |
| **2026** | $240172397 | $431820699 | $171738737 | $149521281 | $170462905 |
| **2026** | $252477245 | $434983818 | $172197285 | $151969887 | $171967472 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class IV† | 30.62% | 9.48% | 7.28% |
| MSCI World Index | 21.33% | 12.46% | 13.28% |
| Consumer Price Index | 2.40% | 4.47% | 3.26% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.97% |
| Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index | 5.79% | 2.81% | 3.24% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 2.52% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.23% for Class IV is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 1.18% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $2587119664 |
| Number of Portfolio Holdings | 6 |
| Portfolio Turnover Rate | 11% |
| Total Advisory Fees Paid, Net | $12242611 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 83 |
| GMO Alternative Funds | 12.9 |
| GMO Fixed Income Funds | 3 |
| GMO International Equity Funds | 1 |
| Short-Term Investments | 0.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Implementation Fund | 83 |
| GMO Alternative Allocation Fund, Class VI | 13 |
| GMO Opportunistic Income Fund, Class VI | 2 |
| GMO Climate Change Fund, Class III | 1 |
| GMO High Yield Fund, Class VI | 1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Benchmark-Free Allocation Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GBMSX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Benchmark-Free Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $77<sup>Footnote Reference1</sup> | 0.67%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the Consumer Price Index ("CPI") is included for comparative purposes only.

Class R6 shares of GMO Benchmark-Free Allocation Fund returned +30.59% (net) for the fiscal year ended February 28, 2026, as compared with +2.40% for the CPI.

This was a strong 12 months for absolute performance, as well as a very satisfactory outcome in relation to traditional risk assets. Over the same period, developed equities, as measured by the MSCI World Index, were up 21.3%, emerging equities, as measured by the MSCI Emerging Markets Index, were up 50.0%, and bonds, as measured by the Bloomberg U.S. Aggregate Index, were up 6.3%.

The Fund had an average equity exposure of about 49%, and this had a better return than MSCI ACWI, returning 50.9%. Within developed markets, we were leaning away from the U.S. as we believed it was trading at an unfavorable valuation, and it went on to underperform relative to other markets. We also had a meaningful investment in emerging markets as we believed they were trading at preferential valuations, and they strongly outperformed developed markets for the period. There was a broadly 29% average exposure to alternatives and this delivered an excellent 23.1% return, almost keeping pace with buoyant equity markets. Fixed income assets accounted for an average 22% of the Fund, and these were up 6.3% for the 12 months, in line with the Bloomberg U.S. Aggregate.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g67e24.jpg)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Class R6** | **MSCI World Index** | **Consumer Price Index** | **Bloomberg U.S. Aggregate Index** | **Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index** |
| **2020** | $10000 | $10000 | $10000 | $10000 | $10000 |
| **2020** | $10084 | $10734 | $9995 | $10058 | $10086 |
| **2020** | $10221 | $11018 | $10052 | $10122 | $10194 |
| **2020** | $10533 | $11545 | $10111 | $10273 | $10339 |
| **2020** | $10533 | $12316 | $10148 | $10190 | $10486 |
| **2020** | $10453 | $11891 | $10169 | $10184 | $10449 |
| **2020** | $10453 | $11526 | $10173 | $10139 | $10406 |
| **2020** | $10803 | $13000 | $10192 | $10238 | $10486 |
| **2020** | $11012 | $13551 | $10230 | $10252 | $10616 |
| **2021** | $11095 | $13417 | $10248 | $10179 | $10682 |
| **2021** | $11255 | $13760 | $10284 | $10032 | $10605 |
| **2021** | $11559 | $14218 | $10348 | $9907 | $10622 |
| **2021** | $11576 | $14880 | $10427 | $9985 | $10758 |
| **2021** | $11871 | $15112 | $10495 | $10018 | $10858 |
| **2021** | $11624 | $15319 | $10590 | $10088 | $10867 |
| **2021** | $11403 | $15594 | $10640 | $10201 | $11117 |
| **2021** | $11437 | $15982 | $10669 | $10181 | $11096 |
| **2021** | $11390 | $15318 | $10713 | $10093 | $11050 |
| **2021** | $11220 | $16186 | $10814 | $10090 | $11139 |
| **2021** | $10995 | $15831 | $10898 | $10120 | $11166 |
| **2021** | $11334 | $16508 | $10949 | $10094 | $11220 |
| **2022** | $11645 | $15634 | $11018 | $9877 | $11084 |
| **2022** | $11352 | $15239 | $11105 | $9767 | $11191 |
| **2022** | $11108 | $15657 | $11243 | $9495 | $11024 |
| **2022** | $11059 | $14356 | $11281 | $9135 | $10921 |
| **2022** | $11268 | $14367 | $11390 | $9194 | $10916 |
| **2022** | $10685 | $13123 | $11541 | $9050 | $10647 |
| **2022** | $10788 | $14165 | $11539 | $9271 | $11030 |
| **2022** | $10703 | $13573 | $11552 | $9009 | $10767 |
| **2022** | $10272 | $12311 | $11597 | $8620 | $10228 |
| **2022** | $10463 | $13195 | $11648 | $8508 | $10339 |
| **2022** | $11148 | $14112 | $11659 | $8821 | $10467 |
| **2022** | $11080 | $13513 | $11650 | $8781 | $10396 |
| **2023** | $11566 | $14469 | $11744 | $9051 | $10535 |
| **2023** | $11410 | $14121 | $11788 | $8817 | $10410 |
| **2023** | $11369 | $14558 | $11794 | $9041 | $10702 |
| **2023** | $11529 | $14813 | $11838 | $9096 | $10722 |
| **2023** | $11190 | $14665 | $11852 | $8997 | $10601 |
| **2023** | $11625 | $15552 | $11874 | $8965 | $10549 |
| **2023** | $12009 | $16074 | $11893 | $8959 | $10597 |
| **2023** | $11820 | $15690 | $11969 | $8901 | $10550 |
| **2023** | $11834 | $15014 | $12016 | $8675 | $10443 |
| **2023** | $11554 | $14578 | $12021 | $8538 | $10431 |
| **2023** | $12023 | $15945 | $12033 | $8925 | $10629 |
| **2023** | $12564 | $16727 | $12069 | $9267 | $10849 |
| **2024** | $12535 | $16928 | $12102 | $9241 | $10890 |
| **2024** | $12608 | $17646 | $12156 | $9111 | $10792 |
| **2024** | $12947 | $18208 | $12201 | $9195 | $10878 |
| **2024** | $12797 | $17536 | $12240 | $8962 | $10767 |
| **2024** | $13195 | $18319 | $12240 | $9114 | $10916 |
| **2024** | $13000 | $18692 | $12233 | $9201 | $10999 |
| **2024** | $13346 | $19022 | $12252 | $9416 | $11163 |
| **2024** | $13424 | $19524 | $12275 | $9551 | $11240 |
| **2024** | $13477 | $19882 | $12297 | $9679 | $11384 |
| **2024** | $13020 | $19487 | $12327 | $9439 | $11234 |
| **2024** | $13011 | $20382 | $12366 | $9539 | $11285 |
| **2024** | $13103 | $19851 | $12415 | $9382 | $11185 |
| **2025** | $13287 | $20551 | $12469 | $9432 | $11320 |
| **2025** | $13517 | $20403 | $12496 | $9640 | $11516 |
| **2025** | $13721 | $19495 | $12490 | $9643 | $11633 |
| **2025** | $13731 | $19668 | $12518 | $9681 | $11703 |
| **2025** | $13940 | $20832 | $12528 | $9612 | $11656 |
| **2025** | $14292 | $21731 | $12564 | $9760 | $11753 |
| **2025** | $14388 | $22011 | $12588 | $9734 | $11785 |
| **2025** | $14971 | $22585 | $12637 | $9850 | $11986 |
| **2025** | $15160 | $23311 | $12676 | $9958 | $11984 |
| **2025** | $15354 | $23778 | $12676 | $10020 | $12002 |
| **2025** | $15783 | $23845 | $12702 | $10082 | $12043 |
| **2025** | $16103 | $24038 | $12741 | $10067 | $12021 |
| **2026** | $16789 | $24576 | $12763 | $10078 | $12076 |
| **2026** | $17651 | $24756 | $12797 | $10243 | $12183 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 5/1/2020 (commencement of operations) |
| Class R6† | 30.59% | 9.42% | 10.24% |
| MSCI World Index | 21.33% | 12.46% | 16.83% |
| Consumer Price Index | 2.40% | 4.47% | 4.32% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 0.41% |
| Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index | 5.79% | 2.81% | 3.45% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 2.52% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.28% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 1.23% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $2587119664 |
| Number of Portfolio Holdings | 6 |
| Portfolio Turnover Rate | 11% |
| Total Advisory Fees Paid, Net | $12242611 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 83 |
| GMO Alternative Funds | 12.9 |
| GMO Fixed Income Funds | 3 |
| GMO International Equity Funds | 1 |
| Short-Term Investments | 0.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Implementation Fund | 83 |
| GMO Alternative Allocation Fund, Class VI | 13 |
| GMO Opportunistic Income Fund, Class VI | 2 |
| GMO Climate Change Fund, Class III | 1 |
| GMO High Yield Fund, Class VI | 1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Benchmark-Free Allocation Fund
![Image](g12033g00x59.jpg)

#### Class I (GBMIX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Benchmark-Free Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $90<sup>Footnote Reference1</sup> | 0.78%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the Consumer Price Index ("CPI") is included for comparative purposes only.

Class I shares of GMO Benchmark-Free Allocation Fund returned +30.42% (net) for the fiscal year ended February 28, 2026, as compared with +2.40% for the CPI.

This was a strong 12 months for absolute performance, as well as a very satisfactory outcome in relation to traditional risk assets. Over the same period, developed equities, as measured by the MSCI World Index, were up 21.3%, emerging equities, as measured by the MSCI Emerging Markets Index, were up 50.0%, and bonds, as measured by the Bloomberg U.S. Aggregate Index, were up 6.3%.

The Fund had an average equity exposure of about 49%, and this had a better return than MSCI ACWI, returning 50.9%. Within developed markets, we were leaning away from the U.S. as we believed it was trading at an unfavorable valuation, and it went on to underperform relative to other markets. We also had a meaningful investment in emerging markets as we believed they were trading at preferential valuations, and they strongly outperformed developed markets for the period. There was a broadly 29% average exposure to alternatives and this delivered an excellent 23.1% return, almost keeping pace with buoyant equity markets. Fixed income assets accounted for an average 22% of the Fund, and these were up 6.3% for the 12 months, in line with the Bloomberg U.S. Aggregate.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g00b81.jpg)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Class I** | **MSCI World Index** | **Consumer Price Index** | **Bloomberg U.S. Aggregate Index** | **Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index** |
| **2019** | $10000 | $10000 | $10000 | $10000 | $10000 |
| **2019** | $9935 | $9975 | $10004 | $10118 | $10036 |
| **2019** | $10099 | $10187 | $10006 | $10064 | $9953 |
| **2019** | $10259 | $10446 | $10042 | $10094 | $9981 |
| **2019** | $10316 | $10737 | $10068 | $10089 | $9982 |
| **2019** | $10642 | $11059 | $10090 | $10082 | $10052 |
| **2020** | $10374 | $10991 | $10102 | $10276 | $10183 |
| **2020** | $10048 | $10062 | $10111 | $10461 | $10271 |
| **2020** | $8930 | $8731 | $10068 | $10399 | $10083 |
| **2020** | $9548 | $9685 | $9988 | $10584 | $10288 |
| **2020** | $9504 | $10152 | $9983 | $10633 | $10352 |
| **2020** | $9630 | $10421 | $10040 | $10700 | $10462 |
| **2020** | $9925 | $10919 | $10099 | $10860 | $10612 |
| **2020** | $9921 | $11649 | $10136 | $10773 | $10762 |
| **2020** | $9850 | $11247 | $10157 | $10767 | $10724 |
| **2020** | $9846 | $10902 | $10161 | $10719 | $10680 |
| **2020** | $10175 | $12296 | $10180 | $10824 | $10762 |
| **2020** | $10369 | $12817 | $10218 | $10839 | $10896 |
| **2021** | $10447 | $12690 | $10235 | $10761 | $10963 |
| **2021** | $10598 | $13015 | $10272 | $10606 | $10884 |
| **2021** | $10884 | $13448 | $10335 | $10473 | $10902 |
| **2021** | $10900 | $14074 | $10415 | $10556 | $11041 |
| **2021** | $11174 | $14294 | $10482 | $10590 | $11144 |
| **2021** | $10941 | $14490 | $10577 | $10665 | $11153 |
| **2021** | $10732 | $14749 | $10627 | $10784 | $11409 |
| **2021** | $10765 | $15116 | $10656 | $10763 | $11388 |
| **2021** | $10716 | $14489 | $10700 | $10670 | $11341 |
| **2021** | $10557 | $15309 | $10801 | $10667 | $11433 |
| **2021** | $10345 | $14974 | $10885 | $10699 | $11460 |
| **2021** | $10662 | $15614 | $10937 | $10672 | $11515 |
| **2022** | $10955 | $14788 | $11004 | $10442 | $11375 |
| **2022** | $10679 | $14414 | $11092 | $10325 | $11486 |
| **2022** | $10449 | $14809 | $11230 | $10038 | $11314 |
| **2022** | $10403 | $13579 | $11267 | $9657 | $11208 |
| **2022** | $10595 | $13589 | $11377 | $9720 | $11204 |
| **2022** | $10051 | $12412 | $11527 | $9567 | $10927 |
| **2022** | $10143 | $13398 | $11525 | $9801 | $11321 |
| **2022** | $10064 | $12837 | $11539 | $9524 | $11051 |
| **2022** | $9654 | $11644 | $11583 | $9112 | $10497 |
| **2022** | $9834 | $12480 | $11634 | $8994 | $10612 |
| **2022** | $10478 | $13348 | $11645 | $9325 | $10742 |
| **2022** | $10414 | $12781 | $11636 | $9283 | $10669 |
| **2023** | $10871 | $13686 | $11731 | $9569 | $10812 |
| **2023** | $10720 | $13357 | $11774 | $9321 | $10684 |
| **2023** | $10681 | $13769 | $11780 | $9558 | $10983 |
| **2023** | $10832 | $14011 | $11824 | $9616 | $11004 |
| **2023** | $10513 | $13871 | $11838 | $9511 | $10880 |
| **2023** | $10918 | $14710 | $11860 | $9477 | $10827 |
| **2023** | $11279 | $15204 | $11879 | $9471 | $10876 |
| **2023** | $11106 | $14841 | $11954 | $9410 | $10828 |
| **2023** | $11115 | $14200 | $12002 | $9171 | $10718 |
| **2023** | $10847 | $13788 | $12007 | $9026 | $10705 |
| **2023** | $11292 | $15081 | $12019 | $9435 | $10909 |
| **2023** | $11797 | $15822 | $12055 | $9796 | $11135 |
| **2024** | $11769 | $16011 | $12088 | $9770 | $11176 |
| **2024** | $11838 | $16690 | $12141 | $9631 | $11076 |
| **2024** | $12156 | $17222 | $12187 | $9720 | $11164 |
| **2024** | $12011 | $16587 | $12225 | $9475 | $11050 |
| **2024** | $12384 | $17327 | $12226 | $9636 | $11203 |
| **2024** | $12202 | $17680 | $12219 | $9727 | $11289 |
| **2024** | $12523 | $17991 | $12238 | $9954 | $11457 |
| **2024** | $12596 | $18467 | $12261 | $10097 | $11536 |
| **2024** | $12646 | $18805 | $12283 | $10232 | $11684 |
| **2024** | $12218 | $18432 | $12313 | $9978 | $11530 |
| **2024** | $12204 | $19278 | $12351 | $10084 | $11582 |
| **2024** | $12287 | $18776 | $12400 | $9919 | $11479 |
| **2025** | $12464 | $19438 | $12455 | $9972 | $11618 |
| **2025** | $12675 | $19298 | $12482 | $10191 | $11819 |
| **2025** | $12867 | $18439 | $12475 | $10195 | $11939 |
| **2025** | $12871 | $18603 | $12503 | $10235 | $12011 |
| **2025** | $13068 | $19704 | $12513 | $10162 | $11963 |
| **2025** | $13398 | $20554 | $12549 | $10318 | $12062 |
| **2025** | $13488 | $20819 | $12574 | $10291 | $12095 |
| **2025** | $14029 | $21362 | $12622 | $10414 | $12301 |
| **2025** | $14207 | $22049 | $12661 | $10527 | $12299 |
| **2025** | $14389 | $22490 | $12661 | $10593 | $12318 |
| **2025** | $14791 | $22554 | $12687 | $10659 | $12360 |
| **2025** | $15085 | $22736 | $12726 | $10643 | $12337 |
| **2026** | $15728 | $23245 | $12747 | $10654 | $12394 |
| **2026** | $16531 | $23415 | $12781 | $10829 | $12503 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 8/8/2019 (commencement of operations) |
| Class I† | 30.42% | 9.30% | 7.96% |
| MSCI World Index | 21.33% | 12.46% | 13.85% |
| Consumer Price Index | 2.40% | 4.47% | 3.81% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.22% |
| Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index | 5.79% | 2.81% | 3.46% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 2.52% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 1.39% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 1.34% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $2587119664 |
| Number of Portfolio Holdings | 6 |
| Portfolio Turnover Rate | 11% |
| Total Advisory Fees Paid, Net | $12242611 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 83 |
| GMO Alternative Funds | 12.9 |
| GMO Fixed Income Funds | 3 |
| GMO International Equity Funds | 1 |
| Short-Term Investments | 0.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Implementation Fund | 83 |
| GMO Alternative Allocation Fund, Class VI | 13 |
| GMO Opportunistic Income Fund, Class VI | 2 |
| GMO Climate Change Fund, Class III | 1 |
| GMO High Yield Fund, Class VI | 1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Benchmark-Free Fund
![Image](g12033g00x59.jpg)

#### Class III (GBFFX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Benchmark-Free Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $32<sup>Footnote Reference1</sup> | 0.28%<sup>Footnote Reference1,</sup><sup>Footnote Reference2</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses may be material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |
| &nbsp;&nbsp;Footnote<sup>2</sup> | &nbsp;&nbsp;Includes interest and/or dividend expenses and/or borrowing costs to average daily net assets of 0.25%. |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the Consumer Price Index ("CPI") is included for comparative purposes only.

Class III shares of GMO Benchmark-Free Fund returned +31.15% (net) for the fiscal year ended February 28, 2026, as compared with +2.40% for the CPI.

This was a strong 12 months for absolute performance, as well as a very satisfactory outcome in relation to traditional risk assets. Over the same period, developed equities as measured by the MSCI World Index were up 21.3%, emerging equities as measured by the MSCI Emerging Markets Index were up 50.0%, and bonds as measured by the Bloomberg U.S. Aggregate Index were up 6.3%.

The Fund had an average equity exposure of about 49%, and this outperformed MSCI ACWI, returning 51.2%. Within developed markets, we were leaning away from the U.S. as we believed it was trading at an unfavorable valuation, and it went on to underperform relative to other markets. We also had a meaningful investment in emerging markets as we believed they were trading at preferential valuations, and they strongly outperformed developed markets for the period. There was a broadly 29% average exposure to alternatives, and this delivered an excellent 23.1% return, almost keeping pace with buoyant equity markets. Fixed income assets accounted for an average 22% of the Fund, and these were up 6.3% for the 12 months, in line with the Bloomberg U.S. Aggregate Index.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g88l03.jpg)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Class III** | **MSCI World Index** | **Consumer Price Index** | **Bloomberg U.S. Aggregate Index** | **Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index** |
| **2016** | $10000 | $10000 | $10000 | $10000 | $10000 |
| **2016** | $10529 | $10679 | $10009 | $10092 | $10144 |
| **2016** | $10635 | $10848 | $10050 | $10130 | $10171 |
| **2016** | $10600 | $10908 | $10072 | $10133 | $10112 |
| **2016** | $10671 | $10786 | $10093 | $10315 | $10278 |
| **2016** | $10956 | $11242 | $10089 | $10380 | $10311 |
| **2016** | $11039 | $11251 | $10109 | $10369 | $10258 |
| **2016** | $11128 | $11311 | $10139 | $10362 | $10337 |
| **2016** | $11033 | $11092 | $10175 | $10283 | $10324 |
| **2016** | $10856 | $11252 | $10195 | $10040 | $10173 |
| **2016** | $10975 | $11521 | $10224 | $10054 | $10184 |
| **2017** | $11253 | $11799 | $10271 | $10074 | $10260 |
| **2017** | $11452 | $12126 | $10284 | $10142 | $10285 |
| **2017** | $11597 | $12255 | $10254 | $10136 | $10292 |
| **2017** | $11742 | $12437 | $10271 | $10214 | $10337 |
| **2017** | $11942 | $12700 | $10258 | $10293 | $10332 |
| **2017** | $12026 | $12749 | $10256 | $10283 | $10250 |
| **2017** | $12262 | $13054 | $10267 | $10327 | $10302 |
| **2017** | $12414 | $13072 | $10308 | $10420 | $10373 |
| **2017** | $12383 | $13366 | $10365 | $10370 | $10322 |
| **2017** | $12614 | $13618 | $10376 | $10376 | $10339 |
| **2017** | $12620 | $13913 | $10416 | $10363 | $10328 |
| **2017** | $12847 | $14102 | $10431 | $10410 | $10377 |
| **2018** | $13357 | $14846 | $10485 | $10290 | $10299 |
| **2018** | $13008 | $14231 | $10501 | $10193 | $10252 |
| **2018** | $12940 | $13912 | $10495 | $10258 | $10336 |
| **2018** | $12840 | $14081 | $10518 | $10182 | $10322 |
| **2018** | $12760 | $14169 | $10540 | $10254 | $10370 |
| **2018** | $12523 | $14162 | $10553 | $10242 | $10399 |
| **2018** | $12724 | $14605 | $10571 | $10244 | $10359 |
| **2018** | $12556 | $14785 | $10595 | $10310 | $10429 |
| **2018** | $12581 | $14868 | $10601 | $10244 | $10356 |
| **2018** | $12031 | $13776 | $10636 | $10163 | $10276 |
| **2018** | $12162 | $13933 | $10638 | $10224 | $10309 |
| **2018** | $11927 | $12873 | $10632 | $10411 | $10351 |
| **2019** | $12605 | $13875 | $10630 | $10522 | $10467 |
| **2019** | $12644 | $14292 | $10648 | $10516 | $10477 |
| **2019** | $12683 | $14480 | $10692 | $10718 | $10617 |
| **2019** | $12890 | $14993 | $10726 | $10721 | $10663 |
| **2019** | $12502 | $14128 | $10734 | $10911 | $10779 |
| **2019** | $12935 | $15059 | $10740 | $11048 | $10886 |
| **2019** | $12814 | $15134 | $10776 | $11072 | $10902 |
| **2019** | $12534 | $14824 | $10782 | $11359 | $11042 |
| **2019** | $12769 | $15139 | $10785 | $11299 | $10951 |
| **2019** | $13029 | $15525 | $10823 | $11333 | $10982 |
| **2019** | $13094 | $15957 | $10851 | $11327 | $10984 |
| **2019** | $13570 | $16435 | $10875 | $11319 | $11060 |
| **2020** | $13187 | $16335 | $10888 | $11537 | $11204 |
| **2020** | $12696 | $14954 | $10898 | $11744 | $11301 |
| **2020** | $11089 | $12975 | $10852 | $11675 | $11094 |
| **2020** | $11997 | $14393 | $10765 | $11883 | $11320 |
| **2020** | $11923 | $15088 | $10760 | $11938 | $11390 |
| **2020** | $12131 | $15487 | $10821 | $12013 | $11511 |
| **2020** | $12504 | $16228 | $10884 | $12193 | $11676 |
| **2020** | $12470 | $17312 | $10924 | $12094 | $11841 |
| **2020** | $12389 | $16715 | $10947 | $12088 | $11800 |
| **2020** | $12383 | $16202 | $10952 | $12034 | $11751 |
| **2020** | $12828 | $18274 | $10972 | $12152 | $11841 |
| **2020** | $13115 | $19049 | $11013 | $12169 | $11988 |
| **2021** | $13261 | $18859 | $11032 | $12081 | $12063 |
| **2021** | $13539 | $19343 | $11071 | $11907 | $11976 |
| **2021** | $13949 | $19986 | $11139 | $11758 | $11995 |
| **2021** | $13928 | $20916 | $11225 | $11851 | $12148 |
| **2021** | $14310 | $21243 | $11298 | $11890 | $12261 |
| **2021** | $13991 | $21534 | $11400 | $11973 | $12271 |
| **2021** | $13745 | $21920 | $11454 | $12107 | $12554 |
| **2021** | $13808 | $22465 | $11485 | $12084 | $12530 |
| **2021** | $13724 | $21533 | $11533 | $11980 | $12478 |
| **2021** | $13557 | $22752 | $11641 | $11976 | $12579 |
| **2021** | $13271 | $22254 | $11732 | $12012 | $12609 |
| **2021** | $13688 | $23205 | $11787 | $11981 | $12670 |
| **2022** | $14074 | $21977 | $11861 | $11723 | $12516 |
| **2022** | $13703 | $21421 | $11955 | $11592 | $12638 |
| **2022** | $13390 | $22009 | $12103 | $11270 | $12449 |
| **2022** | $13310 | $20181 | $12144 | $10842 | $12333 |
| **2022** | $13638 | $20196 | $12262 | $10912 | $12327 |
| **2022** | $12845 | $18446 | $12424 | $10741 | $12023 |
| **2022** | $12962 | $19911 | $12422 | $11003 | $12456 |
| **2022** | $12801 | $19079 | $12436 | $10693 | $12159 |
| **2022** | $12179 | $17305 | $12484 | $10231 | $11549 |
| **2022** | $12442 | $18548 | $12539 | $10098 | $11676 |
| **2022** | $13372 | $19837 | $12551 | $10469 | $11819 |
| **2022** | $13233 | $18995 | $12541 | $10422 | $11739 |
| **2023** | $13885 | $20339 | $12643 | $10743 | $11897 |
| **2023** | $13648 | $19850 | $12690 | $10465 | $11755 |
| **2023** | $13632 | $20463 | $12697 | $10731 | $12085 |
| **2023** | $13870 | $20822 | $12743 | $10796 | $12108 |
| **2023** | $13456 | $20614 | $12759 | $10678 | $11971 |
| **2023** | $14016 | $21861 | $12782 | $10640 | $11913 |
| **2023** | $14525 | $22595 | $12803 | $10633 | $11967 |
| **2023** | $14255 | $22056 | $12884 | $10565 | $11914 |
| **2023** | $14193 | $21104 | $12935 | $10296 | $11793 |
| **2023** | $13814 | $20492 | $12941 | $10134 | $11779 |
| **2023** | $14525 | $22413 | $12954 | $10593 | $12003 |
| **2023** | $15246 | $23513 | $12993 | $10998 | $12252 |
| **2024** | $15238 | $23796 | $13028 | $10968 | $12297 |
| **2024** | $15360 | $24804 | $13086 | $10813 | $12186 |
| **2024** | $15887 | $25594 | $13135 | $10913 | $12284 |
| **2024** | $15717 | $24651 | $13176 | $10637 | $12158 |
| **2024** | $16252 | $25751 | $13177 | $10818 | $12327 |
| **2024** | $15976 | $26275 | $13170 | $10920 | $12421 |
| **2024** | $16503 | $26738 | $13190 | $11175 | $12606 |
| **2024** | $16643 | $27445 | $13215 | $11336 | $12693 |
| **2024** | $16767 | $27948 | $13238 | $11488 | $12856 |
| **2024** | $16132 | $27393 | $13271 | $11203 | $12686 |
| **2024** | $16156 | $28650 | $13312 | $11321 | $12743 |
| **2024** | $15951 | $27904 | $13365 | $11136 | $12631 |
| **2025** | $16270 | $28888 | $13424 | $11195 | $12783 |
| **2025** | $16553 | $28680 | $13452 | $11441 | $13004 |
| **2025** | $16820 | $27403 | $13446 | $11446 | $13137 |
| **2025** | $16820 | $27647 | $13475 | $11491 | $13216 |
| **2025** | $17086 | $29283 | $13486 | $11408 | $13163 |
| **2025** | $17534 | $30547 | $13525 | $11584 | $13272 |
| **2025** | $17656 | $30940 | $13552 | $11553 | $13308 |
| **2025** | $18366 | $31747 | $13603 | $11691 | $13535 |
| **2025** | $18609 | $32768 | $13646 | $11819 | $13533 |
| **2025** | $18851 | $33424 | $13646 | $11893 | $13554 |
| **2025** | $19397 | $33519 | $13674 | $11967 | $13600 |
| **2025** | $19792 | $33789 | $13716 | $11949 | $13575 |
| **2026** | $20651 | $34546 | $13739 | $11962 | $13637 |
| **2026** | $21709 | $34799 | $13776 | $12158 | $13757 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III† | 31.15% | 9.90% | 8.06% |
| MSCI World Index | 21.33% | 12.46% | 13.28% |
| Consumer Price Index | 2.40% | 4.47% | 3.26% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.97% |
| Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index | 5.79% | 2.81% | 3.24% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 0.96% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.63% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.56% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $1295442351 |
| Number of Portfolio Holdings | 1214 |
| Portfolio Turnover Rate | 106%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 116%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Common Stocks | 59.4 |
| Debt Obligations | 17.5 |
| Short-Term Investments | 15.8 |
| GMO Alternative Funds | 12.6 |
| GMO International Equity Funds | 4.1 |
| GMO Fixed Income Funds | 2.8 |
| Preferred Stocks | 1 |
| Futures Contracts | 0.1 |
| Forward Currency Contracts | 0.1 |
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 0 |
| Rights/Warrants | 0 |
| Swap Contracts | (0.1) |
| Securities Sold Short | (13.5) |
| Other | 0.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Alternative Allocation Fund, Class VI | 13 |
| U.S. Treasury Floating Rate Notes, 3.72%, due 01/31/28 | 6.3 |
| U.S. Treasury Floating Rate Notes, 3.78%, due 07/31/27 | 4.4 |
| U.S. Treasury Floating Rate Notes, 3.81%, due 10/31/27 | 4.3 |
| GMO Resources Fund, Class VI | 3.1 |
| U.S. Treasury Floating Rate Notes, 3.78%, due 04/30/27 | 2.8 |
| GMO Opportunistic Income Fund, Class VI | 1.9 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 1.5 |
| GMO Climate Change Fund, Class III | 1.1 |
| GMO High Yield Fund, Class VI | 1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Global Asset Allocation Fund
![Image](g12033g00x59.jpg)

#### Class III (GMWAX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Global Asset Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $1<sup>Footnote Reference1</sup> | 0.01%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class III shares of GMO Global Asset Allocation Fund returned +29.93% (net) for the fiscal year ended February 28, 2026, as compared with +17.71% for the Fund's benchmark, the GMO Global Asset Allocation Index (65% MSCI All Country World Index ("ACWI") and 35% Bloomberg U.S. Aggregate Index).

The Fund held an average of 63% in equities over the period, and the return of 41.1% comfortably beat the MSCI ACWI return of 24.2%. In terms of regional biases, the decision to lean away from the U.S. in favor of being overweight developed ex-U.S. and emerging market equities was a substantial tailwind as the U.S. underperformed. Security selection was also strong, particularly in developed ex-U.S. markets. The Fund's circa 13% off-benchmark position in alternatives had a small positive impact on relative performance as it modestly outpaced the Fund benchmark with an 18.5% return. The Fund held an average of 22% in fixed income, and good absolute and relative performance within emerging market debt ensured outperformance of the benchmark. The Fund's fixed income exposures posted 9.5%, nicely ahead of the 6.3% return from the Bloomberg U.S. Aggregate Index. The Fund held an average of 2% in cash/cash plus, and this had no material impact on performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g08c34.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Class III** | **Bloomberg U.S. Aggregate Index** | **GMO Global Asset Allocation Index\*** | **MSCI ACWI** |
| **2016** | $10000 | $10000 | $10000 | $10000 |
| **2016** | $10489 | $10092 | $10514 | $10741 |
| **2016** | $10565 | $10130 | $10629 | $10900 |
| **2016** | $10543 | $10133 | $10639 | $10913 |
| **2016** | $10587 | $10315 | $10664 | $10847 |
| **2016** | $10838 | $10380 | $10986 | $11315 |
| **2016** | $10903 | $10369 | $11005 | $11353 |
| **2016** | $10983 | $10362 | $11047 | $11422 |
| **2016** | $10893 | $10283 | $10896 | $11229 |
| **2016** | $10776 | $10040 | $10859 | $11314 |
| **2016** | $10897 | $10054 | $11017 | $11558 |
| **2017** | $11113 | $10074 | $11220 | $11874 |
| **2017** | $11321 | $10142 | $11451 | $12207 |
| **2017** | $11473 | $10136 | $11540 | $12357 |
| **2017** | $11610 | $10214 | $11688 | $12549 |
| **2017** | $11792 | $10293 | $11888 | $12826 |
| **2017** | $11826 | $10283 | $11919 | $12885 |
| **2017** | $12012 | $10327 | $12153 | $13245 |
| **2017** | $12138 | $10420 | $12222 | $13296 |
| **2017** | $12198 | $10370 | $12355 | $13552 |
| **2017** | $12436 | $10376 | $12524 | $13834 |
| **2017** | $12473 | $10363 | $12676 | $14102 |
| **2017** | $12611 | $10410 | $12829 | $14329 |
| **2018** | $13064 | $10290 | $13248 | $15137 |
| **2018** | $12683 | $10193 | $12842 | $14502 |
| **2018** | $12599 | $10258 | $12686 | $14181 |
| **2018** | $12519 | $10182 | $12738 | $14327 |
| **2018** | $12474 | $10254 | $12780 | $14345 |
| **2018** | $12283 | $10242 | $12730 | $14267 |
| **2018** | $12531 | $10244 | $12980 | $14697 |
| **2018** | $12451 | $10310 | $13076 | $14813 |
| **2018** | $12500 | $10244 | $13083 | $14877 |
| **2018** | $11908 | $10163 | $12410 | $13762 |
| **2018** | $12015 | $10224 | $12554 | $13964 |
| **2018** | $11695 | $10411 | $12060 | $12980 |
| **2019** | $12343 | $10522 | $12724 | $14005 |
| **2019** | $12434 | $10516 | $12942 | $14380 |
| **2019** | $12557 | $10718 | $13135 | $14560 |
| **2019** | $12758 | $10721 | $13424 | $15052 |
| **2019** | $12383 | $10911 | $12990 | $14159 |
| **2019** | $12892 | $11048 | $13600 | $15086 |
| **2019** | $12842 | $11072 | $13637 | $15130 |
| **2019** | $12652 | $11359 | $13550 | $14772 |
| **2019** | $12918 | $11299 | $13710 | $15082 |
| **2019** | $13204 | $11333 | $13968 | $15495 |
| **2019** | $13326 | $11327 | $14188 | $15873 |
| **2019** | $13764 | $11319 | $14509 | $16432 |
| **2020** | $13497 | $11537 | $14502 | $16251 |
| **2020** | $12947 | $11744 | $13832 | $14938 |
| **2020** | $11459 | $11675 | $12590 | $12922 |
| **2020** | $12227 | $11883 | $13545 | $14306 |
| **2020** | $12507 | $11938 | $13950 | $14928 |
| **2020** | $12782 | $12013 | $14271 | $15405 |
| **2020** | $13226 | $12193 | $14836 | $16220 |
| **2020** | $13453 | $12094 | $15384 | $17212 |
| **2020** | $13263 | $12088 | $15059 | $16657 |
| **2020** | $13139 | $12034 | $14797 | $16253 |
| **2020** | $14078 | $12152 | $16034 | $18256 |
| **2020** | $14610 | $12169 | $16525 | $19103 |
| **2021** | $14691 | $12081 | $16435 | $19017 |
| **2021** | $14939 | $11907 | $16599 | $19457 |
| **2021** | $15290 | $11758 | $16815 | $19977 |
| **2021** | $15576 | $11851 | $17339 | $20850 |
| **2021** | $15957 | $11890 | $17529 | $21165 |
| **2021** | $15769 | $11973 | $17728 | $21454 |
| **2021** | $15590 | $12107 | $17877 | $21602 |
| **2021** | $15737 | $12084 | $18156 | $22142 |
| **2021** | $15379 | $11980 | $17613 | $21228 |
| **2021** | $15465 | $11976 | $18196 | $22311 |
| **2021** | $15082 | $12012 | $17930 | $21774 |
| **2021** | $15636 | $11981 | $18380 | $22645 |
| **2022** | $15496 | $11723 | $17654 | $21533 |
| **2022** | $14923 | $11592 | $17289 | $20976 |
| **2022** | $14601 | $11270 | $17364 | $21431 |
| **2022** | $14011 | $10842 | $16230 | $19715 |
| **2022** | $14229 | $10912 | $16279 | $19739 |
| **2022** | $13316 | $10741 | $15298 | $18075 |
| **2022** | $13774 | $11003 | $16123 | $19337 |
| **2022** | $13419 | $10693 | $15578 | $18625 |
| **2022** | $12498 | $10231 | $14373 | $16842 |
| **2022** | $12913 | $10098 | $14872 | $17858 |
| **2022** | $13920 | $10469 | $15813 | $19244 |
| **2022** | $13654 | $10422 | $15383 | $18486 |
| **2023** | $14446 | $10743 | $16266 | $19811 |
| **2023** | $14106 | $10465 | $15816 | $19244 |
| **2023** | $14285 | $10731 | $16273 | $19837 |
| **2023** | $14413 | $10796 | $16460 | $20122 |
| **2023** | $14111 | $10678 | $16282 | $19906 |
| **2023** | $14672 | $10640 | $16877 | $21062 |
| **2023** | $15130 | $10633 | $17274 | $21833 |
| **2023** | $14812 | $10565 | $16922 | $21223 |
| **2023** | $14570 | $10296 | $16316 | $20346 |
| **2023** | $14152 | $10134 | $15907 | $19734 |
| **2023** | $15054 | $10593 | $17114 | $21555 |
| **2023** | $15857 | $10998 | $17877 | $22591 |
| **2024** | $15788 | $10968 | $17928 | $22723 |
| **2024** | $16002 | $10813 | $18340 | $23698 |
| **2024** | $16449 | $10913 | $18767 | $24429 |
| **2024** | $16012 | $10637 | $18205 | $23636 |
| **2024** | $16569 | $10818 | $18793 | $24596 |
| **2024** | $16449 | $10920 | $19128 | $25143 |
| **2024** | $16949 | $11175 | $19485 | $25549 |
| **2024** | $17203 | $11336 | $19904 | $26198 |
| **2024** | $17412 | $11488 | $20298 | $26806 |
| **2024** | $16769 | $11203 | $19826 | $26205 |
| **2024** | $16984 | $11321 | $20381 | $27185 |
| **2024** | $16671 | $11136 | $19951 | $26541 |
| **2025** | $17073 | $11195 | $20423 | $27432 |
| **2025** | $17230 | $11441 | $20500 | $27267 |
| **2025** | $17230 | $11446 | $19977 | $26190 |
| **2025** | $17324 | $11491 | $20125 | $26434 |
| **2025** | $17794 | $11408 | $20827 | $27953 |
| **2025** | $18379 | $11584 | $21547 | $29209 |
| **2025** | $18455 | $11553 | $21717 | $29605 |
| **2025** | $19135 | $11691 | $22156 | $30336 |
| **2025** | $19491 | $11819 | $22763 | $31435 |
| **2025** | $19732 | $11893 | $23143 | $32138 |
| **2025** | $20255 | $11967 | $23192 | $32135 |
| **2025** | $20574 | $11949 | $23337 | $32470 |
| **2026** | $21445 | $11962 | $23796 | $33433 |
| **2026** | $22387 | $12158 | $24131 | $33862 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III† | 29.93% | 8.43% | 8.39% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.97% |
| GMO Global Asset Allocation Index\* | 17.71% | 7.77% | 9.21% |
| MSCI ACWI | 24.19% | 11.72% | 12.97% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 0.82% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

\*The GMO Global Asset Allocation Index is comprised of 65% MSCI ACWI (All Country World Index) and 35% Bloomberg U.S. Aggregate Index.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.84% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.79% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $575389897 |
| Number of Portfolio Holdings | 19 |
| Portfolio Turnover Rate | 28%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 32%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 40.3 |
| GMO U.S. Equity Funds | 23.2 |
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 16.8 |
| GMO Alternative Funds | 15.5 |
| GMO Fixed Income Funds | 3.8 |
| Short-Term Investments | 0.1 |
| Other | 0.3 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Alternative Allocation Fund, Class VI | 15.6 |
| GMO International Equity Fund, Class IV | 15.3 |
| GMO Asset Allocation Bond Fund, Class VI | 14.2 |
| GMO U.S. Equity Fund, Class VI | 7.6 |
| GMO International Opportunistic Value Fund, Class IV | 7.2 |
| GMO U.S. Opportunistic Value Fund, Class VI | 6.9 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 6.5 |
| GMO Emerging Markets Fund, Class VI | 6.3 |
| GMO Emerging Markets ex-China Fund, Class VI | 3.3 |
| GMO Opportunistic Income Fund, Class VI | 3.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Global Asset Allocation Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GMWRX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Global Asset Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $1<sup>Footnote Reference1</sup> | 0.01%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class R6 shares of GMO Global Asset Allocation Fund returned +29.92% (net) for the fiscal year ended February 28, 2026, as compared with +17.71% for the Fund's benchmark, the GMO Global Asset Allocation Index (65% MSCI All Country World Index ("ACWI") and 35% Bloomberg U.S. Aggregate Index).

The Fund held an average of 63% in equities over the period, and the return of 41.1% comfortably beat the MSCI ACWI return of 24.2%. In terms of regional biases, the decision to lean away from the U.S. in favor of being overweight developed ex-U.S. and emerging market equities was a substantial tailwind as the U.S. underperformed. Security selection was also strong, particularly in developed ex-U.S. markets. The Fund's circa 13% off-benchmark position in alternatives had a small positive impact on relative performance as it modestly outpaced the Fund benchmark with an 18.5% return. The Fund held an average of 22% in fixed income, and good absolute and relative performance within emerging market debt ensured outperformance of the benchmark. The Fund's fixed income exposures posted 9.5%, nicely ahead of the 6.3% return from the Bloomberg U.S. Aggregate Index. The Fund held an average of 2% in cash/cash plus, and this had no material impact on performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g20y05.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Class R6** | **Bloomberg U.S. Aggregate Index** | **GMO Global Asset Allocation Index\*** | **MSCI ACWI** |
| **2019** | $10000 | $10000 | $10000 | $10000 |
| **2019** | $10221 | $10030 | $10188 | $10274 |
| **2019** | $10316 | $10025 | $10348 | $10524 |
| **2019** | $10655 | $10018 | $10583 | $10895 |
| **2020** | $10449 | $10211 | $10578 | $10775 |
| **2020** | $10022 | $10395 | $10089 | $9904 |
| **2020** | $8870 | $10333 | $9183 | $8567 |
| **2020** | $9465 | $10517 | $9880 | $9485 |
| **2020** | $9685 | $10566 | $10175 | $9898 |
| **2020** | $9895 | $10633 | $10409 | $10214 |
| **2020** | $10239 | $10791 | $10821 | $10754 |
| **2020** | $10415 | $10704 | $11221 | $11412 |
| **2020** | $10267 | $10698 | $10984 | $11044 |
| **2020** | $10171 | $10651 | $10793 | $10776 |
| **2020** | $10898 | $10755 | $11695 | $12104 |
| **2020** | $11310 | $10770 | $12053 | $12666 |
| **2021** | $11376 | $10693 | $11987 | $12608 |
| **2021** | $11568 | $10538 | $12107 | $12901 |
| **2021** | $11840 | $10407 | $12265 | $13245 |
| **2021** | $12059 | $10489 | $12647 | $13824 |
| **2021** | $12346 | $10523 | $12786 | $14033 |
| **2021** | $12201 | $10597 | $12930 | $14224 |
| **2021** | $12062 | $10716 | $13039 | $14322 |
| **2021** | $12175 | $10695 | $13242 | $14681 |
| **2021** | $11899 | $10603 | $12847 | $14074 |
| **2021** | $11965 | $10600 | $13272 | $14793 |
| **2021** | $11669 | $10631 | $13078 | $14437 |
| **2021** | $12098 | $10604 | $13406 | $15014 |
| **2022** | $11989 | $10376 | $12877 | $14277 |
| **2022** | $11546 | $10260 | $12611 | $13908 |
| **2022** | $11296 | $9975 | $12665 | $14209 |
| **2022** | $10839 | $9596 | $11838 | $13072 |
| **2022** | $11008 | $9658 | $11874 | $13087 |
| **2022** | $10301 | $9507 | $11158 | $11984 |
| **2022** | $10656 | $9739 | $11760 | $12821 |
| **2022** | $10385 | $9464 | $11362 | $12349 |
| **2022** | $9668 | $9055 | $10484 | $11167 |
| **2022** | $9989 | $8937 | $10847 | $11841 |
| **2022** | $10769 | $9266 | $11534 | $12759 |
| **2022** | $10563 | $9224 | $11221 | $12257 |
| **2023** | $11176 | $9508 | $11864 | $13135 |
| **2023** | $10913 | $9262 | $11536 | $12759 |
| **2023** | $11052 | $9498 | $11869 | $13152 |
| **2023** | $11151 | $9555 | $12006 | $13341 |
| **2023** | $10917 | $9451 | $11876 | $13198 |
| **2023** | $11351 | $9417 | $12310 | $13965 |
| **2023** | $11706 | $9411 | $12599 | $14476 |
| **2023** | $11460 | $9351 | $12342 | $14071 |
| **2023** | $11272 | $9113 | $11901 | $13490 |
| **2023** | $10949 | $8969 | $11603 | $13084 |
| **2023** | $11647 | $9375 | $12483 | $14292 |
| **2023** | $12269 | $9734 | $13040 | $14978 |
| **2024** | $12215 | $9708 | $13077 | $15066 |
| **2024** | $12381 | $9570 | $13377 | $15712 |
| **2024** | $12727 | $9659 | $13688 | $16197 |
| **2024** | $12388 | $9415 | $13278 | $15671 |
| **2024** | $12820 | $9575 | $13708 | $16308 |
| **2024** | $12727 | $9665 | $13951 | $16671 |
| **2024** | $13114 | $9891 | $14212 | $16940 |
| **2024** | $13307 | $10033 | $14518 | $17370 |
| **2024** | $13469 | $10167 | $14805 | $17773 |
| **2024** | $12975 | $9915 | $14461 | $17374 |
| **2024** | $13141 | $10020 | $14866 | $18024 |
| **2024** | $12899 | $9856 | $14552 | $17598 |
| **2025** | $13210 | $9908 | $14896 | $18188 |
| **2025** | $13332 | $10126 | $14953 | $18079 |
| **2025** | $13332 | $10130 | $14571 | $17365 |
| **2025** | $13400 | $10170 | $14679 | $17526 |
| **2025** | $13768 | $10097 | $15191 | $18534 |
| **2025** | $14221 | $10252 | $15716 | $19366 |
| **2025** | $14280 | $10225 | $15840 | $19629 |
| **2025** | $14807 | $10348 | $16160 | $20113 |
| **2025** | $15082 | $10461 | $16603 | $20842 |
| **2025** | $15264 | $10526 | $16880 | $21308 |
| **2025** | $15669 | $10591 | $16916 | $21306 |
| **2025** | $15916 | $10576 | $17022 | $21528 |
| **2026** | $16591 | $10587 | $17356 | $22167 |
| **2026** | $17320 | $10760 | $17601 | $22452 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 9/30/2019 (commencement of operations) |
| Class R6† | 29.92% | 8.41% | 8.94% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.15% |
| GMO Global Asset Allocation Index\* | 17.71% | 7.77% | 9.21% |
| MSCI ACWI | 24.19% | 11.72% | 13.44% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 0.82% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

\*The GMO Global Asset Allocation Index is comprised of 65% MSCI ACWI (All Country World Index) and 35% Bloomberg U.S. Aggregate Index.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.84% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.79% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $575389897 |
| Number of Portfolio Holdings | 19 |
| Portfolio Turnover Rate | 28%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 32%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 40.3 |
| GMO U.S. Equity Funds | 23.2 |
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 16.8 |
| GMO Alternative Funds | 15.5 |
| GMO Fixed Income Funds | 3.8 |
| Short-Term Investments | 0.1 |
| Other | 0.3 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Alternative Allocation Fund, Class VI | 15.6 |
| GMO International Equity Fund, Class IV | 15.3 |
| GMO Asset Allocation Bond Fund, Class VI | 14.2 |
| GMO U.S. Equity Fund, Class VI | 7.6 |
| GMO International Opportunistic Value Fund, Class IV | 7.2 |
| GMO U.S. Opportunistic Value Fund, Class VI | 6.9 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 6.5 |
| GMO Emerging Markets Fund, Class VI | 6.3 |
| GMO Emerging Markets ex-China Fund, Class VI | 3.3 |
| GMO Opportunistic Income Fund, Class VI | 3.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Global Asset Allocation Fund
![Image](g12033g00x59.jpg)

#### Class I (GMOOX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Global Asset Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $14<sup>Footnote Reference1</sup> | 0.12%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class I shares of GMO Global Asset Allocation Fund returned +29.76% (net) for the fiscal year ended February 28, 2026, as compared with +17.71% for the Fund's benchmark, the GMO Global Asset Allocation Index (65% MSCI All Country World Index ("ACWI") and 35% Bloomberg U.S. Aggregate Index).

The Fund held an average of 63% in equities over the period, and the return of 41.1% comfortably beat the MSCI ACWI return of 24.2%. In terms of regional biases, the decision to lean away from the U.S. in favor of being overweight developed ex-U.S. and emerging market equities was a substantial tailwind as the U.S. underperformed. Security selection was also strong, particularly in developed ex-U.S. markets. The Fund's circa 13% off-benchmark position in alternatives had a small positive impact on relative performance as it modestly outpaced the Fund benchmark with an 18.5% return. The Fund held an average of 22% in fixed income, and good absolute and relative performance within emerging market debt ensured outperformance of the benchmark. The Fund's fixed income exposures posted 9.5%, nicely ahead of the 6.3% return from the Bloomberg U.S. Aggregate Index. The Fund held an average of 2% in cash/cash plus, and this had no material impact on performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g83l98.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Class I** | **Bloomberg U.S. Aggregate Index** | **GMO Global Asset Allocation Index\*** | **MSCI ACWI** |
| **2021** | $10000 | $10000 | $10000 | $10000 |
| **2021** | $9893 | $10006 | $9936 | $9899 |
| **2021** | $10061 | $9862 | $10035 | $10128 |
| **2021** | $10297 | $9739 | $10166 | $10398 |
| **2021** | $10487 | $9815 | $10483 | $10853 |
| **2021** | $10743 | $9848 | $10598 | $11017 |
| **2021** | $10617 | $9917 | $10718 | $11167 |
| **2021** | $10494 | $10028 | $10807 | $11244 |
| **2021** | $10593 | $10009 | $10976 | $11526 |
| **2021** | $10352 | $9922 | $10648 | $11049 |
| **2021** | $10407 | $9919 | $11000 | $11613 |
| **2021** | $10149 | $9948 | $10840 | $11334 |
| **2021** | $10522 | $9923 | $11112 | $11787 |
| **2022** | $10424 | $9709 | $10673 | $11208 |
| **2022** | $10042 | $9601 | $10452 | $10919 |
| **2022** | $9819 | $9334 | $10498 | $11155 |
| **2022** | $9425 | $8980 | $9812 | $10262 |
| **2022** | $9572 | $9038 | $9842 | $10274 |
| **2022** | $8954 | $8896 | $9249 | $9408 |
| **2022** | $9262 | $9113 | $9747 | $10065 |
| **2022** | $9023 | $8856 | $9418 | $9695 |
| **2022** | $8401 | $8473 | $8689 | $8767 |
| **2022** | $8680 | $8364 | $8991 | $9296 |
| **2022** | $9357 | $8671 | $9560 | $10017 |
| **2022** | $9175 | $8632 | $9300 | $9623 |
| **2023** | $9708 | $8898 | $9834 | $10312 |
| **2023** | $9480 | $8668 | $9561 | $10017 |
| **2023** | $9597 | $8888 | $9838 | $10326 |
| **2023** | $9682 | $8942 | $9951 | $10474 |
| **2023** | $9480 | $8844 | $9844 | $10362 |
| **2023** | $9857 | $8813 | $10203 | $10963 |
| **2023** | $10164 | $8807 | $10443 | $11365 |
| **2023** | $9951 | $8750 | $10230 | $11047 |
| **2023** | $9785 | $8528 | $9864 | $10590 |
| **2023** | $9504 | $8393 | $9617 | $10272 |
| **2023** | $10110 | $8773 | $10346 | $11220 |
| **2023** | $10649 | $9109 | $10808 | $11759 |
| **2024** | $10599 | $9084 | $10839 | $11828 |
| **2024** | $10743 | $8956 | $11088 | $12335 |
| **2024** | $11043 | $9039 | $11346 | $12716 |
| **2024** | $10746 | $8810 | $11006 | $12303 |
| **2024** | $11120 | $8960 | $11362 | $12803 |
| **2024** | $11040 | $9044 | $11564 | $13088 |
| **2024** | $11371 | $9256 | $11780 | $13299 |
| **2024** | $11542 | $9389 | $12033 | $13637 |
| **2024** | $11679 | $9514 | $12271 | $13953 |
| **2024** | $11251 | $9279 | $11986 | $13640 |
| **2024** | $11392 | $9377 | $12322 | $14150 |
| **2024** | $11180 | $9223 | $12061 | $13815 |
| **2025** | $11450 | $9272 | $12347 | $14279 |
| **2025** | $11555 | $9476 | $12394 | $14193 |
| **2025** | $11555 | $9480 | $12077 | $13632 |
| **2025** | $11614 | $9517 | $12167 | $13760 |
| **2025** | $11930 | $9449 | $12591 | $14550 |
| **2025** | $12319 | $9594 | $13026 | $15204 |
| **2025** | $12369 | $9569 | $13129 | $15410 |
| **2025** | $12824 | $9683 | $13395 | $15790 |
| **2025** | $13059 | $9789 | $13761 | $16363 |
| **2025** | $13221 | $9850 | $13992 | $16729 |
| **2025** | $13571 | $9911 | $14021 | $16727 |
| **2025** | $13782 | $9897 | $14109 | $16901 |
| **2026** | $14365 | $9907 | $14386 | $17402 |
| **2026** | $14993 | $10069 | $14589 | $17626 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 1/6/2021 (commencement of operations) |
| Class I† | 29.76% | 8.31% | 8.19% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 0.13% |
| GMO Global Asset Allocation Index\* | 17.71% | 7.77% | 7.62% |
| MSCI ACWI | 24.19% | 11.72% | 11.65% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 0.82% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

\*The GMO Global Asset Allocation Index is comprised of 65% MSCI ACWI (All Country World Index) and 35% Bloomberg U.S. Aggregate Index.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.97% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.92% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $575389897 |
| Number of Portfolio Holdings | 19 |
| Portfolio Turnover Rate | 28%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 32%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 40.3 |
| GMO U.S. Equity Funds | 23.2 |
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 16.8 |
| GMO Alternative Funds | 15.5 |
| GMO Fixed Income Funds | 3.8 |
| Short-Term Investments | 0.1 |
| Other | 0.3 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Alternative Allocation Fund, Class VI | 15.6 |
| GMO International Equity Fund, Class IV | 15.3 |
| GMO Asset Allocation Bond Fund, Class VI | 14.2 |
| GMO U.S. Equity Fund, Class VI | 7.6 |
| GMO International Opportunistic Value Fund, Class IV | 7.2 |
| GMO U.S. Opportunistic Value Fund, Class VI | 6.9 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 6.5 |
| GMO Emerging Markets Fund, Class VI | 6.3 |
| GMO Emerging Markets ex-China Fund, Class VI | 3.3 |
| GMO Opportunistic Income Fund, Class VI | 3.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Global Developed Equity Allocation Fund
![Image](g12033g00x59.jpg)

#### Class III (GWOAX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Global Developed Equity Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $1<sup>Footnote Reference1</sup> | 0.01%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class III shares of GMO Global Developed Equity Allocation Fund returned +35.25% (net) for the fiscal year ended February 28, 2026, as compared with +21.33% for the Fund's benchmark, the MSCI World Index.

The Fund's underweight to the U.S. market and overweight to developed ex-U.S. contributed significantly to performance relative to the benchmark. We also believed that emerging markets were trading at preferential valuations and held a modest "off-benchmark" position. Our decision to have emerging markets exposure proved beneficial as the asset class outpaced developed markets. Security selection was very strong across the globe, most notably in developed ex-U.S. markets where a value style meaningfully outperformed growth.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g07o89.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **MSCI World Index** |
| **2016** | $10000 | $10000 |
| **2016** | $10753 | $10679 |
| **2016** | $10851 | $10848 |
| **2016** | $10897 | $10908 |
| **2016** | $10764 | $10786 |
| **2016** | $11163 | $11242 |
| **2016** | $11205 | $11251 |
| **2016** | $11306 | $11311 |
| **2016** | $11121 | $11092 |
| **2016** | $11145 | $11252 |
| **2016** | $11390 | $11521 |
| **2017** | $11648 | $11799 |
| **2017** | $12003 | $12126 |
| **2017** | $12217 | $12255 |
| **2017** | $12444 | $12437 |
| **2017** | $12760 | $12700 |
| **2017** | $12846 | $12749 |
| **2017** | $13107 | $13054 |
| **2017** | $13255 | $13072 |
| **2017** | $13545 | $13366 |
| **2017** | $13976 | $13618 |
| **2017** | $14149 | $13913 |
| **2017** | $14311 | $14102 |
| **2018** | $15144 | $14846 |
| **2018** | $14450 | $14231 |
| **2018** | $14184 | $13912 |
| **2018** | $14165 | $14081 |
| **2018** | $14165 | $14169 |
| **2018** | $13843 | $14162 |
| **2018** | $14343 | $14605 |
| **2018** | $14330 | $14785 |
| **2018** | $14406 | $14868 |
| **2018** | $13270 | $13776 |
| **2018** | $13358 | $13933 |
| **2018** | $12448 | $12873 |
| **2019** | $13482 | $13875 |
| **2019** | $13787 | $14292 |
| **2019** | $13911 | $14480 |
| **2019** | $14308 | $14993 |
| **2019** | $13423 | $14128 |
| **2019** | $14282 | $15059 |
| **2019** | $14202 | $15134 |
| **2019** | $13819 | $14824 |
| **2019** | $14328 | $15139 |
| **2019** | $14832 | $15525 |
| **2019** | $15150 | $15957 |
| **2019** | $15753 | $16435 |
| **2020** | $15386 | $16335 |
| **2020** | $14184 | $14954 |
| **2020** | $11988 | $12975 |
| **2020** | $13164 | $14393 |
| **2020** | $13735 | $15088 |
| **2020** | $14102 | $15487 |
| **2020** | $14675 | $16228 |
| **2020** | $15260 | $17312 |
| **2020** | $14927 | $16715 |
| **2020** | $14518 | $16202 |
| **2020** | $16419 | $18274 |
| **2020** | $17408 | $19049 |
| **2021** | $17408 | $18859 |
| **2021** | $18214 | $19343 |
| **2021** | $19125 | $19986 |
| **2021** | $19690 | $20916 |
| **2021** | $20375 | $21243 |
| **2021** | $20099 | $21534 |
| **2021** | $20070 | $21920 |
| **2021** | $20348 | $22465 |
| **2021** | $19627 | $21533 |
| **2021** | $20227 | $22752 |
| **2021** | $19499 | $22254 |
| **2021** | $20631 | $23205 |
| **2022** | $20137 | $21977 |
| **2022** | $19453 | $21421 |
| **2022** | $19317 | $22009 |
| **2022** | $18179 | $20181 |
| **2022** | $18577 | $20196 |
| **2022** | $16889 | $18446 |
| **2022** | $17783 | $19911 |
| **2022** | $17039 | $19079 |
| **2022** | $15536 | $17305 |
| **2022** | $16672 | $18548 |
| **2022** | $18317 | $19837 |
| **2022** | $17734 | $18995 |
| **2023** | $19131 | $20339 |
| **2023** | $18686 | $19850 |
| **2023** | $18960 | $20463 |
| **2023** | $19243 | $20822 |
| **2023** | $18797 | $20614 |
| **2023** | $20023 | $21861 |
| **2023** | $20819 | $22595 |
| **2023** | $20271 | $22056 |
| **2023** | $19714 | $21104 |
| **2023** | $19044 | $20492 |
| **2023** | $20575 | $22413 |
| **2023** | $21714 | $23513 |
| **2024** | $21705 | $23796 |
| **2024** | $22369 | $24804 |
| **2024** | $23325 | $25594 |
| **2024** | $22579 | $24651 |
| **2024** | $23625 | $25751 |
| **2024** | $23316 | $26275 |
| **2024** | $24192 | $26738 |
| **2024** | $24668 | $27445 |
| **2024** | $24997 | $27948 |
| **2024** | $24045 | $27393 |
| **2024** | $24677 | $28650 |
| **2024** | $24098 | $27904 |
| **2025** | $25074 | $28888 |
| **2025** | $25093 | $28680 |
| **2025** | $24730 | $27403 |
| **2025** | $24864 | $27647 |
| **2025** | $25974 | $29283 |
| **2025** | $26998 | $30547 |
| **2025** | $27039 | $30940 |
| **2025** | $28333 | $31747 |
| **2025** | $28937 | $32768 |
| **2025** | $29291 | $33424 |
| **2025** | $30297 | $33519 |
| **2025** | $30939 | $33789 |
| **2026** | $32548 | $34546 |
| **2026** | $33937 | $34799 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III† | 35.25% | 13.26% | 13.00% |
| MSCI World Index | 21.33% | 12.46% | 13.28% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 1.43% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.63% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.53% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $99945662 |
| Number of Portfolio Holdings | 13 |
| Portfolio Turnover Rate | 19% |
| Total Advisory Fees Paid, Net | $0 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 50.4 |
| GMO U.S. Equity Funds | 49.5 |
| Short-Term Investments | 0.1 |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| GMO International Equity Fund, Class IV | 27.6 |
| GMO U.S. Opportunistic Value Fund, Class VI | 14.7 |
| GMO Quality Fund, Class VI | 14.6 |
| GMO U.S. Equity Fund, Class VI | 11.4 |
| GMO International Opportunistic Value Fund, Class IV | 11.4 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 6.3 |
| GMO Small Cap Quality Fund, Class VI | 3.8 |
| GMO U.S. Small Cap Value Fund, Class VI | 2.8 |
| GMO Resources Fund, Class VI | 2.2 |
| GMO Domestic Resilience ETF | 2.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Global Equity Allocation Fund
![Image](g12033g00x59.jpg)

#### Class III (GMGEX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Global Equity Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $1<sup>Footnote Reference1</sup> | 0.01%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class III shares of GMO Global Equity Allocation Fund returned +38.06% (net) for the fiscal year ended February 28, 2026, as compared with +24.19% for the Fund's benchmark, the MSCI All Country World Index ("ACWI").

The Fund's regional bias of being underweight to the U.S. market and overweight to developed ex-U.S. and emerging markets had a significant positive impact on performance relative to the benchmark. For the period, the MSCI USA Index lagged other markets and returned 16.1%, while the MSCI World ex USA Index delivered a 35.5% return, and the MSCI Emerging Markets Index did even better with a 50.0% return. Security selection was also strong in each of the developed ex-U.S. markets, emerging markets, and the U.S.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g27h65.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **MSCI ACWI** |
| **2016** | $10000 | $10000 |
| **2016** | $10852 | $10741 |
| **2016** | $10944 | $10900 |
| **2016** | $10959 | $10913 |
| **2016** | $10898 | $10847 |
| **2016** | $11321 | $11315 |
| **2016** | $11398 | $11353 |
| **2016** | $11502 | $11422 |
| **2016** | $11331 | $11229 |
| **2016** | $11284 | $11314 |
| **2016** | $11504 | $11558 |
| **2017** | $11824 | $11874 |
| **2017** | $12193 | $12207 |
| **2017** | $12438 | $12357 |
| **2017** | $12657 | $12549 |
| **2017** | $12983 | $12826 |
| **2017** | $13074 | $12885 |
| **2017** | $13386 | $13245 |
| **2017** | $13547 | $13296 |
| **2017** | $13739 | $13552 |
| **2017** | $14189 | $13834 |
| **2017** | $14328 | $14102 |
| **2017** | $14540 | $14329 |
| **2018** | $15463 | $15137 |
| **2018** | $14760 | $14502 |
| **2018** | $14518 | $14181 |
| **2018** | $14392 | $14327 |
| **2018** | $14331 | $14345 |
| **2018** | $13958 | $14267 |
| **2018** | $14454 | $14697 |
| **2018** | $14344 | $14813 |
| **2018** | $14449 | $14877 |
| **2018** | $13303 | $13762 |
| **2018** | $13457 | $13964 |
| **2018** | $12633 | $12980 |
| **2019** | $13721 | $14005 |
| **2019** | $13959 | $14380 |
| **2019** | $14067 | $14560 |
| **2019** | $14441 | $15052 |
| **2019** | $13568 | $14159 |
| **2019** | $14441 | $15086 |
| **2019** | $14342 | $15130 |
| **2019** | $13853 | $14772 |
| **2019** | $14365 | $15082 |
| **2019** | $14922 | $15495 |
| **2019** | $15178 | $15873 |
| **2019** | $15895 | $16432 |
| **2020** | $15385 | $16251 |
| **2020** | $14288 | $14938 |
| **2020** | $12049 | $12922 |
| **2020** | $13198 | $14306 |
| **2020** | $13708 | $14928 |
| **2020** | $14112 | $15405 |
| **2020** | $14748 | $16220 |
| **2020** | $15259 | $17212 |
| **2020** | $14906 | $16657 |
| **2020** | $14601 | $16253 |
| **2020** | $16421 | $18256 |
| **2020** | $17408 | $19103 |
| **2021** | $17488 | $19017 |
| **2021** | $18218 | $19457 |
| **2021** | $18986 | $19977 |
| **2021** | $19467 | $20850 |
| **2021** | $20125 | $21165 |
| **2021** | $19845 | $21454 |
| **2021** | $19656 | $21602 |
| **2021** | $19942 | $22142 |
| **2021** | $19259 | $21228 |
| **2021** | $19765 | $22311 |
| **2021** | $18979 | $21774 |
| **2021** | $20017 | $22645 |
| **2022** | $19590 | $21533 |
| **2022** | $18672 | $20976 |
| **2022** | $18324 | $21431 |
| **2022** | $17247 | $19715 |
| **2022** | $17608 | $19739 |
| **2022** | $16060 | $18075 |
| **2022** | $16747 | $19337 |
| **2022** | $16127 | $18625 |
| **2022** | $14630 | $16842 |
| **2022** | $15514 | $17858 |
| **2022** | $17176 | $19244 |
| **2022** | $16613 | $18486 |
| **2023** | $17953 | $19811 |
| **2023** | $17429 | $19244 |
| **2023** | $17698 | $19837 |
| **2023** | $17925 | $20122 |
| **2023** | $17521 | $19906 |
| **2023** | $18585 | $21062 |
| **2023** | $19396 | $21833 |
| **2023** | $18794 | $21223 |
| **2023** | $18358 | $20346 |
| **2023** | $17742 | $19734 |
| **2023** | $19188 | $21555 |
| **2023** | $20307 | $22591 |
| **2024** | $20217 | $22723 |
| **2024** | $20831 | $23698 |
| **2024** | $21603 | $24429 |
| **2024** | $21034 | $23636 |
| **2024** | $21941 | $24596 |
| **2024** | $21656 | $25143 |
| **2024** | $22407 | $25549 |
| **2024** | $22843 | $26198 |
| **2024** | $23196 | $26806 |
| **2024** | $22279 | $26205 |
| **2024** | $22753 | $27185 |
| **2024** | $22238 | $26541 |
| **2025** | $23076 | $27432 |
| **2025** | $23076 | $27267 |
| **2025** | $22846 | $26190 |
| **2025** | $22973 | $26434 |
| **2025** | $24032 | $27953 |
| **2025** | $25020 | $29209 |
| **2025** | $25123 | $29605 |
| **2025** | $26318 | $30336 |
| **2025** | $26912 | $31435 |
| **2025** | $27300 | $32138 |
| **2025** | $28099 | $32135 |
| **2025** | $28722 | $32470 |
| **2026** | $30410 | $33433 |
| **2026** | $31858 | $33862 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III† | 38.06% | 11.83% | 12.29% |
| MSCI ACWI | 24.19% | 11.72% | 12.97% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 1.29% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.61% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.58% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $681974111 |
| Number of Portfolio Holdings | 14 |
| Portfolio Turnover Rate | 18% |
| Total Advisory Fees Paid, Net | $0 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 58.6 |
| GMO U.S. Equity Funds | 41.3 |
| Short-Term Investments | 0.1 |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| GMO International Equity Fund, Class IV | 24.6 |
| GMO U.S. Opportunistic Value Fund, Class VI | 12.2 |
| GMO International Opportunistic Value Fund, Class IV | 11.2 |
| GMO Quality Fund, Class VI | 11.0 |
| GMO Emerging Markets Fund, Class VI | 10.8 |
| GMO U.S. Equity Fund, Class VI | 9.3 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 6.5 |
| GMO Small Cap Quality Fund, Class VI | 3.9 |
| GMO U.S. Small Cap Value Fund, Class VI | 2.8 |
| GMO Emerging Markets ex-China Fund, Class VI | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Global Equity Allocation Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GMADX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Global Equity Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $1<sup>Footnote Reference1</sup> | 0.01%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class R6 shares of GMO Global Equity Allocation Fund returned +38.11% (net) for the fiscal year ended February 28, 2026, as compared with +24.19% for the Fund's benchmark, the MSCI All Country World Index ("ACWI").

The Fund's regional bias of being underweight to the U.S. market and overweight to developed ex-U.S. and emerging markets had a significant positive impact on performance relative to the benchmark. For the period, the MSCI USA Index lagged other markets and returned 16.1%, while the MSCI World ex USA Index delivered a 35.5% return, and the MSCI Emerging Markets Index did even better with a 50.0% return. Security selection was also strong in each of the developed ex-U.S. markets, emerging markets, and the U.S.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g94o89.jpg)

---

| | | |
|:---|:---|:---|
| | **Class R6** | **MSCI ACWI** |
| **2020** | $10000 | $10000 |
| **2020** | $9968 | $10043 |
| **2020** | $10314 | $10657 |
| **2020** | $10079 | $10314 |
| **2020** | $9869 | $10063 |
| **2020** | $11100 | $11303 |
| **2020** | $11767 | $11828 |
| **2021** | $11824 | $11774 |
| **2021** | $12314 | $12047 |
| **2021** | $12833 | $12369 |
| **2021** | $13162 | $12910 |
| **2021** | $13603 | $13105 |
| **2021** | $13414 | $13283 |
| **2021** | $13290 | $13375 |
| **2021** | $13484 | $13710 |
| **2021** | $13018 | $13143 |
| **2021** | $13360 | $13814 |
| **2021** | $12828 | $13481 |
| **2021** | $13530 | $14021 |
| **2022** | $13242 | $13332 |
| **2022** | $12625 | $12988 |
| **2022** | $12385 | $13269 |
| **2022** | $11658 | $12207 |
| **2022** | $11902 | $12221 |
| **2022** | $10855 | $11191 |
| **2022** | $11320 | $11973 |
| **2022** | $10905 | $11532 |
| **2022** | $9888 | $10428 |
| **2022** | $10491 | $11057 |
| **2022** | $11609 | $11915 |
| **2022** | $11229 | $11446 |
| **2023** | $12135 | $12266 |
| **2023** | $11780 | $11915 |
| **2023** | $11958 | $12282 |
| **2023** | $12111 | $12459 |
| **2023** | $11838 | $12325 |
| **2023** | $12562 | $13041 |
| **2023** | $13110 | $13518 |
| **2023** | $12699 | $13141 |
| **2023** | $12404 | $12597 |
| **2023** | $11992 | $12218 |
| **2023** | $12965 | $13346 |
| **2023** | $13721 | $13987 |
| **2024** | $13665 | $14069 |
| **2024** | $14075 | $14673 |
| **2024** | $14602 | $15126 |
| **2024** | $14217 | $14634 |
| **2024** | $14825 | $15229 |
| **2024** | $14638 | $15568 |
| **2024** | $15145 | $15819 |
| **2024** | $15440 | $16221 |
| **2024** | $15679 | $16597 |
| **2024** | $15059 | $16225 |
| **2024** | $15374 | $16832 |
| **2024** | $15026 | $16433 |
| **2025** | $15592 | $16985 |
| **2025** | $15592 | $16883 |
| **2025** | $15437 | $16216 |
| **2025** | $15523 | $16367 |
| **2025** | $16244 | $17308 |
| **2025** | $16907 | $18085 |
| **2025** | $16982 | $18330 |
| **2025** | $17789 | $18783 |
| **2025** | $18190 | $19463 |
| **2025** | $18447 | $19899 |
| **2025** | $18993 | $19896 |
| **2025** | $19414 | $20104 |
| **2026** | $20550 | $20700 |
| **2026** | $21534 | $20966 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 7/15/2020 (commencement of operations) |
| Class R6† | 38.11% | 11.83% | 14.61% |
| MSCI ACWI | 24.19% | 11.72% | 14.07% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 1.29% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.61% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.58% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $681974111 |
| Number of Portfolio Holdings | 14 |
| Portfolio Turnover Rate | 18% |
| Total Advisory Fees Paid, Net | $0 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 58.6 |
| GMO U.S. Equity Funds | 41.3 |
| Short-Term Investments | 0.1 |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| GMO International Equity Fund, Class IV | 24.6 |
| GMO U.S. Opportunistic Value Fund, Class VI | 12.2 |
| GMO International Opportunistic Value Fund, Class IV | 11.2 |
| GMO Quality Fund, Class VI | 11.0 |
| GMO Emerging Markets Fund, Class VI | 10.8 |
| GMO U.S. Equity Fund, Class VI | 9.3 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 6.5 |
| GMO Small Cap Quality Fund, Class VI | 3.9 |
| GMO U.S. Small Cap Value Fund, Class VI | 2.8 |
| GMO Emerging Markets ex-China Fund, Class VI | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Global Equity Allocation Fund
![Image](g12033g00x59.jpg)

#### Class I (GAAUX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Global Equity Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class I | $13<sup>Footnote Reference1</sup> | 0.11%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class I shares of GMO Global Equity Allocation Fund returned +37.95% (net) for the fiscal year ended February 28, 2026, as compared with +24.19% for the Fund's benchmark, the MSCI All Country World Index ("ACWI").

The Fund's regional bias of being underweight to the U.S. market and overweight to developed ex-U.S. and emerging markets had a significant positive impact on performance relative to the benchmark. For the period, the MSCI USA Index lagged other markets and returned 16.1%, while the MSCI World ex USA Index delivered a 35.5% return, and the MSCI Emerging Markets Index did even better with a 50.0% return. Security selection was also strong in each of the developed ex-U.S. markets, emerging markets, and the U.S.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g52y50.jpg)

---

| | | |
|:---|:---|:---|
| | **Class I** | **MSCI ACWI** |
| **2020** | $10000 | $10000 |
| **2020** | $9939 | $10234 |
| **2020** | $9709 | $9904 |
| **2020** | $9507 | $9663 |
| **2020** | $10692 | $10854 |
| **2020** | $11332 | $11358 |
| **2021** | $11388 | $11306 |
| **2021** | $11864 | $11568 |
| **2021** | $12355 | $11877 |
| **2021** | $12673 | $12397 |
| **2021** | $13097 | $12584 |
| **2021** | $12915 | $12755 |
| **2021** | $12791 | $12843 |
| **2021** | $12977 | $13165 |
| **2021** | $12529 | $12621 |
| **2021** | $12858 | $13265 |
| **2021** | $12346 | $12946 |
| **2021** | $13020 | $13464 |
| **2022** | $12742 | $12802 |
| **2022** | $12144 | $12472 |
| **2022** | $11918 | $12742 |
| **2022** | $11214 | $11722 |
| **2022** | $11448 | $11736 |
| **2022** | $10441 | $10746 |
| **2022** | $10885 | $11497 |
| **2022** | $10487 | $11074 |
| **2022** | $9508 | $10013 |
| **2022** | $10084 | $10618 |
| **2022** | $11160 | $11441 |
| **2022** | $10796 | $10991 |
| **2023** | $11667 | $11779 |
| **2023** | $11326 | $11441 |
| **2023** | $11492 | $11794 |
| **2023** | $11644 | $11964 |
| **2023** | $11377 | $11835 |
| **2023** | $12073 | $12523 |
| **2023** | $12596 | $12981 |
| **2023** | $12201 | $12618 |
| **2023** | $11917 | $12097 |
| **2023** | $11517 | $11733 |
| **2023** | $12457 | $12816 |
| **2023** | $13179 | $13431 |
| **2024** | $13126 | $13510 |
| **2024** | $13520 | $14090 |
| **2024** | $14022 | $14525 |
| **2024** | $13652 | $14053 |
| **2024** | $14236 | $14623 |
| **2024** | $14051 | $14949 |
| **2024** | $14540 | $15190 |
| **2024** | $14818 | $15576 |
| **2024** | $15047 | $15938 |
| **2024** | $14452 | $15580 |
| **2024** | $14754 | $16163 |
| **2024** | $14417 | $15780 |
| **2025** | $14961 | $16310 |
| **2025** | $14956 | $16212 |
| **2025** | $14807 | $15571 |
| **2025** | $14889 | $15716 |
| **2025** | $15576 | $16620 |
| **2025** | $16212 | $17366 |
| **2025** | $16282 | $17602 |
| **2025** | $17052 | $18036 |
| **2025** | $17437 | $18690 |
| **2025** | $17683 | $19108 |
| **2025** | $18202 | $19106 |
| **2025** | $18605 | $19305 |
| **2026** | $19693 | $19877 |
| **2026** | $20632 | $20133 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 8/17/2020 (commencement of operations) |
| Class I† | 37.95% | 11.70% | 13.98% |
| MSCI ACWI | 24.19% | 11.72% | 13.48% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 1.29% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.79% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.76% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $681974111 |
| Number of Portfolio Holdings | 14 |
| Portfolio Turnover Rate | 18% |
| Total Advisory Fees Paid, Net | $0 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 58.6 |
| GMO U.S. Equity Funds | 41.3 |
| Short-Term Investments | 0.1 |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| GMO International Equity Fund, Class IV | 24.6 |
| GMO U.S. Opportunistic Value Fund, Class VI | 12.2 |
| GMO International Opportunistic Value Fund, Class IV | 11.2 |
| GMO Quality Fund, Class VI | 11.0 |
| GMO Emerging Markets Fund, Class VI | 10.8 |
| GMO U.S. Equity Fund, Class VI | 9.3 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 6.5 |
| GMO Small Cap Quality Fund, Class VI | 3.9 |
| GMO U.S. Small Cap Value Fund, Class VI | 2.8 |
| GMO Emerging Markets ex-China Fund, Class VI | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Implementation Fund
![Image](g12033g00x59.jpg)

#### Core Class (GIMFX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Implementation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

GMO Implementation SPC Ltd. was a 100% owned subsidiary of GMO Implementation Fund through August 28, 2025, the date GMO Implementation Fund SPC Ltd. liquidated. As such, the amounts presented for GMO Implementation Fund are consolidated with its subsidiary through August 28, 2025 as applicable.

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Core Class | $40 | 0.34%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Includes interest and/or dividend expenses and/or borrowing costs to average daily net assets of 0.31%. |

---

# How did the Fund perform last year and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the Consumer Price Index ("CPI") is included for comparative purposes only.

GMO Implementation Fund returned +34.50% (net) for the fiscal year ended February 28, 2026, as compared with 2.40% for the CPI.

This was a strong 12 months for absolute performance, as well as a very satisfactory outcome in relation to traditional risk assets. Over the same period, developed equities as measured by the MSCI World Index were up 21.3%, emerging equities as measured by the MSCI Emerging Markets Index were up 50.0%, and bonds as measured by the Bloomberg U.S. Aggregate Index were up 6.3%.

The Fund had an average equity exposure of about 59%, and this outperformed MSCI All Country World Index, returning 51.4%. Within developed markets, we were leaning away from the U.S. as we believed it was trading at an unfavorable valuation, and it went on to underperform relative to other markets. We also had a meaningful investment in emerging markets as we believed they were trading at preferential valuations, and they strongly outperformed developed markets for the period. There was a broadly 19% average exposure to alternatives, and this delivered an excellent 27.3% return, outpacing buoyant equity markets. Fixed income assets accounted for an average 22% of the Fund, and these were up 5.2% for the 12 months, lagging the Bloomberg U.S. Aggregate Index.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g15x28.jpg)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Core Class** | **MSCI World Index** | **Consumer Price Index** | **Bloomberg U.S. Aggregate Index** | **Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index** |
| **2016** | $10000 | $10000 | $10000 | $10000 | $10000 |
| **2016** | $10475 | $10679 | $10009 | $10092 | $10144 |
| **2016** | $10568 | $10848 | $10050 | $10130 | $10171 |
| **2016** | $10500 | $10908 | $10072 | $10133 | $10112 |
| **2016** | $10517 | $10786 | $10093 | $10315 | $10278 |
| **2016** | $10763 | $11242 | $10089 | $10380 | $10311 |
| **2016** | $10814 | $11251 | $10109 | $10369 | $10258 |
| **2016** | $10907 | $11311 | $10139 | $10362 | $10337 |
| **2016** | $10864 | $11092 | $10175 | $10283 | $10324 |
| **2016** | $10720 | $11252 | $10195 | $10040 | $10173 |
| **2016** | $10839 | $11521 | $10224 | $10054 | $10184 |
| **2017** | $11089 | $11799 | $10271 | $10074 | $10260 |
| **2017** | $11288 | $12126 | $10284 | $10142 | $10285 |
| **2017** | $11409 | $12255 | $10254 | $10136 | $10292 |
| **2017** | $11539 | $12437 | $10271 | $10214 | $10337 |
| **2017** | $11668 | $12700 | $10258 | $10293 | $10332 |
| **2017** | $11720 | $12749 | $10256 | $10283 | $10250 |
| **2017** | $11928 | $13054 | $10267 | $10327 | $10302 |
| **2017** | $12033 | $13072 | $10308 | $10420 | $10373 |
| **2017** | $12007 | $13366 | $10365 | $10370 | $10322 |
| **2017** | $12198 | $13618 | $10376 | $10376 | $10339 |
| **2017** | $12180 | $13913 | $10416 | $10363 | $10328 |
| **2017** | $12365 | $14102 | $10431 | $10410 | $10377 |
| **2018** | $12846 | $14846 | $10485 | $10290 | $10299 |
| **2018** | $12543 | $14231 | $10501 | $10193 | $10252 |
| **2018** | $12499 | $13912 | $10495 | $10258 | $10336 |
| **2018** | $12419 | $14081 | $10518 | $10182 | $10322 |
| **2018** | $12312 | $14169 | $10540 | $10254 | $10370 |
| **2018** | $12098 | $14162 | $10553 | $10242 | $10399 |
| **2018** | $12298 | $14605 | $10571 | $10244 | $10359 |
| **2018** | $12138 | $14785 | $10595 | $10310 | $10429 |
| **2018** | $12164 | $14868 | $10601 | $10244 | $10356 |
| **2018** | $11709 | $13776 | $10636 | $10163 | $10276 |
| **2018** | $11852 | $13933 | $10638 | $10224 | $10309 |
| **2018** | $11675 | $12873 | $10632 | $10411 | $10351 |
| **2019** | $12336 | $13875 | $10630 | $10522 | $10467 |
| **2019** | $12308 | $14292 | $10648 | $10516 | $10477 |
| **2019** | $12336 | $14480 | $10692 | $10718 | $10617 |
| **2019** | $12503 | $14993 | $10726 | $10721 | $10663 |
| **2019** | $12149 | $14128 | $10734 | $10911 | $10779 |
| **2019** | $12568 | $15059 | $10740 | $11048 | $10886 |
| **2019** | $12429 | $15134 | $10776 | $11072 | $10902 |
| **2019** | $12139 | $14824 | $10782 | $11359 | $11042 |
| **2019** | $12392 | $15139 | $10785 | $11299 | $10951 |
| **2019** | $12663 | $15525 | $10823 | $11333 | $10982 |
| **2019** | $12728 | $15957 | $10851 | $11327 | $10984 |
| **2019** | $13220 | $16435 | $10875 | $11319 | $11060 |
| **2020** | $12822 | $16335 | $10888 | $11537 | $11204 |
| **2020** | $12338 | $14954 | $10898 | $11744 | $11301 |
| **2020** | $10827 | $12975 | $10852 | $11675 | $11094 |
| **2020** | $11602 | $14393 | $10765 | $11883 | $11320 |
| **2020** | $11389 | $15088 | $10760 | $11938 | $11390 |
| **2020** | $11467 | $15487 | $10821 | $12013 | $11511 |
| **2020** | $11786 | $16228 | $10884 | $12193 | $11676 |
| **2020** | $11708 | $17312 | $10924 | $12094 | $11841 |
| **2020** | $11640 | $16715 | $10947 | $12088 | $11800 |
| **2020** | $11679 | $16202 | $10952 | $12034 | $11751 |
| **2020** | $12038 | $18274 | $10972 | $12152 | $11841 |
| **2020** | $12261 | $19049 | $11013 | $12169 | $11988 |
| **2021** | $12360 | $18859 | $11032 | $12081 | $12063 |
| **2021** | $12578 | $19343 | $11071 | $11907 | $11976 |
| **2021** | $12974 | $19986 | $11139 | $11758 | $11995 |
| **2021** | $12994 | $20916 | $11225 | $11851 | $12148 |
| **2021** | $13351 | $21243 | $11298 | $11890 | $12261 |
| **2021** | $13054 | $21534 | $11400 | $11973 | $12271 |
| **2021** | $12786 | $21920 | $11454 | $12107 | $12554 |
| **2021** | $12836 | $22465 | $11485 | $12084 | $12530 |
| **2021** | $12796 | $21533 | $11533 | $11980 | $12478 |
| **2021** | $12598 | $22752 | $11641 | $11976 | $12579 |
| **2021** | $12340 | $22254 | $11732 | $12012 | $12609 |
| **2021** | $12760 | $23205 | $11787 | $11981 | $12670 |
| **2022** | $13149 | $21977 | $11861 | $11723 | $12516 |
| **2022** | $12832 | $21421 | $11955 | $11592 | $12638 |
| **2022** | $12545 | $22009 | $12103 | $11270 | $12449 |
| **2022** | $12515 | $20181 | $12144 | $10842 | $12333 |
| **2022** | $12781 | $20196 | $12262 | $10912 | $12327 |
| **2022** | $12105 | $18446 | $12424 | $10741 | $12023 |
| **2022** | $12209 | $19911 | $12422 | $11003 | $12456 |
| **2022** | $12126 | $19079 | $12436 | $10693 | $12159 |
| **2022** | $11622 | $17305 | $12484 | $10231 | $11549 |
| **2022** | $11869 | $18548 | $12539 | $10098 | $11676 |
| **2022** | $12693 | $19837 | $12551 | $10469 | $11819 |
| **2022** | $12603 | $18995 | $12541 | $10422 | $11739 |
| **2023** | $13207 | $20339 | $12643 | $10743 | $11897 |
| **2023** | $13027 | $19850 | $12690 | $10465 | $11755 |
| **2023** | $12974 | $20463 | $12697 | $10731 | $12085 |
| **2023** | $13186 | $20822 | $12743 | $10796 | $12108 |
| **2023** | $12762 | $20614 | $12759 | $10678 | $11971 |
| **2023** | $13303 | $21861 | $12782 | $10640 | $11913 |
| **2023** | $13789 | $22595 | $12803 | $10633 | $11967 |
| **2023** | $13554 | $22056 | $12884 | $10565 | $11914 |
| **2023** | $13596 | $21104 | $12935 | $10296 | $11793 |
| **2023** | $13254 | $20492 | $12941 | $10134 | $11779 |
| **2023** | $13810 | $22413 | $12954 | $10593 | $12003 |
| **2023** | $14460 | $23513 | $12993 | $10998 | $12252 |
| **2024** | $14427 | $23796 | $13028 | $10968 | $12297 |
| **2024** | $14517 | $24804 | $13086 | $10813 | $12186 |
| **2024** | $14933 | $25594 | $13135 | $10913 | $12284 |
| **2024** | $14764 | $24651 | $13176 | $10637 | $12158 |
| **2024** | $15248 | $25751 | $13177 | $10818 | $12327 |
| **2024** | $15023 | $26275 | $13170 | $10920 | $12421 |
| **2024** | $15440 | $26738 | $13190 | $11175 | $12606 |
| **2024** | $15532 | $27445 | $13215 | $11336 | $12693 |
| **2024** | $15590 | $27948 | $13238 | $11488 | $12856 |
| **2024** | $15049 | $27393 | $13271 | $11203 | $12686 |
| **2024** | $15037 | $28650 | $13312 | $11321 | $12743 |
| **2024** | $15184 | $27904 | $13365 | $11136 | $12631 |
| **2025** | $15410 | $28888 | $13424 | $11195 | $12783 |
| **2025** | $15696 | $28680 | $13452 | $11441 | $13004 |
| **2025** | $15946 | $27403 | $13446 | $11446 | $13137 |
| **2025** | $16041 | $27647 | $13475 | $11491 | $13216 |
| **2025** | $16327 | $29283 | $13486 | $11408 | $13163 |
| **2025** | $16791 | $30547 | $13525 | $11584 | $13272 |
| **2025** | $16886 | $30940 | $13552 | $11553 | $13308 |
| **2025** | $17642 | $31747 | $13603 | $11691 | $13535 |
| **2025** | $17894 | $32768 | $13646 | $11819 | $13533 |
| **2025** | $18134 | $33424 | $13646 | $11893 | $13554 |
| **2025** | $18626 | $33519 | $13674 | $11967 | $13600 |
| **2025** | $19037 | $33789 | $13716 | $11949 | $13575 |
| **2026** | $19956 | $34546 | $13739 | $11962 | $13637 |
| **2026** | $21112 | $34799 | $13776 | $12158 | $13757 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Core Class† | 34.50% | 10.91% | 7.76% |
| MSCI World Index | 21.33% | 12.46% | 13.28% |
| Consumer Price Index | 2.40% | 4.47% | 3.26% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.97% |
| Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index | 5.79% | 2.81% | 3.24% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 2.77% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.47% is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.41% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $2297786778 |
| Number of Portfolio Holdings | 1313 |
| Portfolio Turnover Rate | 131%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 140%. |

---

#### What does the Fund invest in?

# Industry Group Summary<sup>**Footnote Reference \***</sup>

#### % of Equity Investments

---

| | |
|:---|:---|
| Banks | 14.0 |
| Materials | 10.3 |
| Capital Goods | 10.2 |
| Automobiles & Components | 8.5 |
| Energy | 7.8 |
| Pharmaceuticals, Biotechnology & Life Sciences | 7.6 |
| Technology Hardware & Equipment | 7.4 |
| Semiconductors & Semiconductor Equipment | 5.0 |
| Transportation | 4.8 |
| Consumer Durables & Apparel | 4.6 |
| Insurance | 4.5 |
| Food, Beverage & Tobacco | 4.0 |
| Financial Services | 3.4 |
| Telecommunication Services | 3.4 |
| Health Care Equipment & Services | 2.3 |
| Consumer Staples Distribution & Retail | 1.8 |
| Real Estate Management & Development | 1.5 |
| Utilities | 0.8 |
| Consumer Discretionary Distribution & Retail | 0.8 |
| Household & Personal Products | 0.6 |
| Equity Real Estate Investment Trusts (REITs) | 0.1 |
| Commercial & Professional Services | (0.2) |
| Media & Entertainment | (0.4) |
| Software & Services | (1.4) |
| Consumer Services | (1.4) |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments, mutual funds and derivative financial instruments, if any. |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*\*\*</sup>

---

| | |
|:---|:---|
| U.S. Treasury Floating Rate Notes, 3.72%, due 01/31/28 | 6.8 |
| U.S. Treasury Floating Rate Notes, 3.81%, due 10/31/27 | 6.7 |
| U.S. Treasury Floating Rate Notes, 3.78%, due 07/31/27 | 4.4 |
| U.S. Treasury Floating Rate Notes, 3.78%, due 04/30/27 | 4.0 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | 1.8 |
| Samsung Electronics Co. Ltd. | 0.8 |
| BHP Group Ltd. | 0.7 |
| Banco Bilbao Vizcaya Argentaria SA | 0.7 |
| Hyundai Mobis Co. Ltd. | 0.7 |
| Inpex Corp. | 0.6 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

#### Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Common Stocks | 75.3 |
| Debt Obligations | 22.1 |
| Short-Term Investments | 16.8 |
| Preferred Stocks | 1.5 |
| Futures Contracts | 0.1 |
| Forward Currency Contracts | 0.1 |
| Rights/Warrants | 0.1 |
| GMO Implementation Funds<sup>Footnote Reference\*\*</sup> | 0.0 |
| Swap Contracts | (0.1) |
| Securities Sold Short | (16.2) |
| Other | 0.3 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Developed Equity Allocation Fund
![Image](g12033g00x59.jpg)

#### Class III (GIOTX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Developed Equity Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $1<sup>Footnote Reference1</sup> | 0.01%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class III shares of GMO International Developed Equity Allocation Fund returned +52.32% (net) for the fiscal year ended February 28, 2026, as compared with +34.63% for the Fund's benchmark, the MSCI EAFE Index.

The Fund's decision to allocate a little over 20% using a Deep Value approach, targeting the cheapest 20% of stocks, was additive as the MSCI EAFE Value Index outperformed the broad MSCI EAFE Index by a little over 11%. The modest overweight to Japan, which beat the MSCI EAFE Index, added to relative performance. Stock selection was very strong, with outperformance in the core developed ex-U.S. exposure being a particularly important driver of outperformance of the benchmark.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g00u66.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **MSCI EAFE Index** |
| **2016** | $10000 | $10000 |
| **2016** | $10759 | $10651 |
| **2016** | $10981 | $10959 |
| **2016** | $10950 | $10859 |
| **2016** | $10651 | $10495 |
| **2016** | $11057 | $11027 |
| **2016** | $11111 | $11035 |
| **2016** | $11288 | $11170 |
| **2016** | $11149 | $10942 |
| **2016** | $10950 | $10724 |
| **2016** | $11243 | $11091 |
| **2017** | $11570 | $11412 |
| **2017** | $11737 | $11575 |
| **2017** | $12056 | $11894 |
| **2017** | $12319 | $12197 |
| **2017** | $12718 | $12644 |
| **2017** | $12782 | $12622 |
| **2017** | $13110 | $12986 |
| **2017** | $13286 | $12981 |
| **2017** | $13621 | $13304 |
| **2017** | $13957 | $13506 |
| **2017** | $13965 | $13648 |
| **2017** | $14209 | $13867 |
| **2018** | $15089 | $14563 |
| **2018** | $14250 | $13905 |
| **2018** | $14061 | $13631 |
| **2018** | $14061 | $13966 |
| **2018** | $13797 | $13652 |
| **2018** | $13238 | $13486 |
| **2018** | $13643 | $13818 |
| **2018** | $13304 | $13551 |
| **2018** | $13370 | $13668 |
| **2018** | $12146 | $12580 |
| **2018** | $12072 | $12565 |
| **2018** | $11406 | $11955 |
| **2019** | $12456 | $12740 |
| **2019** | $12602 | $13065 |
| **2019** | $12627 | $13147 |
| **2019** | $13003 | $13517 |
| **2019** | $12115 | $12868 |
| **2019** | $12858 | $13631 |
| **2019** | $12494 | $13458 |
| **2019** | $12185 | $13110 |
| **2019** | $12751 | $13485 |
| **2019** | $13367 | $13970 |
| **2019** | $13538 | $14127 |
| **2019** | $14192 | $14586 |
| **2020** | $13872 | $14282 |
| **2020** | $12871 | $12991 |
| **2020** | $10788 | $11257 |
| **2020** | $11630 | $11984 |
| **2020** | $12126 | $12506 |
| **2020** | $12552 | $12932 |
| **2020** | $13042 | $13233 |
| **2020** | $13433 | $13914 |
| **2020** | $13255 | $13552 |
| **2020** | $12758 | $13011 |
| **2020** | $14356 | $15028 |
| **2020** | $15242 | $15726 |
| **2021** | $15186 | $15559 |
| **2021** | $15705 | $15908 |
| **2021** | $16363 | $16274 |
| **2021** | $16752 | $16763 |
| **2021** | $17512 | $17365 |
| **2021** | $17095 | $17115 |
| **2021** | $16983 | $17244 |
| **2021** | $17141 | $17548 |
| **2021** | $16556 | $17039 |
| **2021** | $16825 | $17458 |
| **2021** | $15989 | $16645 |
| **2021** | $16937 | $17498 |
| **2022** | $16769 | $16652 |
| **2022** | $16157 | $16358 |
| **2022** | $15920 | $16463 |
| **2022** | $14991 | $15398 |
| **2022** | $15435 | $15513 |
| **2022** | $13983 | $14074 |
| **2022** | $14373 | $14775 |
| **2022** | $13718 | $14073 |
| **2022** | $12588 | $12757 |
| **2022** | $13341 | $13443 |
| **2022** | $14998 | $14957 |
| **2022** | $14840 | $14969 |
| **2023** | $15924 | $16181 |
| **2023** | $15635 | $15844 |
| **2023** | $15903 | $16236 |
| **2023** | $16172 | $16695 |
| **2023** | $15552 | $15988 |
| **2023** | $16585 | $16716 |
| **2023** | $17258 | $17257 |
| **2023** | $16720 | $16595 |
| **2023** | $16452 | $16029 |
| **2023** | $15832 | $15379 |
| **2023** | $17185 | $16806 |
| **2023** | $17953 | $17699 |
| **2024** | $17953 | $17801 |
| **2024** | $18305 | $18127 |
| **2024** | $19086 | $18703 |
| **2024** | $18723 | $18244 |
| **2024** | $19724 | $18950 |
| **2024** | $19042 | $18644 |
| **2024** | $19847 | $19191 |
| **2024** | $20442 | $19815 |
| **2024** | $20750 | $19998 |
| **2024** | $19615 | $18911 |
| **2024** | $19549 | $18803 |
| **2024** | $19862 | $18376 |
| **2025** | $20752 | $19341 |
| **2025** | $21422 | $19717 |
| **2025** | $21861 | $19637 |
| **2025** | $22809 | $20536 |
| **2025** | $23768 | $21476 |
| **2025** | $24461 | $21949 |
| **2025** | $24374 | $21641 |
| **2025** | $25669 | $22564 |
| **2025** | $26155 | $22996 |
| **2025** | $26421 | $23266 |
| **2025** | $27681 | $23411 |
| **2025** | $28549 | $24113 |
| **2026** | $30359 | $25371 |
| **2026** | $32631 | $26545 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III† | 52.32% | 15.75% | 12.56% |
| MSCI EAFE Index | 34.63% | 10.78% | 10.26% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 3.96% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.69% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.64% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $213072387 |
| Number of Portfolio Holdings | 4 |
| Portfolio Turnover Rate | 14% |
| Total Advisory Fees Paid, Net | $0 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 100.0 |
| Short-Term Investments | 0.1 |
| Other | (0.1) |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| GMO International Equity Fund, Class IV | 69.9 |
| GMO International Opportunistic Value Fund, Class IV | 22.9 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 7.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Developed Equity Allocation Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GAAWX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Developed Equity Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $1<sup>Footnote Reference1</sup> | 0.01%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class R6 shares of GMO International Developed Equity Allocation Fund returned +52.26% (net) for the fiscal year ended February 28, 2026, as compared with +34.63% for the Fund's benchmark, the MSCI EAFE Index.

The Fund's decision to allocate a little over 20% using a Deep Value approach, targeting the cheapest 20% of stocks, was additive as the MSCI EAFE Value Index outperformed the broad MSCI EAFE Index by a little over 11%. The modest overweight to Japan, which beat the MSCI EAFE Index, added to relative performance. Stock selection was very strong, with outperformance in the core developed ex-U.S. exposure being a particularly important driver of outperformance of the benchmark.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g50i19.jpg)

---

| | | |
|:---|:---|:---|
| | **Class R6** | **MSCI EAFE Index** |
| **2021** | $10000 | $10000 |
| **2021** | $9596 | $9655 |
| **2021** | $9924 | $9872 |
| **2021** | $10340 | $10099 |
| **2021** | $10580 | $10403 |
| **2021** | $11066 | $10776 |
| **2021** | $10802 | $10621 |
| **2021** | $10731 | $10701 |
| **2021** | $10831 | $10890 |
| **2021** | $10461 | $10574 |
| **2021** | $10632 | $10834 |
| **2021** | $10104 | $10329 |
| **2021** | $10696 | $10858 |
| **2022** | $10590 | $10334 |
| **2022** | $10209 | $10151 |
| **2022** | $10060 | $10216 |
| **2022** | $9473 | $9555 |
| **2022** | $9754 | $9627 |
| **2022** | $8829 | $8734 |
| **2022** | $9082 | $9169 |
| **2022** | $8669 | $8733 |
| **2022** | $7954 | $7916 |
| **2022** | $8430 | $8342 |
| **2022** | $9471 | $9282 |
| **2022** | $9377 | $9289 |
| **2023** | $10062 | $10041 |
| **2023** | $9880 | $9832 |
| **2023** | $10049 | $10075 |
| **2023** | $10219 | $10360 |
| **2023** | $9827 | $9921 |
| **2023** | $10480 | $10373 |
| **2023** | $10905 | $10709 |
| **2023** | $10566 | $10298 |
| **2023** | $10389 | $9947 |
| **2023** | $10004 | $9543 |
| **2023** | $10853 | $10429 |
| **2023** | $11345 | $10983 |
| **2024** | $11338 | $11046 |
| **2024** | $11560 | $11249 |
| **2024** | $12054 | $11606 |
| **2024** | $11831 | $11321 |
| **2024** | $12464 | $11760 |
| **2024** | $12033 | $11570 |
| **2024** | $12535 | $11909 |
| **2024** | $12917 | $12296 |
| **2024** | $13112 | $12410 |
| **2024** | $12395 | $11735 |
| **2024** | $12354 | $11669 |
| **2024** | $12552 | $11403 |
| **2025** | $13107 | $12002 |
| **2025** | $13537 | $12235 |
| **2025** | $13815 | $12186 |
| **2025** | $14414 | $12744 |
| **2025** | $15020 | $13327 |
| **2025** | $15458 | $13621 |
| **2025** | $15403 | $13430 |
| **2025** | $16221 | $14002 |
| **2025** | $16528 | $14270 |
| **2025** | $16696 | $14438 |
| **2025** | $17493 | $14528 |
| **2025** | $18041 | $14963 |
| **2026** | $19185 | $15744 |
| **2026** | $20613 | $16473 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 1/22/2021 (commencement of operations) |
| Class R6† | 52.26% | 15.74% | 15.24% |
| MSCI EAFE Index | 34.63% | 10.78% | 10.28% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 3.96% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.69% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.64% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $213072387 |
| Number of Portfolio Holdings | 4 |
| Portfolio Turnover Rate | 14% |
| Total Advisory Fees Paid, Net | $0 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 100.0 |
| Short-Term Investments | 0.1 |
| Other | (0.1) |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| GMO International Equity Fund, Class IV | 69.9 |
| GMO International Opportunistic Value Fund, Class IV | 22.9 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 7.2 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Equity Allocation Fund
![Image](g12033g00x59.jpg)

#### Class III (GIEAX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Equity Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $1<sup>Footnote Reference1</sup> | 0.01%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class III shares of GMO International Equity Allocation Fund returned +53.58% (net) for the fiscal year ended February 28, 2026, compared to +39.71% for the MSCI All Country World Index ("ACWI") ex USA.

The Fund's decision to allocate an average 18% exposure to a Deep Value approach, targeting the cheapest 20% of developed market stocks outside the U.S., was additive as the MSCI World ex USA Value Index outperformed the broad MSCI World ex USA Index by 11%. The moderate overweight to Japan, which beat the MSCI ACWI ex USA Index, also added to relative performance. Stock selection was very strong across the globe, with outperformance in the core developed ex-US exposure being a particularly important driver of outperformance of the benchmark.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g02n83.jpg)

---

| | | |
|:---|:---|:---|
| | **Class III** | **MSCI ACWI ex USA** |
| **2016** | $10000 | $10000 |
| **2016** | $10923 | $10813 |
| **2016** | $11115 | $11098 |
| **2016** | $11038 | $10910 |
| **2016** | $10923 | $10743 |
| **2016** | $11381 | $11275 |
| **2016** | $11492 | $11346 |
| **2016** | $11655 | $11486 |
| **2016** | $11527 | $11321 |
| **2016** | $11252 | $11059 |
| **2016** | $11485 | $11342 |
| **2017** | $11905 | $11744 |
| **2017** | $12158 | $11931 |
| **2017** | $12494 | $12233 |
| **2017** | $12750 | $12495 |
| **2017** | $13135 | $12901 |
| **2017** | $13219 | $12941 |
| **2017** | $13625 | $13418 |
| **2017** | $13807 | $13488 |
| **2017** | $13975 | $13738 |
| **2017** | $14375 | $13997 |
| **2017** | $14375 | $14110 |
| **2017** | $14678 | $14426 |
| **2018** | $15686 | $15229 |
| **2018** | $14878 | $14511 |
| **2018** | $14691 | $14234 |
| **2018** | $14518 | $14483 |
| **2018** | $14235 | $14148 |
| **2018** | $13665 | $13883 |
| **2018** | $14090 | $14215 |
| **2018** | $13704 | $13917 |
| **2018** | $13814 | $13980 |
| **2018** | $12607 | $12843 |
| **2018** | $12676 | $12965 |
| **2018** | $12063 | $12378 |
| **2019** | $13194 | $13313 |
| **2019** | $13288 | $13573 |
| **2019** | $13335 | $13654 |
| **2019** | $13686 | $14015 |
| **2019** | $12815 | $13263 |
| **2019** | $13610 | $14061 |
| **2019** | $13308 | $13891 |
| **2019** | $12857 | $13462 |
| **2019** | $13403 | $13809 |
| **2019** | $14001 | $14290 |
| **2019** | $14148 | $14416 |
| **2019** | $14935 | $15041 |
| **2020** | $14429 | $14637 |
| **2020** | $13504 | $13480 |
| **2020** | $11349 | $11528 |
| **2020** | $12269 | $12402 |
| **2020** | $12717 | $12807 |
| **2020** | $13199 | $13386 |
| **2020** | $13814 | $13983 |
| **2020** | $14125 | $14582 |
| **2020** | $13878 | $14223 |
| **2020** | $13542 | $13917 |
| **2020** | $15068 | $15789 |
| **2020** | $15976 | $16643 |
| **2021** | $16109 | $16679 |
| **2021** | $16566 | $17009 |
| **2021** | $17073 | $17224 |
| **2021** | $17386 | $17731 |
| **2021** | $18073 | $18266 |
| **2021** | $17704 | $18167 |
| **2021** | $17381 | $17868 |
| **2021** | $17633 | $18208 |
| **2021** | $17011 | $17625 |
| **2021** | $17247 | $18045 |
| **2021** | $16399 | $17233 |
| **2021** | $17248 | $17945 |
| **2022** | $17041 | $17284 |
| **2022** | $16008 | $16942 |
| **2022** | $15447 | $16969 |
| **2022** | $14550 | $15903 |
| **2022** | $14914 | $16017 |
| **2022** | $13636 | $14639 |
| **2022** | $13845 | $15141 |
| **2022** | $13387 | $14654 |
| **2022** | $12138 | $13189 |
| **2022** | $12618 | $13583 |
| **2022** | $14265 | $15187 |
| **2022** | $13988 | $15073 |
| **2023** | $15073 | $16296 |
| **2023** | $14559 | $15724 |
| **2023** | $14811 | $16108 |
| **2023** | $14999 | $16388 |
| **2023** | $14508 | $15792 |
| **2023** | $15313 | $16501 |
| **2023** | $16050 | $17172 |
| **2023** | $15405 | $16396 |
| **2023** | $15226 | $15878 |
| **2023** | $14731 | $15223 |
| **2023** | $16004 | $16593 |
| **2023** | $16817 | $17427 |
| **2024** | $16707 | $17254 |
| **2024** | $17111 | $17691 |
| **2024** | $17638 | $18217 |
| **2024** | $17467 | $17916 |
| **2024** | $18232 | $18436 |
| **2024** | $17810 | $18419 |
| **2024** | $18340 | $18845 |
| **2024** | $18830 | $19382 |
| **2024** | $19233 | $19904 |
| **2024** | $18241 | $18927 |
| **2024** | $18123 | $18756 |
| **2024** | $18229 | $18392 |
| **2025** | $18880 | $19133 |
| **2025** | $19291 | $19398 |
| **2025** | $19714 | $19354 |
| **2025** | $20333 | $20053 |
| **2025** | $21290 | $20972 |
| **2025** | $22072 | $21683 |
| **2025** | $22174 | $21621 |
| **2025** | $23237 | $22371 |
| **2025** | $23817 | $23177 |
| **2025** | $24208 | $23646 |
| **2025** | $24912 | $23640 |
| **2025** | $25684 | $24348 |
| **2026** | $27575 | $25804 |
| **2026** | $29626 | $27100 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III† | 53.58% | 12.33% | 11.47% |
| MSCI ACWI ex USA | 39.71% | 9.76% | 10.48% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 2.62% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.75% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.70% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $370353275 |
| Number of Portfolio Holdings | 5 |
| Portfolio Turnover Rate | 18% |
| Total Advisory Fees Paid, Net | $0 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 99.8 |
| Short-Term Investments | 0.2 |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| GMO International Equity Fund, Class IV | 45.0 |
| GMO Emerging Markets Fund, Class VI | 30.0 |
| GMO International Opportunistic Value Fund, Class IV | 17.9 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 7.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO International Equity Allocation Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GSXMX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO International Equity Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $1<sup>Footnote Reference1</sup> | 0.01%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class R6 shares of GMO International Equity Allocation Fund returned +53.56% (net) for the fiscal year ended February 28, 2026, compared to +39.71% for the MSCI All Country World Index ("ACWI") ex USA.

The Fund's decision to allocate an average 18% exposure to a Deep Value approach, targeting the cheapest 20% of developed market stocks outside the U.S., was additive as the MSCI World ex USA Value Index outperformed the broad MSCI World ex USA Index by 11%. The moderate overweight to Japan, which beat the MSCI ACWI ex USA Index, also added to relative performance. Stock selection was very strong across the globe, with outperformance in the core developed ex-US exposure being a particularly important driver of outperformance of the benchmark.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g00e45.jpg)

---

| | | |
|:---|:---|:---|
| | **Class R6** | **MSCI ACWI ex USA** |
| **2019** | $10000 | $10000 |
| **2019** | $10425 | $10257 |
| **2019** | $10894 | $10615 |
| **2019** | $11005 | $10709 |
| **2019** | $11617 | $11173 |
| **2020** | $11223 | $10872 |
| **2020** | $10504 | $10013 |
| **2020** | $8831 | $8563 |
| **2020** | $9543 | $9212 |
| **2020** | $9891 | $9514 |
| **2020** | $10266 | $9944 |
| **2020** | $10745 | $10387 |
| **2020** | $10987 | $10831 |
| **2020** | $10795 | $10565 |
| **2020** | $10534 | $10338 |
| **2020** | $11721 | $11729 |
| **2020** | $12427 | $12363 |
| **2021** | $12531 | $12390 |
| **2021** | $12886 | $12635 |
| **2021** | $13281 | $12795 |
| **2021** | $13524 | $13171 |
| **2021** | $14059 | $13568 |
| **2021** | $13772 | $13495 |
| **2021** | $13520 | $13273 |
| **2021** | $13716 | $13525 |
| **2021** | $13232 | $13092 |
| **2021** | $13416 | $13404 |
| **2021** | $12756 | $12801 |
| **2021** | $13417 | $13330 |
| **2022** | $13256 | $12839 |
| **2022** | $12452 | $12585 |
| **2022** | $12016 | $12605 |
| **2022** | $11317 | $11813 |
| **2022** | $11601 | $11898 |
| **2022** | $10606 | $10874 |
| **2022** | $10769 | $11247 |
| **2022** | $10412 | $10885 |
| **2022** | $9440 | $9797 |
| **2022** | $9814 | $10090 |
| **2022** | $11096 | $11281 |
| **2022** | $10880 | $11197 |
| **2023** | $11725 | $12105 |
| **2023** | $11325 | $11680 |
| **2023** | $11520 | $11965 |
| **2023** | $11667 | $12173 |
| **2023** | $11285 | $11731 |
| **2023** | $11912 | $12257 |
| **2023** | $12485 | $12755 |
| **2023** | $11983 | $12179 |
| **2023** | $11844 | $11795 |
| **2023** | $11463 | $11308 |
| **2023** | $12444 | $12326 |
| **2023** | $13082 | $12945 |
| **2024** | $12996 | $12817 |
| **2024** | $13306 | $13141 |
| **2024** | $13721 | $13532 |
| **2024** | $13587 | $13309 |
| **2024** | $14183 | $13695 |
| **2024** | $13854 | $13682 |
| **2024** | $14267 | $13999 |
| **2024** | $14648 | $14397 |
| **2024** | $14957 | $14785 |
| **2024** | $14190 | $14060 |
| **2024** | $14098 | $13932 |
| **2024** | $14180 | $13662 |
| **2025** | $14687 | $14212 |
| **2025** | $15007 | $14409 |
| **2025** | $15331 | $14377 |
| **2025** | $15817 | $14896 |
| **2025** | $16557 | $15578 |
| **2025** | $17166 | $16107 |
| **2025** | $17250 | $16060 |
| **2025** | $18077 | $16618 |
| **2025** | $18524 | $17216 |
| **2025** | $18828 | $17564 |
| **2025** | $19376 | $17560 |
| **2025** | $19977 | $18086 |
| **2026** | $21449 | $19168 |
| **2026** | $23044 | $20131 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | Since 8/30/2019 (commencement of operations) |
| Class R6† | 53.56% | 12.33% | 13.71% |
| MSCI ACWI ex USA | 39.71% | 9.76% | 11.37% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 2.62% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.75% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.70% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $370353275 |
| Number of Portfolio Holdings | 5 |
| Portfolio Turnover Rate | 18% |
| Total Advisory Fees Paid, Net | $0 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO International Equity Funds | 99.8 |
| Short-Term Investments | 0.2 |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| GMO International Equity Fund, Class IV | 45.0 |
| GMO Emerging Markets Fund, Class VI | 30.0 |
| GMO International Opportunistic Value Fund, Class IV | 17.9 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 7.1 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO MAC Implementation Fund
![Image](g12033g00x59.jpg)

#### Core Class (GMIHX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO MAC Implementation Fund for the period of May 21, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last period?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment<sup>Footnote Reference\*</sup> | Costs paid as a percentage of a $10,000 investment |
| Core Class | $1 | 0.01%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;For the period May 21, 2025 (commencement of operations) through February 28, 2026. The costs would have been higher had the Class operated the full year. |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# How did the Fund perform last period and what affected its performance?
Although GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark, a discussion of the Fund's performance relative to the Multi-Asset Credit Blended Benchmark is included for comparative purposes only.

The GMO MAC Implementation Fund returned +11.24% (net) for the period from commencement of operations on May 21, 2025 to the end of the fiscal year on February 28, 2026, as compared with +9.65% for the Multi-Asset Credit Blended Benchmark. The benchmark is an equal-weighted index comprised of Bloomberg U.S. High Yield, Bloomberg U.S. Corporate, Bloomberg U.S. Securitized and J.P. Morgan EMBI Global Diversified indices.

The Fund outperformed the benchmark over the period. Duration positioning was the primary driver of absolute performance, as U.S. Treasury rates rallied. Additional positive contributions were generated from positions in Agency MBS, credit momentum in Global High Yield, and short positions in Leveraged Loans. These gains were partially offset beta hedges in emerging markets debt, which detracted from performance.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g77m34.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Core Class** | **Bloomberg U.S. Aggregate Index** | **SOFR Index Plus 3% Index** | **Multi-Asset Credit Blended Benchmark Index** |
| **05/21/2025** | $10000 | $10000 | $10000 | $10000 |
| **05/2025** | $10140 | $10121 | $10018 | $10093 |
| **06/2025** | $10350 | $10276 | $10079 | $10291 |
| **07/2025** | $10300 | $10249 | $10140 | $10327 |
| **08/2025** | $10600 | $10372 | $10198 | $10469 |
| **09/2025** | $10600 | $10485 | $10262 | $10607 |
| **10/2025** | $10650 | $10550 | $10324 | $10699 |
| **11/2025** | $10780 | $10616 | $10378 | $10760 |
| **12/2025** | $10788 | $10600 | $10441 | $10795 |
| **01/2026** | $10798 | $10612 | $10498 | $10843 |
| **02/2026** | $11124 | $10785 | $10550 | $10965 |

---

# Average Annual Total Returns

---

| | |
|:---|:---|
| AATR | Since 5/21/2025 (commencement of operations) |
| Core Class | 11.24% |
| Bloomberg U.S. Aggregate Index | 7.85% |
| SOFR Index Plus 3% Index | 5.50% |
| Multi-Asset Credit Blended Benchmark Index | 9.65% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 0.73% for Class A is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.02% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $23414056 |
| Number of Portfolio Holdings | 16 |
| Portfolio Turnover Rate | 668% |
| Total Advisory Fees Paid, Net | $0 |

---

#### February 28, 2026

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 124.4 |
| Short-Term Investments | 0.8 |
| Futures Contracts | 0.6 |
| Forward Currency Contracts | 0.0 |
| Swap Contracts | (0.2) |
| Other | (25.6) |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| U.S. Treasury Floating Rate Notes, 3.78%, due 07/31/27 | 56.5 |
| U.S. Treasury Floating Rate Notes, 3.81%, due 10/31/27 | 21.3 |
| Uniform Mortgage-Backed Security, TBA, 6.00%, due 03/01/55 | 14.8 |
| Uniform Mortgage-Backed Security, TBA, 2.50%, due 03/01/56 | 5.9 |
| U.S. Treasury Floating Rate Notes, 3.78%, due 04/30/27 | 1.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Multi-Asset Credit Fund
![Image](g12033g00x59.jpg)

#### Class IV (GMCHX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Multi-Asset Credit Fund for the period of May 21, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last period?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment<sup>Footnote Reference\*</sup> | Costs paid as a percentage of a $10,000 investment |
| Class IV | $12<sup>Footnote Reference1</sup> | 0.15%<sup>Footnote Reference1,</sup><sup>Footnote Reference2</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;For the period May 21, 2025 (commencement of operations) through February 28, 2026. The costs would have been higher had the Class operated the full year. |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |
| &nbsp;&nbsp;Footnote<sup>2</sup> | &nbsp;&nbsp;Annualized. |

---

# How did the Fund perform last period and what affected its performance?
Class IV shares of the GMO Multi-Asset Credit Fund returned +8.78% (net) for the period from commencement of operations on May 21, 2025 to the end of the fiscal year on February 28, 2026, as compared with +9.65% for the Multi-Asset Credit Blended Benchmark. The benchmark is an equal-weighted index comprised of Bloomberg U.S. High Yield, Bloomberg U.S. Corporate, Bloomberg U.S. Securitized and J.P. Morgan EMBI Global Diversified indices.

The Fund underperformed the benchmark over the period, driven primarily by negative contributions from credit allocation and duration positioning, which more than offset gains from credit selection.

Within the credit allocation category, the largest detractor was an underweight position in Emerging markets debt, followed by the Fund's defensive positioning via U.S. Treasuries. Conversely, underweight positions in Investment Grade and High Yield contributed positively, though not sufficiently to offset credit allocations losses elsewhere.

Duration positioning also detracted from relative performance. The strategy targets a lower level of interest rate duration on average than the blended benchmark, which negatively impacted relative returns during the period as Treasury rates rallied.

Credit selection contributed positively overall, led by positions in Emerging markets debt and Structured products, with additional positive contributions from selection within High Yield and Investment Grade credit.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $125,000,000 Investment

![Growth of 10K Chart](g12033g02h86.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Class IV** | **Bloomberg U.S. Aggregate Index** | **SOFR Index Plus 3% Index** | **Multi-Asset Credit Blended Benchmark Index** |
| **5/21/2025** | $125000000 | $125000000 | $125000000 | $125000000 |
| **05/2025** | $125812500 | $126507677 | $125220117 | $126165553 |
| **06/2025** | $127812500 | $128452905 | $125983832 | $128641891 |
| **07/2025** | $128312500 | $128114086 | $126754140 | $129093364 |
| **08/2025** | $130125000 | $129646386 | $127480073 | $130863090 |
| **09/2025** | $131187500 | $131060671 | $128280942 | $132582675 |
| **10/2025** | $132250000 | $131879496 | $129050823 | $133743397 |
| **11/2025** | $133312500 | $132699011 | $129730574 | $134503802 |
| **12/2025** | $133602346 | $132502681 | $130515746 | $134939981 |
| **01/2026** | $134564437 | $132644149 | $131219680 | $135537957 |
| **02/2026** | $135975504 | $134816370 | $131879854 | $137061374 |

---

# Average Annual Total Returns

---

| | |
|:---|:---|
| AATR | Since 5/21/2025 (commencement of operations) |
| Class IV | 8.78% |
| Bloomberg U.S. Aggregate Index | 7.85% |
| SOFR Index Plus 3% Index | 5.50% |
| Multi-Asset Credit Blended Benchmark Index | 9.65% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 0.91% for Class IV is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.50% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $195748735 |
| Number of Portfolio Holdings | 8 |
| Portfolio Turnover Rate | 18%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $40726 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 42%. |

---

#### February 28, 2026

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO Fixed Income Funds | 87.0 |
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 15.5 |
| Short-Term Investments | 0.1 |
| Other | (2.6) |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Opportunistic Income Fund, Class VI | 43.7 |
| GMO High Yield Fund, Class VI | 14.6 |
| GMO Emerging Country Debt Fund, Class VI | 12.0 |
| GMO MAC Implementation Fund | 11.7 |
| GMO Systematic Investment Grade Credit ETF | 9.7 |
| GMO Ultra-Short Income ETF | 4.8 |
| GMO U.S. Treasury Fund, Class VI | 3.5 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Multi-Asset Credit Fund
![Image](g12033g00x59.jpg)

#### Class R6 (GMRQX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Multi-Asset Credit Fund for the period of October 21, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last period?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment<sup>Footnote Reference\*</sup> | Costs paid as a percentage of a $10,000 investment |
| Class R6 | $9<sup>Footnote Reference1</sup> | 0.24%<sup>Footnote Reference1,</sup><sup>Footnote Reference2</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;For the period October 21, 2025 (commencement of operations) through February 28, 2026. The costs would have been higher had the Class operated the full year. |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |
| &nbsp;&nbsp;Footnote<sup>2</sup> | &nbsp;&nbsp;Annualized. |

---

# How did the Fund perform last period and what affected its performance?
Class R6 shares of the GMO Multi-Asset Credit Fund returned +2.75% (net) for the period from commencement of operations on October 21, 2025 to the end of the fiscal year on February 28, 2026, as compared with +2.28% for the Multi-Asset Credit Blended Benchmark. The benchmark is an equal-weighted index comprised of Bloomberg U.S. High Yield, Bloomberg U.S. Corporate, Bloomberg U.S. Securitized and J.P. Morgan EMBI Global Diversified indices.

The Fund underperformed the benchmark over the period, driven primarily by negative contributions from credit allocation and duration positioning, which more than offset gains from credit selection.

Within the credit allocation category, the largest detractor was an underweight position in Emerging markets debt, followed by the Fund's defensive positioning via U.S. Treasuries. Conversely, underweight positions in Investment Grade and High Yield contributed positively, though not sufficiently to offset credit allocations losses elsewhere.

Duration positioning also detracted from relative performance. The strategy targets a lower level of interest rate duration on average than the blended benchmark, which negatively impacted relative returns during the period as Treasury rates rallied.

Credit selection contributed positively overall, led by positions in Emerging markets debt and Structured products, with additional positive contributions from selection within High Yield and Investment Grade credit.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g20m76.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Class R6** | **Bloomberg U.S. Aggregate Index** | **SOFR Index Plus 3% Index** | **Multi-Asset Credit Blended Benchmark Index** |
| **10/21/2025** | $10000 | $10000 | $10000 | $10000 |
| **10/2025** | $10000 | $9931 | $10019 | $9981 |
| **11/2025** | $10080 | $9992 | $10072 | $10038 |
| **12/2025** | $10100 | $9978 | $10133 | $10070 |
| **01/2026** | $10173 | $9988 | $10188 | $10115 |
| **02/2026** | $10275 | $10152 | $10239 | $10228 |

---

# Average Annual Total Returns

---

| | |
|:---|:---|
| AATR | Since 10/21/2025 (commencement of operations) |
| Class R6 | 2.75% |
| Bloomberg U.S. Aggregate Index | 1.52% |
| SOFR Index Plus 3% Index | 2.39% |
| Multi-Asset Credit Blended Benchmark Index | 2.28% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 1.01% for Class R6 is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.60% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $195748735 |
| Number of Portfolio Holdings | 8 |
| Portfolio Turnover Rate | 18%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $40726 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 42%. |

---

#### February 28, 2026

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO Fixed Income Funds | 87.0 |
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 15.5 |
| Short-Term Investments | 0.1 |
| Other | (2.6) |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Opportunistic Income Fund, Class VI | 43.7 |
| GMO High Yield Fund, Class VI | 14.6 |
| GMO Emerging Country Debt Fund, Class VI | 12.0 |
| GMO MAC Implementation Fund | 11.7 |
| GMO Systematic Investment Grade Credit ETF | 9.7 |
| GMO Ultra-Short Income ETF | 4.8 |
| GMO U.S. Treasury Fund, Class VI | 3.5 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Multi-Asset Credit Fund
![Image](g12033g00x59.jpg)

#### Class I (GMIQX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Multi-Asset Credit Fund for the period of September 4, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last period?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment<sup>Footnote Reference\*</sup> | Costs paid as a percentage of a $10,000 investment |
| Class I | $16<sup>Footnote Reference1</sup> | 0.32%<sup>Footnote Reference1,</sup><sup>Footnote Reference2</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;For the period September 4, 2025 (commencement of operations) through February 28, 2026. The costs would have been higher had the Class operated the full year. |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |
| &nbsp;&nbsp;Footnote<sup>2</sup> | &nbsp;&nbsp;Annualized. |

---

# How did the Fund perform last period and what affected its performance?
Class I shares of the GMO Multi-Asset Credit Fund returned +4.14% (net) for the period from commencement of operations on September 4, 2025 to the end of the fiscal year on February 28, 2026, as compared with +4.34% for the Multi-Asset Credit Blended Benchmark. The benchmark is an equal-weighted index comprised of Bloomberg U.S. High Yield, Bloomberg U.S. Corporate, Bloomberg U.S. Securitized and J.P. Morgan EMBI Global Diversified indices.

The Fund underperformed the benchmark over the period, driven primarily by negative contributions from credit allocation and duration positioning, which more than offset gains from credit selection.

Within the credit allocation category, the largest detractor was an underweight position in Emerging markets debt, followed by the Fund's defensive positioning via U.S. Treasuries. Conversely, underweight positions in Investment Grade and High Yield contributed positively, though not sufficiently to offset credit allocations losses elsewhere.

Duration positioning also detracted from relative performance. The strategy targets a lower level of interest rate duration on average than the blended benchmark, which negatively impacted relative returns during the period as Treasury rates rallied.

Credit selection contributed positively overall, led by positions in Emerging markets debt and Structured products, with additional positive contributions from selection within High Yield and Investment Grade credit.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g99z33.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Class I** | **Bloomberg U.S. Aggregate Index** | **SOFR Index Plus 3% Index** | **Multi-Asset Credit Blended Benchmark Index** |
| **09/04/2025** | $10000 | $10000 | $10000 | $10000 |
| **09/2025** | $10053 | $10064 | $10051 | $10093 |
| **10/2025** | $10134 | $10126 | $10111 | $10181 |
| **11/2025** | $10216 | $10189 | $10164 | $10239 |
| **12/2025** | $10237 | $10174 | $10226 | $10273 |
| **01/2026** | $10311 | $10185 | $10281 | $10318 |
| **02/2026** | $10414 | $10352 | $10333 | $10434 |

---

# Average Annual Total Returns

---

| | |
|:---|:---|
| AATR | Since 9/4/2025 (commencement of operations) |
| Class I | 4.14% |
| Bloomberg U.S. Aggregate Index | 3.52% |
| SOFR Index Plus 3% Index | 3.33% |
| Multi-Asset Credit Blended Benchmark Index | 4.34% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions.

The gross expense ratio of 1.13% for Class I is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.68% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $195748735 |
| Number of Portfolio Holdings | 8 |
| Portfolio Turnover Rate | 18%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $40726 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 42%. |

---

#### February 28, 2026

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO Fixed Income Funds | 87.0 |
| GMO Implementation Funds<sup>Footnote Reference\*</sup> | 15.5 |
| Short-Term Investments | 0.1 |
| Other | (2.6) |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Opportunistic Income Fund, Class VI | 43.7 |
| GMO High Yield Fund, Class VI | 14.6 |
| GMO Emerging Country Debt Fund, Class VI | 12.0 |
| GMO MAC Implementation Fund | 11.7 |
| GMO Systematic Investment Grade Credit ETF | 9.7 |
| GMO Ultra-Short Income ETF | 4.8 |
| GMO U.S. Treasury Fund, Class VI | 3.5 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Strategic Opportunities Allocation Fund
![Image](g12033g00x59.jpg)

#### Class III (GBATX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Strategic Opportunities Allocation Fund for the period of March 1, 2025 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last year?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| Class III | $2<sup>Footnote Reference1</sup> | 0.02%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |

---

# How did the Fund perform last year and what affected its performance?
Class III shares of GMO Strategic Opportunities Allocation Fund returned +32.13% (net) for the fiscal year ended February 28, 2026, as compared with +17.47% for the GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series) and 25% Bloomberg U.S. Aggregate Index).

The Fund held an average of 69% in equities over the period, and its 41.2% return comfortably beat the MSCI World return of 21.3%. In terms of regional biases, the decision to lean away from the U.S. in favor of being overweight developed ex-U.S. equities and overweight emerging market equities was a substantial tailwind as the U.S. underperformed. Security selection was also strong, particularly in developed ex-U.S. markets. The Fund's circa 19% off-benchmark position in alternatives had a small negative impact on relative performance as it modestly lagged the Fund benchmark with a 15.5% return. The Fund held an average of 13% in fixed income, and good absolute and relative performance in emerging market debt ensured outperformance of the benchmark. The Fund's Fixed Income exposures posted 10.9%, nicely ahead of the 6.3% return from the Bloomberg U.S. Aggregate Index.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Fund Performance
Change in Value of a $10,000 Investment

![Growth of 10K Chart](g12033g03d58.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Class III** | **Bloomberg U.S. Aggregate Index** | **GMO Strategic Opportunities Allocation Index\*** | **MSCI World Index** |
| **2016** | $10000 | $10000 | $10000 | $10000 |
| **2016** | $10660 | $10092 | $10532 | $10679 |
| **2016** | $10752 | $10130 | $10667 | $10848 |
| **2016** | $10734 | $10133 | $10713 | $10908 |
| **2016** | $10734 | $10315 | $10671 | $10786 |
| **2016** | $11053 | $10380 | $11026 | $11242 |
| **2016** | $11128 | $10369 | $11029 | $11251 |
| **2016** | $11220 | $10362 | $11072 | $11311 |
| **2016** | $11099 | $10283 | $10890 | $11092 |
| **2016** | $10996 | $10040 | $10943 | $11252 |
| **2016** | $11152 | $10054 | $11143 | $11521 |
| **2017** | $11406 | $10074 | $11350 | $11799 |
| **2017** | $11660 | $10142 | $11606 | $12126 |
| **2017** | $11837 | $10136 | $11697 | $12255 |
| **2017** | $12008 | $10214 | $11849 | $12437 |
| **2017** | $12232 | $10293 | $12060 | $12700 |
| **2017** | $12291 | $10283 | $12092 | $12749 |
| **2017** | $12526 | $10327 | $12322 | $13054 |
| **2017** | $12668 | $10420 | $12362 | $13072 |
| **2017** | $12762 | $10370 | $12556 | $13366 |
| **2017** | $13058 | $10376 | $12736 | $13618 |
| **2017** | $13129 | $10363 | $12938 | $13913 |
| **2017** | $13305 | $10410 | $13085 | $14102 |
| **2018** | $13900 | $10290 | $13565 | $14846 |
| **2018** | $13420 | $10193 | $13111 | $14231 |
| **2018** | $13299 | $10258 | $12912 | $13912 |
| **2018** | $13177 | $10182 | $13005 | $14081 |
| **2018** | $13122 | $10254 | $13090 | $14169 |
| **2018** | $12849 | $10242 | $13081 | $14162 |
| **2018** | $13173 | $10244 | $13388 | $14605 |
| **2018** | $13059 | $10310 | $13534 | $14785 |
| **2018** | $13109 | $10244 | $13569 | $14868 |
| **2018** | $12373 | $10163 | $12795 | $13776 |
| **2018** | $12506 | $10224 | $12923 | $13933 |
| **2018** | $12040 | $10411 | $12245 | $12873 |
| **2019** | $12845 | $10522 | $12992 | $13875 |
| **2019** | $12958 | $10516 | $13283 | $14292 |
| **2019** | $13057 | $10718 | $13478 | $14480 |
| **2019** | $13330 | $10721 | $13837 | $14993 |
| **2019** | $12751 | $10911 | $13300 | $14128 |
| **2019** | $13390 | $11048 | $13999 | $15059 |
| **2019** | $13300 | $11072 | $14059 | $15134 |
| **2019** | $12989 | $11359 | $13934 | $14824 |
| **2019** | $13320 | $11299 | $14138 | $15139 |
| **2019** | $13698 | $11333 | $14418 | $15525 |
| **2019** | $13853 | $11327 | $14718 | $15957 |
| **2019** | $14398 | $11319 | $15046 | $16435 |
| **2020** | $14040 | $11537 | $15050 | $16335 |
| **2020** | $13291 | $11744 | $14163 | $14954 |
| **2020** | $11498 | $11675 | $12737 | $12975 |
| **2020** | $12416 | $11883 | $13837 | $14393 |
| **2020** | $12717 | $11938 | $14354 | $15088 |
| **2020** | $13032 | $12013 | $14662 | $15487 |
| **2020** | $13506 | $12193 | $15242 | $16228 |
| **2020** | $13782 | $12094 | $15975 | $17312 |
| **2020** | $13534 | $12088 | $15560 | $16715 |
| **2020** | $13343 | $12034 | $15185 | $16202 |
| **2020** | $14534 | $12152 | $16678 | $18274 |
| **2020** | $15091 | $12169 | $17214 | $19049 |
| **2021** | $15208 | $12081 | $17055 | $18859 |
| **2021** | $15772 | $11907 | $17321 | $19343 |
| **2021** | $16516 | $11758 | $17699 | $19986 |
| **2021** | $16701 | $11851 | $18352 | $20916 |
| **2021** | $17250 | $11890 | $18582 | $21243 |
| **2021** | $16857 | $11973 | $18805 | $21534 |
| **2021** | $16666 | $12107 | $19111 | $21920 |
| **2021** | $16829 | $12084 | $19458 | $22465 |
| **2021** | $16459 | $11980 | $18810 | $21533 |
| **2021** | $16635 | $11976 | $19608 | $22752 |
| **2021** | $16192 | $12012 | $19300 | $22254 |
| **2021** | $16964 | $11981 | $19907 | $23205 |
| **2022** | $17019 | $11723 | $19009 | $21977 |
| **2022** | $16335 | $11592 | $18596 | $21421 |
| **2022** | $16006 | $11270 | $18849 | $22009 |
| **2022** | $15432 | $10842 | $17496 | $20181 |
| **2022** | $15833 | $10912 | $17534 | $20196 |
| **2022** | $14666 | $10741 | $16326 | $18446 |
| **2022** | $15108 | $11003 | $17398 | $19911 |
| **2022** | $14680 | $10693 | $16730 | $19079 |
| **2022** | $13596 | $10231 | $15383 | $17305 |
| **2022** | $14157 | $10098 | $16161 | $18548 |
| **2022** | $15403 | $10469 | $17153 | $19837 |
| **2022** | $15064 | $10422 | $16587 | $18995 |
| **2023** | $15990 | $10743 | $17595 | $20339 |
| **2023** | $15668 | $10465 | $17164 | $19850 |
| **2023** | $15719 | $10731 | $17671 | $20463 |
| **2023** | $15910 | $10796 | $17930 | $20822 |
| **2023** | $15507 | $10678 | $17747 | $20614 |
| **2023** | $16212 | $10640 | $18536 | $21861 |
| **2023** | $16759 | $10633 | $19000 | $22595 |
| **2023** | $16456 | $10565 | $18629 | $22056 |
| **2023** | $16284 | $10296 | $17908 | $21104 |
| **2023** | $15849 | $10134 | $17448 | $20492 |
| **2023** | $16779 | $10593 | $18872 | $22413 |
| **2023** | $17675 | $10998 | $19747 | $23513 |
| **2024** | $17685 | $10968 | $19912 | $23796 |
| **2024** | $17931 | $10813 | $20474 | $24804 |
| **2024** | $18518 | $10913 | $21011 | $25594 |
| **2024** | $18144 | $10637 | $20297 | $24651 |
| **2024** | $18795 | $10818 | $21063 | $25751 |
| **2024** | $18550 | $10920 | $21434 | $26275 |
| **2024** | $19164 | $11175 | $21842 | $26738 |
| **2024** | $19400 | $11336 | $22354 | $27445 |
| **2024** | $19572 | $11488 | $22736 | $27948 |
| **2024** | $18831 | $11203 | $22256 | $27393 |
| **2024** | $18960 | $11321 | $23081 | $28650 |
| **2024** | $18647 | $11136 | $22536 | $27904 |
| **2025** | $19099 | $11195 | $23162 | $28888 |
| **2025** | $19269 | $11441 | $23164 | $28680 |
| **2025** | $19291 | $11446 | $22393 | $27403 |
| **2025** | $19405 | $11491 | $22564 | $27647 |
| **2025** | $19981 | $11408 | $23526 | $29283 |
| **2025** | $20626 | $11584 | $24378 | $30547 |
| **2025** | $20730 | $11553 | $24597 | $30940 |
| **2025** | $21556 | $11691 | $25152 | $31747 |
| **2025** | $21945 | $11819 | $25827 | $32768 |
| **2025** | $22221 | $11893 | $26255 | $33424 |
| **2025** | $22873 | $11967 | $26351 | $33519 |
| **2025** | $23272 | $11949 | $26501 | $33789 |
| **2026** | $24333 | $11962 | $26953 | $34546 |
| **2026** | $25459 | $12158 | $27211 | $34799 |

---

# Average Annual Total Returns

---

| | | | |
|:---|:---|:---|:---|
| AATR | 1 Year | 5 Years | 10 Years |
| Class III† | 32.13% | 10.05% | 9.80% |
| Bloomberg U.S. Aggregate Index | 6.26% | 0.42% | 1.97% |
| GMO Strategic Opportunities Allocation Index\* | 17.47% | 9.46% | 10.53% |
| MSCI World Index | 21.33% | 12.46% | 13.28% |

---

**Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.** To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2026.

†Returns include a substantial, one-time litigation settlement recovery received on December 16, 2024. This event contributed 0.95% to the performance for the fiscal year ended February 28, 2025. Performance for other periods including this date was also positively impacted, sometimes materially. Without this recovery, performance would have been lower in both absolute terms and relative to the benchmark. Additional information is available upon request.

\*The GMO Strategic Opportunities Allocation Index is a composite benchmark computed by GMO and comprised of 75% MSCI World Index and 25% Bloomberg U.S. Aggregate Index.

MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

The gross expense ratio of 0.94% for Class III is equal to the Total Annual Operating Expenses set forth in the Fund's most recent prospectus dated June 30, 2025. The net expense ratio of 0.84% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2026 and may not be terminated prior to this date without the action or consent of the Trust's Board of Trustees. Elimination of this reimbursement will result in higher fees and lower performance.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $71289543 |
| Number of Portfolio Holdings | 21 |
| Portfolio Turnover Rate | 31%<sup>Footnote Reference\*</sup> |
| Total Advisory Fees Paid, Net | $0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The portfolio turnover rate including transactions in USTF during the period was 37%. |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| International Equity Funds | 44.3 |
| U.S. Equity Funds | 23.5 |
| Alternative Funds | 18.1 |
| Implementation Funds<sup>Footnote Reference\*</sup> | 11.6 |
| Short-Term Investments | 1.2 |
| Fixed Income Funds | 1.1 |
| Debt Obligations | 0.3 |
| Common Stocks | 0.0 |
| Other | (0.1) |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Represents a fund utilized by GMO asset allocation funds and accounts and is not intended to serve as a standalone investment. |

---

# Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*\*</sup>

---

| | |
|:---|:---|
| GMO Alternative Allocation Fund, Class VI | 18.3 |
| GMO International Equity Fund, Class IV | 17.9 |
| GMO Asset Allocation Bond Fund, Class VI | 9.6 |
| GMO International Opportunistic Value Fund, Class IV | 8.4 |
| GMO U.S. Opportunistic Value Fund, Class VI | 7.9 |
| GMO U.S. Equity Fund, Class VI | 7.8 |
| GMO-Usonian Japan Value Creation Fund, Class VI | 7.6 |
| GMO Emerging Markets Fund, Class VI | 6.0 |
| GMO Quality Fund, Class VI | 3.3 |
| GMO Emerging Markets ex-China Fund, Class VI | 2.4 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

#### GMO Emerging Country Debt Shares Fund
![Image](g12033g00x59.jpg)

#### Class I (GMAJX)

#### Annual Shareholder Report - February 28, 2026
This annual shareholder report contains important information about GMO Emerging Country Debt Shares Fund for the period of January 13, 2026 to February 28, 2026. You can find additional information about the Fund at https://www.gmo.com/americas/mutual-fund-documents/. You can also request this information by contacting us at (617) 346-7646 (collect).

# What were the Fund costs for the last period?

#### (based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| Class Name | Costs of a $10,000 investment<sup>Footnote Reference\*</sup> | Costs paid as a percentage of a $10,000 investment |
| Class I | $3<sup>Footnote Reference1</sup> | 0.20%<sup>Footnote Reference1,</sup><sup>Footnote Reference2</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;For the period January 13, 2026 (commencement of operations) through February 28, 2026. The costs would have been higher had the Class operated the full year. |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;The costs do not reflect fees and expenses of underlying funds. Those fees and expenses are material and, if reflected, the costs in the table would be higher. Please refer to the prospectus for more information about the fees and expenses of an investment in the Fund, including fees and expenses of underlying funds in which the Fund invests. |
| &nbsp;&nbsp;Footnote<sup>2</sup> | &nbsp;&nbsp;Annualized. |

---

# How did the Fund perform last period and what affected its performance?
Class I of the GMO Emerging Country Debt Shares Fund returned +3.30% (net) for the period from January 13, 2026 (commencement of operations) through February 28, 2026, as compared with +2.00% for the J.P. Morgan EMBI Global Diversified + ("EMBIGD").

EMBIGD's spread over U.S. Treasuries widened by 6 basis points to 259 basis points during the period, and the yield on the 10-year U.S. Treasury bond fell by 24 basis points to 3.94%.

The Fund had positive alpha from country selection during the fiscal year, driven by overweights in Venezuela, Argentina, Gabon, and Romania, and underweights in Indonesia and United Arab Emirates.

In terms of security selection, positive alpha was driven by the holding of bonds in on-benchmark countries such as Venezuela, Argentina, Turkey, and Brazil. These gains were partly offset by negative alpha from security selection in Peru, Bahrain, and Gabon. Security selection in off-benchmark countries, including South Korea, Lao People's Democratic Republic, and Republic of Congo, also contributed positively during the period. Within quasi-sovereign security selection, the portfolio had positive alpha from positions in Venezuela, Turkey, and Brazil, while holdings in Peru, India, and Chile detracted.

The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio's current or future investments.

#### February 28, 2026

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $26565797 |
| Number of Portfolio Holdings | 2 |
| Portfolio Turnover Rate | 0% |
| Total Advisory Fees Paid, Net | $731 |

---

#### What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| GMO Fixed Income Funds | 100.0 |
| Short-Term Investments | 6.5 |
| Other | (6.5) |

---

#### Top Ten Holdings

#### % of Investments<sup>Footnote Reference \*</sup>

---

| | |
|:---|:---|
| GMO Emerging Country Debt Fund, Class III | 100.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes short-term investments and derivative financial instruments, if any. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/mutual-fund-documents/](g12033g30x57.jpg)

For additional information about the Fund, including the Fund's prospectus, financial statements, quarterly portfolio holdings and proxy voting information, please visit https://www.gmo.com/americas/mutual-fund-documents/ or scan the QR code.

Phone: (617) 346-7646 (collect)

------

(b) Not applicable.

#### Item 2. Code of Ethics.
(a) The registrant, as of the end of the period covered by the report, has adopted a Code of Ethics that applies to the registrant's Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the "Code of Ethics").

(b) No disclosures are required by this Item 2(b).

(c) During the period covered by this report, there were no substantive amendments to the provisions of the Code of Ethics adopted in 2(a) above.

(d) During the period covered by this report, no implicit or explicit waivers to the provisions of the Code of Ethics adopted in 2(a) above were granted.

(e) Not applicable.

(f) A copy of the Code of Ethics is attached as an Exhibit hereto.

#### Item 3. Audit Committee Financial Expert.
(a)(1) The registrant's Board of Trustees has determined that the registrant does not have an "audit committee financial expert" (as such term has been defined in Form N-CSR) serving on its audit committee.

(a)(2) Not applicable.

(a)(3) The registrant's Board believes that, although none of its members individually meets all required elements of the definition of an "audit committee financial expert", the members of the registrant's audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee's functions, duties and powers.

**Item 4. Principal Accountant Fees and Services.** \*

(a) AUDIT FEES: The aggregate fees billed to the registrant for professional services rendered by its independent auditors, PricewaterhouseCoopers LLP for the audit of the registrant's annual financial statements for 2026 and 2025 were $1,628,024 and $1,714,873, respectively.

(b) AUDIT-RELATED FEES: The aggregate fees billed to the registrant in 2026 and 2025 for services rendered by PricewaterhouseCoopers LLP that are related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this item were $50,800 and $51,113, respectively. The aggregate fees billed in 2026 and 2025 to the registrant's Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provides ongoing services to the Funds (each, a "Service Affiliate") for assurance services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $416,710 and $423,857, respectively.

(c) TAX FEES: The aggregate fees billed to the registrant in 2026 and 2025 for professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice, and tax planning, including the preparation of Form 1120 RIC, Form 8613 and review of excise tax distribution calculations, were $845,827 and $1,163,107, respectively. The aggregate fees billed in 2026 and 2025 to the registrant's Service Affiliates for engagements for tax services rendered by PricewaterhouseCoopers LLP that related directly to the operations and financial reporting of the Funds were $0 and $0, respectively.

(d) ALL OTHER FEES: No such fees were billed by PricewaterhouseCoopers LLP to the registrant or to the registrant's Service Affiliates that related directly to the operations and financial reporting of the Funds in 2026 and 2025.

------

(e) (1) The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC's rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with the SEC's rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee's next regularly scheduled meeting) if they are to be provided by the independent auditor.

(e)(2) None.

(f) Not applicable.

(g) NON-AUDIT FEES: The aggregate fees billed by PricewaterhouseCoopers LLP in 2026 and 2025 for non-audit services rendered to the registrant and the registrant's Service Affiliates were $1,313,337 and $1,673,077, respectively. For the fiscal year ended February 29, 2025, this amount reflects the amounts disclosed above in Item 4(b),(c),(d), plus $35,000 in fees billed to the Funds' Service Affiliates for non-audit services that did not relate directly to the operations and financial reporting of the Funds.

(h) The registrant's Audit Committee has considered whether the provision of non-audit services by the registrant's independent registered public accounting firm to the registrant's Investment Advisor, and any entity controlling, controlled, or under common control with the Advisor that provided ongoing services to the registrant that were not pre-approved by the Committee (because such services did not relate directly to the operations and financial reporting of the registrant) was compatible with maintaining the independence of the independent registered public accounting firm.

(i) Not applicable.

(j) Not applicable.

\* Includes information regarding all series of GMO Trust.

#### Item 5. Audit Committee of Listed Registrants.
(a) Not applicable.

(b) Not applicable.

#### Item 6. Investments.
(a) The Schedule of Investments for each series of the registrant is included as part of the Financial Statements filed under Item 7(a) of this Form.

(b) Not applicable.

#### Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
(a) The registrant's Financial Statements are attached herewith.

(b) The registrant's Financial Highlights are included as part of the Financial Statements filed under Item 7(a) of this Form.

------

### GMO Trust

### Annual Financial Statements and Other Information

### February 28, 2026

### Climate Change Fund

### Emerging Markets ex-China Fund

### Emerging Markets Fund

### International Equity Fund

### International Opportunistic Value Fund

### Japan Value Creation Fund

### Quality Fund

### Resource Transition Fund

### Resources Fund

### Small Cap Quality Fund

### U.S. Equity Fund

### U.S. Opportunistic Value Fund

### U.S. Small Cap Value Fund

------

For a free copy of the Funds' proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO's website at www.gmo.com or visit the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO's website at www.gmo.com and on the Securities and Exchange Commission's website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT, which is available on the Commission's website at www.sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO's website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds' prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.

------

#### **TABLE OF CONTENTS**

---

| | |
|:---|:---|
|  [Climate Change Fund](#fin112033_1) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 1 |
|  [Emerging Markets ex-China Fund](#fin112033_2) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 4 |
|  [Emerging Markets Fund](#fin112033_3) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 8 |
|  [International Equity Fund](#fin112033_4) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 13 |
|  [International Opportunistic Value Fund](#fin112033_5) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 16 |
|  [Japan Value Creation Fund](#fin112033_6) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 20 |
|  [Quality Fund](#fin112033_7) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 21 |
|  [Resource Transition Fund](#fin112033_8) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 23 |
|  [Resources Fund](#fin112033_9) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 25 |
|  [Small Cap Quality Fund](#fin112033_10) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 28 |
|  [U.S. Equity Fund](#fin112033_11) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 30 |
|  [U.S. Opportunistic Value Fund](#fin112033_12) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 34 |
|  [U.S. Small Cap Value Fund](#fin112033_13) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 37 |
|  [Portfolio, Counterparty and Currency Abbreviations](#fin112033_14) | 41 |
|  Fund Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Assets and Liabilities](#fin112033_15) | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Operations](#fin112033_16) | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Changes in Net Assets](#fin112033_17) | 51 |
|  [Financial Highlights](#fin112033_18) | 58 |
|  [Notes to Financial Statements](#fin112033_19) | 102 |
|  [Report of Independent Registered Public Accounting Firm](#fin112033_20) | 138 |
|  [Tax Information](#fin112033_21) | 139 |

---

------

#### GMO Climate Change Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 93.7%** | **COMMON STOCKS — 93.7%** |
|  | **Australia — 0.8%** | **Australia — 0.8%** |
| 320055 | Clean TeQ Water Ltd. \* <sup>(a)</sup> | 83147 |
| 407488 | IGO Ltd. \* | 2492415 |
| 276972 | Paladin Energy Ltd. \* <sup>(a)</sup> | 2639185 |
|  | Total Australia | 5214747 |
|  | **Brazil — 1.6%** |  |
| 1661280 | Klabin SA | 6662619 |
| 316431 | Suzano SA | 3580025 |
|  | Total Brazil | 10242644 |
|  | **Canada — 5.5%** |  |
| 476293 | Anaergia, Inc. \* <sup>(a)</sup> | 768186 |
| 475083 | Capstone Copper Corp. \* | 4914352 |
| 186405 | First Quantum Minerals Ltd. \* | 5581013 |
| 1925700 | Greenlane Renewables, Inc. \* | 338820 |
| 421849 | Ivanhoe Mines Ltd. – Class A\* <sup>(a)</sup> | 4824489 |
| 1008392 | Largo, Inc. \* <sup>(a)</sup> | 1715091 |
| 1085613 | NexGen Energy Ltd. \* <sup>(a)</sup> | 13848221 |
| 169696 | Northland Power, Inc. <sup>(a)</sup> | 2719515 |
|  | Total Canada | 34709687 |
|  | **China — 2.0%** |  |
| 203386 | BYD Co. Ltd. – Class H | 2451838 |
| 3317060 | CECEP Solar Energy Co. Ltd. – Class A | 2819403 |
| 786566 | CMOC Group Ltd. – Class H | 2419820 |
| 1747448 | Goldwind Science & Technology Co. Ltd. – Class H | 3450309 |
| 200 | Xuji Electric Co. Ltd. – Class A | 929 |
| 312776 | Yutong Bus Co. Ltd. – Class A | 1353237 |
|  | Total China | 12495536 |
|  | **Denmark — 2.9%** |  |
| 58018 | Rockwool AS – B Shares | 1923733 |
| 636899 | Vestas Wind Systems AS | 16281874 |
|  | Total Denmark | 18205607 |
|  | **Finland — 3.1%** |  |
| 150925 | Kemira OYJ | 3657355 |
| 622863 | Neste OYJ | 15564630 |
|  | Total Finland | 19221985 |
|  | **France — 8.1%** |  |
| 103218 | Alstom SA \* | 3433741 |
| 85343 | Nexans SA | 12259695 |
| 21907 | Schneider Electric SE | 7159422 |
| 99029 | STMicroelectronics NV <sup>(a)</sup> | 3300303 |
| 919263 | Valeo SE | 13256701 |
| 267344 | Veolia Environnement SA | 11321142 |
|  | Total France | 50731004 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Germany — 3.4%** |  |
| 113331 | E.ON SE | 2636169 |
| 216136 | Infineon Technologies AG | 11648612 |
| 55017 | Knorr-Bremse AG | 7200969 |
|  | Total Germany | 21485750 |
|  | **Italy — 0.8%** |  |
| 205173 | Enel SpA | 2467194 |
| 82736 | ERG SpA <sup>(a)</sup> | 2437888 |
|  | Total Italy | 4905082 |
|  | **Japan — 3.1%** |  |
| 23481 | Daikin Industries Ltd. | 2983377 |
| 114906 | GS Yuasa Corp. | 4081533 |
| 132309 | Kansai Electric Power Co., Inc. | 2389733 |
| 312481 | Renesas Electronics Corp. | 5893017 |
| 100039 | Yokogawa Electric Corp. | 3990254 |
|  | Total Japan | 19337914 |
|  | **Mexico — 0.4%** |  |
| 2160597 | Orbia Advance Corp. SAB de CV \* | 2549259 |
|  | **Netherlands — 0.2%** |  |
| 34000 | Arcadis NV | 1202485 |
|  | **Norway — 2.6%** |  |
| 443834 | Austevoll Seafood ASA | 4584724 |
| 127901 | Bakkafrost P/F | 6133042 |
| 283337 | Cadeler AS \* | 1820395 |
| 145822 | Mowi ASA | 3444811 |
|  | Total Norway | 15982972 |
|  | **Portugal — 0.4%** |  |
| 471500 | EDP SA | 2508637 |
|  | **Russia — 0.0%** |  |
| 7221500 | GMK Norilskiy Nickel PAO \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 120856 | PhosAgro PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 2335 | PhosAgro PJSC GDR \* <sup>(b)</sup> <sup>(c)</sup> |  |
|  | Total Russia |  |
|  | **South Korea — 7.3%** |  |
| 68624 | CS Wind Corp. | 2561124 |
| 97436 | LG Chem Ltd. | 28332239 |
| 44907 | Samsung SDI Co. Ltd. \* | 14558614 |
|  | Total South Korea | 45451977 |
|  | **Spain — 1.6%** |  |
| 10507 | Acciona SA <sup>(a)</sup> | 3049314 |
| 59594 | Endesa SA | 2431209 |
| 100456 | Iberdrola SA | 2371089 |
| 113085 | Redeia Corp. SA | 2102308 |
|  | Total Spain | 9953920 |

---

1 See accompanying notes to the financial statements.

------

#### GMO Climate Change Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Switzerland — 1.1%** |  |
| 100141 | Landis & Gyr Group AG | 6836498 |
|  | **Thailand — 0.4%** |  |
| 26436811 | Energy Absolute PCL NVDR \* | 2565081 |
|  | **Ukraine — 0.2%** |  |
| 219994 | Kernel Holding SA \* | 1295750 |
|  | **United Kingdom — 1.7%** |  |
| 112730 | Anglo American PLC | 5624389 |
| 460000 | Lifezone Metals Ltd. \* | 2139000 |
| 139643 | National Grid PLC | 2612252 |
|  | Total United Kingdom | 10375641 |
|  | **United States — 46.5%** |  |
| 52955 | Advanced Drainage Systems, Inc. | 9073310 |
| 166973 | Aemetis, Inc. \* <sup>(a)</sup> | 237102 |
| 54398 | AGCO Corp. | 7425327 |
| 142011 | Albemarle Corp. | 25373105 |
| 43821 | Alcoa Corp. | 2720408 |
| 526763 | Ameresco, Inc. – Class A\* | 16045201 |
| 2142446 | Array Technologies, Inc. \* | 16239741 |
| 71755 | Axcelis Technologies, Inc. \* | 5927681 |
| 129332 | BorgWarner, Inc. | 7445643 |
| 113452 | Carrier Global Corp. | 7306309 |
| 3259274 | Clean Energy Fuels Corp. \* | 7365959 |
| 190676 | CNH Industrial NV | 2345315 |
| 20422 | Consolidated Edison, Inc. | 2297883 |
| 64901 | Corteva, Inc. | 5199868 |
| 762532 | Darling Ingredients, Inc. \* | 40536201 |
| 4636 | Deere & Co. | 2919336 |
| 36826 | Edison International | 2752375 |
| 30330 | EnerSys | 5039330 |
| 46048 | Exelon Corp. | 2277995 |
| 41124 | First Solar, Inc. \* | 8109653 |
| 99093 | Freeport-McMoRan, Inc. | 6746251 |
| 659372 | Gevo, Inc. \* | 1200057 |
| 94 | GrafTech International Ltd. \* | 653 |
| 877298 | Green Plains, Inc. \* | 12045302 |
| 14916 | Hubbell, Inc. | 7631473 |
| 100121 | Itron, Inc. \* | 9406368 |
| 57617 | Nextpower, Inc. – Class A\* | 6055547 |
| 68277 | ON Semiconductor Corp. \* | 4539055 |
| 37282 | Ormat Technologies, Inc. | 3866143 |
| 23290 | Owens Corning | 2843010 |
| 11215 | Pentair PLC | 1112416 |
| 73516 | Rayonier, Inc. – (REIT) | 1579859 |
| 641226 | SolarEdge Technologies, Inc. \* <sup>(a)</sup> | 22699400 |
| 1542218 | Sunrun, Inc. \* | 20434388 |
| 18616 | TE Connectivity PLC | 4284472 |
| 5424 | Trane Technologies PLC | 2507624 |
| 9982 | Valmont Industries, Inc. | 4591021 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| 126292 | Weyerhaeuser Co. – (REIT) | 3097943 |
|  | Total United States | 291278724 |
|  | TOTAL COMMON STOCKS<br>(COST $575,550,825) | 586550900 |
|  | **PREFERRED STOCKS <sup>(d)</sup> —3.4%** | **PREFERRED STOCKS <sup>(d)</sup> —3.4%** |
|  | **Chile — 3.4%** | **Chile — 3.4%** |
| 281883 | Sociedad Quimica y Minera de Chile SA Sponsored ADR\* | 21507673 |
|  | TOTAL PREFERRED STOCKS<br>(COST $12,676,202) | 21507673 |
|  | **INVESTMENT FUNDS — 2.7%** | **INVESTMENT FUNDS — 2.7%** |
|  | **United States — 2.7%** | **United States — 2.7%** |
| 3385919 | GMO U.S. Treasury Fund, Class VI <sup>(e)</sup> | 16963453 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $16,963,453) | 16963453 |
|  | **RIGHTS/WARRANTS — 0.1%** | **RIGHTS/WARRANTS — 0.1%** |
|  | **France — 0.1%** | **France — 0.1%** |
| 114522 | Waga Energy SA Conditional Price Supplement Right \* <sup>(b)</sup> | 290936 |
| 114522 | Waga Energy SA Price Adjustment Right \* <sup>(b)</sup> |  |
|  | Total France | 290936 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $0) | 290936 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 206079 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(f)</sup> | 206079 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $206,079) | 206079 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $605,396,559) | **625519041** |
|  | Other Assets and Liabilities (net) — 0.0% | 295290 |
|  | **TOTAL NET ASSETS — 100.0%** | $**625814331** |

---

See accompanying notes to the financial statements. 5

------

#### GMO Climate Change Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer**<br> **Description** | **Acquisition**<br>**Date** | **Acquisition**<br>**Cost** | **Value as a**<br>**Percentage**<br>**of Fund's**<br>**Net Assets** | **Value as of**<br>**August 31,**<br>**2025** |
|  GMK Norilskiy Nickel PAO | 04/11/18 | $21636323 | 0.0% | $— |
|  PhosAgro PJSC | 08/09/19 | 5614147 | 0.0% |  |
|  PhosAgro PJSC GDR | 08/09/19 | 36037 | 0.0% |  |
|  |  |  |  | $— |

---

#### Notes to Schedule of Investments:
\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of this security is out on loan (Note 2).

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

&nbsp;&nbsp;&nbsp;&nbsp;(c) The security is restricted as to resale.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(e) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(f) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

3 See accompanying notes to the financial statements.

------

#### GMO Emerging Markets ex-China Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 94.1%** |  |
|  | **Brazil — 4.3%** |  |
| 167700 | Banco Bradesco SA | 600926 |
| 56862 | Cia De Sanena Do Parana | 500239 |
| 79100 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 473844 |
| 24800 | Guararapes Confeccoes SA | 48521 |
| 44100 | Neoenergia SA | 282760 |
| 3200 | Nexa Resources SA | 43680 |
| 130400 | Vale SA Sponsored ADR | 2240272 |
| 10500 | Vivara Participacoes SA | 63801 |
|  | Total Brazil | 4254043 |
|  | **Colombia — 0.1%** |  |
| 11300 | Ecopetrol SA Sponsored ADR | 134357 |
|  | **Czech Republic — 0.2%** |  |
| 235 | Philip Morris CR AS | 229212 |
|  | **Egypt — 0.2%** |  |
| 18997 | ElSewedy Electric Co. | 30690 |
| 17950 | Orascom Construction PLC | 186466 |
|  | Total Egypt | 217156 |
|  | **Greece — 0.3%** |  |
| 29977 | Eurobank SA | 138897 |
| 1111 | Motor Oil Hellas Corinth Refineries SA | 48227 |
| 4066 | National Bank of Greece SA | 66141 |
|  | Total Greece | 253265 |
|  | **Hungary — 4.5%** |  |
| 38246 | Magyar Telekom Telecommunications PLC | 259348 |
| 59925 | MOL Hungarian Oil & Gas PLC | 663311 |
| 21350 | OTP Bank Nyrt | 2632293 |
| 21502 | Richter Gedeon Nyrt | 806603 |
|  | Total Hungary | 4361555 |
|  | **India — 10.3%** |  |
| 97017 | Ashapura Minechem Ltd. | 579736 |
| 281350 | Bharat Petroleum Corp. Ltd. | 1189787 |
| 78754 | Brightcom Group Ltd. \* | 9335 |
| 35104 | Cipla Ltd. | 520443 |
| 40901 | Dr. Reddy's Laboratories Ltd. | 582043 |
| 12255 | GHCL Ltd. | 64623 |
| 4332 | Glenmark Pharmaceuticals Ltd. | 102145 |
| 4027 | Gujarat State Petronet Ltd. | 13549 |
| 200662 | Hindalco Industries Ltd. | 2043713 |
| 50444 | Hindustan Petroleum Corp. Ltd. | 243169 |
| 137618 | Indian Oil Corp. Ltd. | 282913 |
| 1075 | Kaveri Seed Co. Ltd. | 9002 |
| 1459 | KRBL Ltd. | 5461 |
| 1218 | Mahanagar Gas Ltd. | 16363 |
| 207667 | Manappuram Finance Ltd. | 644364 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **India — continued** |  |
| 22293 | Muthoot Finance Ltd. | 821165 |
| 40661 | National Aluminium Co. Ltd. | 158627 |
| 688252 | NMDC Ltd. | 617071 |
| 433789 | Oil & Natural Gas Corp. Ltd. | 1334068 |
| 1862 | Pokarna Ltd. | 18570 |
| 13729 | Rajesh Exports Ltd. \* | 21705 |
| 52193 | Shriram Finance Ltd. | 620615 |
| 18094 | Siyaram Silk Mills Ltd. | 105802 |
| 1169 | Vadilal Industries Ltd. | 63417 |
| 1873 | West Coast Paper Mills Ltd. | 8782 |
|  | Total India | 10076468 |
|  | **Indonesia — 3.4%** |  |
| 811400 | Aneka Tambang Tbk. PT | 210975 |
| 5277900 | Astra International Tbk. PT | 2100066 |
| 1367300 | Indofood Sukses Makmur Tbk. PT | 525759 |
| 3556400 | Perusahaan Gas Negara Persero Tbk. PT | 506749 |
|  | Total Indonesia | 3343549 |
|  | **Kuwait — 0.8%** |  |
| 309146 | A'ayan Leasing & Investment Co. KSCP | 227096 |
| 67639 | Agility Public Warehousing Co. KSCC | 30395 |
| 37370 | Combined Group Contracting Co. SAK | 118315 |
| 22878 | Mobile Telecommunications Co. KSCP | 40409 |
| 290708 | Noor Financial Investment Co. KSC | 383053 |
|  | Total Kuwait | 799268 |
|  | **Mexico — 3.2%** |  |
| 162210 | Cemex SAB de CV Sponsored ADR | 2029247 |
| 25700 | El Puerto de Liverpool SAB de CV – Class C1 <sup>(a)</sup> | 160688 |
| 296035 | Gentera SAB de CV | 859296 |
| 2900 | Grupo Mexico SAB de CV – Series B | 36753 |
|  | Total Mexico | 3085984 |
|  | **Philippines — 0.0%** |  |
| 2430 | GT Capital Holdings, Inc. | 28233 |
|  | **Russia — 0.0%** |  |
| 4036000 | Alrosa PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 131280 | Evraz PLC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 236860000 | Federal Grid Co-Rosseti PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 102255 | Gazprom Neft PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 897812 | Gazprom PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 783200 | GMK Norilskiy Nickel PAO \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 6151400 | Inter RAO UES PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 122088 | LUKOIL PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 4327340 | Magnitogorsk Iron & Steel Works PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 88090 | Moscow Exchange MICEX-RTS PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 93370 | Novatek PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 1403510 | Novolipetsk Steel PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |

---

See accompanying notes to the financial statements. 4

------

#### GMO Emerging Markets ex-China Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Russia — continued** |  |
| 4917 | PhosAgro PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 95 | PhosAgro PJSC GDR \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 119020 | Polyus PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 1 | Polyus PJSC GDR \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 50074400 | RusHydro PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 3446432 | Sberbank of Russia PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 140607 | Severstal PAO GDR (Registered) \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 2387800 | Surgutneftegas PAO \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 657084 | Tatneft PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
|  | Total Russia |  |
|  | **Saudi Arabia — 2.5%** |  |
| 1896 | Al Babtain Power & Telecommunication Co. | 31659 |
| 35045 | Arab National Bank | 192249 |
| 14441 | Banque Saudi Fransi | 76272 |
| 23712 | Riyad Bank | 174973 |
| 1649 | SABIC Agri-Nutrients Co. | 54352 |
| 4870 | Saudi Awwal Bank | 44338 |
| 139910 | Saudi National Bank | 1550184 |
| 24988 | Saudi Telecom Co. | 278367 |
|  | Total Saudi Arabia | 2402394 |
|  | **South Africa — 0.4%** |  |
| 56222 | Ninety One Ltd. | 192293 |
| 120448 | Old Mutual Ltd. | 124667 |
| 10910 | Omnia Holdings Ltd. | 61240 |
|  | Total South Africa | 378200 |
|  | **South Korea — 22.5%** |  |
| 1265 | DB HiTek Co. Ltd. | 84414 |
| 1436 | GS Holdings Corp. | 68630 |
| 11997 | Hana Financial Group, Inc. | 1014793 |
| 672 | Hankook Tire & Technology Co. Ltd. | 34038 |
| 10237 | Hyundai Glovis Co. Ltd. | 2061221 |
| 9791 | Hyundai Mobis Co. Ltd. | 3519399 |
| 22832 | Kia Corp. | 3260126 |
| 2500 | KT&G Corp. | 283267 |
| 3173 | LG Electronics, Inc. | 320997 |
| 5572 | LX Holdings Corp. | 35219 |
| 1644 | ROKIT Healthcare, Inc. \* | 77794 |
| 20991 | Samsung E&A Co. Ltd. | 530718 |
| 48336 | Samsung Electronics Co. Ltd. | 7234510 |
| 9339 | Shinhan Financial Group Co. Ltd. | 628108 |
| 1348 | SK Hynix, Inc. | 996700 |
| 73645 | Woori Financial Group, Inc. | 1842936 |
| 421 | Youngone Corp. | 28266 |
|  | Total South Korea | 22021136 |
|  | **Taiwan — 30.8%** |  |
| 24000 | Ardentec Corp. | 119908 |
| 88000 | ASE Technology Holding Co. Ltd. | 1060362 |
| 55000 | Compeq Manufacturing Co. Ltd. | 355626 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Taiwan — continued** |  |
| 28000 | Eternal Materials Co. Ltd. | 61257 |
| 367600 | Evergreen Marine Corp. Taiwan Ltd. | 2306963 |
| 3000 | Global Brands Manufacture Ltd. | 10308 |
| 151000 | Greatek Electronics, Inc. | 459926 |
| 133000 | Hannstar Board Corp. | 394255 |
| 185000 | Hon Hai Precision Industry Co. Ltd. | 1415026 |
| 30000 | Kung Long Batteries Industrial Co. Ltd. | 120324 |
| 26000 | Lite-On Technology Corp. | 141920 |
| 2000 | MediaTek, Inc. | 123199 |
| 77528 | Nantex Industry Co. Ltd. | 67533 |
| 10000 | Phison Electronics Corp. | 590772 |
| 1495000 | Pou Chen Corp. | 1479583 |
| 87000 | Powertech Technology, Inc. | 706506 |
| 61000 | Realtek Semiconductor Corp. | 933602 |
| 19000 | Sigurd Microelectronics Corp. | 90616 |
| 13000 | Sinon Corp. | 18830 |
| 270000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 16847508 |
| 11000 | TCI Co. Ltd. | 46175 |
| 53000 | Tripod Technology Corp. | 654670 |
| 11000 | TTY Biopharm Co. Ltd. | 29584 |
| 257000 | United Microelectronics Corp. | 531696 |
| 7000 | Wan Hai Lines Ltd. | 17109 |
| 293000 | Yang Ming Marine Transport Corp. | 536657 |
| 63000 | YungShin Global Holding Corp. | 110211 |
| 131000 | Zhen Ding Technology Holding Ltd. | 866089 |
|  | Total Taiwan | 30096215 |
|  | **Thailand — 7.6%** |  |
| 264100 | 3BB Internet Infrastructure Fund – Class F | 56881 |
| 122000 | AP Thailand PCL NVDR | 36096 |
| 77600 | Bangkok Bank PCL NVDR | 442887 |
| 244500 | Kasikornbank PCL NVDR | 1580546 |
| 22400 | Kiatnakin Phatra Bank PCL NVDR | 55993 |
| 2007300 | Krung Thai Bank PCL NVDR | 2210414 |
| 68400 | Mega Lifesciences PCL NVDR | 83682 |
| 244800 | PTT Exploration & Production PCL NVDR | 1082801 |
| 464800 | PTT PCL NVDR | 553178 |
| 71700 | Regional Container Lines PCL NVDR | 70885 |
| 266300 | SCB X PCL NVDR | 1271490 |
| 103200 | Sri Trang Gloves Thailand PCL NVDR | 29895 |
|  | Total Thailand | 7474748 |
|  | **Turkey — 0.3%** |  |
| 11402 | Dogus Otomotiv Servis ve Ticaret AS | 56699 |
| 45614 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 47187 |
| 25275 | Turk Hava Yollari AO | 177163 |
|  | Total Turkey | 281049 |
|  | **United Arab Emirates — 1.0%** |  |
| 93852 | Emirates NBD Bank PJSC | 843289 |

---

5 See accompanying notes to the financial statements.

------

#### GMO Emerging Markets ex-China Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United Arab Emirates — continued** |  |
| 21247 | First Abu Dhabi Bank PJSC | 113458 |
|  | Total United Arab Emirates | 956747 |
|  | **United Kingdom — 0.8%** |  |
| 18400 | Global Ship Lease, Inc. – Class A | 755872 |
|  | **Vietnam — 0.9%** |  |
| 94380 | An Binh CJSB \* | 50370 |
| 6200 | Binh Minh Plastics JSC | 37731 |
| 12207 | Masan Consumer Corp. | 66085 |
| 33700 | Quang Ngai Sugar JSC | 64049 |
| 611200 | Saigon - Hanoi Commercial Joint Stock Bank | 374300 |
| 18600 | Saigon Beer Alcohol Beverage Corp. | 34565 |
| 95800 | Vietnam Dairy Products JSC | 250856 |
|  | Total Vietnam | 877956 |
|  | TOTAL COMMON STOCKS<br>(COST $131,680,704) | 92027407 |
|  | **PREFERRED STOCKS <sup>(d)</sup> —4.4%** |  |
|  | **Brazil — 3.7%** |  |
| 353800 | Banco Bradesco SA ADR | 1447042 |
| 81500 | Bradespar SA | 394742 |
| 634666 | Cia Energetica de Minas Gerais | 1494279 |
| 30105 | Cyrela Brazil Realty SA Empreendimentos e Participacoes\* | 171181 |
| 24100 | Gerdau SA | 98675 |
| 5712 | Itausa SA | 15900 |
|  | Total Brazil | 3621819 |
|  | **Colombia — 0.7%** |  |
| 9993 | Grupo Cibest SA ADR | 678325 |
| 4679 | Grupo de Inversiones Suramericana SA | 57365 |
|  | Total Colombia | 735690 |
|  | **Russia — 0.0%** |  |
| 3948700 | Surgutneftegas PAO\* <sup>(b)</sup> <sup>(c)</sup> |  |
| 31500 | Transneft PJSC\* <sup>(b)</sup> <sup>(c)</sup> |  |
|  | Total Russia |  |
|  | TOTAL PREFERRED STOCKS<br>(COST $6,441,434) | 4357509 |
|  | **INVESTMENT FUNDS — 1.6%** |  |
|  | **United States — 1.6%** |  |
| 12210 | iShares MSCI Emerging Markets ex China ETF | 1070573 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** | **United States — continued** |
| 101031 | GMO U.S. Treasury Fund, Class VI <sup>(e)</sup> | 506163 |
|  | Total United States | 1576736 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $1,534,005) | 1576736 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 48144 | State Street Institutional Treasury Money Market<br>Fund – Premier Class, 3.61% <sup>(f)</sup> | 48144 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $48,144) | 48144 |
|  | **TOTAL INVESTMENTS — 100.2%**<br> (Cost $139,704,287) | **98009796** |
|  | Other Assets and Liabilities (net) — (0.2)% | (188166) |
|  | **TOTAL NET ASSETS — 100.0%** | **$97821630** |

---

See accompanying notes to the financial statements. 6

------

#### GMO Emerging Markets ex-China Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer**<br> **Description** | **Acquisition<br>Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of**<br>**February 28,<br>2026** |
|  Alrosa PJSC | 10/18/21 | $7054956 | 0.0% | $— |
|  Evraz PLC | 10/18/21 | 1123522 | 0.0% |  |
|  Federal Grid Co-Rosseti PJSC | 10/18/21 | 599930 | 0.0% |  |
|  Gazprom Neft PJSC | 10/18/21 | 736459 | 0.0% |  |
|  Gazprom PJSC | 10/18/21 | 4325759 | 0.0% |  |
|  GMK Norilskiy Nickel PAO | 10/18/21 | 2530663 | 0.0% |  |
|  Inter RAO UES PJSC | 10/18/21 | 435323 | 0.0% |  |
|  LUKOIL PJSC | 10/18/21 | 11826036 | 0.0% |  |
|  Magnitogorsk Iron & Steel Works PJSC | 10/18/21 | 4011995 | 0.0% |  |
|  Moscow Exchange MICEX-RTS PJSC | 10/18/21 | 226996 | 0.0% |  |
|  Novatek PJSC | 10/18/21 | 2410423 | 0.0% |  |
|  Novolipetsk Steel PJSC | 10/18/21 | 4328348 | 0.0% |  |
|  PhosAgro PJSC | 10/18/21 | 383565 | 0.0% |  |
|  PhosAgro PJSC GDR | 10/18/21 | 2465 | 0.0% |  |
|  Polyus PJSC | 10/18/21 | 2285367 | 0.0% |  |
|  Polyus PJSC GDR | 12/14/22 | 4 | 0.0% |  |
|  RusHydro PJSC | 10/18/21 | 555352 | 0.0% |  |
|  Sberbank of Russia PJSC | 10/18/21 | 16614391 | 0.0% |  |
|  Severstal PAO GDR (Registered) | 10/18/21 | 3190235 | 0.0% |  |
|  Surgutneftegas PAO | 10/18/21 | 1213218 | 0.0% |  |
|  Surgutneftegas PAO | 10/18/21 | 2172137 | 0.0% |  |
|  Tatneft PJSC | 10/18/21 | 4839124 | 0.0% |  |
|  Transneft PJSC | 10/18/21 | 645776 | 0.0% |  |
|  |  |  |  | $— |

---

#### Notes to Schedule of Investments:
\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of this security is out on loan (Note 2).

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

&nbsp;&nbsp;&nbsp;&nbsp;(c) The security is restricted as to resale.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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

&nbsp;&nbsp;&nbsp;&nbsp;(e) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(f) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

7 See accompanying notes to the financial statements.

------

#### GMO Emerging Markets Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 93.3%** |  |
|  | **Brazil — 2.6%** |  |
| 151200 | Banco Bradesco SA | 541801 |
| 236400 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 1416141 |
| 66300 | Guararapes Confeccoes SA | 129716 |
| 20500 | Neoenergia SA | 131442 |
| 87500 | Pagseguro Digital Ltd. – Class A | 928375 |
| 572000 | Vale SA Sponsored ADR | 9826960 |
| 74299 | Vibra Energia SA | 433634 |
| 83600 | Vivara Participacoes SA | 507976 |
|  | Total Brazil | &nbsp;&nbsp;&nbsp;&nbsp;13916045 |
|  | **China — 21.5%** |  |
| 2562000 | 361 Degrees International Ltd. | 1847082 |
| 476000 | 3SBio, Inc. | 1341829 |
| 1685 | Alibaba Group Holding Ltd. Sponsored ADR <sup>(a)</sup> | 242825 |
| 36400 | Alibaba Group Holding Ltd. | 658721 |
| 5370000 | Bosideng International Holdings Ltd. | 3328916 |
| 8745878 | China Communications Services Corp. Ltd. – Class H | 4964797 |
| 654000 | China Conch Venture Holdings Ltd. | 1108931 |
| 492000 | China Foods Ltd. | 253027 |
| 1334500 | China Hongqiao Group Ltd. | 6019233 |
| 2546000 | China Lesso Group Holdings Ltd. | 2221799 |
| 708000 | China Medical System Holdings Ltd. | 1315920 |
| 768000 | China National Building Material Co. Ltd. – Class H | 665885 |
| 813000 | China Nonferrous Mining Corp. Ltd. | 1553967 |
| 4157000 | China Reinsurance Group Corp. – Class H | 875126 |
| 496000 | China Sanjiang Fine Chemicals Co. Ltd. \* | 308651 |
| 56000 | China Shineway Pharmaceutical Group Ltd. | 67054 |
| 2082600 | China Taiping Insurance Holdings Co. Ltd. | 6064381 |
| 2722000 | Consun Pharmaceutical Group Ltd. | 6258241 |
| 8032000 | CSPC Pharmaceutical Group Ltd. | 10110740 |
| 810600 | ENN Energy Holdings Ltd. | 7111770 |
| 938000 | Fufeng Group Ltd. | 974195 |
| 66000 | Hansoh Pharmaceutical Group Co. Ltd. | 293831 |
| 55500 | Hengan International Group Co. Ltd. | 206477 |
| 10248000 | Hua Han Health Industry Holdings Ltd. \* <sup>(b)</sup> | 24 |
| 1462000 | Kunlun Energy Co. Ltd. | 1567184 |
| 820500 | Legend Holdings Corp. – Class H\* | 957323 |
| 1498000 | Lonking Holdings Ltd. | 653816 |
| 986000 | Minth Group Ltd. | 5511510 |
| 544500 | Orient Overseas International Ltd. | 10399042 |
| 1070000 | PICC Property & Casualty Co. Ltd. – Class H | 2207779 |
| 300000 | Sany Heavy Equipment International Holdings Co. Ltd. | 603268 |
| 24000 | Shanghai Industrial Holdings Ltd. | 47056 |
| 6442000 | Sino Biopharmaceutical Ltd. | 4967636 |
| 1072000 | Sinofert Holdings Ltd. | 254482 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **China — continued** |  |
| 3300500 | Sinopec Engineering Group Co. Ltd. – Class H | 3337006 |
| 344400 | Sinopharm Group Co. Ltd. – Class H | 928516 |
| 998000 | Skyworth Group Ltd. \* | 893575 |
| 162000 | TCL Electronics Holdings Ltd. | 253540 |
| 218100 | Tencent Holdings Ltd. | 14349633 |
| 537515 | Vipshop Holdings Ltd. ADR | 9363511 |
|  | Total China | 114088299 |
|  | **Colombia — 0.0%** |  |
| 8973 | Almacenes Exito SA | 9769 |
| 2220 | Corp. Financiera Colombiana SA \* | 10177 |
| 8900 | Ecopetrol SA Sponsored ADR | 105821 |
| 1191 | Mineros SA | 6438 |
|  | Total Colombia | 132205 |
|  | **Egypt — 0.2%** |  |
| 78539 | Orascom Construction PLC | 815868 |
|  | **Greece — 0.6%** |  |
| 418840 | Eurobank SA | 1940679 |
| 5235 | Motor Oil Hellas Corinth Refineries SA | 227245 |
| 60141 | National Bank of Greece SA | 978294 |
|  | Total Greece | 3146218 |
|  | **Hungary — 3.6%** |  |
| 221818 | Magyar Telekom Telecommunications PLC | 1504157 |
| 201657 | MOL Hungarian Oil & Gas PLC | 2232146 |
| 109406 | OTP Bank Nyrt | 13488928 |
| 47038 | Richter Gedeon Nyrt | 1764534 |
|  | Total Hungary | &nbsp;&nbsp;&nbsp;&nbsp;18989765 |
|  | **India — 5.6%** |  |
| 239845 | Ashapura Minechem Ltd. | 1433222 |
| 1237859 | Bharat Petroleum Corp. Ltd. | 5234721 |
| 44193 | Cipla Ltd. | 655194 |
| 18021 | GHCL Ltd. | 95028 |
| 753962 | Hindalco Industries Ltd. | 7678993 |
| 217049 | Hindustan Petroleum Corp. Ltd. | 1046300 |
| 259665 | Indian Oil Corp. Ltd. | 533816 |
| 235621 | Manappuram Finance Ltd. | 731101 |
| 86093 | Muthoot Finance Ltd. | 3171245 |
| 1708723 | NMDC Ltd. | 1532002 |
| 1454493 | Oil & Natural Gas Corp. Ltd. | 4473124 |
| 238487 | Shriram Finance Ltd. | 2835794 |
| 62829 | Siyaram Silk Mills Ltd. | 367384 |
|  | Total India | 29787924 |
|  | **Indonesia — 2.0%** |  |
| 8674400 | Aneka Tambang Tbk. PT | 2255459 |
| 16006400 | Astra International Tbk. PT | 6368916 |
| 2961700 | Indofood Sukses Makmur Tbk. PT | 1138844 |
| 5491300 | Perusahaan Gas Negara Persero Tbk. PT | 782451 |

---

See accompanying notes to the financial statements. 8

------

#### GMO Emerging Markets Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Indonesia — continued** |  |
| 219400 | Tempo Scan Pacific Tbk. PT | 35587 |
|  | Total Indonesia | &nbsp;&nbsp;&nbsp;&nbsp;10581257 |
|  | **Kuwait — 0.5%** |  |
| 935355 | A'ayan Leasing & Investment Co. KSCP | 687103 |
| 181589 | Agility Public Warehousing Co. KSCC | 81600 |
| 100678 | Combined Group Contracting Co. SAK | 318750 |
| 69599 | Mobile Telecommunications Co. KSCP | 122933 |
| 11612 | National Mobile Telecommunications Co. KSC | 61844 |
| 1066455 | Noor Financial Investment Co. KSC | 1405221 |
|  | Total Kuwait | 2677451 |
|  | **Mexico — 2.2%** |  |
| 610800 | Cemex SAB de CV Sponsored ADR | 7641108 |
| 1246863 | Gentera SAB de CV <sup>(a)</sup> | 3619247 |
| 26817 | Grupo Financiero Banorte SAB de CV – Class O | 304934 |
| 15900 | Grupo Mexico SAB de CV – Series B | 201506 |
|  | Total Mexico | 11766795 |
|  | **Philippines — 0.1%** |  |
| 10530 | GT Capital Holdings, Inc. | 122344 |
| 1366700 | LT Group, Inc. | 370219 |
| 1495800 | Megaworld Corp. | 58623 |
| 42200 | Puregold Price Club, Inc. | 30726 |
| 22700 | Robinsons Retail Holdings, Inc. | 15006 |
|  | Total Philippines | 596918 |
|  | **Poland — 0.0%** |  |
| 4 | ORLEN SA | 129 |
|  | **Russia — 0.0%** |  |
| 31701260 | Alrosa PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 39977 | Evraz PLC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 1432600000 | Federal Grid Co-Rosseti PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 219070 | Gazprom Neft PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 1250860 | Gazprom PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 3721200 | GMK Norilskiy Nickel PAO \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 78536400 | Inter RAO UES PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 239440 | LSR Group PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 3 | LSR Group PJSC GDR \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 285469 | LUKOIL PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 17490987 | Magnitogorsk Iron & Steel Works PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 474800 | Mechel PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 4133417 | Moscow Exchange MICEX-RTS PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 10015560 | Novolipetsk Steel PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 11924 | PhosAgro PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 230 | PhosAgro PJSC GDR \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 800940 | Polyus PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 24938000 | RusHydro PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Russia — continued** |  |
| 13125612 | Sberbank of Russia PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 706464 | Severstal PAO GDR (Registered) \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 68353 | SFI PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 63500900 | Surgutneftegas PAO \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 2860038 | Tatneft PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 8118000 | Unipro PAO \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 556430 | United Co. RUSAL International PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
|  | Total Russia |  |
|  | **Saudi Arabia — 2.1%** |  |
| 48191 | Banque Saudi Fransi | 254528 |
| 5859 | Etihad Etisalat Co. | 100290 |
| 146915 | Riyad Bank | 1084098 |
| 7933 | SABIC Agri-Nutrients Co. | 261475 |
| 27340 | Saudi Awwal Bank | 248913 |
| 676824 | Saudi National Bank | 7499118 |
| 161452 | Saudi Telecom Co. | 1798578 |
|  | Total Saudi Arabia | &nbsp;&nbsp;&nbsp;&nbsp;11247000 |
|  | **South Africa — 0.1%** |  |
| 22327 | Ninety One Ltd. | 76364 |
| 469264 | Old Mutual Ltd. | 485703 |
|  | Total South Africa | 562067 |
|  | **South Korea — 17.8%** |  |
| 66176 | Hana Financial Group, Inc. | 5597643 |
| 41089 | Hyundai Glovis Co. Ltd. | 8273275 |
| 54795 | Hyundai Mobis Co. Ltd. | 19696198 |
| 3933 | KB Financial Group, Inc. | 434078 |
| 101408 | Kia Corp. | 14479802 |
| 13564 | KT&G Corp. | 1536892 |
| 20033 | LG Electronics, Inc. | 2026643 |
| 195 | LX Holdings Corp. | 1232 |
| 9610 | ROKIT Healthcare, Inc. \* | 454744 |
| 89150 | Samsung E&A Co. Ltd. | 2253989 |
| 184307 | Samsung Electronics Co. Ltd. | 27585461 |
| 49775 | Shinhan Financial Group Co. Ltd. | 3347691 |
| 350994 | Woori Financial Group, Inc. | 8783482 |
|  | Total South Korea | 94471130 |
|  | **Sri Lanka — 0.1%** |  |
| 103983101 | Anilana Hotels & Properties Ltd. \* <sup>(d)</sup> <sup>(e)</sup> | 302374 |
|  | **Taiwan — 25.3%** |  |
| 62000 | Ardentec Corp. | 309763 |
| 515000 | ASE Technology Holding Co. Ltd. | 6205530 |
| 54000 | Compeq Manufacturing Co. Ltd. | 349160 |
| 32000 | Delta Electronics, Inc. | 1443002 |
| 1624200 | Evergreen Marine Corp. Taiwan Ltd. | 10193060 |
| 273000 | Greatek Electronics, Inc. | 831521 |
| 341000 | Hannstar Board Corp. | 1010835 |
| 857000 | Hon Hai Precision Industry Co. Ltd. | 6555012 |

---

9 See accompanying notes to the financial statements.

------

#### GMO Emerging Markets Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Taiwan — continued** |  |
| 326000 | Lite-On Technology Corp. | 1779454 |
| 12000 | MediaTek, Inc. | 739195 |
| 48000 | Phison Electronics Corp. | 2835704 |
| 7337000 | Pou Chen Corp. | 7261335 |
| 446000 | Powertech Technology, Inc. | 3621860 |
| 315000 | Realtek Semiconductor Corp. | 4821058 |
| 1173000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 73193044 |
| 36000 | TCI Co. Ltd. | 151118 |
| 239000 | Tripod Technology Corp. | 2952190 |
| 36000 | TTY Biopharm Co. Ltd. | 96820 |
| 1760000 | United Microelectronics Corp. | 3641186 |
| 47000 | Wan Hai Lines Ltd. | 114875 |
| 751000 | Yang Ming Marine Transport Corp. | 1375528 |
| 68000 | Yuanta Financial Holding Co. Ltd. | 105968 |
| 66000 | YungShin Global Holding Corp. | 115459 |
| 656000 | Zhen Ding Technology Holding Ltd. | 4337057 |
|  | Total Taiwan | &nbsp;&nbsp;&nbsp;&nbsp;134039734 |
|  | **Thailand — 6.9%** |  |
| 915300 | 3BB Internet Infrastructure Fund – Class F | 197132 |
| 370900 | AP Thailand PCL | 109738 |
| 139900 | Bangkok Bank PCL (Foreign Registered) | 798452 |
| 67800 | Bangkok Life Assurance PCL NVDR | 46679 |
| 164700 | GFPT PCL | 51655 |
| 1325300 | Kasikornbank PCL | 8567272 |
| 10609400 | Krung Thai Bank PCL | 11682937 |
| 336300 | Mega Lifesciences PCL | 411437 |
| 272600 | Pruksa Holding PCL (Foreign Registered) | 34907 |
| 908900 | PTT Exploration & Production PCL | 4020253 |
| 3443000 | PTT PCL | 4097658 |
| 228600 | Regional Container Lines PCL | 226003 |
| 1281600 | SCB X PCL | 6119196 |
| 80900 | Sri Trang Gloves Thailand PCL | 23435 |
| 48100 | Thai Vegetable Oil PCL | 38214 |
| 249700 | Thaifoods Group PCL | 52186 |
| 170400 | TOA Paint Thailand PCL | 86739 |
|  | Total Thailand | 36563893 |
|  | **Turkey — 0.1%** |  |
| 28446 | Dogus Otomotiv Servis ve Ticaret AS | 141455 |
| 253262 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 261995 |
| 33847 | Turk Hava Yollari AO | 237248 |
|  | Total Turkey | 640698 |
|  | **United Arab Emirates — 0.8%** |  |
| 333630 | Emirates NBD Bank PJSC | 2997770 |
| 183216 | First Abu Dhabi Bank PJSC | 978361 |
|  | Total United Arab Emirates | 3976131 |
|  | **United Kingdom — 0.2%** |  |
| 31200 | Global Ship Lease, Inc. – Class A | 1281696 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Vietnam — 1.0%** |  |
| 329810 | An Binh CJSB \* | 176017 |
| 61364 | Masan Consumer Corp. | 332207 |
| 251400 | Quang Ngai Sugar JSC | 477800 |
| 3789200 | Saigon - Hanoi Commercial Joint Stock Bank | 2320512 |
| 115200 | Saigon Beer Alcohol Beverage Corp. | 214079 |
| 504900 | Vietnam Dairy Products JSC | 1322103 |
| 111700 | Vietnam Engine & Agricultural Machinery Corp. | 151392 |
| 139800 | Vietnam Prosperity JSC Bank | 155393 |
|  | Total Vietnam | 5149503 |
|  | TOTAL COMMON STOCKS<br>(COST $666,792,213) | 494733100 |
|  | **PREFERRED STOCKS <sup>(f)</sup> —5.7%** | **PREFERRED STOCKS <sup>(f)</sup> —5.7%** |
|  | **Brazil — 4.1%** |  |
| 2611000 | Banco Bradesco SA ADR | 10678991 |
| 430000 | Bradespar SA | 2082688 |
| 3312780 | Cia Energetica de Minas Gerais | 7799718 |
| 140613 | Cyrela Brazil Realty SA Empreendimentos e Participacoes\* | 799545 |
| 107400 | Gerdau SA | 439740 |
|  | Total Brazil | &nbsp;&nbsp;&nbsp;&nbsp;21800682 |
|  | **Colombia — 0.8%** |  |
| 59521 | Grupo Cibest SA ADR | 4040285 |
| 22631 | Grupo de Inversiones Suramericana SA | 277459 |
|  | Total Colombia | 4317744 |
|  | **Russia — 0.0%** |  |
| 194570 | Nizhnekamskneftekhim PJSC\* <sup>(b)</sup> <sup>(c)</sup> |  |
| 79676700 | Surgutneftegas PAO\* <sup>(b)</sup> <sup>(c)</sup> |  |
| 86900 | Transneft PJSC\* <sup>(b)</sup> <sup>(c)</sup> |  |
|  | Total Russia |  |
|  | **South Korea — 0.8%** |  |
| 38953 | Samsung Electronics Co. Ltd. | 3912419 |
|  | TOTAL PREFERRED STOCKS<br>(COST $72,242,179) | 30030845 |

---

See accompanying notes to the financial statements. 10

------

#### GMO Emerging Markets Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 0.4%** | **INVESTMENT FUNDS — 0.4%** |
|  | **United States — 0.4%** |  |
| 399792 | GMO U.S. Treasury Fund, Class VI <sup>(e)</sup> | 2002959 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $2,002,959) | 2002959 |
|  | **TOTAL INVESTMENTS — 99.4%**<br> (Cost $741,037,351) | **526766904** |
|  | Other Assets and Liabilities (net) — 0.6% | 3282565 |
|  | **TOTAL NET ASSETS — 100.0%** | **$530049469** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer**<br> **Description** | **Acquisition**<br>**Date** | **Acquisition**<br>**Cost** | **Value as a**<br>**Percentage**<br>**of Fund's**<br>**Net Assets** | **Value as of<br>February 28,**<br>**2026** |
|  Alrosa PJSC | 09/14/17 | $46779239 | 0.0% | $— |
|  Evraz PLC | 10/20/21 | 325882 | 0.0% |  |
|  Federal Grid Co-Rosseti PJSC | 01/16/20 | 3566461 | 0.0% |  |
|  Gazprom Neft PJSC | 02/11/22 | 1504524 | 0.0% |  |
|  Gazprom PJSC | 02/15/22 | 5498440 | 0.0% |  |
|  GMK Norilskiy Nickel PAO | 12/09/19 | 10928119 | 0.0% |  |
|  Inter RAO UES PJSC | 04/04/18 | 5427962 | 0.0% |  |
|  LSR Group PJSC | 03/01/19 | 2449446 | 0.0% |  |
|  LSR Group PJSC GDR | 05/06/21 | 7 | 0.0% |  |
|  LUKOIL PJSC | 08/31/21 | 26859350 | 0.0% |  |
|  Magnitogorsk Iron & Steel Works PJSC | 02/13/18 | 14388116 | 0.0% |  |
|  Mechel PJSC | 11/12/21 | 883911 | 0.0% |  |
|  Moscow Exchange MICEX-RTS PJSC | 10/23/17 | 8713968 | 0.0% |  |
|  Nizhnekamskneftekhim PJSC | 03/24/20 | 204612 | 0.0% |  |
|  Novolipetsk Steel PJSC | 10/11/17 | 26618404 | 0.0% |  |
|  PhosAgro PJSC | 02/09/22 | 802829 | 0.0% |  |
|  PhosAgro PJSC GDR | 02/09/22 | 5151 | 0.0% |  |
|  Polyus PJSC | 07/23/20 | 17665998 | 0.0% |  |
|  RusHydro PJSC | 02/09/22 | 256737 | 0.0% |  |
|  Sberbank of Russia PJSC | 11/10/17 | 51393929 | 0.0% |  |
|  Severstal PAO GDR (Registered) | 10/12/17 | 13249420 | 0.0% |  |
|  SFI PJSC | 09/11/18 | 747895 | 0.0% |  |
|  Surgutneftegas PAO | 09/17/15 | 36354554 | 0.0% |  |
|  Surgutneftegas PAO | 11/01/18 | 47551568 | 0.0% |  |
|  Tatneft PJSC | 11/02/18 | 25364999 | 0.0% |  |
|  Transneft PJSC | 05/29/20 | 1711599 | 0.0% |  |
|  Unipro PAO | 03/29/18 | 400147 | 0.0% |  |
|  United Co. RUSAL International PJSC | 11/12/21 | 569611 | 0.0% |  |
|  |  |  |  | $— |

---

11 See accompanying notes to the financial statements.

------

#### GMO Emerging Markets Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
A summary of outstanding financial instruments at February 28, 2026 is as follows:

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of**<br> **Contracts +** | **Type** | **Expiration**<br> **Date** | **Notional**<br>**Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
|  &nbsp;&nbsp;&nbsp;&nbsp;Buys |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;65 | MSCI Emerging Market | March 2026 | $5212025 | $124595 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2026, 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.

&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of this security is out on loan (Note 2).

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

&nbsp;&nbsp;&nbsp;&nbsp;(c) The security is restricted as to resale.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Investment valued using significant unobservable inputs (Note 2).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(e) Affiliated company (Note 10).

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

See accompanying notes to the financial statements. 12

------

#### GMO International Equity Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.9%** |  |
|  | **Australia — 4.3%** |  |
| 363760 | BHP Group Ltd. | 14759658 |
| 132540 | Brambles Ltd. | 2363734 |
| 1595938 | Fortescue Ltd. | 23972935 |
| 173489 | GrainCorp Ltd. – Class A | 760330 |
| 8017 | JB Hi-Fi Ltd. | 468630 |
| 382137 | Perseus Mining Ltd. | 1642598 |
| 29210 | Rio Tinto Ltd. | 3472485 |
| 135546 | Super Retail Group Ltd. | 1496685 |
|  | Total Australia | &nbsp;&nbsp;&nbsp;&nbsp;48937055 |
|  | **Belgium — 1.1%** |  |
| 24137 | Ageas SA | 1791608 |
| 25386 | Bekaert SA | 1310190 |
| 59734 | KBC Group NV | 8089953 |
| 18036 | Melexis NV <sup>(a)</sup> | 1209480 |
| 29381 | Proximus SADP | 242299 |
|  | Total Belgium | 12643530 |
|  | **Canada — 1.4%** |  |
| 17700 | Bank of Nova Scotia | 1342763 |
| 147800 | Toronto-Dominion Bank | 14398053 |
|  | Total Canada | 15740816 |
|  | **Denmark — 0.2%** |  |
| 279 | AP Moller - Maersk AS – Class B | 692716 |
| 4121 | Genmab AS \* | 1213331 |
|  | Total Denmark | 1906047 |
|  | **Finland — 2.4%** |  |
| 3454000 | Nokia OYJ | 26509510 |
| 43068 | Valmet OYJ | 1442099 |
|  | Total Finland | 27951609 |
|  | **France — 8.6%** |  |
| 8993 | Amundi SA | 857868 |
| 90677 | ArcelorMittal SA | 5940150 |
| 113282 | BNP Paribas SA | 12719489 |
| 65713 | Cie de Saint-Gobain SA | 6659471 |
| 59886 | Cie Generale des Etablissements Michelin SCA | 2421862 |
| 101591 | Coface SA | 1879186 |
| 94864 | Derichebourg SA | 1052335 |
| 42854 | Eiffage SA | 7389849 |
| 26762 | Ipsen SA | 5224011 |
| 25959 | IPSOS SA | 1052201 |
| 9886 | Legrand SA | 1790623 |
| 34139 | Metropole Television SA | 466501 |
| 24893 | Rubis SCA | 1070692 |
| 293921 | Sanofi SA | 28745857 |
| 9816 | Schneider Electric SE | 3207965 |
| 14681 | Societe BIC SA | 944041 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **France — continued** |  |
| 63687 | Societe Generale SA | 5519153 |
| 185027 | STMicroelectronics NV <sup>(a)</sup> | 6166326 |
| 77022 | STMicroelectronics NV - NY Shares | 2588709 |
| 104657 | Television Francaise 1 SA | 896154 |
| 16565 | TotalEnergies SE | 1326883 |
| 35326 | Valeo SE | 509437 |
|  | Total France | &nbsp;&nbsp;&nbsp;&nbsp;98428763 |
|  | **Germany — 3.8%** |  |
| 704373 | Deutsche Bank AG (Registered) | 24972236 |
| 163292 | Deutsche Post AG | 9615470 |
| 9301 | DWS Group GmbH & Co. KGaA | 655611 |
| 2953 | Hornbach Holding AG & Co. KGaA | 298683 |
| 5326 | Indus Holding AG | 192016 |
| 40876 | Kloeckner & Co. SE | 529177 |
| 24046 | RTL Group SA | 1051540 |
| 23705 | Siemens AG (Registered) | 6854155 |
|  | Total Germany | 44168888 |
|  | **Hong Kong — 5.5%** |  |
| 2156500 | BOC Hong Kong Holdings Ltd. | 12334649 |
| 607000 | CK Asset Holdings Ltd. | 3851280 |
| 2335500 | CK Hutchison Holdings Ltd. | 19230035 |
| 202800 | Dah Sing Banking Group Ltd. | 339185 |
| 26869 | Dah Sing Financial Holdings Ltd. | 145848 |
| 936585 | IGG, Inc. | 376855 |
| 122901 | Johnson Electric Holdings Ltd. | 485564 |
| 197640 | KLN Logistics Group Ltd. | 178783 |
| 144326 | Luk Fook Holdings International Ltd. | 542642 |
| 730331 | Pacific Textiles Holdings Ltd. | 124043 |
| 789000 | SITC International Holdings Co. Ltd. | 3365642 |
| 94000 | Sun Hung Kai Properties Ltd. | 1747520 |
| 229000 | Swire Pacific Ltd. – Class A | 2459907 |
| 278000 | Techtronic Industries Co. Ltd. | 4502399 |
| 658000 | United Laboratories International Holdings Ltd. <sup>(a)</sup> | 1094129 |
| 730000 | VSTECS Holdings Ltd. | 739474 |
| 72700 | VTech Holdings Ltd. | 598795 |
| 8594515 | WH Group Ltd. | 10804562 |
|  | Total Hong Kong | 62921312 |
|  | **Israel — 1.5%** |  |
| 700133 | Bank Hapoalim BM | 17670040 |
|  | **Italy — 3.0%** |  |
| 89405 | Anima Holding SpA | 726928 |
| 55598 | Banca IFIS SpA | 1612522 |
| 442454 | Banco BPM SpA | 6517412 |
| 153818 | BPER Banca SpA | 2166362 |
| 66604 | Esprinet SpA | 476016 |
| 386365 | Intesa Sanpaolo SpA | 2651062 |
| 797446 | Unipol Assicurazioni SpA | 19839256 |
|  | Total Italy | 33989558 |

---

13 See accompanying notes to the financial statements.

------

#### GMO International Equity Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Japan — 26.7%** |  |
| 38420 | AOKI Holdings, Inc. | 445306 |
| 168796 | Brother Industries Ltd. | 3486656 |
| 13800 | Canon Marketing Japan, Inc. | 618191 |
| 52300 | Credit Saison Co. Ltd. | 1592457 |
| 102000 | Daido Steel Co. Ltd. <sup>(a)</sup> | 1554558 |
| 66290 | Daiwabo Holdings Co. Ltd. | 1356283 |
| 86200 | Denso Corp. | 1236790 |
| 55000 | Ebara Corp. | 1931787 |
| 17100 | Fuji Electric Co. Ltd. | 1515654 |
| 29118 | Fuyo General Lease Co. Ltd. | 865456 |
| 30906 | Gunze Ltd. | 938058 |
| 27800 | Horiba Ltd. | 3733634 |
| 266600 | Inpex Corp. | 6508428 |
| 637370 | ITOCHU Corp. | 9228369 |
| 41000 | Kaga Electronics Co. Ltd. | 1142686 |
| 134500 | Kajima Corp. | 6150743 |
| 124088 | Kanematsu Corp. | 1950682 |
| 529592 | KDDI Corp. | 9097070 |
| 450400 | Komatsu Ltd. | 21619359 |
| 23193 | Komeri Co. Ltd. | 544073 |
| 106000 | Kyocera Corp. | 1872134 |
| 637500 | Marubeni Corp. | 24395700 |
| 49157 | MCJ Co. Ltd. | 720977 |
| 203400 | Mitsubishi Electric Corp. | 7742014 |
| 169500 | Mitsui & Co. Ltd. | 6354503 |
| 164400 | Murata Manufacturing Co. Ltd. | 4299046 |
| 353800 | NEC Corp. | 9808496 |
| 61500 | NGK Insulators Ltd. | 1801408 |
| 49426 | Nichias Corp. <sup>(a)</sup> | 3041796 |
| 39400 | Nippon Yusen KK | 1352850 |
| 70100 | Niterra Co. Ltd. | 3534934 |
| 48300 | Nitto Denko Corp. | 1120098 |
| 21000 | ORIX Corp. | 737081 |
| 18400 | Osaka Gas Co. Ltd. | 768090 |
| 1731300 | Panasonic Holdings Corp. | 27919036 |
| 82324 | Press Kogyo Co. Ltd. | 529445 |
| 119800 | Renesas Electronics Corp. | 2259284 |
| 11966 | San-A Co. Ltd. | 238169 |
| 85400 | Sanwa Holdings Corp. | 2260069 |
| 16500 | SCREEN Holdings Co. Ltd. | 2405325 |
| 72100 | Seiko Epson Corp. | 976393 |
| 37695 | Seiko Group Corp. | 3185985 |
| 564812 | Sekisui Chemical Co. Ltd. | 10999096 |
| 277000 | Sekisui House Ltd. | 6767151 |
| 238700 | Shionogi & Co. Ltd. | 5636253 |
| 49100 | Sojitz Corp. | 2221378 |
| 34800 | Subaru Corp. | 652747 |
| 146300 | Sumitomo Corp. | 6212358 |
| 516200 | Sumitomo Electric Industries Ltd. | 34110073 |
| 727000 | Sumitomo Forestry Co. Ltd. | 7861206 |
| 349200 | Suzuki Motor Corp. | 5281081 |
| 141100 | TDK Corp. | 2179769 |
| 4400 | Tokyo Electron Ltd. | 1238048 |
| 74200 | Tokyo Gas Co. Ltd. | 3642422 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| 101975 | Tokyu Construction Co. Ltd. | 1042219 |
| 12428 | Towa Pharmaceutical Co. Ltd. | 352699 |
| 172000 | Toyo Tire Corp. | 5300356 |
| 577465 | Toyota Tsusho Corp. | 25813033 |
| 33938 | TPR Co. Ltd. | 305922 |
| 24369 | Valor Holdings Co. Ltd. | 586225 |
| 20256 | Warabeya Nichiyo Holdings Co. Ltd. | 445940 |
| 291400 | Yamaha Motor Co. Ltd. | 2317204 |
| 19300 | Yokogawa Electric Corp. | 769819 |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;306574072 |
|  | **Netherlands — 8.6%** |  |
| 386453 | ABN AMRO Bank NV | 12943375 |
| 36048 | ASML Holding NV - NY Shares (Registered) | 52289787 |
| 78597 | EXOR NV | 6897603 |
| 244328 | ING Groep NV | 7049579 |
| 204751 | NN Group NV | 16793174 |
| 130811 | Signify NV | 3047742 |
|  | Total Netherlands | 99021260 |
|  | **Norway — 1.7%** |  |
| 411726 | Elkem ASA | 1325026 |
| 35331 | Europris ASA | 337828 |
| 330122 | Hoegh Autoliners ASA | 4598658 |
| 327331 | Norsk Hydro ASA | 3037116 |
| 705516 | Orkla ASA | 9658548 |
| 38577 | Wallenius Wilhelmsen ASA | 536615 |
|  | Total Norway | 19493791 |
|  | **Portugal — 0.3%** |  |
| 253973 | Navigator Co. SA <sup>(a)</sup> | 1032019 |
| 156820 | REN - Redes Energeticas Nacionais SGPS SA | 712596 |
| 757857 | Sonae SGPS SA | 1804753 |
|  | Total Portugal | 3549368 |
|  | **Singapore — 2.7%** |  |
| 245300 | ComfortDelGro Corp. Ltd. | 300304 |
| 50900 | DBS Group Holdings Ltd. | 2292800 |
| 381100 | First Resources Ltd. | 712124 |
| 814200 | Oversea-Chinese Banking Corp. Ltd. | 13778851 |
| 377000 | Sheng Siong Group Ltd. | 783508 |
| 87700 | Venture Corp. Ltd. | 1082892 |
| 882722 | Yangzijiang Financial Holding Ltd. | 215596 |
| 882722 | Yangzijiang Maritime Development Ltd. \* | 434831 |
| 3410222 | Yangzijiang Shipbuilding Holdings Ltd. | 11656036 |
|  | Total Singapore | 31256942 |
|  | **Spain — 7.3%** |  |
| 1389043 | Banco Bilbao Vizcaya Argentaria SA | 32172459 |
| 1469361 | Banco Santander SA | 18531675 |
| 432441 | CaixaBank SA | 5329953 |

---

See accompanying notes to the financial statements. 14

------

#### GMO International Equity Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Spain — continued** |  |
| 249210 | Indra Sistemas SA <sup>(a)</sup> | 18413234 |
| 2112101 | Mapfre SA <sup>(a)</sup> | 9817228 |
|  | Total Spain | 84264549 |
|  | **Sweden — 0.3%** |  |
| 37270 | Boliden AB \* | 2954308 |
|  | **Switzerland — 6.3%** |  |
| 317166 | ABB Ltd. (Registered) | 29539637 |
| 119512 | Novartis AG (Registered) | 20094956 |
| 37502 | Roche Holding AG | 17847255 |
| 57953 | Sandoz Group AG ADR <sup>(a)</sup> | 5101023 |
| 3995 | Zehnder Group AG – Class RG | 423270 |
|  | Total Switzerland | &nbsp;&nbsp;&nbsp;&nbsp;73006141 |
|  | **United Kingdom — 12.2%** |  |
| 364576 | 3i Group PLC | 16287755 |
| 45147 | British American Tobacco PLC Sponsored ADR | 2828459 |
| 5125126 | BT Group PLC | 14937682 |
| 83864 | Crest Nicholson Holdings PLC | 172125 |
| 488845 | Ferrexpo PLC \* | 369716 |
| 49060 | Galliford Try Holdings PLC | 362773 |
| 243568 | GSK PLC | 7237206 |
| 409221 | GSK PLC Sponsored ADR <sup>(a)</sup> | 24197238 |
| 103137 | Halfords Group PLC | 206253 |
| 128990 | IG Group Holdings PLC | 2262539 |
| 353555 | Imperial Brands PLC | 15835327 |
| 36276 | Kingfisher PLC | 182469 |
| 286855 | Rio Tinto PLC Sponsored ADR | 28496176 |
| 109244 | Vesuvius PLC | 735279 |
| 1728343 | Vodafone Group PLC Sponsored ADR | 26547348 |
|  | Total United Kingdom | 140658345 |
|  | TOTAL COMMON STOCKS<br>(COST $838,309,747) | 1125136394 |
|  | **PREFERRED STOCKS <sup>(b)</sup> —1.0%** | **PREFERRED STOCKS <sup>(b)</sup> —1.0%** |
|  | **Germany — 1.0%** | **Germany — 1.0%** |
| 3755 | Draegerwerk AG & Co. KGaA | 398026 |
| 93264 | Volkswagen AG | 11089149 |
|  | Total Germany | 11487175 |
|  | TOTAL PREFERRED STOCKS<br>(COST $11,002,175) | 11487175 |
|  | **INVESTMENT FUNDS — 0.9%** | **INVESTMENT FUNDS — 0.9%** |
|  | **United States — 0.9%** | **United States — 0.9%** |
| 2059592 | GMO U.S. Treasury Fund, Class VI <sup>(c)</sup> | 10318555 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $10,318,555) | 10318555 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 478763 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(d)</sup> | 478763 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $478,763) | 478763 |
|  | **TOTAL INVESTMENTS — 99.8%**<br> (Cost $860,109,240) | **1147420887** |
|  | Other Assets and Liabilities (net) — 0.2% | 2019984 |
|  | **TOTAL NET ASSETS — 100.0%** | $**1149440871** |

---

#### Notes to Schedule of Investments:
\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of this security is out on loan (Note 2).

&nbsp;&nbsp;&nbsp;&nbsp;(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(d) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

15 See accompanying notes to the financial statements.

------

#### GMO International Opportunistic Value Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.6%** |  |
|  | **Australia — 5.4%** |  |
| 150794 | Aurizon Holdings Ltd. | 445251 |
| 274707 | BHP Group Ltd. | 11146309 |
| 293466 | Fortescue Ltd. | 4408217 |
| 5580 | Rio Tinto Ltd. | 663351 |
| 87022 | Woodside Energy Group Ltd. | 1776727 |
|  | Total Australia | 18439855 |
|  | **Austria — 1.2%** |  |
| 37911 | OMV AG | 2455881 |
| 32603 | Raiffeisen Bank International AG | 1619714 |
|  | Total Austria | &nbsp;&nbsp;&nbsp;&nbsp;4075595 |
|  | **Belgium — 0.2%** |  |
| 10425 | Ageas SA | 773813 |
| 6183 | Proximus SADP | 50990 |
|  | Total Belgium | 824803 |
|  | **Canada — 13.7%** |  |
| 9000 | Alimentation Couche-Tard, Inc. | 546182 |
| 28000 | Bank of Montreal | 4029676 |
| 56765 | Bank of Nova Scotia <sup>(a)</sup> | 4299949 |
| 77800 | Bank of Nova Scotia <sup>(a)</sup> | 5902089 |
| 13600 | Canadian Imperial Bank of Commerce | 1373809 |
| 11400 | Empire Co. Ltd. – Class A | 404334 |
| 400 | Fairfax Financial Holdings Ltd. <sup>(b)</sup> | 688464 |
| 10700 | IGM Financial, Inc. | 532313 |
| 6490 | Magna International, Inc. <sup>(a)</sup> <sup>(b)</sup> | 409195 |
| 9500 | Magna International, Inc. <sup>(a)</sup> <sup>(b)</sup> | 599021 |
| 60874 | Manulife Financial Corp. <sup>(a)</sup> | 2163462 |
| 92800 | Manulife Financial Corp. <sup>(a)</sup> | 3304348 |
| 13200 | Nutrien Ltd. | 992770 |
| 21200 | Open Text Corp. <sup>(b)</sup> | 525163 |
| 43200 | Parex Resources, Inc. | 675846 |
| 15800 | Power Corp. of Canada | 793678 |
| 7300 | Russel Metals, Inc. <sup>(b)</sup> | 257096 |
| 37630 | Sun Life Financial, Inc. <sup>(a)</sup> | 2466646 |
| 65500 | Sun Life Financial, Inc. <sup>(a)</sup> <sup>(b)</sup> | 4292878 |
| 5000 | Suncor Energy, Inc. | 282431 |
| 123400 | Toronto-Dominion Bank | 12021108 |
|  | Total Canada | 46560458 |
|  | **Denmark — 0.9%** |  |
| 327 | AP Moller - Maersk AS – Class A | 800958 |
| 836 | AP Moller - Maersk AS – Class B | 2075665 |
| 38768 | H Lundbeck AS | 238163 |
|  | Total Denmark | 3114786 |
|  | **Finland — 0.3%** |  |
| 27383 | Valmet OYJ | 916899 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **France — 9.9%** |  |
| 1157 | Arkema SA | 84259 |
| 19474 | AXA SA | 952319 |
| 97297 | BNP Paribas SA | 10924667 |
| 1831 | Capgemini SE | 231396 |
| 12915 | Carrefour SA | 244937 |
| 21865 | Credit Agricole SA | 483063 |
| 69753 | Sanofi SA | 6821934 |
| 6792 | Teleperformance SE | 410677 |
| 151297 | TotalEnergies SE | 12119133 |
| 89457 | Valeo SE | 1290060 |
|  | Total France | &nbsp;&nbsp;&nbsp;&nbsp;33562445 |
|  | **Germany — 7.2%** |  |
| 31996 | Bayerische Motoren Werke AG | 3353291 |
| 36480 | Daimler Truck Holding AG | 1840566 |
| 38210 | Deutsche Bank AG (Registered) | 1354665 |
| 74961 | Deutsche Post AG | 4414088 |
| 149823 | Deutsche Telekom AG (Registered) | 6016914 |
| 6512 | DWS Group GmbH & Co. KGaA | 459020 |
| 11395 | Evonik Industries AG | 198127 |
| 40335 | Fresenius Medical Care AG | 1878804 |
| 9488 | Henkel AG & Co. KGaA | 859308 |
| 55445 | Mercedes-Benz Group AG | 3836163 |
| 1165 | Merck KGaA | 176516 |
|  | Total Germany | 24387462 |
|  | **Hong Kong — 2.7%** |  |
| 212000 | CK Asset Holdings Ltd. | 1345093 |
| 330000 | CK Hutchison Holdings Ltd. | 2717153 |
| 49500 | Kerry Properties Ltd. | 159395 |
| 179000 | Sun Hung Kai Properties Ltd. | 3327724 |
| 1800 | VTech Holdings Ltd. | 14826 |
| 1288500 | WH Group Ltd. | 1619833 |
|  | Total Hong Kong | 9184024 |
|  | **Ireland — 0.3%** |  |
| 65640 | AIB Group PLC | 681330 |
| 20833 | Bank of Ireland Group PLC | 405645 |
|  | Total Ireland | 1086975 |
|  | **Israel — 1.6%** |  |
| 83151 | Bank Hapoalim BM | 2098575 |
| 38890 | Bank Leumi Le-Israel BM | 941508 |
| 59366 | ICL Group Ltd. | 281366 |
| 89787 | Israel Discount Bank Ltd. – Class A | 1086689 |
| 6091 | Mizrahi Tefahot Bank Ltd. | 456352 |
| 20354 | ZIM Integrated Shipping Services Ltd. | 586806 |
|  | Total Israel | 5451296 |
|  | **Italy — 1.8%** |  |
| 17499 | Banco BPM SpA | 257763 |
| 3256 | Buzzi SpA | 187719 |

---

See accompanying notes to the financial statements. 16

------

#### GMO International Opportunistic Value Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Italy — continued** |  |
| 61549 | Intesa Sanpaolo SpA | 422321 |
| 51439 | MFE-MediaForEurope NV – Class A | 187822 |
| 102586 | Stellantis NV | 832369 |
| 418689 | Telecom Italia SpA\* | 314167 |
| 16361 | Tenaris SA ADR <sup>(b)</sup> | 890038 |
| 63013 | Tenaris SA | 1722391 |
| 55646 | Unipol Assicurazioni SpA | 1384389 |
|  | Total Italy | &nbsp;&nbsp;&nbsp;&nbsp;6198979 |
|  | **Japan — 22.2%** |  |
| 103800 | Asahi Group Holdings Ltd. | 1130137 |
| 78200 | Asahi Kasei Corp. | 921621 |
| 32500 | Brother Industries Ltd. | 671321 |
| 4300 | Credit Saison Co. Ltd. | 130929 |
| 5600 | Daikin Industries Ltd. | 711508 |
| 38900 | Daito Trust Construction Co. Ltd. | 895780 |
| 81900 | Daiwa House Industry Co. Ltd. | 2955482 |
| 91700 | Denso Corp. | 1315704 |
| 14500 | FUJIFILM Holdings Corp. | 298178 |
| 24900 | Hitachi Construction Machinery Co. Ltd. | 1118731 |
| 252800 | Honda Motor Co. Ltd. | 2532409 |
| 113494 | Honda Motor Co. Ltd. Sponsored ADR <sup>(b)</sup> | 3422979 |
| 227100 | Inpex Corp. | 5544126 |
| 31800 | Isuzu Motors Ltd. | 592687 |
| 179900 | Japan Post Holdings Co. Ltd. | 2342773 |
| 15600 | Kawasaki Kisen Kaisha Ltd. <sup>(b)</sup> | 250798 |
| 66300 | Kirin Holdings Co. Ltd. | 1150817 |
| 98600 | Komatsu Ltd. | 4732835 |
| 137400 | Kubota Corp. | 2792956 |
| 28900 | Mazda Motor Corp. <sup>(b)</sup> | 255914 |
| 177200 | Mitsui & Co. Ltd. | 6643174 |
| 6900 | Mitsui OSK Lines Ltd. <sup>(b)</sup> | 256022 |
| 2100 | MS&AD Insurance Group Holdings, Inc. | 58520 |
| 87500 | Nippon Yusen KK | 3004426 |
| 2700 | Niterra Co. Ltd. | 136153 |
| 6605900 | NTT, Inc. | 6462777 |
| 67800 | Ono Pharmaceutical Co. Ltd. | 1165594 |
| 96700 | ORIX Corp. | 3394083 |
| 4700 | Otsuka Holdings Co. Ltd. | 323878 |
| 309900 | Panasonic Holdings Corp. | 4997464 |
| 21200 | Ricoh Co. Ltd. | 199175 |
| 33200 | Seiko Epson Corp. | 449601 |
| 51200 | Sekisui Chemical Co. Ltd. | 997064 |
| 42600 | Sekisui House Ltd. | 1040724 |
| 77400 | Shionogi & Co. Ltd. | 1827591 |
| 8000 | Sojitz Corp. | 361935 |
| 32600 | Subaru Corp. | 611481 |
| 54500 | Sumitomo Corp. | 2314242 |
| 48900 | Sumitomo Forestry Co. Ltd. | 528766 |
| 21500 | Suntory Beverage & Food Ltd. | 676126 |
| 46100 | Suzuki Motor Corp. | 697187 |
| 31300 | Tosoh Corp. | 547003 |
| 23800 | Toyo Tire Corp. | 733421 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| 99000 | Toyota Motor Corp. | 2398607 |
| 24400 | Toyota Tsusho Corp. | 1090695 |
| 72500 | Yamaha Motor Co. Ltd. | 576518 |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;75259912 |
|  | **Netherlands — 1.9%** |  |
| 37401 | ABN AMRO Bank NV | 1252663 |
| 85286 | ING Groep NV | 2460751 |
| 34086 | Koninklijke Ahold Delhaize NV | 1684318 |
| 47871 | Signify NV | 1115338 |
|  | Total Netherlands | 6513070 |
|  | **Norway — 2.4%** |  |
| 243975 | Equinor ASA | 7310506 |
| 71169 | Orkla ASA | 974307 |
|  | Total Norway | 8284813 |
|  | **Portugal — 0.0%** |  |
| 4483 | Sonae SGPS SA | 10676 |
|  | **Russia — 0.0%** |  |
| 9800 | Surgutneftegas PAO \* <sup>(c)</sup> <sup>(d)</sup> |  |
|  | **Singapore — 0.6%** |  |
| 85800 | Oversea-Chinese Banking Corp. Ltd. | 1452008 |
| 23600 | United Overseas Bank Ltd. | 688588 |
|  | Total Singapore | 2140596 |
|  | **Spain — 4.8%** |  |
| 440882 | Banco Bilbao Vizcaya Argentaria SA | 10211533 |
| 105111 | Banco Santander SA | 1325667 |
| 205204 | Repsol SA | 4643883 |
|  | Total Spain | 16181083 |
|  | **Sweden — 3.1%** |  |
| 32941 | Essity AB – Class B | 1046354 |
| 75769 | Husqvarna AB – Class B | 364344 |
| 19708 | Investor AB – B Shares | 822051 |
| 3598 | Loomis AB | 181732 |
| 53430 | SSAB AB – B Shares | 471770 |
| 12655 | Swedbank AB – A Shares | 486117 |
| 319432 | Telefonaktiebolaget LM Ericsson – B Shares | 3692628 |
| 85231 | Volvo AB – B Shares | 3316202 |
|  | Total Sweden | 10381198 |
|  | **Switzerland — 7.4%** |  |
| 34890 | Adecco Group AG (Registered) <sup>(b)</sup> | 980882 |
| 61664 | Nestle SA (Registered) | 6737433 |
| 23142 | Novartis AG (Registered) | 3891136 |
| 24531 | Novartis AG Sponsored ADR | 4136417 |
| 14333 | Roche Holding AG | 6821095 |

---

17 See accompanying notes to the financial statements.

------

#### GMO International Opportunistic Value Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Switzerland — continued** |  |
| 1909 | Roche Holding AG – Class BR | 946215 |
| 12024 | Sandoz Group AG ADR | 1058353 |
| 616 | Swisscom AG (Registered) | 577808 |
|  | Total Switzerland | 25149339 |
|  | **United Kingdom — 10.0%** |  |
| 50043 | 3i Group PLC | 2235715 |
| 168270 | Aberdeen Group PLC | 498609 |
| 35652 | Associated British Foods PLC | 949496 |
| 4216 | Berkeley Group Holdings PLC | 245158 |
| 773477 | BT Group PLC | 2254375 |
| 14450 | DCC PLC | 1007628 |
| 27814 | Drax Group PLC | 332327 |
| 67060 | GSK PLC | 1992573 |
| 152855 | GSK PLC Sponsored ADR <sup>(b)</sup> | 9038316 |
| 436 | HSBC Holdings PLC Sponsored ADR | 40618 |
| 97882 | HSBC Holdings PLC | 1829514 |
| 18181 | IG Group Holdings PLC | 318902 |
| 567693 | ITV PLC | 607682 |
| 120595 | J Sainsbury PLC | 566742 |
| 322917 | Kingfisher PLC | 1624282 |
| 92936 | Rio Tinto PLC Sponsored ADR | 9232262 |
| 154344 | Schroders PLC | 1215367 |
|  | Total United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;33989566 |
|  | TOTAL COMMON STOCKS<br>(COST $231,215,181) | 331713830 |
|  | **PREFERRED STOCKS <sup>(e)</sup> — 1.5%** | **PREFERRED STOCKS <sup>(e)</sup> — 1.5%** |
|  | **Germany — 1.5%** |  |
| 3509 | Bayerische Motoren Werke AG | 366198 |
| 22839 | Henkel AG & Co. KGaA | 2240244 |
| 20785 | Volkswagen AG | 2471350 |
|  | Total Germany | 5077792 |
|  | TOTAL PREFERRED STOCKS<br>(COST $4,146,775) | 5077792 |
|  | **INVESTMENT FUNDS — 0.0%** |  |
|  | **United States — 0.0%** |  |
| 1934 | GMO U.S. Treasury Fund, Class VI <sup>(f)</sup> | 9692 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $9,673) | 9692 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.2%** | **SHORT-TERM INVESTMENTS — 0.2%** |
|  | **Money Market Funds — 0.2%** |  |
| 512491 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(g)</sup> | 512491 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $512,491) | 512491 |
|  | **TOTAL INVESTMENTS — 99.3%**<br> (Cost $235,884,120) | **337313805** |
|  | Other Assets and Liabilities (net) — 0.7% | 2502815 |
|  | **TOTAL NET ASSETS — 100.0%** | $**339816620** |

---

See accompanying notes to the financial statements. 18

------

#### GMO International Opportunistic Value Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer**<br> **Description** | **Acquisition**<br>**Date** | **Acquisition**<br>**Cost** | **Value as a**<br>**Percentage**<br>**of Fund's**<br>**Net Assets** | **Value as of**<br>**February 28,<br>2026** |
|  Surgutneftegas PAO | 05/12/20 | $4974 | 0.0% | $— |

---

#### Notes to Schedule of Investments:
\* Non-income producing security.

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

&nbsp;&nbsp;&nbsp;&nbsp;(b) All or a portion of this security is out on loan (Note 2).

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

&nbsp;&nbsp;&nbsp;&nbsp;(d) The security is restricted as to resale.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(f) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(g) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

19 See accompanying notes to the financial statements.

------

#### GMO-Usonian Japan Value Creation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 96.8%** |  |
|  | **Automobiles & Components — 5.2%** | **Automobiles & Components — 5.2%** |
| 522900 | Isuzu Motors Ltd. | 9745788 |
| 55800 | Musashi Seimitsu Industry Co. Ltd. | 1113122 |
| 214600 | Stanley Electric Co. Ltd. | 4525427 |
|  | Total Automobiles & Components | 15384337 |
|  | **Banks — 9.0%** | **Banks — 9.0%** |
| 374500 | Sumitomo Mitsui Financial Group, Inc. | 14131973 |
| 357100 | Sumitomo Mitsui Trust Group, Inc. | 12451677 |
|  | Total Banks | 26583650 |
|  | **Capital Goods — 30.2%** | **Capital Goods — 30.2%** |
| 230800 | AGC, Inc. | 10236216 |
| 191100 | EXEO Group, Inc. | 3661822 |
| 329600 | Fuji Corp. | 12814596 |
| 872000 | Kanematsu Corp. | 13707973 |
| 65900 | Kraftia Corp. | 4458400 |
| 394900 | Mitsubishi Electric Corp. | 15031079 |
| 754900 | Penta-Ocean Construction Co. Ltd. | 10259842 |
| 195200 | THK Co. Ltd. | 7027106 |
| 316000 | TOTO Ltd. | 12314690 |
|  | Total Capital Goods | 89511724 |
|  | **Consumer Durables & Apparel — 9.1%** | **Consumer Durables & Apparel — 9.1%** |
| 443900 | Mizuno Corp. | 11530408 |
| 561000 | Sega Sammy Holdings, Inc. | 9388699 |
| 784300 | Yamaha Corp. | 6078091 |
|  | Total Consumer Durables & Apparel | 26997198 |
|  | **Financial Services — 5.5%** | **Financial Services — 5.5%** |
| 316800 | Credit Saison Co. Ltd. | 9646090 |
| 319200 | Zenkoku Hosho Co. Ltd. | 6573143 |
|  | Total Financial Services | 16219233 |
|  | **Food, Beverage & Tobacco — 5.2%** | **Food, Beverage & Tobacco — 5.2%** |
| 267000 | Morinaga & Co. Ltd. | 4942869 |
| 229600 | NH Foods Ltd. | 10526805 |
|  | Total Food, Beverage & Tobacco | 15469674 |
|  | **Health Care Equipment & Services — 4.4%** | **Health Care Equipment & Services — 4.4%** |
| 598200 | H.U. Group Holdings, Inc. | 12866596 |
|  | **Insurance — 3.3%** | **Insurance — 3.3%** |
| 364300 | T&D Holdings, Inc. | 9811489 |
|  | **Materials — 4.4%** | **Materials — 4.4%** |
| 314400 | Denka Co. Ltd. | 7401433 |
| 537400 | Maruichi Steel Tube Ltd. | 5591359 |
|  | Total Materials | 12992792 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Real Estate Management & Development — 1.2%** | **Real Estate Management & Development — 1.2%** |
| 335400 | Tosei Corp. | 3541697 |
|  | **Semiconductors & Semiconductor Equipment — 1.9%** | **Semiconductors & Semiconductor Equipment — 1.9%** |
| 493100 | SUMCO Corp. | 5738070 |
|  | **Software & Services — 1.8%** |  |
| 195400 | NEC Corp. | 5417129 |
|  | **Technology Hardware & Equipment — 12.5%** | **Technology Hardware & Equipment — 12.5%** |
| 398400 | Daiwabo Holdings Co. Ltd. | 8151199 |
| 521200 | FUJIFILM Holdings Corp. | 10717961 |
| 256100 | Jeol Ltd. | 11258237 |
| 155300 | Macnica Holdings, Inc. | 2744705 |
| 286700 | Maxell Ltd. | 4198324 |
|  | Total Technology Hardware & Equipment | 37070426 |
|  | **Transportation — 3.1%** |  |
| 143900 | Sankyu, Inc. | 9256032 |
|  | TOTAL COMMON STOCKS<br> (COST $207,411,471) | 286860047 |
|  | **INVESTMENT FUNDS — 1.8%** |  |
|  | **United States — 1.8%** |  |
| 1067777 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 5349561 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $5,349,561) | 5349561 |
|  | **SHORT-TERM INVESTMENTS — 0.3%** | **SHORT-TERM INVESTMENTS — 0.3%** |
|  | **Money Market Funds — 0.3%** |  |
| 793882 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 793882 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $793,882) | 793882 |
|  | **TOTAL INVESTMENTS — 98.9%**<br> (Cost $213,554,914) | **293003490** |
|  | Other Assets and Liabilities (net) — 1.1% | 3297828 |
|  | **TOTAL NET ASSETS — 100.0%** | $**296301318** |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

See accompanying notes to the financial statements. 20

------

#### GMO Quality Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 98.4%** |  |
|  | **Banks — 3.1%** |  |
| 5530510 | U.S. Bancorp | 302297677 |
| 819492 | Wells Fargo & Co. | 66747623 |
|  | Total Banks | &nbsp;&nbsp;&nbsp;&nbsp;369045300 |
|  | **Capital Goods — 2.8%** |  |
| 449203 | Knorr-Bremse AG | 58794497 |
| 688891 | Safran SA | 277443107 |
|  | Total Capital Goods | 336237604 |
|  | **Consumer Discretionary Distribution & Retail — 4.7%** | **Consumer Discretionary Distribution & Retail — 4.7%** |
| 1794119 | Amazon.com, Inc.\* | 376764990 |
| 1187782 | TJX Cos., Inc. | 192016838 |
|  | Total Consumer Discretionary Distribution & Retail | 568781828 |
|  | **Consumer Durables & Apparel — 1.4%** | **Consumer Durables & Apparel — 1.4%** |
| 265729 | LVMH Moet Hennessy Louis Vuitton SE | 169806229 |
|  | **Consumer Services — 4.2%** |  |
| 1186862 | Amadeus IT Group SA | 73409732 |
| 7288028 | Compass Group PLC | 223184720 |
| 664557 | Hilton Worldwide Holdings, Inc. | 207195581 |
|  | Total Consumer Services | 503790033 |
|  | **Financial Services — 3.9%** |  |
| 194746 | Mastercard, Inc. – Class A | 100724579 |
| 781093 | Tradeweb Markets, Inc. – Class A | 96273618 |
| 855637 | Visa, Inc. – Class A | 273923629 |
|  | Total Financial Services | 470921826 |
|  | **Food, Beverage & Tobacco — 5.9%** |  |
| 2431329 | Coca-Cola Co. | 198299193 |
| 1206235 | Constellation Brands, Inc. – Class A | 190416257 |
| 5561834 | Diageo PLC | 124732683 |
| 765283 | Magnum Ice Cream Co. NV\* | 12118177 |
| 1730657 | Nestle SA (Registered) | 189092275 |
|  | Total Food, Beverage & Tobacco | 714658585 |
|  | **Health Care Equipment & Services — 10.7%** | **Health Care Equipment & Services — 10.7%** |
| 2618724 | Abbott Laboratories | 304688537 |
| 569182 | Cigna Group | 164960327 |
| 759284 | Elevance Health, Inc. | 242970880 |
| 372228 | Intuitive Surgical, Inc.\* | 187420520 |
| 568962 | Quest Diagnostics, Inc. | 120568738 |
| 926239 | UnitedHealth Group, Inc. | 271638112 |
|  | Total Health Care Equipment & Services | 1292247114 |
|  | **Household & Personal Products — 2.0%** | **Household & Personal Products — 2.0%** |
| 3367245 | Unilever PLC | 247432158 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Media & Entertainment — 10.8%** |  |
| 2010537 | Alphabet, Inc. – Class A | 626805015 |
| 876664 | Meta Platforms, Inc. – Class A | 568236072 |
| 1219101 | Netflix, Inc.\* | 117326280 |
|  | Total Media & Entertainment | 1312367367 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences —14.0%** | **Pharmaceuticals, Biotechnology & Life Sciences —14.0%** |
| 220220 | Eli Lilly & Co. | 231669238 |
| 42985766 | Haleon PLC | 235946225 |
| 2119707 | Johnson & Johnson | 526598810 |
| 1926143 | Merck & Co., Inc. | 238495026 |
| 1832254 | Novo Nordisk AS – Class B | 69302308 |
| 762123 | Thermo Fisher Scientific, Inc. | 397149917 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 1699161524 |
|  | **Semiconductors & Semiconductor Equipment — 16.1%** | **Semiconductors & Semiconductor Equipment — 16.1%** |
| 59165 | ASML Holding NV | 86050058 |
| 855462 | Broadcom, Inc. | 273362882 |
| 122504 | KLA Corp. | 186763473 |
| 2045200 | Lam Research Corp. | 478351828 |
| 9837311 | Taiwan Semiconductor Manufacturing Co. Ltd. | 613830123 |
| 1490013 | Texas Instruments, Inc. | 316046658 |
|  | Total Semiconductors & Semiconductor Equipment | 1954405022 |
|  | **Software & Services — 13.0%** |  |
| 1250423 | Accenture PLC – Class A | 260988288 |
| 26047 | Constellation Software, Inc. | 48132862 |
| 4153342 | Dassault Systemes SE | 90953032 |
| 1619900 | Microsoft Corp. | 636199526 |
| 1438139 | Salesforce, Inc. | 280135096 |
| 1288153 | SAP SE | 258780008 |
|  | Total Software & Services | 1575188812 |
|  | **Technology Hardware & Equipment — 4.4%** | **Technology Hardware & Equipment — 4.4%** |
| 2027865 | Apple, Inc. | 535721376 |
|  | **Transportation — 1.4%** |  |
| 2243194 | Uber Technologies, Inc.\* | 169181692 |
|  | TOTAL COMMON STOCKS<br>(COST $6,728,199,767) | 11918946470 |
|  | **INVESTMENT FUNDS — 1.5%** |  |
|  | **United States — 1.5%** |  |
| 36109124 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 180906709 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $180,902,698) | 180906709 |

---

21 See accompanying notes to the financial statements.

------

#### GMO Quality Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.4%** | **SHORT-TERM INVESTMENTS — 0.4%** |
|  | **Money Market Funds — 0.4%** |  |
| 52467933 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 52467933 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $52,467,933) | 52467933 |
|  | **TOTAL INVESTMENTS — 100.3%**<br> (Cost $6,961,570,398) | **12152321112** |
|  | Other Assets and Liabilities (net) — (0.3)% | (36856385) |
|  | **TOTAL NET ASSETS — 100.0%** | $**12115464727** |

---

#### Notes to Schedule of Investments:
\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

See accompanying notes to the financial statements. 22

------

#### GMO Resource Transition Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 88.2%** | **COMMON STOCKS — 88.2%** |
|  | **Australia — 0.4%** |  |
| 81600 | Paladin Energy Ltd. \* | 777543 |
|  | **Brazil — 5.2%** |  |
| 603576 | Klabin SA | 2420662 |
| 350100 | Sao Martinho SA | 1226528 |
| 128400 | Suzano SA | 1452687 |
| 243200 | Vale SA | 4196997 |
|  | Total Brazil | &nbsp;&nbsp;&nbsp;&nbsp;9296874 |
|  | **Canada — 11.1%** |  |
| 273200 | Anaergia, Inc. \* <sup>(a)</sup> | 440629 |
| 324900 | Capstone Copper Corp. \* | 3360829 |
| 40600 | Enerflex Ltd. | 911086 |
| 132300 | First Quantum Minerals Ltd. \* | 3961095 |
| 290754 | Greenlane Renewables, Inc. \* | 51157 |
| 294200 | Ivanhoe Mines Ltd. – Class A\* <sup>(a)</sup> | 3364628 |
| 531300 | Largo, Inc. \* <sup>(a)</sup> | 903644 |
| 491800 | NexGen Energy Ltd. \* <sup>(a)</sup> | 6273465 |
| 9100 | Precision Drilling Corp. \* | 789349 |
|  | Total Canada | 20055882 |
|  | **China — 1.7%** |  |
| 313000 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 1480175 |
| 310369 | Western Mining Co. Ltd. – Class A | 1567074 |
|  | Total China | 3047249 |
|  | **Denmark — 2.0%** |  |
| 139788 | Vestas Wind Systems AS | 3573582 |
|  | **Finland — 3.7%** |  |
| 46884 | Kemira OYJ | 1136137 |
| 219884 | Neste OYJ | 5494648 |
|  | Total Finland | 6630785 |
|  | **France — 2.0%** |  |
| 15037 | Technip Energies NV | 651537 |
| 8989 | Vallourec SACA | 210313 |
| 65487 | Veolia Environnement SA | 2773160 |
|  | Total France | 3635010 |
|  | **Italy — 1.4%** |  |
| 217036 | Saipem SpA <sup>(a)</sup> | 912544 |
| 60414 | Tenaris SA | 1651350 |
|  | Total Italy | 2563894 |
|  | **Japan — 1.1%** |  |
| 27900 | Mitsubishi Materials Corp. | 1070575 |
| 9700 | Modec, Inc. | 833749 |
|  | Total Japan | 1904324 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Netherlands — 0.6%** |  |
| 26811 | SBM Offshore NV | 1035810 |
|  | **Norway — 2.8%** |  |
| 125522 | Austevoll Seafood ASA | 1296619 |
| 46265 | Bakkafrost P/F | 2218476 |
| 72098 | DOF Group ASA | 959312 |
| 54160 | TGS ASA | 647496 |
|  | Total Norway | &nbsp;&nbsp;&nbsp;&nbsp;5121903 |
|  | **South Africa — 0.6%** |  |
| 9055 | Valterra Platinum Ltd. | 1063166 |
|  | **United Kingdom — 18.3%** |  |
| 148785 | Anglo American PLC | 7423265 |
| 1701701 | Glencore PLC \* | 12295835 |
| 135113 | Rio Tinto PLC | 13385609 |
|  | Total United Kingdom | 33104709 |
|  | **United States — 37.3%** |  |
| 11100 | Advanced Drainage Systems, Inc. | 1901874 |
| 78519 | Aemetis, Inc. \* <sup>(a)</sup> | 111497 |
| 22900 | AGCO Corp. | 3125850 |
| 58900 | Albemarle Corp. | 10523663 |
| 122290 | Ameresco, Inc. – Class A\* | 3724953 |
| 483045 | Array Technologies, Inc. \* | 3661481 |
| 548520 | Clean Energy Fuels Corp. \* | 1239655 |
| 56947 | CNH Industrial NV | 700448 |
| 33400 | Corteva, Inc. | 2676008 |
| 270600 | Darling Ingredients, Inc. \* | 14385096 |
| 1160 | Deere & Co. | 730464 |
| 5900 | First Solar, Inc. \* | 1163480 |
| 66800 | Freeport-McMoRan, Inc. | 4547744 |
| 275100 | Green Plains, Inc. \* | 3777123 |
| 32400 | Helmerich & Payne, Inc. | 1141128 |
| 30200 | Liberty Energy, Inc. | 848318 |
| 15900 | Nextpower, Inc. – Class A\* | 1671090 |
| 19094 | Rayonier, Inc. – (REIT) | 410330 |
| 149600 | SolarEdge Technologies, Inc. \* <sup>(a)</sup> | 5295840 |
| 273715 | Sunrun, Inc. \* | 3626724 |
| 2120 | Valmont Industries, Inc. | 975052 |
| 46500 | Weyerhaeuser Co. – (REIT) | 1140645 |
|  | Total United States | 67378463 |
|  | TOTAL COMMON STOCKS<br>(COST $158,681,040) | 159189194 |
|  | **PREFERRED STOCKS <sup>(b)</sup> —9.4%** | **PREFERRED STOCKS <sup>(b)</sup> —9.4%** |
|  | **Brazil — 5.0%** |  |
| 1858565 | Bradespar SA | 9001886 |

---

23 See accompanying notes to the financial statements.

------

#### GMO Resource Transition Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Chile — 4.4%** |  |
| 103600 | Sociedad Quimica y Minera de Chile SA Sponsored ADR\* | 7904680 |
|  | TOTAL PREFERRED STOCKS<br>(COST $18,404,560) | 16906566 |
|  | **INVESTMENT FUNDS — 2.1%** |  |
|  | **United States — 2.1%** |  |
| 775682 | GMO U.S. Treasury Fund, Class VI <sup>(c)</sup> <sup>(d)</sup> | 3886166 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $3,886,166) | 3886166 |
|  | **SHORT-TERM INVESTMENTS — 0.3%** | **SHORT-TERM INVESTMENTS — 0.3%** |
|  | **Money Market Funds — 0.3%** |  |
| 566138 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(e)</sup> | 566138 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $566,138) | 566138 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $181,537,904) | **180548064** |
|  | Other Assets and Liabilities (net) — (0.0)% | (75183) |
|  | **TOTAL NET ASSETS — 100.0%** | $**180472881** |

---

#### Notes to Schedule of Investments:
\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of this security is out on loan (Note 2).

&nbsp;&nbsp;&nbsp;&nbsp;(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(d) All or a portion of this security is purchased with collateral from securities loaned.

&nbsp;&nbsp;&nbsp;&nbsp;(e) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

See accompanying notes to the financial statements. 24

------

#### GMO Resources Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 89.6%** |  |
|  | **Argentina — 5.0%** |  |
| 611208 | Vista Energy SAB de CV ADR \* <sup>(a)</sup> | 35291150 |
| 804767 | YPF SA Sponsored ADR \* <sup>(a)</sup> | 28480704 |
|  | Total Argentina | 63771854 |
|  | **Australia — 0.5%** |  |
| 735000 | Clean TeQ Water Ltd. \* <sup>(a)</sup> | 190945 |
| 324237 | Paladin Energy Ltd. \* | 3089560 |
| 519793 | Santos Ltd. | 2504965 |
|  | Total Australia | 5785470 |
|  | **Brazil — 4.1%** |  |
| 2723709 | Klabin SA | 10923526 |
| 1036900 | Petroreconcavo SA | 2491877 |
| 660870 | PRIO SA \* | 7024443 |
| 1593582 | Sao Martinho SA | 5582899 |
| 603652 | Suzano SA | 6829575 |
| 1099180 | Vale SA | 18968976 |
|  | Total Brazil | 51821296 |
|  | **Canada — 8.7%** |  |
| 654900 | Anaergia, Inc. \* | 1056252 |
| 189779 | ARC Resources Ltd. | 3519965 |
| 1466200 | Capstone Copper Corp. \* | 15166660 |
| 213500 | Enerflex Ltd. | 4791052 |
| 596977 | First Quantum Minerals Ltd. \* | 17873642 |
| 696749 | Greenlane Renewables, Inc. \* | 122591 |
| 1325782 | Ivanhoe Mines Ltd. – Class A\* <sup>(a)</sup> | 15162347 |
| 1273509 | Largo, Inc. \* | 2166006 |
| 2196039 | NexGen Energy Ltd. \* <sup>(a)</sup> | 28012960 |
| 137500 | Parex Resources, Inc. | 2151131 |
| 45300 | Precision Drilling Corp. \* | 3929398 |
| 41000 | Suncor Energy, Inc. | 2315934 |
| 832500 | Tamarack Valley Energy Ltd. | 6219109 |
| 760145 | Whitecap Resources, Inc. <sup>(a)</sup> | 7590026 |
|  | Total Canada | 110077073 |
|  | **China — 1.3%** |  |
| 1475400 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 6977158 |
| 1418045 | Western Mining Co. Ltd. – Class A | 7159806 |
| 1398000 | Yankuang Energy Group Co. Ltd. – Class H | 2498509 |
|  | Total China | 16635473 |
|  | **Denmark — 1.2%** |  |
| 614368 | Vestas Wind Systems AS | 15705885 |
|  | **Finland — 2.4%** |  |
| 214150 | Kemira OYJ | 5189481 |
| 993858 | Neste OYJ | 24835369 |
|  | Total Finland | 30024850 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **France — 1.3%** |  |
| 74719 | Technip Energies NV | &nbsp;&nbsp;&nbsp;&nbsp;3237493 |
| 51647 | Vallourec SACA | 1208371 |
| 297418 | Veolia Environnement SA | 12594678 |
|  | Total France | 17040542 |
|  | **Hong Kong — 0.3%** |  |
| 40806000 | United Energy Group Ltd. | 3404991 |
|  | **Italy — 1.0%** |  |
| 1112989 | Saipem SpA <sup>(a)</sup> | 4679648 |
| 275947 | Tenaris SA | 7542706 |
|  | Total Italy | 12222354 |
|  | **Japan — 1.1%** |  |
| 330200 | Japan Petroleum Exploration Co. Ltd. | 5054535 |
| 125700 | Mitsubishi Materials Corp. | 4823343 |
| 45800 | Modec, Inc. | 3936673 |
|  | Total Japan | 13814551 |
|  | **Netherlands — 0.4%** |  |
| 120979 | SBM Offshore NV | 4673875 |
|  | **Norway — 2.8%** |  |
| 186472 | Aker BP ASA | 5665509 |
| 566357 | Austevoll Seafood ASA | 5850364 |
| 210340 | Bakkafrost P/F | 10086114 |
| 61659 | Bluenord ASA | 3342749 |
| 325329 | DOF Group ASA | 4328720 |
| 291851 | TGS ASA | 3489150 |
| 624228 | Var Energi ASA | 2356671 |
|  | Total Norway | 35119277 |
|  | **Pakistan — 0.2%** |  |
| 2955862 | Oil & Gas Development Co. Ltd. | 3017911 |
|  | **Russia — 0.0%** |  |
| 3574704 | Gazprom Neft PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 14145410 | Gazprom PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 23291700 | GMK Norilskiy Nickel PAO \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 248399 | LUKOIL PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 338098 | PhosAgro PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 6533 | PhosAgro PJSC GDR \* <sup>(b)</sup> <sup>(c)</sup> |  |
| 3476399 | Tatneft PJSC \* <sup>(b)</sup> <sup>(c)</sup> |  |
|  | Total Russia |  |
|  | **Singapore — 0.0%** |  |
| 2725600 | Ezra Holdings Ltd. \* <sup>(a)</sup> <sup>(b)</sup> | 3 |
|  | **South Africa — 0.5%** |  |
| 89839 | Exxaro Resources Ltd. | 1117880 |
| 40666 | Valterra Platinum Ltd. | 4774679 |
|  | Total South Africa | 5892559 |

---

25 See accompanying notes to the financial statements.

------

#### GMO Resources Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Ukraine — 0.2%** |  |
| 501341 | Kernel Holding SA \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2952865 |
|  | **United Kingdom — 19.6%** |  |
| 658258 | Anglo American PLC | 32842180 |
| 7743904 | BP PLC | 50191421 |
| 7635382 | Glencore PLC \* | 55170325 |
| 3406195 | Harbour Energy PLC | 11683016 |
| 1221000 | Lifezone Metals Ltd. \* | 5677650 |
| 605800 | Rio Tinto PLC | 60016442 |
| 777134 | Shell PLC | 32548605 |
|  | Total United Kingdom | 248129639 |
|  | **United States — 39.0%** |  |
| 50187 | Advanced Drainage Systems, Inc. | 8599040 |
| 454920 | Aemetis, Inc. \* | 645986 |
| 104296 | AGCO Corp. | 14236404 |
| 262398 | Albemarle Corp. | 46882651 |
| 555885 | Ameresco, Inc. – Class A\* | 16932257 |
| 69200 | APA Corp. | 2101604 |
| 2179740 | Array Technologies, Inc. \* | 16522429 |
| 689460 | California Resources Corp. | 40567826 |
| 18600 | Chord Energy Corp. | 2015682 |
| 2452688 | Clean Energy Fuels Corp. \* | 5543075 |
| 273940 | CNH Industrial NV | 3369462 |
| 331691 | ConocoPhillips | 37633661 |
| 152507 | Corteva, Inc. | 12218861 |
| 234433 | Crescent Energy Co. – Class A | 2733489 |
| 1221133 | Darling Ingredients, Inc. \* | 64915430 |
| 5560 | Deere & Co. | 3501188 |
| 48100 | Devon Energy Corp. | 2093793 |
| 135300 | Expand Energy Corp. | 14601576 |
| 25400 | First Solar, Inc. \* | 5008880 |
| 305508 | Freeport-McMoRan, Inc. | 20798985 |
| 1241485 | Green Plains, Inc. \* | 17045589 |
| 53250 | Gulfport Energy Corp. \* | 11111145 |
| 146100 | Helmerich & Payne, Inc. | 5145642 |
| 24120645 | Kosmos Energy Ltd. \* <sup>(d)</sup> | 56201103 |
| 156603 | Liberty Energy, Inc. | 4398978 |
| 40700 | Matador Resources Co. | 2091980 |
| 68665 | Nextpower, Inc. – Class A\* | 7216691 |
| 43200 | Ovintiv, Inc. | 2185488 |
| 65300 | Peabody Energy Corp. | 2059562 |
| 122400 | Permian Resources Corp. | 2238696 |
| 102927 | Rayonier, Inc. – (REIT) | 2211901 |
| 497205 | SM Energy Co. | 11500352 |
| 675059 | SolarEdge Technologies, Inc. \* | 23897089 |
| 1234888 | Sunrun, Inc. \* | 16362266 |
| 9600 | Valmont Industries, Inc. | 4415328 |
| 212700 | Weyerhaeuser Co. – (REIT) | 5217531 |
|  | Total United States | 494221620 |
|  | TOTAL COMMON STOCKS<br> (COST $1,101,842,404) | 1134312088 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **PREFERRED STOCKS <sup>(e)</sup> —9.5%** | **PREFERRED STOCKS <sup>(e)</sup> —9.5%** |
|  | **Brazil — 6.7%** |  |
| 8386472 | Bradespar SA | &nbsp;&nbsp;&nbsp;&nbsp;40619546 |
| 5742148 | Petroleo Brasileiro SA - Petrobras | 44053190 |
|  | Total Brazil | 84672736 |
|  | **Chile — 2.8%** |  |
| 467262 | Sociedad Quimica y Minera de Chile SA Sponsored ADR\* | 35652091 |
|  | **Russia — 0.0%** |  |
| 20237584 | Surgutneftegas PAO\* <sup>(b)</sup> <sup>(c)</sup> |  |
| 7494797 | Tatneft PJSC\* <sup>(b)</sup> <sup>(c)</sup> |  |
|  | Total Russia |  |
|  | TOTAL PREFERRED STOCKS<br> (COST $145,275,432) | 120324827 |
|  | **INVESTMENT FUNDS — 0.6%** |  |
|  | **United States — 0.6%** |  |
| 1354470 | GMO U.S. Treasury Fund, Class VI <sup>(d)</sup> | 6785891 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $6,785,891) | 6785891 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** |  |
| 358323 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(f)</sup> | 358323 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $358,323) | 358323 |
|  | **TOTAL INVESTMENTS — 99.7%**<br> (Cost $1,254,262,050) | **1261781129** |
|  | Other Assets and Liabilities (net) — 0.3% | 4070494 |
|  | **TOTAL NET ASSETS — 100.0%** | $**1265851623** |

---

See accompanying notes to the financial statements. 26

------

#### GMO Resources Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer**<br> **Description** | **Acquisition<br>Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>February 28,<br>2026** |
|  Gazprom Neft PJSC | 09/18/15 | $17308985 | 0.0% | $— |
|  Gazprom PJSC | 09/21/21 | 65108289 | 0.0% |  |
|  GMK Norilskiy Nickel PAO | 04/11/18 | 66379494 | 0.0% |  |
|  LUKOIL PJSC | 10/15/14 | 14600074 | 0.0% |  |
|  PhosAgro PJSC | 08/26/16 | 14566965 | 0.0% |  |
|  PhosAgro PJSC GDR | 08/26/16 | 93496 | 0.0% |  |
|  Surgutneftegas PAO | 08/11/16 | 10546926 | 0.0% |  |
|  Tatneft PJSC | 08/12/20 | 24585036 | 0.0% |  |
|  Tatneft PJSC | 09/28/15 | 47831491 | 0.0% |  |
|  |  |  |  | $— |

---

#### Notes to Schedule of Investments:
\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of this security is out on loan (Note 2).

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

&nbsp;&nbsp;&nbsp;&nbsp;(c) The security is restricted as to resale.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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

&nbsp;&nbsp;&nbsp;&nbsp;(f) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

27 See accompanying notes to the financial statements.

------

#### GMO Small Cap Quality Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.1%** | **COMMON STOCKS — 97.1%** |
|  | **Automobiles & Components — 0.9%** | **Automobiles & Components — 0.9%** |
| 144552 | XPEL, Inc.\* | 6160806 |
|  | **Capital Goods — 19.0%** | **Capital Goods — 19.0%** |
| 249619 | AAON, Inc. | 25261443 |
| 134812 | Allegion PLC | 21724954 |
| 57048 | Kadant, Inc. | 19348970 |
| 27108 | Preformed Line Products Co. | 6875944 |
| 43680 | RBC Bearings, Inc.\* | 25156185 |
| 410604 | Trex Co., Inc.\* | 17007218 |
| 40113 | Woodward, Inc. | 15514104 |
|  | Total Capital Goods | &nbsp;&nbsp;&nbsp;&nbsp;130888818 |
|  | **Commercial & Professional Services — 8.9%** | **Commercial & Professional Services — 8.9%** |
| 289535 | ACV Auctions, Inc. – Class A\* | 1407140 |
| 185283 | Booz Allen Hamilton Holding Corp. | 14605859 |
| 82962 | Clean Harbors, Inc.\* | 24324459 |
| 126270 | FTI Consulting, Inc.\* | 20761313 |
|  | Total Commercial & Professional Services | 61098771 |
|  | **Consumer Discretionary Distribution & Retail — 3.3%** | **Consumer Discretionary Distribution & Retail — 3.3%** |
| 209563 | Ollie's Bargain Outlet Holdings, Inc.\* | 22444197 |
|  | **Consumer Durables & Apparel — 3.5%** | **Consumer Durables & Apparel — 3.5%** |
| 138262 | Acushnet Holdings Corp. | 14148350 |
| 12832 | Installed Building Products, Inc. | 4205816 |
| 200559 | Malibu Boats, Inc. – Class A\* | 5828245 |
|  | Total Consumer Durables & Apparel | 24182411 |
|  | **Consumer Services — 3.7%** | **Consumer Services — 3.7%** |
| 610853 | Aramark | 25564198 |
|  | **Consumer Staples Distribution & Retail — 4.2%** | **Consumer Staples Distribution & Retail — 4.2%** |
| 188566 | PriceSmart, Inc. | 29156075 |
|  | **Energy — 1.9%** | **Energy — 1.9%** |
| 239660 | Cactus, Inc. – Class A | 12941640 |
|  | **Financial Services — 8.7%** | **Financial Services — 8.7%** |
| 210351 | Cohen & Steers, Inc. | 14066171 |
| 73546 | Houlihan Lokey, Inc. | 12044628 |
| 138704 | Jack Henry & Associates, Inc. | 22533852 |
| 262084 | StepStone Group, Inc. – Class A | 11306304 |
|  | Total Financial Services | 59950955 |
|  | **Food, Beverage & Tobacco — 5.7%** | **Food, Beverage & Tobacco — 5.7%** |
| 113814 | Brown-Forman Corp. – Class B | 3284672 |
| 72318 | Coca-Cola Consolidated, Inc. | 14637163 |
| 127359 | Marzetti Co. | 20930178 |
|  | Total Food, Beverage & Tobacco | 38852013 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Health Care Equipment & Services — 4.4%** | **Health Care Equipment & Services — 4.4%** |
| 47924 | CorVel Corp.\* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2471920 |
| 293448 | Globus Medical, Inc. – Class A\* | 28012546 |
|  | Total Health Care Equipment & Services | 30484466 |
|  | **Materials — 7.7%** | **Materials — 7.7%** |
| 170451 | AptarGroup, Inc. | 24495513 |
| 155504 | Balchem Corp. | 28213091 |
|  | Total Materials | 52708604 |
|  | **Media & Entertainment — 4.2%** | **Media & Entertainment — 4.2%** |
| 363391 | New York Times Co. – Class A | 28994968 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 1.2%** | **Pharmaceuticals, Biotechnology & Life Sciences — 1.2%** |
| 205523 | Bruker Corp. | 8243528 |
|  | **Semiconductors & Semiconductor Equipment — 10.0%** | **Semiconductors & Semiconductor Equipment — 10.0%** |
| 206834 | Axcelis Technologies, Inc.\* | 17086557 |
| 157508 | Cirrus Logic, Inc.\* | 22227529 |
| 133208 | Entegris, Inc. | 17643399 |
| 110720 | Universal Display Corp. | 11812717 |
|  | Total Semiconductors & Semiconductor Equipment | 68770202 |
|  | **Software & Services — 3.9%** | **Software & Services — 3.9%** |
| 294560 | Dolby Laboratories, Inc. – Class A | 19608859 |
| 48825 | EPAM Systems, Inc.\* | 6884325 |
|  | Total Software & Services | 26493184 |
|  | **Technology Hardware & Equipment — 4.9%** | **Technology Hardware & Equipment — 4.9%** |
| 116077 | Badger Meter, Inc. | 17693617 |
| 29649 | Fabrinet\* | 16177384 |
|  | Total Technology Hardware & Equipment | 33871001 |
|  | **Transportation — 1.0%** | **Transportation — 1.0%** |
| 42892 | Landstar System, Inc. | 6989252 |
|  | TOTAL COMMON STOCKS<br> (COST $597,103,442) | 667795089 |
|  | **INVESTMENT FUNDS — 2.9%** | **INVESTMENT FUNDS — 2.9%** |
|  | **United States — 2.9%** | **United States — 2.9%** |
| 3990635 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 19993081 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $19,993,081) | 19993081 |

---

See accompanying notes to the financial statements. 28

------

#### GMO Small Cap Quality Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** |  |
| 287147 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 287147 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $287,147) | 287147 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $617,383,670) | **688075317** |
|  | Other Assets and Liabilities (net) — (0.0)% | (209869) |
|  | **TOTAL NET ASSETS — 100.0%** | $**687865448** |

---

#### Notes to Schedule of Investments:
\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

29 See accompanying notes to the financial statements.

------

#### GMO U.S. Equity Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.2%** | **COMMON STOCKS — 99.2%** |
|  | **Automobiles & Components — 5.9%** | **Automobiles & Components — 5.9%** |
| 1923 | Aptiv PLC\* | 141418 |
| 48942 | BorgWarner, Inc. | 2817591 |
| 324781 | Ford Motor Co. | 4576164 |
| 8509 | Garrett Motion, Inc. | 173243 |
| 49970 | General Motors Co. | 3933139 |
| 18653 | Gentex Corp. | 436480 |
| 7321 | Goodyear Tire & Rubber Co.\* | 60398 |
| 3077 | Lear Corp. | 403856 |
| 2059 | Phinia, Inc. | 149545 |
|  | Total Automobiles & Components | 12691834 |
|  | **Banks — 6.2%** | **Banks — 6.2%** |
| 67963 | Bank of America Corp. | 3386596 |
| 1900 | Capital City Bank Group, Inc. | 81406 |
| 40948 | Citigroup, Inc. | 4512060 |
| 1500 | First Financial Corp. | 95040 |
| 11123 | JPMorgan Chase & Co. | 3340237 |
| 23241 | U.S. Bancorp | 1270353 |
| 8348 | Valley National Bancorp | 105268 |
| 6324 | Wells Fargo & Co. | 515090 |
|  | Total Banks | 13306050 |
|  | **Capital Goods — 4.4%** | **Capital Goods — 4.4%** |
| 2490 | Allison Transmission Holdings, Inc. | 311997 |
| 772 | Caterpillar, Inc. | 573465 |
| 4957 | Cummins, Inc. | 2894243 |
| 219 | EMCOR Group, Inc. | 158692 |
| 1112 | EnerSys | 184759 |
| 2622 | Ferguson Enterprises, Inc. | 683713 |
| 9215 | Honeywell International, Inc. | 2244682 |
| 5388 | Kennametal, Inc. | 217028 |
| 9868 | Mueller Industries, Inc. | 1164029 |
| 839 | Northrop Grumman Corp. | 607755 |
| 756 | Oshkosh Corp. | 128535 |
| 2456 | Toro Co. | 242800 |
| 1982 | Worthington Enterprises, Inc. | 111012 |
|  | Total Capital Goods | 9522710 |
|  | **Commercial & Professional Services — 1.2%** | **Commercial & Professional Services — 1.2%** |
| 1470 | Cimpress PLC\* | 107384 |
| 12400 | Deluxe Corp. | 344100 |
| 4481 | IBEX Holdings Ltd.\* | 129501 |
| 1799 | ICF International, Inc. | 149551 |
| 7911 | Leidos Holdings, Inc. | 1385216 |
| 42682 | Resources Connection, Inc. | 160484 |
| 3000 | TrueBlue, Inc.\* | 12690 |
| 17919 | Upwork, Inc.\* | 240473 |
|  | Total Commercial & Professional Services | 2529399 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Consumer Discretionary Distribution & Retail — 4.1%** | **Consumer Discretionary Distribution & Retail — 4.1%** |
| 24864 | Amazon.com, Inc.\* | 5221440 |
| 36970 | eBay, Inc. | 3359094 |
| 4554 | Urban Outfitters, Inc.\* | 301475 |
|  | Total Consumer Discretionary Distribution & Retail | &nbsp;&nbsp;&nbsp;&nbsp;8882009 |
|  | **Consumer Durables & Apparel — 3.7%** | **Consumer Durables & Apparel — 3.7%** |
| 3033 | Carter's, Inc. | 101757 |
| 3190 | Crocs, Inc.\* | 289365 |
| 1138 | Deckers Outdoor Corp.\* | 133453 |
| 7939 | DR Horton, Inc. | 1273336 |
| 4998 | Ethan Allen Interiors, Inc. | 113854 |
| 3894 | Garmin Ltd. | 984520 |
| 4381 | G-III Apparel Group Ltd. | 134015 |
| 4262 | KB Home | 270978 |
| 11129 | Lennar Corp. – Class A | 1272713 |
| 7624 | Levi Strauss & Co. – Class A | 168948 |
| 7184 | Lululemon Athletica, Inc.\* | 1330261 |
| 1084 | M/I Homes, Inc.\* | 154101 |
| 13007 | Mattel, Inc.\* | 220469 |
| 3704 | PulteGroup, Inc. | 508189 |
| 1858 | Ralph Lauren Corp. | 673711 |
| 2770 | SharkNinja, Inc.\* | 340350 |
| 809 | Toll Brothers, Inc. | 127207 |
|  | Total Consumer Durables & Apparel | 8097227 |
|  | **Consumer Services — 0.8%** | **Consumer Services — 0.8%** |
| 83 | Booking Holdings, Inc. | 351866 |
| 2508 | Covista, Inc.\* | 245784 |
| 42 | Graham Holdings Co. – Class B | 44235 |
| 3559 | H&R Block, Inc. | 108977 |
| 19707 | Perdoceo Education Corp. | 657228 |
| 3898 | Stride, Inc.\* | 328913 |
|  | Total Consumer Services | 1737003 |
|  | **Consumer Staples Distribution & Retail — 1.5%** | **Consumer Staples Distribution & Retail — 1.5%** |
| 2615 | Dollar General Corp. | 408568 |
| 10375 | Kroger Co. | 707990 |
| 19455 | Target Corp. | 2213784 |
|  | Total Consumer Staples Distribution & Retail | 3330342 |
|  | **Energy — 0.3%** | **Energy — 0.3%** |
| 4555 | EOG Resources, Inc. | 565184 |
|  | **Financial Services — 7.7%** | **Financial Services — 7.7%** |
| 3097 | American Express Co. | 956663 |
| 11337 | Bank of New York Mellon Corp. | 1350237 |
| 1390 | Berkshire Hathaway, Inc. – Class B\* | 701881 |
| 1850 | Bread Financial Holdings, Inc. | 131091 |
| 9260 | Capital One Financial Corp. | 1811626 |
| 655 | Enact Holdings, Inc. | 27405 |

---

See accompanying notes to the financial statements. 30

------

#### GMO U.S. Equity Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Financial Services — continued** | **Financial Services — continued** |
| 4792 | Enova International, Inc.\* | 666328 |
| 2301 | Federated Hermes, Inc. | 128879 |
| 2179 | Goldman Sachs Group, Inc. | 1873003 |
| 16566 | Invesco Ltd. | 435023 |
| 6534 | Jackson Financial, Inc. – Class A | 715342 |
| 32641 | MGIC Investment Corp. | 865966 |
| 3541 | Morgan Stanley | 589612 |
| 3880 | NMI Holdings, Inc.\* | 152523 |
| 208 | OneMain Holdings, Inc. | 11444 |
| 5867 | PROG Holdings, Inc. | 206577 |
| 22304 | Radian Group, Inc. | 769934 |
| 8106 | SLM Corp. | 151906 |
| 17714 | State Street Corp. | 2278375 |
| 39414 | Synchrony Financial | 2723902 |
|  | Total Financial Services | 16547717 |
|  | **Food, Beverage & Tobacco — 5.0%** | **Food, Beverage & Tobacco — 5.0%** |
| 47208 | Altria Group, Inc. | 3259240 |
| 6884 | Archer-Daniels-Midland Co. | 475271 |
| 7286 | Bunge Global SA | 879056 |
| 1254 | Cal-Maine Foods, Inc. <sup>(a)</sup> | 109236 |
| 20830 | Coca-Cola Co. | 1698895 |
| 30119 | General Mills, Inc. | 1362282 |
| 27700 | Keurig Dr. Pepper, Inc. | 838756 |
| 11424 | Monster Beverage Corp.\* | 974467 |
| 5300 | PepsiCo, Inc. | 899622 |
| 25 | Seaboard Corp. | 128318 |
| 3307 | Universal Corp. | 177685 |
|  | Total Food, Beverage & Tobacco | 10802828 |
|  | **Health Care Equipment & Services — 1.3%** | **Health Care Equipment & Services — 1.3%** |
| 1498 | Cardinal Health, Inc. | 343387 |
| 1182 | Cigna Group | 342567 |
| 26975 | CVS Health Corp. | 2155302 |
|  | Total Health Care Equipment & Services | 2841256 |
|  | **Household & Personal Products — 1.2%** | **Household & Personal Products — 1.2%** |
| 3889 | Colgate-Palmolive Co. | 385556 |
| 4826 | Kimberly-Clark Corp. | 537809 |
| 9785 | Procter & Gamble Co. | 1636052 |
|  | Total Household & Personal Products | 2559417 |
|  | **Insurance — 1.6%** | **Insurance — 1.6%** |
| 7345 | Allstate Corp. | 1575650 |
| 8840 | Hartford Insurance Group, Inc. | 1244937 |
| 5454 | Heritage Insurance Holdings, Inc.\* | 152003 |
| 1300 | Travelers Cos., Inc. | 401232 |
|  | Total Insurance | 3373822 |
|  | **Materials — 1.5%** | **Materials — 1.5%** |
| 2150 | Commercial Metals Co. | 157595 |
| 694 | NewMarket Corp. | 434451 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Materials — continued** | **Materials — continued** |
| 13812 | Nucor Corp. | 2443067 |
| 2914 | Solstice Advanced Materials, Inc. | 228778 |
|  | Total Materials | 3263891 |
|  | **Media & Entertainment — 7.9%** | **Media & Entertainment — 7.9%** |
| 14790 | Alphabet, Inc. – Class A | 4610930 |
| 22136 | Alphabet, Inc. – Class C | 6893815 |
| 8546 | Meta Platforms, Inc. – Class A | 5539346 |
| 3317 | Yelp, Inc.\* | 73936 |
|  | Total Media & Entertainment | 17118027 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 9.7%** | **Pharmaceuticals, Biotechnology & Life Sciences — 9.7%** |
| 62056 | Altimmune, Inc.\* | 267461 |
| 17931 | Bristol-Myers Squibb Co. | 1118357 |
| 26020 | Exelixis, Inc.\* | 1146441 |
| 283 | Gilead Sciences, Inc. | 42153 |
| 25208 | Johnson & Johnson | 6262423 |
| 48444 | Merck & Co., Inc. | 5998336 |
| 176412 | Pfizer, Inc. | 4877792 |
| 1535 | Regeneron Pharmaceuticals, Inc. | 1199864 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 20912827 |
|  | **Semiconductors & Semiconductor Equipment — 18.2%** | **Semiconductors & Semiconductor Equipment — 18.2%** |
| 5019 | ACM Research, Inc. – Class A\* | 279458 |
| 5204 | Advanced Micro Devices, Inc.\* | 1041893 |
| 10100 | Applied Materials, Inc. | 3760230 |
| 8104 | Axcelis Technologies, Inc.\* | 669472 |
| 2919 | Broadcom, Inc. | 932767 |
| 3851 | Cirrus Logic, Inc.\* | 543453 |
| 2026 | KLA Corp. | 3088738 |
| 25392 | Lam Research Corp. | 5938935 |
| 91006 | NVIDIA Corp. | 16125353 |
| 2602 | NXP Semiconductors NV | 590680 |
| 3872 | Photronics, Inc.\* | 144929 |
| 23224 | Qnity Electronics, Inc. | 2943874 |
| 17084 | QUALCOMM, Inc. | 2432078 |
| 14845 | Skyworks Solutions, Inc. | 884465 |
|  | Total Semiconductors & Semiconductor Equipment | 39376325 |
|  | **Software & Services — 4.8%** | **Software & Services — 4.8%** |
| 2891 | Accenture PLC – Class A | 603410 |
| 20379 | Cognizant Technology Solutions Corp. – Class A | 1313019 |
| 9259 | International Business Machines Corp. | 2224104 |
| 15750 | Microsoft Corp. | 6185655 |
|  | Total Software & Services | 10326188 |
|  | **Technology Hardware & Equipment — 8.9%** | **Technology Hardware & Equipment — 8.9%** |
| 44013 | Apple, Inc. | 11627354 |

---

31 See accompanying notes to the financial statements.

------

#### GMO U.S. Equity Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares /** <br> **Par Value†** | **Description** | **Value ($)** |
|  | **Technology Hardware & Equipment — continued** | **Technology Hardware & Equipment — continued** |
| 70107 | Cisco Systems, Inc. | 5570702 |
| 3094 | Ralliant Corp. | 141984 |
| 8017 | TE Connectivity PLC | 1845113 |
|  | Total Technology Hardware & Equipment | 19185153 |
|  | **Telecommunication Services — 1.5%** | **Telecommunication Services — 1.5%** |
| 65345 | Verizon Communications, Inc. | 3276398 |
|  | **Transportation — 1.7%** | **Transportation — 1.7%** |
| 314 | FedEx Corp. | 121518 |
| 1494 | Matson, Inc. | 248198 |
| 29482 | United Parcel Service, Inc. – Class B | 3418733 |
|  | Total Transportation | 3788449 |
|  | **Utilities — 0.1%** | **Utilities — 0.1%** |
| 8217 | UGI Corp. | 307398 |
|  | TOTAL COMMON STOCKS<br> (COST $181,654,632) | 214341454 |
|  | **DEBT OBLIGATIONS — 0.0%** | **DEBT OBLIGATIONS — 0.0%** |
|  | **U.S. Government — 0.0%** | **U.S. Government — 0.0%** |
| 56000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 04/30/27 <sup>(b)</sup> | 56066 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $56,015) | 56066 |
|  | **INVESTMENT FUNDS — 0.5%** | **INVESTMENT FUNDS — 0.5%** |
|  | **United States — 0.5%** | **United States — 0.5%** |
| 219682 | GMO U.S. Treasury Fund, Class VI <sup>(c)</sup> <sup>(d)</sup> | 1100608 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $1,100,608) | 1100608 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 209119 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(e)</sup> | 209119 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $209,119) | 209119 |
|  | TOTAL INVESTMENTS — 99.8%<br>(Cost $183,020,374) | **215707247** |
|  | Other Assets and Liabilities (net) — 0.2% | 423327 |
|  | **TOTAL NET ASSETS — 100.0%** | $**216130574** |

---

See accompanying notes to the financial statements. 32

------

#### GMO U.S. Equity Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
A summary of outstanding financial instruments at February 28, 2026 is as follows:

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of**<br> **Contracts +** | **Type** | **Expiration**<br> **Date** | **Notional**<br>**Amount ($)** | **Value/Net**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation) ($)** |
|  Buys  |  |  |  |  |
| 1  | S&P 500 E-Mini | March 2026 | $344450 | $(69) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2026, 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:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of this security is out on loan (Note 2).

&nbsp;&nbsp;&nbsp;&nbsp;(b) All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any (Note 4).

&nbsp;&nbsp;&nbsp;&nbsp;(c) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(d) All or a portion of this security is purchased with collateral from securities loaned.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(e) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

33 See accompanying notes to the financial statements.

------

#### GMO U.S. Opportunistic Value Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.4%** | **COMMON STOCKS — 99.4%** |
|  | **Automobiles & Components — 2.9%** | **Automobiles & Components — 2.9%** |
| 6834 | Aptiv PLC\* | 502572 |
| 9944 | BorgWarner, Inc. | 572476 |
| 175512 | Ford Motor Co. | 2472964 |
| 47041 | General Motors Co. | 3702597 |
| 14419 | Lear Corp. | 1892494 |
|  | Total Automobiles & Components | &nbsp;&nbsp;&nbsp;&nbsp;9143103 |
|  | **Banks — 9.6%** | **Banks — 9.6%** |
| 146553 | Bank of America Corp. | 7302736 |
| 35330 | Citigroup, Inc. | 3893013 |
| 10047 | Fifth Third Bancorp | 497025 |
| 38025 | Huntington Bancshares, Inc. | 638820 |
| 17682 | JPMorgan Chase & Co. | 5309905 |
| 8886 | M&T Bank Corp. | 1928084 |
| 18015 | PNC Financial Services Group, Inc. | 3825485 |
| 16624 | Regions Financial Corp. | 462646 |
| 47663 | Truist Financial Corp. | 2350262 |
| 65800 | U.S. Bancorp | 3596628 |
| 12651 | Wells Fargo & Co. | 1030424 |
|  | Total Banks | 30835028 |
|  | **Capital Goods — 3.0%** | **Capital Goods — 3.0%** |
| 12433 | Carrier Global Corp. | 800685 |
| 19222 | Fortune Brands Innovations, Inc. | 1044524 |
| 6113 | Honeywell International, Inc. | 1489066 |
| 3171 | Northrop Grumman Corp. | 2297009 |
| 10205 | Oshkosh Corp. | 1735054 |
| 4616 | PACCAR, Inc. | 582031 |
| 497 | Snap-on, Inc. | 191454 |
| 3385 | Terex Corp. | 232854 |
| 3896 | Textron, Inc. | 384340 |
| 3828 | Timken Co. | 414879 |
| 3544 | Toro Co. | 350360 |
|  | Total Capital Goods | 9522256 |
|  | **Commercial & Professional Services — 0.2%** | **Commercial & Professional Services — 0.2%** |
| 8994 | Concentrix Corp. | 295003 |
| 11109 | Genpact Ltd. | 441250 |
|  | Total Commercial & Professional Services | 736253 |
|  | **Consumer Discretionary Distribution & Retail — 2.8%** | **Consumer Discretionary Distribution & Retail — 2.8%** |
| 1882 | Abercrombie & Fitch Co. – Class A\* | 184060 |
| 19262 | Academy Sports & Outdoors, Inc. | 1158224 |
| 4676 | AutoNation, Inc.\* | 912568 |
| 16758 | Bath & Body Works, Inc. | 381412 |
| 7633 | Best Buy Co., Inc. | 473017 |
| 28358 | eBay, Inc. | 2576608 |
| 12104 | Gap, Inc. | 339396 |
| 1678 | Group 1 Automotive, Inc. | 546592 |
| 15048 | LKQ Corp. | 498239 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Consumer Discretionary Distribution & Retail — continued** | **Consumer Discretionary Distribution & Retail — continued** |
| 62745 | Macy's, Inc. | 1241096 |
| 7609 | Signet Jewelers Ltd. | 731910 |
|  | Total Consumer Discretionary Distribution & Retail | &nbsp;&nbsp;&nbsp;&nbsp;9043122 |
|  | **Consumer Durables & Apparel — 3.4%** | **Consumer Durables & Apparel — 3.4%** |
| 15751 | Crocs, Inc.\* | 1428773 |
| 13646 | DR Horton, Inc. | 2188682 |
| 21284 | KB Home | 1353237 |
| 7053 | Lennar Corp. – Class A | 806581 |
| 1714 | M/I Homes, Inc.\* | 243662 |
| 13712 | Mattel, Inc.\* | 232418 |
| 11729 | Meritage Homes Corp. | 884601 |
| 7988 | NIKE, Inc. – Class B | 496694 |
| 9022 | PulteGroup, Inc. | 1237818 |
| 11888 | PVH Corp. | 815517 |
| 1402 | Toll Brothers, Inc. | 220451 |
| 14880 | Tri Pointe Homes, Inc.\* | 688944 |
| 9856 | YETI Holdings, Inc.\* | 430806 |
|  | Total Consumer Durables & Apparel | 11028184 |
|  | **Consumer Services — 0.8%** | **Consumer Services — 0.8%** |
| 2011 | Covista, Inc.\* | 197078 |
| 55831 | H&R Block, Inc. | 1709545 |
| 15461 | Perdoceo Education Corp. | 515625 |
|  | Total Consumer Services | 2422248 |
|  | **Consumer Staples Distribution & Retail — 2.6%** | **Consumer Staples Distribution & Retail — 2.6%** |
| 39688 | Albertsons Cos., Inc. – Class A | 710415 |
| 5358 | Dollar General Corp. | 837134 |
| 32910 | Kroger Co. | 2245778 |
| 2825 | Sysco Corp. | 257527 |
| 37791 | Target Corp. | 4300238 |
|  | Total Consumer Staples Distribution & Retail | 8351092 |
|  | **Energy — 10.8%** | **Energy — 10.8%** |
| 40344 | APA Corp. | 1225247 |
| 41517 | Chevron Corp. | 7753715 |
| 30815 | ConocoPhillips | 3496270 |
| 5846 | Devon Energy Corp. | 254476 |
| 38728 | EOG Resources, Inc. | 4805370 |
| 86695 | Exxon Mobil Corp. | 13220988 |
| 18445 | Halliburton Co. | 664020 |
| 21937 | Kinder Morgan, Inc. | 729844 |
| 4742 | Marathon Petroleum Corp. | 939912 |
| 25248 | SLB Ltd. | 1296232 |
|  | Total Energy | 34386074 |
|  | **Equity Real Estate Investment Trusts (REITs) — 0.3%** | **Equity Real Estate Investment Trusts (REITs) — 0.3%** |
| 27663 | VICI Properties, Inc. – (REIT) | 835699 |

---

See accompanying notes to the financial statements. 34

------

#### GMO U.S. Opportunistic Value Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Financial Services — 7.4%** | **Financial Services — 7.4%** |
| 4371 | American Express Co. | 1350202 |
| 544 | Ameriprise Financial, Inc. | 255745 |
| 7132 | Bank of New York Mellon Corp. | 849421 |
| 22180 | Blue Owl Capital Corp. | 250412 |
| 9581 | Bread Financial Holdings, Inc. | 678910 |
| 17200 | Capital One Financial Corp. | 3365008 |
| 7243 | Enova International, Inc.\* | 1007139 |
| 8855 | Federated Hermes, Inc. | 495969 |
| 48979 | Franklin Resources, Inc. | 1299903 |
| 2207 | Goldman Sachs Group, Inc. | 1897071 |
| 10760 | Invesco Ltd. | 282558 |
| 20393 | Janus Henderson Group PLC | 1062475 |
| 46943 | MGIC Investment Corp. | 1245398 |
| 52786 | PayPal Holdings, Inc. | 2439241 |
| 43810 | Radian Group, Inc. | 1512321 |
| 10038 | Sixth Street Specialty Lending, Inc. | 173858 |
| 26321 | SLM Corp. | 493255 |
| 16277 | State Street Corp. | 2093548 |
| 11564 | Synchrony Financial | 799188 |
| 12229 | T. Rowe Price Group, Inc. | 1157230 |
| 108079 | Western Union Co. <sup>(a)</sup> | 1040801 |
|  | Total Financial Services | 23749653 |
|  | **Food, Beverage & Tobacco — 3.3%** | **Food, Beverage & Tobacco — 3.3%** |
| 15612 | Altria Group, Inc. | 1077853 |
| 15765 | Archer-Daniels-Midland Co. | 1088416 |
| 4877 | Bunge Global SA | 588410 |
| 29888 | General Mills, Inc. | 1351834 |
| 26825 | Keurig Dr. Pepper, Inc. | 812261 |
| 30762 | Mondelez International, Inc. – Class A | 1894324 |
| 20353 | PepsiCo, Inc. | 3454718 |
| 3813 | Tyson Foods, Inc. – Class A | 247807 |
|  | Total Food, Beverage & Tobacco | 10515623 |
|  | **Health Care Equipment & Services — 5.0%** | **Health Care Equipment & Services — 5.0%** |
| 17288 | Cigna Group | 5010408 |
| 47746 | CVS Health Corp. | 3814905 |
| 6706 | Elevance Health, Inc. | 2145920 |
| 5620 | GE HealthCare Technologies, Inc. | 473597 |
| 3668 | Humana, Inc. | 698901 |
| 6137 | Medtronic PLC | 599339 |
| 1675 | ResMed, Inc. | 429236 |
| 9280 | UnitedHealth Group, Inc. | 2721546 |
|  | Total Health Care Equipment & Services | 15893852 |
|  | **Household & Personal Products — 3.6%** | **Household & Personal Products — 3.6%** |
| 9399 | Colgate-Palmolive Co. | 931817 |
| 78778 | Kenvue, Inc. | 1506235 |
| 15474 | Kimberly-Clark Corp. | 1724423 |
| 44766 | Procter & Gamble Co. | 7484875 |
|  | Total Household & Personal Products | 11647350 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Insurance — 6.3%** | **Insurance — 6.3%** |
| 18524 | Aflac, Inc. | 2091915 |
| 13027 | Allstate Corp. | 2794552 |
| 7757 | American International Group, Inc. | 624361 |
| 17739 | Arch Capital Group Ltd.\* | 1776561 |
| 7883 | Chubb Ltd. | 2686999 |
| 3049 | Fidelity National Financial, Inc. | 161231 |
| 21118 | Hartford Insurance Group, Inc. | 2974048 |
| 5257 | Lincoln National Corp. | 180315 |
| 15510 | MetLife, Inc. | 1117806 |
| 16532 | Progressive Corp. | 3532227 |
| 2531 | Prudential Financial, Inc. | 249000 |
| 6697 | Travelers Cos., Inc. | 2066962 |
|  | Total Insurance | 20255977 |
|  | **Materials — 1.2%** | **Materials — 1.2%** |
| 6894 | Commercial Metals Co. | 505330 |
| 25801 | Mosaic Co. | 718300 |
| 443 | NewMarket Corp. | 277322 |
| 8578 | Nucor Corp. | 1517277 |
| 6751 | PPG Industries, Inc. | 832196 |
|  | Total Materials | 3850425 |
|  | **Media & Entertainment — 6.2%** | **Media & Entertainment — 6.2%** |
| 30211 | Alphabet, Inc. – Class A | 9418581 |
| 11737 | Fox Corp. – Class A | 661263 |
| 8286 | Fox Corp. – Class B | 428635 |
| 42586 | Match Group, Inc. | 1345718 |
| 8601 | Meta Platforms, Inc. – Class A | 5574996 |
| 11883 | Omnicom Group, Inc. | 1013501 |
| 34645 | Paramount Skydance Corp. – Class B | 468054 |
| 7332 | Walt Disney Co. | 777485 |
|  | Total Media & Entertainment | 19688233 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 13.2%** | **Pharmaceuticals, Biotechnology & Life Sciences — 13.2%** |
| 97018 | Bristol-Myers Squibb Co. | 6051013 |
| 16518 | Gilead Sciences, Inc. | 2460356 |
| 49835 | Johnson & Johnson | 12380509 |
| 79804 | Merck & Co., Inc. | 9881331 |
| 122624 | Organon & Co. | 893929 |
| 261838 | Pfizer, Inc. | 7239821 |
| 4292 | Regeneron Pharmaceuticals, Inc. | 3354927 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 42261886 |
|  | **Semiconductors & Semiconductor Equipment — 3.0%** | **Semiconductors & Semiconductor Equipment — 3.0%** |
| 5359 | NXP Semiconductors NV | 1216547 |
| 43553 | QUALCOMM, Inc. | 6200205 |
| 33818 | Skyworks Solutions, Inc. | 2014876 |
|  | Total Semiconductors & Semiconductor Equipment | 9431628 |

---

35 See accompanying notes to the financial statements.

------

#### GMO U.S. Opportunistic Value Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Software & Services — 1.2%** | **Software & Services — 1.2%** |
| 3381 | Akamai Technologies, Inc.\* | 332657 |
| 35136 | Cognizant Technology Solutions Corp. – Class A | 2263812 |
| 15086 | Dropbox, Inc. – Class A\* | 376999 |
| 11456 | Zoom Communications, Inc.\* | 847057 |
|  | Total Software & Services | 3820525 |
|  | **Technology Hardware & Equipment — 3.7%** | **Technology Hardware & Equipment — 3.7%** |
| 4971 | Arrow Electronics, Inc.\* | 756387 |
| 28670 | Avnet, Inc. | 1887633 |
| 65423 | Cisco Systems, Inc. | 5198512 |
| 6645 | Dell Technologies, Inc. – Class C | 983992 |
| 61066 | Hewlett Packard Enterprise Co. | 1311087 |
| 40099 | HP, Inc. | 761480 |
| 4811 | NetApp, Inc. | 476433 |
| 7413 | Vontier Corp. | 303340 |
|  | Total Technology Hardware & Equipment | 11678864 |
|  | **Telecommunication Services — 6.4%** | **Telecommunication Services — 6.4%** |
| 193754 | AT&T, Inc. | 5427049 |
| 210481 | Comcast Corp. – Class A | 6516492 |
| 170297 | Verizon Communications, Inc. | 8538692 |
|  | Total Telecommunication Services | 20482233 |
|  | **Transportation — 2.5%** | **Transportation — 2.5%** |
| 2310 | Delta Air Lines, Inc. | 151767 |
| 9554 | FedEx Corp. | 3697398 |
| 35880 | United Parcel Service, Inc. – Class B | 4160645 |
|  | Total Transportation | 8009810 |
|  | TOTAL COMMON STOCKS<br> (COST $279,074,775) | 317589118 |
|  | **INVESTMENT FUNDS — 0.4%** | **INVESTMENT FUNDS — 0.4%** |
|  | **United States — 0.4%** | **United States — 0.4%** |
| 225372 | GMO U.S. Treasury Fund, Class VI <sup>(b)</sup> | 1129113 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $1,129,113) | 1129113 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 431636 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(c)</sup> | 431636 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $431,636) | 431636 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $280,635,524) | **319149867** |
|  | Other Assets and Liabilities (net) — 0.1% | 396350 |
|  | **TOTAL NET ASSETS — 100.0%** | $**319546217** |

---

#### Notes to Schedule of Investments:
\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of this security is out on loan (Note 2).

&nbsp;&nbsp;&nbsp;&nbsp;(b) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(c) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

See accompanying notes to the financial statements. 36

------

#### GMO U.S. Small Cap Value Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.5%** | **COMMON STOCKS — 99.5%** |
|  | **Automobiles & Components — 6.6%** | **Automobiles & Components — 6.6%** |
| 17697 | BorgWarner, Inc. | 1018816 |
| 4831 | Dana, Inc. | 165414 |
| 35812 | Dauch Corp.\* | 236359 |
| 18846 | Garrett Motion, Inc. | 383705 |
| 6596 | Gentex Corp. | 154346 |
| 5476 | Holley, Inc.\* | 22342 |
| 4688 | Lear Corp. | 615300 |
| 1749 | Motorcar Parts of America, Inc.\* | 18085 |
| 3226 | Phinia, Inc. | 234304 |
| 279 | Strattec Security Corp.\* | 24552 |
|  | Total Automobiles & Components | &nbsp;&nbsp;&nbsp;&nbsp;2873223 |
|  | **Banks — 10.4%** | **Banks — 10.4%** |
| 4458 | Amalgamated Financial Corp. | 171588 |
| 1366 | Arrow Financial Corp. | 45502 |
| 15540 | Associated Banc-Corp. | 410411 |
| 1559 | Bank OZK | 72587 |
| 5734 | BankUnited, Inc. | 267778 |
| 600 | Capital City Bank Group, Inc. | 25707 |
| 3623 | Central Pacific Financial Corp. | 115393 |
| 778 | ChoiceOne Financial Services, Inc. | 22266 |
| 2069 | Community Trust Bancorp, Inc. | 124223 |
| 2856 | Customers Bancorp, Inc.\* | 192609 |
| 1205 | Eagle Bancorp, Inc. | 30667 |
| 1254 | East West Bancorp, Inc. | 137250 |
| 4891 | First BanCorp | 103347 |
| 4926 | First Commonwealth Financial Corp. | 86353 |
| 1441 | First Community Bankshares, Inc. | 56386 |
| 2252 | First Financial Corp. | 142687 |
| 5763 | First Hawaiian, Inc. | 142692 |
| 1666 | First Horizon Corp. | 39634 |
| 13390 | FNB Corp. | 227496 |
| 11554 | Fulton Financial Corp. | 236279 |
| 6562 | Hanmi Financial Corp. | 171334 |
| 2333 | Heritage Commerce Corp. | 28999 |
| 8743 | Hope Bancorp, Inc. | 98446 |
| 4294 | Horizon Bancorp, Inc. | 72311 |
| 3074 | Independent Bank Corp. | 106822 |
| 884 | Northrim BanCorp, Inc. | 20765 |
| 2407 | Northwest Bancshares, Inc. | 29967 |
| 2032 | OceanFirst Financial Corp. | 36698 |
| 3069 | OFG Bancorp | 123006 |
| 2317 | Popular, Inc. | 313629 |
| 452 | Preferred Bank | 39649 |
| 3479 | Provident Financial Services, Inc. | 73198 |
| 290 | Republic Bancorp, Inc. – Class A | 20010 |
| 1715 | Simmons First National Corp. – Class A | 34146 |
| 758 | Stellar Bancorp, Inc. | 28546 |
| 955 | Trustmark Corp. | 40674 |
| 50564 | Valley National Bancorp | 637612 |
|  | Total Banks | 4526667 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Capital Goods — 11.7%** | **Capital Goods — 11.7%** |
| 514 | Albany International Corp. – Class A | 29632 |
| 3735 | Apogee Enterprises, Inc. | 148728 |
| 6522 | Atkore, Inc. | 422039 |
| 511 | BlueLinx Holdings, Inc.\* | 33685 |
| 2705 | DNOW, Inc.\* | 31865 |
| 3173 | EnerSys | 527194 |
| 10551 | Gates Industrial Corp. PLC\* | 290891 |
| 7080 | Hudson Technologies, Inc.\* | 50339 |
| 1159 | Hyster-Yale, Inc. | 42686 |
| 20148 | Kennametal, Inc. | 811561 |
| 1204 | Masterbrand, Inc.\* | 12184 |
| 6650 | Matrix Service Co.\* | 73083 |
| 1340 | Miller Industries, Inc. | 56320 |
| 3106 | Mueller Industries, Inc. | 366384 |
| 4043 | Oshkosh Corp. | 687391 |
| 1152 | Park-Ohio Holdings Corp. | 29652 |
| 2008 | Perma-Pipe International Holdings, Inc.\* | 64999 |
| 718 | Preformed Line Products Co. | 182121 |
| 401 | Resideo Technologies, Inc.\* | 15519 |
| 300 | Rush Enterprises, Inc. – Class B | 19395 |
| 1820 | Tennant Co. | 111075 |
| 11979 | Terex Corp. | 824035 |
| 382 | Toro Co. | 37764 |
| 2219 | Wabash National Corp. | 22523 |
| 3191 | Worthington Enterprises, Inc. | 178728 |
|  | Total Capital Goods | 5069793 |
|  | **Commercial & Professional Services — 3.2%** | **Commercial & Professional Services — 3.2%** |
| 2161 | Brady Corp. – Class A | 199547 |
| 2398 | Cimpress PLC\* | 175174 |
| 1366 | Concentrix Corp. | 44805 |
| 110 | CSG Systems International, Inc. | 8789 |
| 10995 | Deluxe Corp. | 305111 |
| 3259 | Healthcare Services Group, Inc.\* | 70949 |
| 1914 | IBEX Holdings Ltd.\* | 55315 |
| 4847 | Interface, Inc. | 152632 |
| 3393 | Kelly Services, Inc. – Class A | 32946 |
| 3056 | ManpowerGroup, Inc. | 85476 |
| 9647 | Pitney Bowes, Inc. | 103512 |
| 10690 | Resources Connection, Inc. | 40194 |
| 5005 | TrueBlue, Inc.\* | 21171 |
| 6817 | Upwork, Inc.\* | 91484 |
|  | Total Commercial & Professional Services | &nbsp;&nbsp;&nbsp;&nbsp;1387105 |
|  | **Consumer Discretionary Distribution & Retail — 3.7%** | **Consumer Discretionary Distribution & Retail — 3.7%** |
| 4843 | Buckle, Inc. | 259343 |
| 2190 | Cato Corp. – Class A\* | 6592 |
| 1027 | Genesco, Inc.\* | 27975 |
| 13818 | Kohl's Corp. | 226201 |
| 30538 | Macy's, Inc. | 604042 |
| 22052 | Sally Beauty Holdings, Inc.\* | 354376 |
| 1831 | Shoe Carnival, Inc. | 36968 |

---

37 See accompanying notes to the financial statements.

------

#### GMO U.S. Small Cap Value Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Consumer Discretionary Distribution & Retail — continued** | **Consumer Discretionary Distribution & Retail — continued** |
| 2061 | Upbound Group, Inc. | 44208 |
| 720 | Urban Outfitters, Inc.\* | 47664 |
| 494 | Weyco Group, Inc. | 15447 |
|  | Total Consumer Discretionary Distribution & Retail | &nbsp;&nbsp;&nbsp;&nbsp;1622816 |
|  | **Consumer Durables & Apparel — 8.9%** | **Consumer Durables & Apparel — 8.9%** |
| 1982 | Beazer Homes USA, Inc.\* | 50699 |
| 10971 | Carter's, Inc. | 368077 |
| 5239 | Century Communities, Inc. | 352218 |
| 1284 | Columbia Sportswear Co. | 79531 |
| 2272 | Dream Finders Homes, Inc. – Class A\* | 41055 |
| 5911 | Ethan Allen Interiors, Inc. | 134653 |
| 9754 | G-III Apparel Group Ltd. | 298375 |
| 926 | Helen of Troy Ltd.\* | 16335 |
| 1368 | Hooker Furnishings Corp. | 19617 |
| 634 | Johnson Outdoors, Inc. – Class A | 30743 |
| 3975 | KB Home | 252730 |
| 3446 | La-Z-Boy, Inc. | 123091 |
| 7917 | Levi Strauss & Co. – Class A | 175441 |
| 1928 | M/I Homes, Inc.\* | 274084 |
| 13639 | Mattel, Inc.\* | 231181 |
| 3547 | Meritage Homes Corp. | 267515 |
| 1977 | Movado Group, Inc. | 49326 |
| 4047 | Oxford Industries, Inc. | 160221 |
| 5699 | Polaris, Inc. | 346157 |
| 705 | Sonos, Inc.\* | 10857 |
| 4336 | Steven Madden Ltd. | 156530 |
| 9353 | Tri Pointe Homes, Inc.\* | 433044 |
| 1681 | Universal Electronics, Inc.\* | 6337 |
|  | Total Consumer Durables & Apparel | 3877817 |
|  | **Consumer Services — 2.1%** | **Consumer Services — 2.1%** |
| 2309 | El Pollo Loco Holdings, Inc.\* | 25538 |
| 196 | Graham Holdings Co. – Class B | 206429 |
| 261 | Nathan's Famous, Inc. | 26252 |
| 16861 | Perdoceo Education Corp. | 562314 |
| 764 | Stride, Inc.\* | 64466 |
| 4979 | Wendy's Co. | 38139 |
|  | Total Consumer Services | 923138 |
|  | **Consumer Staples Distribution & Retail — 0.8%** | **Consumer Staples Distribution & Retail — 0.8%** |
| 1294 | Ingles Markets, Inc. – Class A | 110119 |
| 4723 | United Natural Foods, Inc.\* | 180466 |
| 1140 | Village Super Market, Inc. – Class A | 44631 |
|  | Total Consumer Staples Distribution & Retail | 335216 |
|  | **Energy — 3.3%** | **Energy — 3.3%** |
| 1246 | Cactus, Inc. – Class A | 67284 |
| 418 | Chord Energy Corp. | 45299 |
| 1558 | Core Laboratories, Inc. | 27405 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Energy — continued** | **Energy — continued** |
| 2654 | Dorian LPG Ltd. | 98171 |
| 1671 | Expro Group Holdings NV\* | 29844 |
| 1222 | Flowco Holdings, Inc. – Class A | 27568 |
| 9097 | FutureFuel Corp. | 39299 |
| 5023 | Helix Energy Solutions Group, Inc.\* | 46161 |
| 1586 | Innovex International, Inc.\* | 41791 |
| 1456 | International Seaways, Inc. | 109972 |
| 1415 | Liberty Energy, Inc. | 39747 |
| 791 | Natural Gas Services Group, Inc. | 30264 |
| 901 | Noble Corp. PLC | 40932 |
| 2820 | Oceaneering International, Inc.\* | 100110 |
| 1507 | Par Pacific Holdings, Inc.\* | 64304 |
| 2248 | PBF Energy, Inc. – Class A | 80029 |
| 5389 | SM Energy Co. | 124648 |
| 4503 | Valaris Ltd.\* | 431613 |
|  | Total Energy | &nbsp;&nbsp;&nbsp;&nbsp;1444441 |
|  | **Equity Real Estate Investment Trusts (REITs) — 4.7%** | **Equity Real Estate Investment Trusts (REITs) — 4.7%** |
| 4094 | American Assets Trust, Inc. – (REIT) | 79915 |
| 10334 | Apple Hospitality REIT, Inc. | 126695 |
| 4537 | Broadstone Net Lease, Inc. – (REIT) | 87972 |
| 8409 | DiamondRock Hospitality Co. – (REIT) | 84426 |
| 10204 | Empire State Realty Trust, Inc. – Class A, (REIT) | 60000 |
| 1487 | EPR Properties – (REIT) | 88343 |
| 1006 | Getty Realty Corp. – (REIT) | 33017 |
| 10603 | Host Hotels & Resorts, Inc. – (REIT) | 207713 |
| 13716 | Industrial Logistics Properties Trust – (REIT) | 80376 |
| 2193 | Innovative Industrial Properties, Inc. – (REIT) | 116141 |
| 6836 | LTC Properties, Inc. – (REIT) | 271252 |
| 18425 | Outfront Media, Inc. – (REIT) | 530824 |
| 3016 | Park Hotels & Resorts, Inc. – (REIT) | 34111 |
| 2478 | Piedmont Realty Trust, Inc. – (REIT)\* | 18808 |
| 2584 | Postal Realty Trust, Inc. – Class A, (REIT) | 53566 |
| 6796 | Sunstone Hotel Investors, Inc. – (REIT) | 63067 |
| 2995 | Whitestone REIT – (REIT) | 45494 |
| 4828 | Xenia Hotels & Resorts, Inc. – (REIT) | 73772 |
|  | Total Equity Real Estate Investment Trusts (REITs) | 2055492 |
|  | **Financial Services — 10.4%** | **Financial Services — 10.4%** |
| 7474 | Bread Financial Holdings, Inc. | 529608 |
| 5616 | Enova International, Inc.\* | 780905 |
| 11265 | EZCORP, Inc. – Class A\* | 298861 |
| 16890 | Invesco Ltd. | 443531 |
| 5356 | Jackson Financial, Inc. – Class A | 586375 |
| 20855 | MGIC Investment Corp. | 553283 |
| 6441 | Navient Corp. | 56616 |
| 3700 | NMI Holdings, Inc.\* | 145447 |
| 963 | OneMain Holdings, Inc. | 52984 |
| 6415 | Oportun Financial Corp.\* | 33230 |

---

See accompanying notes to the financial statements. 38

------

#### GMO U.S. Small Cap Value Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Financial Services — continued** | **Financial Services — continued** |
| 6962 | PROG Holdings, Inc. | 245132 |
| 20421 | Radian Group, Inc. | 704933 |
| 1499 | Regional Management Corp. | 47698 |
| 2039 | Waterstone Financial, Inc. | 36315 |
| 294 | Westwood Holdings Group, Inc. | 4927 |
|  | Total Financial Services | 4519845 |
|  | **Food, Beverage & Tobacco — 4.7%** | **Food, Beverage & Tobacco — 4.7%** |
| 5846 | Cal-Maine Foods, Inc. | 509245 |
| 2011 | Campbell's Co. | 54196 |
| 18404 | Conagra Brands, Inc. | 354277 |
| 5796 | Fresh Del Monte Produce, Inc. | 248822 |
| 608 | Ingredion, Inc. | 71416 |
| 78 | Seaboard Corp. | 400351 |
| 953 | Seneca Foods Corp. – Class A\* | 132448 |
| 5353 | Universal Corp. | 287617 |
|  | Total Food, Beverage & Tobacco | &nbsp;&nbsp;&nbsp;&nbsp;2058372 |
|  | **Health Care Equipment & Services — 1.1%** | **Health Care Equipment & Services — 1.1%** |
| 6951 | Ardent Health, Inc.\* | 65270 |
| 3863 | Fulgent Genetics, Inc.\* | 59220 |
| 2765 | NeuroPace, Inc.\* | 40314 |
| 12331 | OraSure Technologies, Inc.\* | 38842 |
| 9692 | Pediatrix Medical Group, Inc.\* | 192386 |
| 6071 | Varex Imaging Corp.\* | 79955 |
|  | Total Health Care Equipment & Services | 475987 |
|  | **Household & Personal Products — 0.8%** | **Household & Personal Products — 0.8%** |
| 4255 | Edgewell Personal Care Co. | 96759 |
| 8391 | Herbalife Ltd.\* | 163792 |
| 9410 | Nu Skin Enterprises, Inc. – Class A | 79797 |
| 332 | Spectrum Brands Holdings, Inc. | 26022 |
|  | Total Household & Personal Products | 366370 |
|  | **Insurance — 2.8%** | **Insurance — 2.8%** |
| 13360 | Genworth Financial, Inc.\* | 112758 |
| 2623 | Hamilton Insurance Group Ltd. – Class B\* | 82861 |
| 310 | Heritage Insurance Holdings, Inc.\* | 8640 |
| 26937 | Lincoln National Corp. | 923939 |
| 2723 | Universal Insurance Holdings, Inc. | 95768 |
|  | Total Insurance | 1223966 |
|  | **Materials — 4.4%** | **Materials — 4.4%** |
| 3132 | AdvanSix, Inc. | 55844 |
| 628 | Alpha Metallurgical Resources, Inc.\* | 102144 |
| 8202 | Commercial Metals Co. | 601207 |
| 5334 | Dakota Gold Corp.\* | 37125 |
| 3391 | Eastman Chemical Co. | 256055 |
| 6014 | FMC Corp. | 88646 |
| 279 | Kaiser Aluminum Corp. | 36309 |
| 3519 | Koppers Holdings, Inc. | 133018 |
| 189 | NewMarket Corp. | 118316 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Materials — continued** | **Materials — continued** |
| 5933 | Orion SA | 33759 |
| 1808 | Ryerson Holding Corp. | 47297 |
| 1959 | Sealed Air Corp. | 82043 |
| 22880 | SunCoke Energy, Inc. | 130416 |
| 1818 | Sylvamo Corp. | 84173 |
| 671 | Warrior Met Coal, Inc. | 55854 |
| 1065 | Worthington Steel, Inc. | 44261 |
|  | Total Materials | &nbsp;&nbsp;&nbsp;&nbsp;1906467 |
|  | **Media & Entertainment — 1.6%** | **Media & Entertainment — 1.6%** |
| 12711 | Angi, Inc.\* | 98891 |
| 5346 | Cars.com, Inc.\* | 45655 |
| 14785 | Eventbrite, Inc. – Class A\* | 65350 |
| 6121 | Gray Media, Inc. | 31768 |
| 5832 | Shutterstock, Inc. | 97978 |
| 11928 | Yelp, Inc.\* | 265875 |
| 3410 | Ziff Davis, Inc.\* | 92343 |
|  | Total Media & Entertainment | 697860 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 3.3%** | **Pharmaceuticals, Biotechnology & Life Sciences — 3.3%** |
| 8751 | Aclaris Therapeutics, Inc.\* | 25116 |
| 44302 | Altimmune, Inc.\* | 190942 |
| 7074 | Amneal Pharmaceuticals, Inc.\* | 97692 |
| 2565 | Amphastar Pharmaceuticals, Inc.\* | 51890 |
| 3002 | Avalo Therapeutics, Inc.\* | 52535 |
| 4937 | Enanta Pharmaceuticals, Inc.\* | 70599 |
| 5678 | Exagen, Inc.\* | 20554 |
| 693 | Exelixis, Inc.\* | 30534 |
| 11971 | Harmony Biosciences Holdings, Inc.\* | 341652 |
| 372 | Ironwood Pharmaceuticals, Inc.\* | 1272 |
| 13065 | Larimar Therapeutics, Inc.\* | 69375 |
| 3011 | Pacira BioSciences, Inc.\* | 65971 |
| 700 | Phibro Animal Health Corp. – Class A | 38213 |
| 2541 | SIGA Technologies, Inc. | 16440 |
| 4241 | Supernus Pharmaceuticals, Inc.\* | 232110 |
| 16322 | Vanda Pharmaceuticals, Inc.\* | 145429 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 1450324 |
|  | **Real Estate Management & Development — 1.1%** | **Real Estate Management & Development — 1.1%** |
| 7865 | Cushman & Wakefield Ltd.\* | 105469 |
| 12743 | Douglas Elliman, Inc.\* | 29054 |
| 23236 | Newmark Group, Inc. – Class A | 337387 |
|  | Total Real Estate Management & Development | 471910 |
|  | **Semiconductors & Semiconductor Equipment — 7.8%** | **Semiconductors & Semiconductor Equipment — 7.8%** |
| 3931 | ACM Research, Inc. – Class A\* | 218878 |
| 3834 | Amkor Technology, Inc. | 183342 |
| 8696 | Axcelis Technologies, Inc.\* | 718377 |
| 5041 | Cirrus Logic, Inc.\* | 711386 |

---

39 See accompanying notes to the financial statements.

------

#### GMO U.S. Small Cap Value Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Semiconductors & Semiconductor Equipment — continued** | **Semiconductors & Semiconductor Equipment — continued** |
| 2514 | Diodes, Inc.\* | 171530 |
| 2859 | Everspin Technologies, Inc.\* | 30877 |
| 792 | Kulicke & Soffa Industries, Inc. | 55218 |
| 16821 | Photronics, Inc.\* | 629610 |
| 9346 | Skyworks Solutions, Inc. | 556835 |
| 3591 | Veeco Instruments, Inc.\* | 109741 |
|  | Total Semiconductors & Semiconductor Equipment | 3385794 |
|  | **Software & Services — 0.1%** | **Software & Services — 0.1%** |
| 2360 | Viant Technology, Inc. – Class A\* | 23907 |
|  | **Technology Hardware & Equipment — 1.8%** | **Technology Hardware & Equipment — 1.8%** |
| 6597 | Avnet, Inc. | 434346 |
| 2139 | Kimball Electronics, Inc.\* | 53454 |
| 6720 | Methode Electronics, Inc. | 56851 |
| 1463 | NetScout Systems, Inc.\* | 42734 |
| 2695 | Turtle Beach Corp.\* | 33795 |
| 8183 | Vishay Intertechnology, Inc. | 153186 |
|  | Total Technology Hardware & Equipment | 774366 |
|  | **Telecommunication Services — 0.1%** | **Telecommunication Services — 0.1%** |
| 3787 | Spok Holdings, Inc. | 45974 |
|  | Transportation — 2.2% |  |
| 5153 | ArcBest Corp. | 529007 |
| 1506 | Genco Shipping & Trading Ltd. | 36219 |
| 2202 | Matson, Inc. | 365818 |
| 1691 | Sun Country Airlines Holdings, Inc.\* | 33279 |
|  | Total Transportation | 964323 |
|  | **Utilities — 1.9%** | **Utilities — 1.9%** |
| 819 | Northwest Natural Holding Co. | 43440 |
| 1848 | Portland General Electric Co. | 99718 |
| 18489 | UGI Corp. | 691673 |
|  | Total Utilities | 834831 |
|  | TOTAL COMMON STOCKS<br> (COST $37,733,266) | 43316004 |
|  | **INVESTMENT FUNDS — 0.2%** | **INVESTMENT FUNDS — 0.2%** |
|  | **United States — 0.2%** | **United States — 0.2%** |
| 18243 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 91397 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $91,397) | 91397 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.4%** | **SHORT-TERM INVESTMENTS — 0.4%** |
|  | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
| 155124 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 155124 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $155,124) | 155124 |
|  | TOTAL INVESTMENTS — 100.1%<br> (Cost $37,979,787) | **43562525** |
|  | Other Assets and Liabilities (net) — (0.1)% | (43396) |
|  | **TOTAL NET ASSETS — 100.0%** | $**43519129** |

---

#### Notes to Schedule of Investments:
\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 41.

See accompanying notes to the financial statements. 40

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### February 28, 2026

#### 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

REIT - Real Estate Investment Trust

The rates shown on variable rate notes are the current interest rates at February 28, 2026 which are subject to change based on the terms of the security.

41 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Climate<br>Change Fund** | **Emerging<br>Markets<br>ex-China<br>Fund** | **Emerging<br>Markets Fund** | **International<br>Equity Fund** | **International<br>Opportunistic**<br>**Value**<br>**Fund** |
|  **Assets:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers, at value (Notes 2 and 10)<sup>(a)</sup>  | $16963453 | $506163 | $2305333 | $10318555 | $9692 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(b)(c)</sup>  | 608555588 | 97503633 | 524461571 | 1137102332 | 337304113 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign currency, at value (Note 2)<sup>(d)</sup>  | 152343 | 20487 | 2946131 | 6882 | 115533 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash |  |  |  |  | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for investments sold |  | 25472 | 49650 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | 299272 |  | 445 | 937715 | 250000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 448981 | 386162 | 1662321 | 978715 | 385359 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividend withholding tax receivable | 123827 | 771 | 4601 | 853123 | 492654 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign capital gains tax refund receivable (Note 2) |  | 82551 | 675544 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; EU tax reclaims receivable (Note 2) |  |  |  | 718560 | 2685811 |
| &nbsp;&nbsp;&nbsp;&nbsp; Due from broker (Note 2) |  |  | 849996 |  | 1238 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for expenses reimbursed and/or waived by GMO (Note 5) |  | 7769 | 21534 | 39251 | 12132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total assets | 626543464 | 98533008 | 532977126 | 1150955133 | 341256540 |
|  **Liabilities:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due to custodian |  |  | 6607 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for investments purchased | 46994 | 950 | 23133 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares repurchased | 59988 |  | 58977 | 587426 | 22342 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued foreign capital gains tax payable (Note 2) |  | 321178 | 1231717 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for recoupment of past waived and/or reimbursed fees (Note 5) | 5276 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for IRS closing agreement fees (Note 2) |  |  |  |  | 1047870 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to affiliate for (Note 5): |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fee | 289667 | 39444 | 263637 | 437507 | 131191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee | 72417 | 7234 | 58487 | 105594 | 28543 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for variation margin on open futures contracts (Note 4) |  |  | 13650 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to Trustees and related expenses | 4592 | 744 | 4388 | 11206 | 3843 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous payable |  |  | 722166 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued expenses | 250199 | 341828 | 544895 | 372529 | 206131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total liabilities | 729133 | 711378 | 2927657 | 1514262 | 1439920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commitments and contingent liabilities (Note 5) |  |  |  |  |  |
|  **Net assets** | $**625814331** | $**97821630** | $**530049469** | $**1149440871** | $**339816620** |
|  <sup>(a)</sup> Cost of investments – affiliated issuers: | $16963453 | $506163 | $7976205 | $10318555 | $9673 |
|  <sup>(b)</sup> Cost of investments – unaffiliated issuers: | $588433106 | $139198124 | $733061146 | $849790685 | $235874447 |
|  <sup>(c)</sup> Includes securities on loan at value (Note 2): | $12247424 | $156190 | $3487168 | $29482417 | $12888032 |
|  <sup>(d)</sup> Cost of foreign currency: | $152000 | $20250 | $2946478 | $6815 | $115119 |

---

See accompanying notes to the financial statements. 42

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Climate<br>Change Fund** | **Emerging<br>Markets<br>ex-China<br>Fund** | **Emerging<br>Markets Fund** | **International<br>Equity Fund** | **International<br>Opportunistic**<br>**Value**<br>**Fund** |
|  **Net assets consist of:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $792918611 | $166255664 | $2193676188 | $1544479688 | $224629901 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | (167104280) | (68434034) | (1663626719) | (395038817) | 115186719 |
|  | $**625814331** | $**97821630** | $**530049469** | $**1149440871** | $**339816620** |
|  **Net assets attributable to:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class II | $— | $— | $164409301 | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $201856442 | $47238713 | $63118 | $459410287 | $38907276 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $— | $— | $— | $620569400 | $278355818 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $— | $50582917 | $234207171 | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $341429873 | $— | $21854682 | $— | $21809486 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $82528016 | $— | $109515197 | $69461184 | $744040 |
|  **Shares outstanding:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class II |  |  | 4763468 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | 7106758 | 2791105 | 1794 | 11909212 | 2090782 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  |  | 16115994 | 15017907 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI |  | 2980951 | 6862017 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | 12052209 |  | 633313 |  | 1174135 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | 2909020 |  | 3180346 | 1795421 | 40243 |
|  **Net asset value per share:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class II | $— | $— | $34.51 | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $28.40 | $16.92 | $35.18 | $38.58 | $18.61 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $— | $— | $— | $38.51 | $18.53 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $— | $16.97 | $34.13 | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $28.33 | $— | $34.51 | $— | $18.57 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $28.37 | $— | $34.43 | $38.69 | $18.49 |

---

43 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Japan Value<br>Creation Fund** | **Quality Fund** | **Resource<br>Transition Fund** | **Resources**<br>**Fund** |
|  **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers, at value (Notes 2 and 10)<sup>(a)</sup>  | $5349561 | $180906709 | $3886166 | $62986994 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(b)(c)</sup>  | 287653929 | 11971414403 | 176661898 | 1198794135 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign currency, at value (Note 2)<sup>(d)</sup>  | 73370 | 3118902 | 39831 | 234732 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash |  | 1646 |  | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for investments sold | 6576164 | 65718521 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | 350722 | 12049624 |  | 234138 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 421983 | 8952613 | 513474 | 4468422 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividend withholding tax receivable | 110073 | 3574709 | 21023 | 383300 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign capital gains tax refund receivable (Note 2) |  |  |  | 187048 |
| &nbsp;&nbsp;&nbsp;&nbsp; EU tax reclaims receivable (Note 2) |  |  |  | 947944 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 14337 |  | 7287 | 751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total assets | 300550139 | 12245737127 | 181129679 | 1268237466 |
|  **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for cash collateral from securities loaned (Note 2) |  |  | 355635 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for investments purchased | 3968782 | 116942056 | 9318 | 689 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares repurchased | 5000 | 6736848 |  | 503704 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued foreign capital gains tax payable (Note 2) |  |  |  | 117104 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for recoupment of past waived and/or reimbursed fees (Note 5) |  | 2545 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to affiliate for (Note 5): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fee | 109396 | 3060905 | 109734 | 473185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee | 22695 | 1099767 | 7544 | 129974 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to Trustees and related expenses | 1828 | 119694 | 1178 | 13798 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued expenses | 141120 | 2310585 | 173389 | 1147389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total liabilities | 4248821 | 130272400 | 656798 | 2385843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commitments and contingent liabilities (Note 5) |  |  |  |  |
|  **Net assets** | $**296301318** | $**12115464727** | $**180472881** | $**1265851623** |
|  <sup>(a)</sup> Cost of investments – affiliated issuers: | $5349561 | $180902698 | $3886166 | $82253139 |
|  <sup>(b)</sup> Cost of investments – unaffiliated issuers: | $208205353 | $6780667700 | $177651738 | $1172008911 |
|  <sup>(c)</sup> Includes securities on loan at value (Note 2): | $— | $— | $12643209 | $45327968 |
|  <sup>(d)</sup> Cost of foreign currency: | $73370 | $3136605 | $39725 | $233562 |

---

See accompanying notes to the financial statements. 44

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Japan Value<br>Creation Fund** | **Quality Fund** | **Resource<br>Transition Fund** | **Resources**<br>**Fund** |
|  **Net assets consist of:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $212676971 | $6616911336 | $257496865 | $1470650584 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | 83624347 | 5498553391 | (77023984) | (204798961) |
|  | $**296301318** | $**12115464727** | $**180472881** | $**1265851623** |
|  **Net assets attributable to:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $42580960 | $3479367676 | $— | $243277719 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $— | $1126559766 | $— | $142657544 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $141032137 | $3456085467 | $180472881 | $91356597 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $— | $2097489321 | $— | $407525708 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $112688221 | $1955962497 | $— | $381034055 |
|  **Shares outstanding:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | 1440526 | 98956562 |  | 9239669 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV |  | 31917630 |  | 5437183 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | 4769892 | 98281647 | 9358305 | 3484008 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  | 59785306 |  | 15501125 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | 3824436 | 55858700 |  | 14455772 |
|  **Net asset value per share:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $29.56 | $35.16 | $— | $26.33 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $— | $35.30 | $— | $26.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $29.57 | $35.17 | $19.28 | $26.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $— | $35.08 | $— | $26.29 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $29.47 | $35.02 | $— | $26.36 |

---

45 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Small Cap**<br>**Quality**<br>**Fund** | **U.S. Equity**<br>**Fund** | **U.S.**<br>**Opportunistic**<br>**Value**<br>**Fund** | **U.S. Small**<br>**Cap Value**<br>**Fund** |
|  **Assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers, at value (Notes 2 and 10)<sup>(a)</sup>  | $19993081 | $1100608 | $1129113 | $91397 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(b)(c)</sup>  | 668082236 | 214606639 | 318020754 | 43471128 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash |  | 12 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | 523517 |  | 5625 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 382742 | 357476 | 698142 | 37749 |
| &nbsp;&nbsp;&nbsp;&nbsp; Due from broker (Note 2) |  | 239993 |  | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 94515 | 7836 | 2722 | 1652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total assets | 689076091 | 216312564 | 319856356 | 43601943 |
|  **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for investments purchased | 49261 | 36 | 4830 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares repurchased | 541363 |  | 6893 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to affiliate for (Note 5): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fee | 312834 | 51769 | 75840 | 10574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee | 68448 | 15676 | 24224 | 1876 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for variation margin on open futures contracts (Note 4) |  | 1550 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to Trustees and related expenses | 5934 | 1988 | 4059 | 354 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued expenses | 232803 | 110971 | 194293 | 70010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total liabilities | 1210643 | 181990 | 310139 | 82814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commitments and contingent liabilities (Note 5) |  |  |  |  |
|  **Net assets** | $**687865448** | $**216130574** | $**319546217** | $**43519129** |
|  <sup>(a)</sup> Cost of investments – affiliated issuers: | $19993081 | $1100608 | $1129113 | $91397 |
|  <sup>(b)</sup> Cost of investments – unaffiliated issuers: | $597390589 | $181919766 | $279506411 | $37888390 |
|  <sup>(c)</sup> Includes securities on loan at value (Note 2): | $— | $109236 | $1040801 | $— |

---

See accompanying notes to the financial statements. 46

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Small Cap**<br>**Quality**<br>**Fund** | **U.S. Equity**<br>**Fund** | **U.S.**<br>**Opportunistic**<br>**Value**<br>**Fund** | **U.S. Small**<br>**Cap Value**<br>**Fund** |
|  **Net assets consist of:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $603786429 | $168079253 | $265910997 | $34175997 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | 84079019 | 48051321 | 53635220 | 9343132 |
|  | $**687865448** | $**216130574** | $**319546217** | $**43519129** |
|  **Net assets attributable to:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $70412964 | $88296970 | $108110593 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $167994979 | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $46795262 | $127833604 | $143406735 | $43519129 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $208645806 | $— | $587 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $194016437 | $— | $68028302 | $— |
|  **Shares outstanding:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | 2731888 | 5895298 | 4679447 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | 6519278 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | 1812657 | 8707215 | 6218831 | 1747735 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | 8102209 |  | 25 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | 7525446 |  | 2956256 |  |
|  **Net asset value per share:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $25.77 | $14.98 | $23.10 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $25.77 | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $25.82 | $14.68 | $23.06 | $24.90 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $25.75 | $— | $23.30 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $25.78 | $— | $23.01 | $— |

---

47 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Operations —Year Ended February 28, 2026

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Climate**<br>**Change Fund** | **Emerging**<br>**Markets**<br>**ex-China**<br>**Fund** | **Emerging**<br>**Markets Fund** | **International**<br>**Equity Fund** | **International**<br>**Opportunistic**<br>**Value**<br>**Fund** |
|  **Investment income:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)<sup>(a)</sup>  | $5357071 | $3428904 | $18902444 | $34980961 | $15456177 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from affiliated issuers (Note 10) | 363679 | 11950 | 161800 | 2101680 | 134760 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | 3455 |  | 44956 | 34507 | 1298 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income (net) | 269864 | 4064 | 46204 | 170382 | 200108 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other income (Note 2) | 88 | 140612 | 620121 | 538302 | 2729394 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net IRS closing agreement benefits (fees) (Note 2) |  |  |  | 36090065 | (1032951) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investment income | 5994157 | 3585530 | 19775525 | 73915897 | 17488786 |
|  **Expenses:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Management fee (Note 5) | 2902983 | 436327 | 2895798 | 5160048 | 1729349 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class II (Note 5) |  |  | 292616 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class III (Note 5) | 306974 | 57378 | 78 | 624598 | 49639 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class IV (Note 5) |  |  |  | 534776 | 290434 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class VI (Note 5) |  | 22594 | 113387 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class R6 (Note 5) | 309693 |  | 37484 |  | 32961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class I (Note 5) | 109079 |  | 196353 | 47114 | 554 |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax fees | 122208 | 162526 | 151308 | 136247 | 121242 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian, fund accounting, administration and transfer agent fees | 113124 | 78850 | 650778 | 308140 | 184432 |
| &nbsp;&nbsp;&nbsp;&nbsp; Legal fees | 28874 | 9340 | 261752 | 31319 | 18999 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 18475 | 1809 | 50516 | 62556 | 9376 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and related expenses (Note 5) | 31725 | 4751 | 29561 | 70929 | 24322 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 46149 | 40171 | 59675 | 68539 | 43465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 3989284 | 813746 | 4739306 | 7044266 | 2504773 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO (Note 5) | (146069) | (226471) | (441124) | (342354) | (265512) |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred management fees waived or borne by GMO (Note 5) | (7506) | (236) | (3307) | (40908) | (2554) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 3835709 | 587039 | 4294875 | 6661004 | 2236707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | 2158448 | 2998491 | 15480650 | 67254893 | 15252079 |
|  **Realized and unrealized gain (loss):** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(b)</sup>  | (38392623) | 7333638 | 43913887 | 207907041 | 58712775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | 10906 | 1797 | 30712 | 71394 | (5813) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  |  | 1375825 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions | 30600 | (120020) | (683494) | 86732 | 52152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (38351117) | 7215415 | 44636930 | 208065167 | 58759114 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) on: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(c)</sup>  | 285891872 | 30673391 | 143144574 | 167761334 | 67528740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | (84) |  | (14594) | (73395) | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  |  | 334113 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions | 31716 | 14426 | 78851 | 455517 | 125301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 285923504 | 30687817 | 143542944 | 168143456 | 67654060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 247572387 | 37903232 | 188179874 | 376208623 | 126413174 |
|  **Net increase (decrease) in net assets resulting from operations** | $**249730835** | $**40901723** | $**203660524** | $**443463516** | $**141665253** |
|  <sup>(a)</sup> Withholding tax: | $294074 | $534927 | $2385509 | $2288845 | $1188431 |
|  <sup>(b)</sup> Foreign capital gains tax (benefit) on net realized gain (loss): | $— | $15480 | $309000 | $— | $— |
|  <sup>(c)</sup> Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation): | $— | $321178 | $1119243 | $— | $— |

---

See accompanying notes to the financial statements. 48

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Operations —Year Ended February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Japan Value<br>Creation Fund** | **Quality**<br>**Fund** | **Resource<br>Transition Fund** | **Resources<br>Fund** |
|  **Investment income:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)<sup>(a)</sup>  | $5375077 | $152482576 | $2777321 | $37932052 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from affiliated issuers (Note 10) | 225207 | 6592794 | 93150 | 992800 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | 323 | 34479 | 92 | 4853 |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-cash dividends from unaffilliated issuers |  |  | 359054 | 2727523 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income from affiliated issuers (net) |  |  | 1737 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income (net) |  |  | 25235 | 385993 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other income (Note 2) |  | 2331 | 96224 | 491540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investment income | 5600607 | 159112180 | 3352813 | 42534761 |
|  **Expenses:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Management fee (Note 5) | 1027080 | 36999584 | 1004186 | 6345439 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class III (Note 5) | 51018 | 5155715 |  | 297336 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class IV (Note 5) |  | 1130029 |  | 275632 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class VI (Note 5) | 66844 | 1728941 | 69038 | 43898 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class R6 (Note 5) |  | 2633242 |  | 589824 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class I (Note 5) | 74804 | 2699414 |  | 483302 |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax fees | 83594 | 136412 | 103177 | 247493 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian, fund accounting, administration and transfer agent fees | 142666 | 3773462 | 26181 | 516495 |
| &nbsp;&nbsp;&nbsp;&nbsp; Legal fees | 46947 | 387920 | 8327 | 71778 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 28472 | 71538 | 1123 | 56954 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and related expenses (Note 5) | 13098 | 760500 | 7601 | 90374 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 17762 | 321393 | 10369 | 71514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 1552285 | 55798150 | 1230002 | 9090039 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO (Note 5) | (168313) | (266939) | (147532) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred management fees waived or borne by GMO (Note 5) | (6805) | (131300) | (2045) | (19411) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 1377167 | 55399911 | 1080425 | 9070628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | 4223440 | 103712269 | 2272388 | 33464133 |
|  **Realized and unrealized gain (loss):** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(b)</sup>  | 12285339 | 1419189866 | 3106775 | (19861464) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | 8586 | 9932 | 165 | (2444166) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions | 51892 | 310033 | 6715 | 235915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 12345817 | 1419509831 \* | 3113655 | (22069715) |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(c)</sup>  | 78772127 | 74938222 | 78795645 | 547390882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | (7786) |  | 3000 | (15159715) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions | (13961) | 1436881 | 29840 | 249679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 78750380 | 76378103 | 78825335 | 532480846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 91096197 | 1495887934 | 81938990 | 510411131 |
|  **Net increase (decrease) in net assets resulting from operations** | $**95319637** | $**1599600203** | $**84211378** | $**543875264** |
|  <sup>(a)</sup> Withholding tax: | $597116 | $3710973 | $173824 | $1804600 |
|  <sup>(b)</sup> Foreign capital gains tax (benefit) on net realized gain (loss): | $— | $— | $— | $13666 |
|  <sup>(c)</sup> Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation): | $— | $— | $— | $117104 |

---

\* For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

49 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Operations —Year Ended February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Small Cap**<br>**Quality**<br>**Fund** | **U.S. Equity**<br>**Fund** | **U.S.**<br>**Opportunistic**<br>**Value**<br>**Fund** | **U.S. Small**<br>**Cap Value**<br>**Fund** |
|  **Investment income:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)<sup>(a)</sup>  | $5120114 | $3317134 | $10053638 | $839755 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from affiliated issuers (Note 10) | 622644 | 52236 | 78930 | 5767 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | 9791 | 14435 | 13323 | 781 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income from affiliated issuers (net) |  | 3 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income (net) |  | 618 | 45 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investment income | 5752549 | 3384426 | 10145936 | 846303 |
|  **Expenses:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Management fee (Note 5) | 3495368 | 599741 | 1094570 | 117394 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class III (Note 5) | 94475 | 117595 | 58724 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class IV (Note 5) | 138447 |  | 122891 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class VI (Note 5) | 26723 | 63288 | 70742 | 20828 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class R6 (Note 5) | 109686 |  | 1968 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class I (Note 5) | 389129 |  | 91668 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax fees | 71140 | 75281 | 67474 | 70441 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian, fund accounting, administration and transfer agent fees | 461064 | 69044 | 214611 | 35248 |
| &nbsp;&nbsp;&nbsp;&nbsp; Legal fees | 26550 | 11311 | 25021 | 9077 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 21803 | 19753 | 31976 | 1990 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and related expenses (Note 5) | 38043 | 12822 | 25302 | 2453 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 34428 | 7250 | 13238 | 1581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 4906856 | 976085 | 1818185 | 259012 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO (Note 5) | (596993) | (130650) | (185897) | (71332) |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred management fees waived or borne by GMO (Note 5) | (12549) | (1087) | (1508) | (121) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 4297314 | 844348 | 1630780 | 187559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | 1455235 | 2540078 | 8515156 | 658744 |
|  **Realized and unrealized gain (loss):** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers | 15633405 | 28343786 | 28043185 | 4855110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | 7738 | 67 | (200) | 168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  | 410950 |  | 4210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 15641143 | 28754803 | 28042985 | 4859488 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers | 74221585 | 14645507 | 10683230 | 3369536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | (6337) |  |  | (169) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  | 18335 |  | 15589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 74215248 | 14663842 | 10683230 | 3384956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 89856391 | 43418645 | 38726215 | 8244444 |
|  **Net increase (decrease) in net assets resulting from operations** | $**91311626** | $**45958723** | $**47241371** | $**8903188** |
|  <sup>(a)</sup> Withholding tax: | $— | $1893 | $1253 | $1314 |

---

\* Period from March 31, 2025 (commencement of operations) through February 28, 2026.

\*\* Class IV liquidated on February 23, 2026.

\*\*\* Period from April 29, 2025 (commencement of operations) through February 28, 2026.

See accompanying notes to the financial statements. 50

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Climate**<br>**Change Fund** | **Climate**<br>**Change Fund** | **Emerging**<br>**Markets**<br>**ex-China**<br>**Fund** | **Emerging**<br>**Markets**<br>**ex-China**<br>**Fund** |
|  | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $2158448 | $4546752 | $2998491 | $3745700 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (38351117) | (78724619) | 7215415 | 17484207 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 285923504 | (72199285) | 30687817 | (21999862) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 249730835 | (146377152) | 40901723 | (769955) |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (2946047) | (1897328) | (3549828) | (9232178) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI |  |  | (3804046) | (14469210) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (3388807) | (1078090) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (1065736) | (726782) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (7400590) | (3702200) | (7353874) | (23701388) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (142225684) | 9405962 | (2426244) | 2624249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI |  |  | (3637416) | (145106711) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | 77879790 | 13297544 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (72368564) | (95186209) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | (136714458) | (72482703) | (6063660) | (142482462) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 105615787 | (222562055) | 27484189 | (166953805) |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 520198544 | 742760599 | 70337441 | 237291246 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $625814331 | $520198544 | $97821630 | $70337441 |

---

51 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Emerging**<br>**Markets Fund** | **Emerging**<br>**Markets Fund** | **International**<br>**Equity Fund** | **International**<br>**Equity Fund** |
|  | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $15480650 | $15033985 | $67254893 | $21641093 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 44636930 | (59545284) | 208065167 | 85094600 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 143542944 | 58593402 | 168143456 | 63412102 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 203660524 | 14082103 | 443463516 | 170147795 |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class II | (7027833) | (5989955) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (2825) | (2101) | (23057139) | (15068214) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  | (32750454) | (24519773) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | (11156985) | (10131315) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (878528) | (668458) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (4578016) | (2898021) | (1881902) | (166224) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (23644187) | (19689850) | (57689495) | (39754211) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class II | (1665273) | (15455627) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | 1665 | 1430 | (96587658) | (11633623) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  | (211868872) | (45473657) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | (32760105) | (65058813) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | 1938063 | 1046954 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | 11896486 | (2597583) | 54464733 | (679255) |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | (20589164) | (82063639) | (253991797) | (57786535) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 159427173 | (87671386) | 131782224 | 72607049 |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 370622296 | 458293682 | 1017658647 | 945051598 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $530049469 | $370622296 | $1149440871 | $1017658647 |

---

See accompanying notes to the financial statements. 52

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **International**<br>**Opportunistic**<br>**Value**<br>**Fund** | **International**<br>**Opportunistic**<br>**Value**<br>**Fund** | **Japan Value**<br>**Creation Fund** | **Japan Value**<br>**Creation Fund** |
|  | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $15252079 | $14298153 | $4223440 | $3102279 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 58759114 | 27458681 | 12345817 | 10772963 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 67654060 | 16981433 | 78750380 | (4337179) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 141665253 | 58738267 | 95319637 | 9538063 |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (6677177) | (2570011) | (1872465) | (711451) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV | (55047561) | (30434385) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI |  |  | (6551391) | (3083177) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (4624714) | (2156294) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (208289) | (5085) | (2721945) | (641792) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (66557741) | (35165775) | (11145801) | (4436420) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | 877399 | (27734485) | 98770 | (845313) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV | (142404064) | 28443820 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI |  |  | (27883283) | 35651390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (4698810) | 22100475 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | 721078 | 5085 | 60899979 | 21132489 |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | (145504397) | 22814895 | 33115466 | 55938566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | (70396885) | 46387387 | 117289302 | 61040209 |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 410213505 | 363826118 | 179012016 | 117971807 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $339816620 | $410213505 | $296301318 | $179012016 |

---

\* Period from April 8, 2024 (commencement of operations) through February 28, 2025.

53 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Quality**<br>**Fund** | **Quality**<br>**Fund** | **Resource**<br>**Transition Fund** | **Resource**<br>**Transition Fund** |
|  | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $103712269 | $104394274 | $2272388 | $1754961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 1419509831 | 661751074 | 3113655 | (5566971) |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 76378103 | 657955268 | 78825335 | (18365992) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 1599600203 | 1424100616 | 84211378 | (22178002) |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (382019368) | (143047782) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV | (115124672) | (65815512) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | (336818337) | (146641867) | (5145265) | (2705105) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (210348755) | (70712066) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (200303471) | (78374359) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1244614603) | (504591586) | (5145265) | (2705105) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | 15699037 | (164048433) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV | (130318351) | 89571858 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | 89027771 | 113963519 | 5195265 | 2678108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | 505639190 | 311389038 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | 208951332 | 279716000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | 688998979 | 630591982 | 5195265 | 2678108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 1043984579 | 1550101012 | 84261378 | (22204999) |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 11071480148 | 9521379136 | 96211503 | 118416502 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $12115464727 | $11071480148 | $180472881 | $96211503 |

---

See accompanying notes to the financial statements. 54

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Resources**<br>**Fund** | **Resources**<br>**Fund** | **Small Cap**<br>**Quality**<br>**Fund** | **Small Cap**<br>**Quality**<br>**Fund** |
|  | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $33464133 | $53839451 | $1455235 $| 808806 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (22069715) | (71249133) | 15641143 | 20742897 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 532480846 | (231314589) | 74215248 | (27043731) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 543875264 | (248724271) | 91311626 | (5492028) |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (8677178) | (6697405) | (300633) | (3006708) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV | (6924035) | (12473962) | (818084) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | (3427237) | (2986531) | (265837) | (3479629) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (14853855) | (15036878) | (413200) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (13139878) | (14903443) | (1178421) | (18344079) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (47022183) | (52098219) | (2976175) | (24830416) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (36554936) | 5392350 | 7358236 | 43050014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV | (300501743) | 3128691 | 140818084 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | (22582801) | (14362184) | (8697613) | (11623767) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (168374941) | (2208798) | 189501399 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (197599214) | (193774226) | (121098126) | 186589052 |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | (725613635) | (201824167) | 207881980 | 218015299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | (228760554) | (502646657) | 296217431 | 187692855 |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 1494612177 | 1997258834 | 391648017 | 203955162 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $1265851623 | $1494612177 | $687865448 | $391648017 |

---

\* Period from March 31, 2025 (commencement of operations) through February 28, 2026.

\*\* Period from April 29, 2025 (commencement of operations) through February 28, 2026.

55 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **U.S. Equity**<br>**Fund** | **U.S. Equity**<br>**Fund** | **U.S.**<br>**Opportunistic**<br>**Value**<br>**Fund** | **U.S.**<br>**Opportunistic**<br>**Value**<br>**Fund** |
|  | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $2540078 | $1736285 | $8515156 | $12201097 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 28754803 | 18225996 | 28042985 | 65493668 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 14663842 | (1855387) | 10683230 | (10022951) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 45958723 | 18106894 | 47241371 | 67671814 |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (9328012) | (10071084) | (4736599) | (4049858) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  | (17457560) | (32884788) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | (13920757) | (11374977) | (15788054) | (14786369) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  |  | (157030) | (220044) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I |  |  | (7485858) | (8717894) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (23248769) | (21446061) | (45625101) | (60658953) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | 13761965 | 6509017 | 69653040 | (1376553) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  | (244039495) | (34115212) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | 32771922 | 8390503 | 7682525 | (17470116) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  |  | (1872551) | 205818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I |  |  | 2187843 | (11699480) |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | 46533887 | 14899520 | (166388638) | (64455543) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 69243841 | 11560353 | (164772368) | (57442682) |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 146886733 | 135326380 | 484318585 | 541761267 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $216130574 | $146886733 | $319546217 | $484318585 |

---

\* Class IV liquidated on February 23, 2026.

See accompanying notes to the financial statements. 56

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | |
|:---|:---|:---|
|  | **U.S. Small**<br>**Cap Value**<br>**Fund** | **U.S. Small**<br>**Cap Value**<br>**Fund** |
|  | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |
|  Operations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $658744 | $671222 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 4859488 | 3678820 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 3384956 | (569010) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 8903188 | 3781032 |
|  Distributions to shareholders: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | (1189131) | (600026) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1189131) | (600026) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | 334403 | (2552712) |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | 334403 | (2552712) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 8048460 | 628294 |
|  **Net assets:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 35470669 | 34842375 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $43519129 | $35470669 |

---

57 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights

#### (For a share outstanding throughout each period)

#### CLIMATE CHANGE FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.23 | $21.98 | $28.91 | $30.23 | $34.39 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.12 | 0.14 | 0.17 | 0.25 | 0.28 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 11.43 | (4.77) | (6.86) | (0.93) | 0.72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 11.55 | (4.63) | (6.69) | (0.68) | 1.00 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.38) | (0.12) | (0.24) | (0.16) | (0.57) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.48) | (4.59) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.38) | (0.12) | (0.24) | (0.64) | (5.16) |
|  **Net asset value, end of period** | $28.40 | $17.23 | $21.98 | $28.91 | $30.23 |
|  **Total Return<sup>(b)</sup>**  | 67.33% | (21.12)% | (23.16)% | (1.92)% | 2.91% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $201856 | $245671 | $308163 | $330218 | $306996 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.78% | 0.77% | 0.77% | 0.77% | 0.77% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 0.56% | 0.66% | 0.69% | 0.90% | 0.84% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup>  | 41% | 57% | 57% | 57% | 63% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 %<sup>(e)</sup> | 0.05 %<sup>(e)</sup> | 0.05 %<sup>(e)</sup> | 0.05% | 0.04 %<sup>(e)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 73% | 104% | 119% | 124% | 140% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 58

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### CLIMATE CHANGE FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.20 | $21.93 | $28.85 | $30.17 | $34.33 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.08 | 0.13 | 0.18 | 0.25 | 0.28 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 11.44 | (4.74) | (6.87) | (0.92) | 0.72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 11.52 | (4.61) | (6.69) | (0.67) | 1.00 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.39) | (0.12) | (0.23) | (0.17) | (0.57) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.48) | (4.59) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.39) | (0.12) | (0.23) | (0.65) | (5.16) |
|  **Net asset value, end of period** | $28.33 | $17.20 | $21.93 | $28.85 | $30.17 |
|  **Total Return<sup>(b)</sup>**  | 67.26% | (21.06)% | (23.18)% | (1.90)% | 2.90% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $341430 | $154339 | $182235 | $183089 | $115014 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.78% | 0.77% | 0.77% | 0.77% | 0.77% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 0.36% | 0.61% | 0.73% | 0.90% | 0.84% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup>  | 41% | 57% | 57% | 57% | 63% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 %<sup>(e)</sup> | 0.05 %<sup>(e)</sup> | 0.05 %<sup>(e)</sup> | 0.05% | 0.04 %<sup>(e)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 73% | 104% | 119% | 124% | 140% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

59 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### CLIMATE CHANGE FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.21 | $21.94 | $28.83 | $30.16 | $34.33 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.08 | 0.12 | 0.17 | 0.22 | 0.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 11.44 | (4.76) | (6.87) | (0.93) | 0.73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 11.52 | (4.64) | (6.70) | (0.71) | 0.97 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.36) | (0.09) | (0.19) | (0.14) | (0.55) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.48) | (4.59) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.36) | (0.09) | (0.19) | (0.62) | (5.14) |
|  **Net asset value, end of period** | $28.37 | $17.21 | $21.94 | $28.83 | $30.16 |
|  **Total Return<sup>(b)</sup>**  | 67.24% | (21.18)% | (23.25)% | (2.03)% | 2.81% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $82528 | $120189 | $252363 | $419552 | $308143 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.86% | 0.87% | 0.87% | 0.87% | 0.87% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 0.37% | 0.57% | 0.65% | 0.79% | 0.72% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup>  | 41% | 57% | 57% | 57% | 63% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03 %<sup>(e)</sup> | 0.05 %<sup>(e)</sup> | 0.04 %<sup>(e)</sup> | 0.05% | 0.04 %<sup>(e)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 73% | 104% | 119% | 124% | 140% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 60

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### EMERGING MARKETS EX-CHINA FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | |
|  | **2026** | **2025** | **2024** | **2023** | <br> **Period from<br>November 17, 2021<br>(commencement<br>of operations)<br>through<br>February 28,**<br>**2022** |
|  **Net asset value, beginning of period** | $11.30 | $15.47 | $13.33 | $16.65 | $20.00 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.50 <sup>(b)</sup> | 0.45 | 0.72 | 0.72 | 0.15 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 6.43 | (0.87) | 2.44 | (3.42) | (3.37) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 6.93 | (0.42) | 3.16 | (2.70) | (3.22) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.60) | (0.98) | (1.02) | (0.56) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.71) | (2.77) |  | (0.06) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.31) | (3.75) | (1.02) | (0.62) | (0.13) |
|  **Net asset value, end of period** | $16.92 | $11.30 | $15.47 | $13.33 | $16.65 |
|  **Total Return<sup>(c)</sup>**  | 64.37 %<sup>(d)</sup> | (3.91)% | 24.10% | (16.04)% | (16.20) |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $47239 | $33602 | $41481 | $28548 | $14810 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup>  | 0.81% | 0.81% | 0.80% | 0.80% | 0.80 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.68 %<sup>(b)</sup> | 3.18% | 5.02% | 5.26% | 2.52 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup>  | 85% | 86% | 84% | 126% | 43 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.27 %<sup>(g)</sup> | 0.58 %<sup>(g)</sup> | 0.11 %<sup>(g)</sup> | 0.08% | 0.16 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2026</u>  |
| $67800 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest recognized during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2026</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.25% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 92% | 103% | 123% | 140% | 43% |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

61 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### EMERGING MARKETS EX-CHINA FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | |
|  | **2026** | **2025** | **2024** | **2023** | <br> **Period from<br>October 18, 2021<br>(commencement<br>of operations)<br>through<br>February 28,**<br>**2022** |
|  **Net asset value, beginning of period** | $11.33 | $15.48 | $13.34 | $16.66 | $20.00 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.52 <sup>(b)</sup> | 0.54 | 0.78 | 0.74 | 0.17 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 6.44 | (0.93) | 2.39 | (3.43) | (3.38) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 6.96 | (0.39) | 3.17 | (2.69) | (3.21) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.61) | (0.99) | (1.03) | (0.57) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.71) | (2.77) |  | (0.06) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.32) | (3.76) | (1.03) | (0.63) | (0.13) |
|  **Net asset value, end of period** | $16.97 | $11.33 | $15.48 | $13.34 | $16.66 |
|  **Total Return<sup>(c)</sup>**  | 64.55 %<sup>(d)</sup> | (3.66)% | 24.22% | (15.97)% | (16.15) |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $50583 | $36736 | $195810 | $226245 | $282287 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup>  | 0.68% | 0.68% | 0.67% | 0.67% | 0.67 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.87 %<sup>(b)</sup> | 3.64% | 5.46% | 5.39% | 2.36 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup>  | 85% | 86% | 84% | 126% | 43 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.30 %<sup>(g)</sup> | 0.43 %<sup>(g)</sup> | 0.15 %<sup>(g)</sup> | 0.12% | 0.20 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 28,<br> 2026 |
| $72812 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.70% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest recognized during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 28,<br> 2026 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.25% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 92% | 103% | 123% | 140% | 43% |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 62

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### EMERGING MARKETS FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class II Shares** | **Class II Shares** | **Class II Shares** | **Class II Shares** | **Class II Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $23.28 | $23.81 | $21.87 | $29.81 | $36.70 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.95 <sup>(b)</sup> | 0.90 <sup>(b)</sup> | 1.31 <sup>(b)</sup> | 1.04 | 1.21 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 11.79 | (0.19) | 2.31 | (7.23) | (6.58) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 12.74 | 0.71 | 3.62 | (6.19) | (5.37) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.51) | (1.24) | (1.68) | (1.75) | (1.52) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.51) | (1.24) | (1.68) | (1.75) | (1.52) |
|  **Net asset value, end of period** | $34.51 | $23.28 | $23.81 | $21.87 | $29.81 |
|  **Total Return<sup>(c)</sup>**  | 56.01 %<sup>(d)</sup> | 2.89 %<sup>(d)</sup> | 17.55 %<sup>(d)</sup> | (20.78)% | (15.13)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $164409 | $112376 | $129497 | $151666 | $262449 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup>  | 1.03% | 1.03% | 0.96% | 0.95% | 0.92% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.38 %<sup>(b)</sup> | 3.67 %<sup>(b)</sup> | 5.82 %<sup>(b)</sup> | 4.32% | 3.34% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 91 %<sup>(f)</sup> | 118 %<sup>(f)</sup> | 109 %<sup>(f)</sup> | 128 %<sup>(f)</sup> | 102% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 %<sup>(g)</sup> | 0.09 %<sup>(g)</sup> | 0.10 %<sup>(g)</sup> | 0.05% | 0.03% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, and interest payments (net of related taxes, if any) in respect of capital gain tax refunds in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim and interest recognized in respect of capital gain tax refunds amount below, the net investment income to average daily net assets ratio would have been: 

---

| | | |
|:---|:---|:---|
| February 28, | February 28, | February 29, |
| 2026 | 2025 | 2024 |
| $185139 | $88320 | $456929 |
| &nbsp;&nbsp;&nbsp;&nbsp;3.24% | 3.60% | 5.47% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and interest recognized in respect of capital gain tax refunds received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| | | |
|:---|:---|:---|
| February 28, | February 28, | February 29, |
| 2026 | 2025 | 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.23% | &nbsp;&nbsp;&nbsp;&nbsp;0.07% | &nbsp;&nbsp;&nbsp;&nbsp;0.67% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 110% | 141% | 138% | 138% | N/A |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

63 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### EMERGING MARKETS FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $23.68 | $24.21 | $21.96 | $29.91 | $36.81 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.93 <sup>(b)</sup> | 0.92 <sup>(b)</sup> | 1.45 <sup>(b)</sup> | 1.22 | 1.27 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 12.07 | (0.19) | 2.23 | (7.42) | (6.64) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 13.00 | 0.73 | 3.68 | (6.20) | (5.37) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.50) | (1.26) | (1.43) | (1.75) | (1.53) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.50) | (1.26) | (1.43) | (1.75) | (1.53) |
|  **Net asset value, end of period** | $35.18 | $23.68 | $24.21 | $21.96 | $29.91 |
|  **Total Return<sup>(c)</sup>**  | 56.14 %<sup>(d)</sup> | 2.94 %<sup>(d)</sup> | 17.63 %<sup>(d)</sup> | (20.73)% | (15.08)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $63 | $40 | $40 | $72 | $267177 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup>  | 0.98% | 0.97% | 0.91% | 0.90% | 0.87% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.23 %<sup>(b)</sup> | 3.68 %<sup>(b)</sup> | 6.40 %<sup>(b)</sup> | 5.01% | 3.47% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 91 %<sup>(f)</sup> | 118 %<sup>(f)</sup> | 109 %<sup>(f)</sup> | 128 %<sup>(f)</sup> | 102% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.07 %<sup>(g)</sup> | 0.07 %<sup>(g)</sup> | 0.07 %<sup>(g)</sup> | 0.02% | 0.01% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, and interest payments (net of related taxes, if any) in respect of capital gain tax refunds in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim and interest recognized in respect of capital gain tax refunds amount below, the net investment income to average daily net assets ratio would have been: 

---

| | | |
|:---|:---|:---|
| February 28, | February 28, | February 29, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2025  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2024  |
| $72 | $30 | $210 |
| 3.09% | 3.61% | 6.05% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and interest recognized in respect of capital gain tax refunds received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| | | |
|:---|:---|:---|
| February 28, | February 28, | February 29, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2025  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2024  |
| &nbsp;&nbsp;&nbsp;&nbsp;0.23% | &nbsp;&nbsp;&nbsp;&nbsp;0.07% | &nbsp;&nbsp;&nbsp;&nbsp;0.67% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 110% | 141% | 138% | 138% | N/A |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 64

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### EMERGING MARKETS FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $23.03 | $23.57 | $21.67 | $29.56 | $36.41 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.00 <sup>(b)</sup> | 0.92 <sup>(b)</sup> | 1.41 <sup>(b)</sup> | 1.14 | 1.33 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 11.66 | (0.18) | 2.22 | (7.24) | (6.59) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 12.66 | 0.74 | 3.63 | (6.10) | (5.26) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.56) | (1.28) | (1.73) | (1.79) | (1.59) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.56) | (1.28) | (1.73) | (1.79) | (1.59) |
|  **Net asset value, end of period** | $34.13 | $23.03 | $23.57 | $21.67 | $29.56 |
|  **Total Return<sup>(c)</sup>**  | 56.32 %<sup>(d)</sup> | 3.07 %<sup>(d)</sup> | 17.77 %<sup>(d)</sup> | (20.62)% | (14.98)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $234207 | $183206 | $250903 | $598337 | $1244914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup>  | 0.85% | 0.85% | 0.78% | 0.77% | 0.74% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.62 %<sup>(b)</sup> | 3.81 %<sup>(b)</sup> | 6.33 %<sup>(b)</sup> | 4.77% | 3.69% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 91 %<sup>(f)</sup> | 118 %<sup>(f)</sup> | 109 %<sup>(f)</sup> | 128 %<sup>(f)</sup> | 102% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.10 %<sup>(g)</sup> | 0.10 %<sup>(g)</sup> | 0.11 %<sup>(g)</sup> | 0.06% | 0.05% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, and interest payments (net of related taxes, if any) in respect of capital gain tax refunds in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim and interest recognized in respect of capital gain tax refunds amount below, the net investment income to average daily net assets ratio would have been: 

---

| | | |
|:---|:---|:---|
| February 28, | February 28, | February 29, |
| 2026 | 2025 | 2024 |
| $286961 | $143636 | $1540135 |
| 3.48% | 3.74% | 5.99% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and interest recognized in respect of capital gain tax refunds received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| | | |
|:---|:---|:---|
| February 28, | February 28, | February 29, |
| 2026 | 2025 | 2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.23% | &nbsp;&nbsp;&nbsp;&nbsp;0.07% | &nbsp;&nbsp;&nbsp;&nbsp;0.67% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 110% | 141% | 138% | 138% | N/A |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

65 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### EMERGING MARKETS FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $23.28 | $23.81 | $21.88 | $29.78 | $36.67 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.95 <sup>(b)</sup> | 0.88 <sup>(b)</sup> | 1.31 <sup>(b)</sup> | 1.14 | 1.15 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 11.79 | (0.17) | 2.31 | (7.32) | (6.51) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 12.74 | 0.71 | 3.62 | (6.18) | (5.36) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.51) | (1.24) | (1.69) | (1.72) | (1.53) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.51) | (1.24) | (1.69) | (1.72) | (1.53) |
|  **Net asset value, end of period** | $34.51 | $23.28 | $23.81 | $21.88 | $29.78 |
|  **Total Return<sup>(c)</sup>**  | 56.01 %<sup>(d)</sup> | 2.91 %<sup>(d)</sup> | 17.54 %<sup>(d)</sup> | (20.76)% | (15.13)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $21855 | $13041 | $12317 | $11042 | $40197 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup>  | 1.03% | 1.03% | 0.96% | 0.95% | 0.93% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.40 %<sup>(b)</sup> | 3.59 %<sup>(b)</sup> | 5.80 %<sup>(b)</sup> | 4.74% | 3.18% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 91 %<sup>(f)</sup> | 118 %<sup>(f)</sup> | 109 %<sup>(f)</sup> | 128 %<sup>(f)</sup> | 102% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 %<sup>(g)</sup> | 0.09 %<sup>(g)</sup> | 0.11 %<sup>(g)</sup> | 0.04% | 0.03% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, and interest payments (net of related taxes, if any) in respect of capital gain tax refunds in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim and interest recognized in respect of capital gain tax refunds amount below, the net investment income to average daily net assets ratio would have been: 

---

| | | |
|:---|:---|:---|
| February 28, | February 28, | February 29, |
| 2026 | 2025 | 2024 |
| $23716 | $9376 | $38968 |
| 3.26% | 3.52% | 5.45% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and interest recognized in respect of capital gain tax refunds received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| | | |
|:---|:---|:---|
| February 28, | February 28, | February 29, |
| 2026 | 2025 | 2024 |
| 0.23% | 0.07% | 0.67% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 110% | 141% | 138% | 138% | N/A |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 66

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### EMERGING MARKETS FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $23.23 | $23.76 | $21.83 | $29.75 | $36.66 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.92 <sup>(b)</sup> | 0.93 <sup>(b)</sup> | 1.35 <sup>(b)</sup> | 1.06 | 1.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 11.77 | (0.25) | 2.25 | (7.24) | (6.52) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 12.69 | 0.68 | 3.60 | (6.18) | (5.39) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.49) | (1.21) | (1.67) | (1.74) | (1.52) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.49) | (1.21) | (1.67) | (1.74) | (1.52) |
|  **Net asset value, end of period** | $34.43 | $23.23 | $23.76 | $21.83 | $29.75 |
|  **Total Return<sup>(c)</sup>**  | 55.87 %<sup>(d)</sup> | 2.79 %<sup>(d)</sup> | 17.48 %<sup>(d)</sup> | (20.80)% | (15.20)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $109515 | $61959 | $65537 | $86689 | $119995 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup>  | 1.13% | 1.11% | 1.03% | 1.00% | 0.98% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.29 %<sup>(b)</sup> | 3.80 %<sup>(b)</sup> | 6.02 %<sup>(b)</sup> | 4.42% | 3.14% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 91 %<sup>(f)</sup> | 118 %<sup>(f)</sup> | 109 %<sup>(f)</sup> | 128 %<sup>(f)</sup> | 102% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.12 %<sup>(g)</sup> | 0.13 %<sup>(g)</sup> | 0.17 %<sup>(g)</sup> | 0.12% | 0.10% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, and interest payments (net of related taxes, if any) in respect of capital gain tax refunds in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim and interest recognized in respect of capital gain tax refunds amount below, the net investment income to average daily net assets ratio would have been: 

---

| | | |
|:---|:---|:---|
| February 28, | February 28, | February 29, |
| 2026 | 2025 | 2024 |
| $124233 | $44220 | $256866 |
| 3.15% | 3.73% | 5.68% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and interest recognized in respect of capital gain tax refunds received during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| | | |
|:---|:---|:---|
| February 28, | February 28, | February 29, |
| 2026 | 2025 | 2024 |
| 0.23% | 0.07% | 0.67% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 110% | 141% | 138% | 138% | N/A |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

67 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL EQUITY FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $26.77 | $23.47 | $21.64 | $23.00 | $23.32 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 2.03 <sup>(b)</sup> | 0.54 | 0.78 | 0.89 | 0.96 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 11.68 | 3.76 | 2.78 | (1.36) | 0.25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 13.71 | 4.30 | 3.56 | (0.47) | 1.21 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.90) | (1.00) | (1.73) | (0.89) | (1.53) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.90) | (1.00) | (1.73) | (0.89) | (1.53) |
|  **Net asset value, end of period** | $&nbsp;&nbsp;&nbsp;&nbsp;38.58 | $&nbsp;&nbsp;&nbsp;&nbsp;26.77 | $&nbsp;&nbsp;&nbsp;&nbsp;23.47 | $&nbsp;&nbsp;&nbsp;&nbsp;21.64 | $&nbsp;&nbsp;&nbsp;&nbsp;23.00 |
|  **Total Return<sup>(c)</sup>**  | 52.42 %<sup>(d)</sup> | 18.80 %<sup>(e)</sup> | 16.98% | (1.87)% | 5.08 %<sup>(d)</sup> |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $459410 | $401462 | $362473 | $366630 | $358775 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(f)</sup>  | 0.68% | 1.86 %(g) | 0.67% | 0.66% | 0.67% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 6.45 %<sup>(b)</sup> | 2.15% | 3.47% | 4.28% | 3.84 %<sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(h)</sup> | 74% | 71% | 63% | 51% | 64% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 %<sup>(i)</sup> | 0.04 %<sup>(i)</sup> | 0.04 %<sup>(i)</sup> | 0.04% | 0.03% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees attributed to EU tax reclaims, as applicable, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| | |
|:---|:---|
| February 28, | February 28, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022  |
| $14693373 | $861919 |
| 2.93% | 3.63% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees, attributed to EU tax reclaims, as applicable, had the below impact to each class's total return (Note 2): 

---

| | |
|:---|:---|
| February 28, | February 28, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022  |
| 5.30% | 0.21% |

---

<sup>(e)</sup> The Fund recognized proceeds from a one-time litigation settlement that had a positive impact of 5.52% to total return. 

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Includes non-recurring legal fees from a one-time litigation settlement which increased Net operating expenses and Total net expenses by 1.19%. 

<sup>(h)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 104% | 84% | 83% | 60% | N/A |

---

(i) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 68

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL EQUITY FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $26.73 | $23.44 | $21.60 | $22.96 | $23.28 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 2.04 <sup>(b)</sup> | 0.55 | 0.85 | 0.92 | 0.96 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 11.66 | 3.76 | 2.72 | (1.38) | 0.26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 13.70 | 4.31 | 3.57 | (0.46) | 1.22 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.92) | (1.02) | (1.73) | (0.90) | (1.54) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.92) | (1.02) | (1.73) | (0.90) | (1.54) |
|  **Net asset value, end of period** | $38.51 | $26.73 | $23.44 | $21.60 | $22.96 |
|  **Total Return<sup>(c)</sup>**  | 52.48 %<sup>(d)</sup> | 18.85 %<sup>(e)</sup> | 17.10% | (1.82)% | 5.16 %<sup>(d)</sup> |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $620569 | $611464 | $577804 | $921486 | $1534339 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(f)</sup>  | 0.62% | 1.81 %<sup>(g)</sup> | 0.61% | 0.60% | 0.61% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 6.52 %<sup>(b)</sup> | 2.20% | 3.80% | 4.42% | 3.88 %<sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(h)</sup> | 74% | 71% | 63% | 51% | 64% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 %<sup>(i)</sup> | 0.04 %<sup>(i)</sup> | 0.04 %<sup>(i)</sup> | 0.04% | 0.03% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees attributed to EU tax reclaims, as applicable, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| | |
|:---|:---|
| February 28, | February 28, |
| 2026 | 2022 |
| $20650638 | $3699861 |
| 3.04% | 3.67% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees, attributed to EU tax reclaims, as applicable, had the below impact to each class's total return (Note 2): 

---

| | |
|:---|:---|
| February 28, | February 28, |
| 2026 | 2022 |
| 5.30% | 0.21% |

---

<sup>(e)</sup> The Fund recognized proceeds from a one-time litigation settlement that had a positive impact of 5.52% to total return. 

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Includes non-recurring legal fees from a one-time litigation settlement which increased Net operating expenses and Total net expenses by 1.20%. 

<sup>(h)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
| Portfolio turnover rate including transactions in USTF | 104% | 84% | 83% | 60% | N/A |

---

(i) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

69 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL EQUITY FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Period from<br>May 24, 2021<br>(commencement<br>of operations)<br>through<br>February 28,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $26.88 | $23.55 | $21.72 | $23.08 | $25.79 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 2.57 <sup>(b)</sup> | 0.58 | 0.68 | 0.85 | 0.44 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 11.14 | 3.69 | 2.85 | (1.36) | (2.05) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 13.71 | 4.27 | 3.53 | (0.51) | (1.61) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.90) | (0.94) | (1.70) | (0.85) | (1.10) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.90) | (0.94) | (1.70) | (0.85) | (1.10) |
|  **Net asset value, end of period** | $38.69 | $26.88 | $23.55 | $21.72 | $23.08 |
|  **Total Return<sup>(c)</sup>**  | 52.23 %<sup>(d)</sup> | 18.55 %<sup>(e)</sup> | 16.78% | (2.03)% | (6.27) |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $69461 | $4732 | $4774 | $2804 | $3021 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(g)</sup> | 0.77% | 1.76 %<sup>(h)</sup> | 0.84% | 0.83% | 0.89 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 7.63 %<sup>(b)</sup> | 2.32% | 3.01% | 4.08% | 2.35 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(i)</sup> | 74% | 71% | 63% | 51% | 64 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.13 %<sup>(j)</sup> | 0.07 %<sup>(j)</sup> | 0.04 %<sup>(j)</sup> | 0.04% | 0.03 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees attributed to EU tax reclaims, as applicable, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| | |
|:---|:---|
| February 28, | February 28, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022  |
| $1282628 | $2264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.64% | &nbsp;&nbsp;&nbsp;&nbsp;1.63% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees, attributed to EU tax reclaims, as applicable, had the below impact to each class's total return (Note 2): 

---

| |
|:---|
| February 28, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026  |
| &nbsp;&nbsp;&nbsp;&nbsp;5.30% |

---

<sup>(e)</sup> The Fund recognized proceeds from a one-time litigation settlement that had a positive impact of 5.51% to total return. 

<sup>(f)</sup> EU tax reclaim payments and related interest recognized during the period, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding 0.16% to Class I's total return (Note 2). Class I commenced operations on May 24, 2021. 

<sup>(g)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(h)</sup> Includes non-recurring legal fees from a one-time litigation settlement which increased Net operating expenses and Total net expenses by 0.90%. 

<sup>(i)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
| Portfolio turnover rate including transactions in USTF | 104% | 84% | 83% | 60% | N/A |

---

See accompanying notes to the financial statements. 70

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL EQUITY FUND (continued)
<sup>(j)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

71 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL OPPORTUNISTIC VALUE FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $15.21 | $14.34 | $13.17 | $14.30 | $15.98 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.68 <sup>(b)</sup> | 0.60 | 0.40 | 0.52 | 0.63 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 6.40 | 1.62 | 1.18 | (0.93) | 0.14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 7.08 | 2.22 | 1.58 | (0.41) | 0.77 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.89) | (0.75) | (0.28) | (0.48) | (0.76) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (2.79) | (0.60) | (0.13) | (0.24) | (1.69) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3.68) | (1.35) | (0.41) | (0.72) | (2.45) |
|  **Net asset value, end of period** | $18.61 | $15.21 | $14.34 | $13.17 | $14.30 |
|  **Total Return<sup>(c)</sup>**  | 51.36 %<sup>(d)</sup> | 16.23 %<sup>(e)</sup> | 12.08% | (2.42)% | 4.77 %<sup>(d)</sup> |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $38907 | $30690 | $54986 | $30686 | $31781 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(f)</sup>  | 0.69% | 0.78 %<sup>(g)</sup> | 0.68% | 0.68% | 0.84 %<sup>(h)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 4.01 %<sup>(b)</sup> | 3.98% | 2.86% | 4.06% | 3.78 %<sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(i)</sup> | 47% | 49% | 57% | 93% | 86% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.08 %<sup>(j)</sup> | 0.05 %<sup>(j)</sup> | 0.12 %<sup>(j)</sup> | 0.70% | 0.60 %<sup>(j)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees attributed to EU tax reclaims, as applicable, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| | |
|:---|:---|
| February 28,<br> <u>2026</u> | February 28,<br> <u>2022</u> |
| $146995 | $61519 |
| 3.57% | 3.62% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees, attributed to EU tax reclaims, as applicable, had the below impact to each class's total return (Note 2): 

---

| | |
|:---|:---|
| February 28,<br> <u>2026</u> | February 28,<br> <u>2022</u> |
| 0.71% | 0.14% |

---

<sup>(e)</sup> The Fund recognized proceeds from a one-time litigation settlement that had a positive impact of 0.48% to total return. 

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Includes non-recurring legal fees from a one-time litigation settlement which increased Net operating expenses and Total net expenses by 0.10%. 

<sup>(h)</sup> Net expenses include non-recurring contingent legal fees attributed to EU tax reclaims. The net expense ratio excluding these legal fees is 0.73% (Note 2). 

<sup>(i)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 67% | 59% | 91% | 134% | 107% |

---

(j) Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 72

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL OPPORTUNISTIC VALUE FUND (continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** |
|  | **Year Ended**<br> **February 28,** | **Year Ended**<br> **February 28,** | |
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2026**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2025**  | **Period from**<br> **September 25, 2023<br>(commencement**<br> **of operations)**<br> **through<br>February 29,**<br>**2024** |
|  **Net asset value, beginning of period** | $15.16 | $14.31 | $13.92 |
|  Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.75 <sup>(b)</sup> | 0.54 | 0.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 6.30 | 1.67 | 0.68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 7.05 | 2.21 | 0.81 |
|  Less distributions to shareholders: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.89) | (0.76) | (0.29) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (2.79) | (0.60) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3.68) | (1.36) | (0.42) |
|  **Net asset value, end of period** | $18.53 | $15.16 | $14.31 |
|  **Total Return<sup>(c)</sup>**  | 51.39 %<sup>(d)</sup> | 16.23 %<sup>(e)</sup> | 5.85 |
|  **Ratios/Supplemental Data:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $278356 | $357366 | $308786 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(f)</sup>  | 0.64% | 0.74 %<sup>(g)</sup> | 0.64 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 4.48 %<sup>(b)</sup> | 3.58% | 2.12 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(h)</sup> | 47% | 49% | 57 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.08 %<sup>(i)</sup> | 0.06 %<sup>(i)</sup> | 0.10 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees attributed to EU tax reclaims, as applicable, in connection with certain Fund holdings (Note 2). 

Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been:

---

| |
|:---|
| February 28, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026  |
| $1441682 |
| 3.98% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees, attributed to EU tax reclaims, as applicable, had the below impact to each class's total return (Note 2): 

---

| |
|:---|
| February 28, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026  |
| 0.71% |

---

<sup>(e)</sup> The Fund recognized proceeds from a one-time litigation settlement that had a positive impact of 0.48% to total return. 

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Includes non-recurring legal fees from a one-time litigation settlement which increased Net operating expenses and Total net expenses by 0.09%. 

<sup>(h)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | |
|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 |
|  Portfolio turnover rate including transactions in USTF | 67% | 59% | 91% |

---

<sup>(i)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

73 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL OPPORTUNISTIC VALUE FUND (continued)

---

| | | |
|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** |
|  | **Year Ended<br>February 28,<br>2026** | **Period from<br>April 8, 2024<br>(commencement<br>of operations)<br>through<br>February 28,<br>2025** |
|  **Net asset value, beginning of period** | $15.19 | $15.13 |
|  Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.69 <sup>(b)</sup> | 0.43 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 6.37 | 0.99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 7.06 | 1.42 |
|  Less distributions to shareholders: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.89) | (0.76) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (2.79) | (0.60) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3.68) | (1.36) |
|  **Net asset value, end of period** | $18.57 | $15.19 |
|  **Total Return<sup>(c)</sup>**  | 51.29 %<sup>(d)</sup> | 10.11 |
|  **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $21809 | $22095 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(f)</sup>  | 0.69% | 0.79 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 4.10 %<sup>(b)</sup> | 3.17 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(h)</sup> | 47% | 49 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.08 %<sup>(i)</sup> | 0.06 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees attributed to EU tax reclaims, as applicable, in connection with certain Fund holdings (Note 2). 

Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: <br>

---

| |
|:---|
| February 28,<br>2026 |
| $108347 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.61% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees, attributed to EU tax reclaims, as applicable, had the below impact to each class's total return (Note 2): 

---

| |
|:---|
| February 28,<br>2026 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.71% |

---

<sup>(e)</sup> The Fund recognized proceeds from a one-time litigation settlement that had a positive impact of 0.46% to total return. 

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Includes non-recurring legal fees from a one-time litigation settlement which increased Net operating expenses and Total net expenses by 0.10%. 

<sup>(h)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | |
|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 |
|  Portfolio turnover rate including transactions in USTF | 67% | 59% |

---

<sup>(i)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 74

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL OPPORTUNISTIC VALUE FUND (continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended<br>February 28,** | **Year Ended<br>February 28,** | |
|  | **2026** | **2025** | <br> **Period from<br>August 14, 2023<br>(commencement<br>of operations)<br>through<br>February 29,**<br>**2024** |
|  **Net asset value, beginning of period** | $15.16 | $14.31 | $13.92 |
|  Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.62 <sup>(b)</sup> | 0.52 | 0.15 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 6.40 | 1.67 | 0.64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 7.02 | 2.19 | 0.79 |
|  Less distributions to shareholders: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.90) | (0.74) | (0.27) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (2.79) | (0.60) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3.69) | (1.34) | (0.40) |
|  **Net asset value, end of period** | $18.49 | $15.16 | $14.31 |
|  **Total Return<sup>(c)</sup>**  | 51.15 %<sup>(d)</sup> | 16.10 %<sup>(e)</sup> | 5.72 |
|  **Ratios/Supplemental Data:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $744 | $62 | $54 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(f)</sup>  | 0.78% | 0.91 %<sup>(g)</sup> | 0.78 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.62 %<sup>(b)</sup> | 3.43% | 2.02 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(h)</sup> | 47% | 49% | 57 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.10 %<sup>(i)</sup> | 5.22 %<sup>(i)</sup> | 0.10 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees attributed to EU tax reclaims, as applicable, in connection with certain Fund holdings (Note 2). 

Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: <br>

---

| |
|:---|
| February 28, |
| 2026 |
| $866 |
| 3.85% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest received during the year, net of IRS closing agreement fee accruals and/or adjustments related to the finalization of IRS closing agreements, and non-recurring contingent legal fees, attributed to EU tax reclaims, as applicable, had the below impact to each class's total return (Note 2): 

---

| |
|:---|
| February 28, |
| 2026 |
| 0.71% |

---

<sup>(e)</sup> The Fund recognized proceeds from a one-time litigation settlement that had a positive impact of 0.48% to total return. 

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Includes non-recurring legal fees from a one-time litigation settlement which increased Net operating expenses and Total net expenses by 0.10%. 

<sup>(h)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | |
|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 |
|  Portfolio turnover rate including transactions in USTF | 67% | 59% | 91% |

---

<sup>(i)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

75 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### JAPAN VALUE CREATION FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | |
|  | **2026** | **2025** | **2024** | **2023** | **Period from**<br>**December 30, 2021**<br>**(commencement**<br>**of operations)**<br>**through**<br>**February 28,**<br>**2022** |
|  **Net asset value, beginning of period** | $20.39 | $19.67 | $16.86 | $19.71 | $19.81 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.50 | 0.42 | 0.37 | 0.39 | (0.03) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 10.03 | 0.80 | 3.30 | (2.27) | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 10.53 | 1.22 | 3.67 | (1.88) | (0.10) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.00) | (0.50) | (0.86) | (0.16) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.36) |  |  | (0.81) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.36) | (0.50) | (0.86) | (0.97) |  |
|  **Net asset value, end of period** | $29.56 | $20.39 | $19.67 | $16.86 | $19.71 |
|  **Total Return<sup>(b)</sup>**  | 53.11% | 6.25% | 22.17% | (9.21)% | (0.50) |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $42581 | $29337 | $29049 | $24808 | $23673 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.70% | 0.68% | 0.67% | 0.67% | 0.66 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 2.08% | 2.06% | 2.03% | 2.37% | (0.55) |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup>  | 40% | 23% | 33% | 39% | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 %<sup>(e)</sup> | 0.09% | 0.16% | 0.15% | 0.15 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 58% | 32% | N/A | N/A | N/A |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 76

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### JAPAN VALUE CREATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $20.40 | $19.67 | $16.87 | $19.71 | $23.47 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.54 | 0.38 | 0.42 | 0.41 | 0.43 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 10.01 | 0.87 | 3.26 | (2.27) | (0.71) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 10.55 | 1.25 | 3.68 | (1.86) | (0.28) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.02) | (0.52) | (0.88) | (0.17) | (1.50) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.36) |  |  | (0.81) | (1.98) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.38) | (0.52) | (0.88) | (0.98) | (3.48) |
|  **Net asset value, end of period** | $29.57 | $20.40 | $19.67 | $16.87 | $19.71 |
|  **Total Return<sup>(b)</sup>** | 53.22% | 6.41% | 22.21% | (9.11)% | (1.45)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $141032 | $121619 | $82521 | $81148 | $133035 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.60% | 0.58% | 0.58% | 0.57% | 0.57% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 2.27% | 1.88% | 2.28% | 2.48% | 1.90% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup>  | 40% | 23% | 33% | 39% | 47% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.09 %<sup>(e)</sup> | 0.09% | 0.16% | 0.14% | 0.08% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 58% | 32% | N/A | N/A | N/A |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

77 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### JAPAN VALUE CREATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | |
|  | **2026** | **2025** | **2024** | **2023** | **Period from**<br>**June 7, 2021**<br>**(commencement**<br>**of operations)**<br>**through**<br>**February 28,**<br>**2022** |
|  **Net asset value, beginning of period** | $20.34 | $19.64 | $16.85 | $19.69 | $24.95 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.37 | 0.27 | 0.24 | 0.42 | 0.12 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 10.10 | 0.92 | 3.41 | (2.32) | (1.91) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 10.47 | 1.19 | 3.65 | (1.90) | (1.79) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.98) | (0.49) | (0.86) | (0.13) | (1.49) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.36) |  |  | (0.81) | (1.98) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.34) | (0.49) | (0.86) | (0.94) | (3.47) |
|  **Net asset value, end of period** | $29.47 | $20.34 | $19.64 | $16.85 | $19.69 |
|  **Total Return<sup>(c)</sup>** | 52.93% | 6.13% | 22.03% | (9.32)% | (7.43) |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $112688 | $28055 | $6402 | $1549 | $3107 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup> | 0.82% | 0.80% | 0.78% | 0.77% | 0.77 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 1.50% | 1.33% | 1.33% | 2.54% | 0.79 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(e)</sup> | 40% | 23% | 33% | 39% | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.08 %<sup>(f)</sup> | 0.08% | 0.18% | 0.19% | 0.12 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund. 

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 58% | 32% | N/A | N/A | N/A |

---

<sup>(f)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 78

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### QUALITY FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $33.95 | $31.00 | $23.76 | $28.05 | $25.98 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.32 | 0.33 | 0.29 | 0.29 | 0.33 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 4.80 | 4.23 | 8.17 | (1.80) | 3.56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 5.12 | 4.56 | 8.46 | (1.51) | 3.89 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.35) | (0.33) | (0.28) | (0.30) | (0.32) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (3.56) | (1.28) | (0.94) | (2.48) | (1.50) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3.91) | (1.61) | (1.22) | (2.78) | (1.82) |
|  **Net asset value, end of period** | $35.16 | $33.95 | $31.00 | $23.76 | $28.05 |
|  **Total Return<sup>(c)</sup>** | 15.46% | 14.78% | 36.15% | (5.30)% | 14.71 %<sup>(d)</sup> |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $3479368 | $3346233 | $3211663 | $2885807 | $2996330 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup> | 0.51% | 0.50% | 0.50% | 0.49% | 0.48% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 0.91% | 1.00% | 1.06% | 1.14% | 1.12 %<sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup> | 24% | 16% | 19% | 15% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 %<sup>(g) (h)</sup> | 0.00 %<sup>(g) (h)</sup> | 0.01 %<sup>(h)</sup> | 0.02% | 0.02 %<sup>(h)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2022</u>  |
| $6233641 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.94% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest recognized during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2022</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.20% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 39% | 28% | 31% | 24% | 18% |

---

<sup>(g)</sup> Rounds to less than 0.01%. 

<sup>(h)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

79 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### QUALITY FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $34.06 | $31.10 | $23.84 | $28.13 | $26.04 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.34 | 0.34 | 0.31 | 0.30 | 0.32 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 4.82 | 4.25 | 8.18 | (1.80) | 3.60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 5.16 | 4.59 | 8.49 | (1.50) | 3.92 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.36) | (0.35) | (0.29) | (0.31) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (3.56) | (1.28) | (0.94) | (2.48) | (1.50) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3.92) | (1.63) | (1.23) | (2.79) | (1.83) |
|  **Net asset value, end of period** | $35.30 | $34.06 | $31.10 | $23.84 | $28.13 |
|  **Total Return<sup>(c)</sup>** | 15.53% | 14.83% | 36.17% | (5.23)% | 14.79 %<sup>(d)</sup> |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $1126560 | $1219154 | $1028173 | $418403 | $912163 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup> | 0.46% | 0.46% | 0.46% | 0.45% | 0.44% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 0.97% | 1.01% | 1.10% | 1.19% | 1.08 %<sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup> | 24% | 16% | 19% | 15% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 %<sup>(g) (h)</sup> | 0.00 %<sup>(g) (h)</sup> | 0.01 %<sup>(h)</sup> | 0.02% | 0.02 %<sup>(h)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022 |
| $1577219 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.91% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest recognized during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.20% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 39% | 28% | 31% | 24% | 18% |

---

<sup>(g)</sup> Rounds to less than 0.01%. 

<sup>(h)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 80

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### QUALITY FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $33.95 | $31.01 | $23.76 | $28.06 | $25.98 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.35 | 0.36 | 0.32 | 0.32 | 0.34 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 4.81 | 4.22 | 8.18 | (1.82) | 3.60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 5.16 | 4.58 | 8.50 | (1.50) | 3.94 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.38) | (0.36) | (0.31) | (0.32) | (0.36) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (3.56) | (1.28) | (0.94) | (2.48) | (1.50) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3.94) | (1.64) | (1.25) | (2.80) | (1.86) |
|  **Net asset value, end of period** | $35.17 | $33.95 | $31.01 | $23.76 | $28.06 |
|  **Total Return<sup>(c)</sup>** | 15.59% | 14.85% | 36.32% | (5.24)% | 14.86 %<sup>(d)</sup> |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $3456085 | $3262685 | $2875207 | $2224691 | $3461580 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup> | 0.41% | 0.41% | 0.41% | 0.40% | 0.39% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 1.02% | 1.08% | 1.16% | 1.24% | 1.16 %<sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup> | 24% | 16% | 19% | 15% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 %<sup>(g) (h)</sup> | 0.00 %<sup>(g) (h)</sup> | 0.01 %<sup>(h)</sup> | 0.02% | 0.02 %<sup>(h)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022 |
| $5862655 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.99% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest recognized during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.20% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 39% | 28% | 31% | 24% | 18% |

---

<sup>(g)</sup> Rounds to less than 0.01%. 

<sup>(h)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

81 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### QUALITY FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $33.88 | $30.95 | $23.73 | $28.02 | $25.96 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.31 | 0.32 | 0.29 | 0.28 | 0.32 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 4.80 | 4.23 | 8.16 | (1.79) | 3.57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 5.11 | 4.55 | 8.45 | (1.51) | 3.89 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.35) | (0.34) | (0.29) | (0.30) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (3.56) | (1.28) | (0.94) | (2.48) | (1.50) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3.91) | (1.62) | (1.23) | (2.78) | (1.83) |
|  **Net asset value, end of period** | $35.08 | $33.88 | $30.95 | $23.73 | $28.02 |
|  **Total Return<sup>(c)</sup>** | 15.47% | 14.76% | 36.14% | (5.29)% | 14.71 %<sup>(d)</sup> |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $2097489 | $1560754 | $1142543 | $769960 | $507232 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup> | 0.51% | 0.50% | 0.49% | 0.48% | 0.48% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 0.90% | 0.98% | 1.07% | 1.12% | 1.07 %<sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup> | 24% | 16% | 19% | 15% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 %<sup>(g) (h)</sup> | 0.01 %<sup>(h)</sup> | 0.02 %<sup>(h)</sup> | 0.03% | 0.02 %<sup>(h)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022 |
| $822832 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.89% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest recognized during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.20% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 39% | 28% | 31% | 24% | 18% |

---

<sup>(g)</sup> Rounds to less than 0.01%. 

<sup>(h)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 82

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### QUALITY FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $33.82 | $30.90 | $23.70 | $27.99 | $25.93 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.28 | 0.29 | 0.27 | 0.26 | 0.28 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 4.79 | 4.21 | 8.14 | (1.80) | 3.58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 5.07 | 4.50 | 8.41 | (1.54) | 3.86 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.31) | (0.30) | (0.27) | (0.27) | (0.30) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (3.56) | (1.28) | (0.94) | (2.48) | (1.50) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3.87) | (1.58) | (1.21) | (2.75) | (1.80) |
|  **Net asset value, end of period** | $35.02 | $33.82 | $30.90 | $23.70 | $27.99 |
|  **Total Return<sup>(c)</sup>** | 15.37% | 14.63% | 36.02% | (5.40)% | 14.62 %<sup>(d)</sup> |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $1955962 | $1682655 | $1263793 | $486544 | $481865 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup> | 0.62% | 0.61% | 0.59% | 0.58% | 0.58% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 0.80% | 0.86% | 0.96% | 1.04% | 0.96 %<sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup> | 24% | 16% | 19% | 15% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 %<sup>(g) (h)</sup> | 0.01 %<sup>(h)</sup> | 0.04 %<sup>(h)</sup> | 0.04% | 0.04 %<sup>(h)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 28, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022 |
| $779657 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.79% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest recognized during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 28, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.20% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 39% | 28% | 31% | 24% | 18% |

---

<sup>(g)</sup> Rounds to less than 0.01%. 

<sup>(h)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

83 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### RESOURCE TRANSITION FUND

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | |
|  | **2026** | **2025** | **2024** | **Period from<br>February 15, 2023<br>(commencement<br>of operations)<br>through<br>February 28,**<br>**2023** |
|  **Net asset value, beginning of period** | $10.64 | $13.43 | $18.98 | $20.00 |
|  Income (loss) from investment operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.25 <sup>(b)</sup> | 0.20 | 0.45 | 0.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 8.96 | (2.68) | (5.21) | (1.03) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.21 | (2.48) | (4.76) | (1.02) |
|  Less distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.57) | (0.31) | (0.79) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.57) | (0.31) | (0.79) |  |
|  **Net asset value, end of period** | $19.28 | $10.64 | $13.43 | $18.98 |
|  **Total Return<sup>(c)</sup>** | 87.53 %<sup>(d)</sup> | (18.78)% | (25.58)% | (5.10) |
|  **Ratios/Supplemental Data:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $180473 | $96212 | $118417 | $460209 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(e)</sup> | 0.86% | 0.86% | 0.86% | 0.86 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 1.81 %<sup>(b)</sup> | 1.49% | 2.70% | 1.39 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup> | 53% | 47% | 84% | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.12 %<sup>(g)</sup> | 0.14 %<sup>(g)</sup> | 0.08 %<sup>(g)</sup> | 0.73 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2026</u>  |
| $96218 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.73% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest recognized during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 28,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2026</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp; 0.12% |

---

<sup>(e)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 |
|  Portfolio turnover rate including transactions in USTF | 73% | 58% | 98% | 2% |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 84

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### RESOURCES FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.43 | $20.67 | $25.06 | $28.39 | $27.81 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.52 | 0.57 | 0.91 | 1.13 | 1.54 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 9.33 | (3.19) | (3.95) | (1.74) | 2.00 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.85 | (2.62) | (3.04) | (0.61) | 3.54 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.95) | (0.62) | (0.87) | (1.10) | (1.35) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  | (0.48) | (1.62) | (1.61) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.95) | (0.62) | (1.35) | (2.72) | (2.96) |
|  **Net asset value, end of period** | $26.33 | $17.43 | $20.67 | $25.06 | $28.39 |
|  **Total Return<sup>(b)</sup>** | 57.72% | (12.82)% | (12.67)% | (1.47)% | 13.29% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $243278 | $194258 | $223995 | $322035 | $239225 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.70% | 0.71% | 0.72% | 0.72% | 0.71% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 2.61% | 2.74% | 3.94% | 4.26% | 5.32% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 43% | 48% | 60% | 65% | 60% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 %<sup>(e) (f)</sup> | 0.00 %<sup>(e) (f)</sup> | 0.00 %<sup>(e) (f)</sup> |  |  |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 82% | 79% | 105% | 72% | 60% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

<sup>(f)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

85 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### RESOURCES FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.36 | $20.59 | $24.98 | $28.30 | $27.73 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.53 | 0.58 | 0.87 | 1.13 | 1.79 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 9.29 | (3.18) | (3.89) | (1.72) | 1.76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.82 | (2.60) | (3.02) | (0.59) | 3.55 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.94) | (0.63) | (0.89) | (1.11) | (1.37) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  | (0.48) | (1.62) | (1.61) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.94) | (0.63) | (1.37) | (2.73) | (2.98) |
|  **Net asset value, end of period** | $26.24 | $17.36 | $20.59 | $24.98 | $28.30 |
|  **Total Return<sup>(b)</sup>** | 57.81% | (12.78)% | (12.64)% | (1.40)% | 13.34% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $142658 | $342416 | $403197 | $344000 | $383353 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.65% | 0.66% | 0.67% | 0.67% | 0.65% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 2.78% | 2.80% | 3.81% | 4.32% | 6.21% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 43% | 48% | 60% | 65% | 60% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 %<sup>(e) (f)</sup> | 0.00 %<sup>(e) (f)</sup> | 0.00 %<sup>(e) (f)</sup> |  |  |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 82% | 79% | 105% | 72% | 60% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

<sup>(f)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 86

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### RESOURCES FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | |
|  | **2026** | **2025** | **2024** | **2023** | **Period from<br>February 8, 2022<br>(commencement<br>of operations)<br>through<br>February 28,**<br>**2022** |
|  **Net asset value, beginning of period** | $17.36 | $20.60 | $24.96 | $28.30 | $29.11 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.53 | 0.60 | 0.78 | 1.10 | (0.57) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 9.30 | (3.20) | (3.78) | (1.69) | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.83 | (2.60) | (3.00) | (0.59) | (0.81) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.97) | (0.64) | (0.88) | (1.13) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  | (0.48) | (1.62) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.97) | (0.64) | (1.36) | (2.75) |  |
|  **Net asset value, end of period** | $26.22 | $17.36 | $20.60 | $24.96 | $28.30 |
|  **Total Return<sup>(c)</sup>** | 57.87% | (12.78)% | (12.57)% | (1.39)% | (2.78) |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $91357 | $79861 | $109235 | $65869 | $842698 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup> | 0.61% | 0.62% | 0.62% | 0.62% | 0.74 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 2.68% | 2.90% | 3.46% | 4.21% | (35.65) |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(e)</sup> | 43% | 48% | 60% | 65% | 60 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 %<sup>(f) (g)</sup> | 0.00 %<sup>(f) (g)</sup> | 0.00 %<sup>(f) (g)</sup> |  |  |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. 

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 82% | 79% | 105% | 72% | 60% |

---

<sup>(f)</sup> Ratio includes indirect fees waived or borne by GMO.

<sup>(g)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

87 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### RESOURCES FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.40 | $20.64 | $25.04 | $28.37 | $27.82 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.53 | 0.57 | 0.79 | 1.10 | (0.06) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 9.30 | (3.19) | (3.82) | (1.71) | 3.59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.83 | (2.62) | (3.03) | (0.61) | 3.53 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.94) | (0.62) | (0.89) | (1.10) | (1.37) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  | (0.48) | (1.62) | (1.61) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.94) | (0.62) | (1.37) | (2.72) | (2.98) |
|  **Net asset value, end of period** | $26.29 | $17.40 | $20.64 | $25.04 | $28.37 |
|  **Total Return<sup>(b)</sup>** | 57.74% | (12.85)% | (12.67)% | (1.43)% | 13.25% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $407526 | $412979 | $497523 | $315904 | $105086 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.70% | 0.71% | 0.72% | 0.72% | 0.74% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 2.70% | 2.78% | 3.47% | 4.21% | (0.20)% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 43% | 48% | 60% | 65% | 60% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 %<sup>(e) (f)</sup> | 0.00 %<sup>(e) (f)</sup> | 0.00 %<sup>(e) (f)</sup> |  |  |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 82% | 79% | 105% | 72% | 60% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

<sup>(f)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 88

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### RESOURCES FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.44 | $20.67 | $25.06 | $28.39 | $27.81 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.48 | 0.57 | 0.86 | 1.08 | 1.25 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 9.35 | (3.22) | (3.91) | (1.72) | 2.27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.83 | (2.65) | (3.05) | (0.64) | 3.52 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.91) | (0.58) | (0.86) | (1.07) | (1.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  | (0.48) | (1.62) | (1.61) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.91) | (0.58) | (1.34) | (2.69) | (2.94) |
|  **Net asset value, end of period** | $26.36 | $17.44 | $20.67 | $25.06 | $28.39 |
|  **Total Return<sup>(b)</sup>** | 57.54% | (12.96)% | (12.73)% | (1.55)% | 13.19% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $381034 | $465097 | $763309 | $736470 | $633189 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.82% | 0.83% | 0.82% | 0.82% | 0.81% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 2.44% | 2.75% | 3.76% | 4.11% | 4.32% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 43% | 48% | 60% | 65% | 60% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.00 %<sup>(e)</sup> <sup>(f)</sup> | 0.01 %<sup>(e)</sup> | 0.03 %<sup>(e)</sup> | 0.03% |  |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 82% | 79% | 105% | 72% | 60% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

<sup>(f)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

89 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### SMALL CAP QUALITY FUND

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | |
|  | **2026** | **2025** | **2024** | <br> **Period from<br>November 15, 2022<br>(commencement<br>of operations)**<br> **through**<br> **February 28,**<br>**2023** |
|  **Net asset value, beginning of period** | $22.73 | $24.39 | $22.12 | $22.96 |
|  Income (loss) from investment operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.05 | 0.05 | 0.06 | 0.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.10 | (0.09) | 5.14 | 1.03 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 3.15 | (0.04) | 5.20 | 1.04 |
|  Less distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.04) | (0.05) | (0.06) | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.07) | (1.57) | (2.87) | (1.87) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.11) | (1.62) | (2.93) | (1.88) |
|  **Net asset value, end of period** | $25.77 | $22.73 | $24.39 | $22.12 |
|  **Total Return<sup>(b)</sup>** | 13.91% | (0.81)% | 24.95% | 4.57 |
|  **Ratios/Supplemental Data:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $70413 | $54496 | $17315 | $13391 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.76% | 0.75% | 0.75% | 0.75 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 0.24% | 0.20% | 0.25% | 0.19 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 61% | 51% | 37% | 77 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 %<sup>(e)</sup> | 0.07 %<sup>(e)</sup> | 0.21 %<sup>(e)</sup> | 0.85 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 |
|  Portfolio turnover rate including transactions in USTF | 72% | 77% | 61% | 78% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 90

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout the period)

#### SMALL CAP QUALITY FUND (continued)

---

| | |
|:---|:---|
|  | **Class IV Shares** |
|  | <br> **Period from<br>March 31, 2025<br>(commencement<br>of operations)<br>through**<br> **February 28,** |
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026**  |
|  **Net asset value, beginning of period** | $21.59 |
|  Income (loss) from investment operations: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.05 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 4.26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 4.31 |
|  Less distributions to shareholders: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.06) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.13) |
|  **Net asset value, end of period** | $25.77 |
|  **Total Return<sup>(b)</sup>** | 20.00 |
|  **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $167995 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.71 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 0.25 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 61 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | |
|:---|:---|
|  | February 28,<br>2026 |
|  Portfolio turnover rate including transactions in USTF | 72% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

91 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### SMALL CAP QUALITY FUND (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | <br> **Period from<br>September 20, 2022<br>(commencement<br>of operations)<br>through**<br> **February 28,** |
|  | **2026** | **2025** | **2024** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2023**  |
|  **Net asset value, beginning of period** | $22.76 | $24.41 | $22.13 | $20.00 |
|  Income (loss) from investment operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.08 | 0.08 | 0.08 | 0.02 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.11 | (0.09) | 5.15 | 4.00 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 3.19 | (0.01) | 5.23 | 4.02 |
|  Less distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.06) | (0.07) | (0.07) | (0.02) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.07) | (1.57) | (2.88) | (1.87) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.13) | (1.64) | (2.95) | (1.89) |
|  **Net asset value, end of period** | $25.82 | $22.76 | $24.41 | $22.13 |
|  **Total Return<sup>(b)</sup>** | 14.07% | (0.72)% | 25.06% | 20.10 |
|  **Ratios/Supplemental Data:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $46795 | $49662 | $64312 | $51566 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.66% | 0.66% | 0.66% | 0.66 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 0.34% | 0.32% | 0.34% | 0.25 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 61% | 51% | 37% | 77 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 %<sup>(e)</sup> | 0.07 %<sup>(e)</sup> | 0.21 %<sup>(e)</sup> | 0.39 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 |
|  Portfolio turnover rate including transactions in USTF | 72% | 77% | 61% | 78% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 92

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout the period)

#### SMALL CAP QUALITY FUND (continued)

---

| | |
|:---|:---|
|  | **Class R6 Shares** |
|  | <br> **Period from<br>April 29, 2025<br>(commencement<br>of operations)<br>through**<br> **February 28,** |
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2026**  |
|  **Net asset value, beginning of period** | $21.32 |
|  Income (loss) from investment operations: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.04 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 4.53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 4.57 |
|  Less distributions to shareholders: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.07) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.14) |
|  **Net asset value, end of period** | $25.75 |
|  **Total Return<sup>(b)</sup>** | 21.47 |
|  **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $208646 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.76 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 0.18 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 61 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.06 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | |
|:---|:---|
|  | February 28,<br>2026 |
|  Portfolio turnover rate including transactions in USTF | 72% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

93 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### SMALL CAP QUALITY FUND (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | <br> **Period from<br>November 15, 2022<br>(commencement<br>of operations)<br>through**<br> **February 28,** |
|  | **2026** | **2025** | **2024** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2023**  |
|  **Net asset value, beginning of period** | $22.72 | $24.38 | $22.11 | $22.96 |
|  Income (loss) from investment operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.06 | 0.05 | 0.08 | 0.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.10 | (0.09) | 5.12 | 1.02 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 3.16 | (0.04) | 5.20 | 1.03 |
|  Less distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.03) | (0.05) | (0.05) | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.07) | (1.57) | (2.88) | (1.87) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.10) | (1.62) | (2.93) | (1.88) |
|  **Net asset value, end of period** | $25.78 | $22.72 | $24.38 | $22.11 |
|  **Total Return<sup>(b)</sup>** | 13.93% | (0.81)% | 24.93% | 4.51 |
|  **Ratios/Supplemental Data:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $194016 | $287490 | $122328 | $21 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.76% | 0.75% | 0.75% | 0.75 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 0.26% | 0.21% | 0.35% | 0.09 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 61% | 51% | 37% | 77 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.17 %<sup>(e)</sup> | 0.17 %<sup>(e)</sup> | 0.31 %<sup>(e)</sup> | 0.61 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 |
|  Portfolio turnover rate including transactions in USTF | 72% | 77% | 61% | 78% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 94

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### U.S. EQUITY FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $13.49 | $13.84 | $12.54 | $13.69 | $14.39 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.18 | 0.17 | 0.18 | 0.17 | 0.21 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.01 | 1.80 | 2.69 | (0.45) | 2.13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 3.19 | 1.97 | 2.87 | (0.28) | 2.34 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.17) | (0.18) | (0.17) | (0.17) | (0.19) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (1.53) | (2.14) | (1.40) | (0.70) | (2.85) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.70) | (2.32) | (1.57) | (0.87) | (3.04) |
|  **Net asset value, end of period** | $14.98 | $13.49 | $13.84 | $12.54 | $13.69 |
|  **Total Return<sup>(b)</sup>** | 24.81% | 14.25% | 24.56% | (1.63)% | 15.80% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $88297 | $65504 | $60657 | $50114 | $80646 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.49% | 0.49% | 0.48% | 0.47% | 0.46% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 1.26% | 1.20% | 1.44% | 1.38% | 1.34% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 95% | 89% | 88% | 81% | 94% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.07 %<sup>(e)</sup> | 0.09 %<sup>(e)</sup> | 0.05 %<sup>(e)</sup> | 0.05% | 0.04 %<sup>(e)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 101% | 97% | 91% | 91% | 115% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

95 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### U.S. EQUITY FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $13.26 | $13.63 | $12.38 | $13.52 | $14.25 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.19 | 0.18 | 0.20 | 0.18 | 0.22 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 2.94 | 1.78 | 2.63 | (0.44) | 2.11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 3.13 | 1.96 | 2.83 | (0.26) | 2.33 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.18) | (0.19) | (0.18) | (0.18) | (0.21) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (1.53) | (2.14) | (1.40) | (0.70) | (2.85) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.71) | (2.33) | (1.58) | (0.88) | (3.06) |
|  **Net asset value, end of period** | $14.68 | $13.26 | $13.63 | $12.38 | $13.52 |
|  **Total Return<sup>(b)</sup>** | 24.82% | 14.44% | 24.59% | (1.47)% | 15.89% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $127834 | $81383 | $74670 | $194846 | $384832 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.40% | 0.39% | 0.39% | 0.38% | 0.37% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 1.35% | 1.29% | 1.56% | 1.47% | 1.42% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 95% | 89% | 88% | 81% | 94% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.07 %<sup>(e)</sup> | 0.09 %<sup>(e)</sup> | 0.05 %<sup>(e)</sup> | 0.05% | 0.04 %<sup>(e)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 101% | 97% | 91% | 91% | 115% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 96

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### U.S. OPPORTUNISTIC VALUE FUND

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | <br> **Period from<br>February 15, 2023<br>(commencement<br>of operations)<br>through**<br> **February 28,** |
|  | **2026** | **2025** | **2024** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2023**  |
|  **Net asset value, beginning of period** | $22.33 | $22.10 | $20.20 | $21.07 |
|  Income (loss) from investment operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.51 | 0.51 | 2.38 | 0.02 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.01 | 2.41 | 0.58 | (0.89) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 3.52 | 2.92 | 2.96 | (0.87) |
|  Less distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.57) | (0.54) | (0.41) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (2.18) | (2.15) | (0.65) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (2.75) | (2.69) | (1.06) |  |
|  **Net asset value, end of period** | $23.10 | $22.33 | $22.10 | $20.20 |
|  **Total Return<sup>(c)</sup>** | 17.71% | 13.27% | 15.20% | (4.13) |
|  **Ratios/Supplemental Data:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $108111 | $36151 | $36989 | $10 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup> | 0.49% | 0.49% | 0.49% | 0.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 2.36% | 2.23% | 10.90% | 2.30 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(e)</sup> | 72% | 65% | 71% | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 %<sup>(f)</sup> | 0.03 %<sup>(f)</sup> | 0.04 %<sup>(f)</sup> | 0.48 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. 

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 |
|  Portfolio turnover rate including transactions in USTF | 76% | 72% | 100% | 77% |

---

<sup>(f)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

97 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### U.S. OPPORTUNISTIC VALUE FUND (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | |
|  | **2026** | **2025** | **2024** | **Period from<br>December 13, 2022<br>(commencement<br>of operations)<br>through<br>February 28,**<br>**2023** |
|  **Net asset value, beginning of period** | $22.30 | $22.06 | $20.19 | $20.00 |
|  Income (loss) from investment operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.53 | 0.53 | 0.54 | 0.12 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.00 | 2.41 | 2.46 | 0.10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 3.53 | 2.94 | 3.00 | 0.22 |
|  Less distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.59) | (0.55) | (0.48) | (0.03) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (2.18) | (2.15) | (0.65) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (2.77) | (2.70) | (1.13) | (0.03) |
|  **Net asset value, end of period** | $23.06 | $22.30 | $22.06 | $20.19 |
|  **Total Return<sup>(b)</sup>** | 17.81% | 13.41% | 15.39% | 1.10 |
|  **Ratios/Supplemental Data:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $143407 | $129825 | $143697 | $215668 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.40% | 0.39% | 0.39% | 0.38 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 2.47% | 2.32% | 2.67% | 2.79 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 72% | 65% | 71% | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 %<sup>(e)</sup> | 0.03 %<sup>(e)</sup> | 0.04 %<sup>(e)</sup> | 0.28 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 |
|  Portfolio turnover rate including transactions in USTF | 76% | 72% | 100% | 77% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 98

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### U.S. OPPORTUNISTIC VALUE FUND (continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | |
|  | **2026** | **2025** | <br> **Period from<br>August 28, 2023<br>(commencement<br>of operations)<br>through<br>February 29,**<br>**2024** |
|  **Net asset value, beginning of period** | $22.25 | $22.03 | $20.22 |
|  Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.47 | 0.51 | 0.28 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.09 | 2.39 | 2.25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 3.56 | 2.90 | 2.53 |
|  Less distributions to shareholders: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.33) | (0.53) | (0.39) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (2.18) | (2.15) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (2.51) | (2.68) | (0.72) |
|  **Net asset value, end of period** | $23.30 | $22.25 | $22.03 |
|  **Total Return<sup>(b)</sup>** | 17.88% | 13.25% | 12.85 |
|  **Ratios/Supplemental Data:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $1 | $1953 | $1733 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.49% | 0.49% | 0.48 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 2.24% | 2.24% | 2.66 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 72% | 65% | 71 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05 %<sup>(e)</sup> | 0.03 %<sup>(e)</sup> | 0.04 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | |
|:---|:---|:---|:---|
|  | February 28,<br> 2026 | February 28,<br> 2025 | February 29,<br> 2024 |
|  Portfolio turnover rate including transactions in USTF | 76% | 72% | 100% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

99 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### U.S. OPPORTUNISTIC VALUE FUND (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | |
|  | **2026** | **2025** | **2024** | **Period from<br>February 15, 2023<br>(commencement<br>of operations)<br>through<br>February 28,**<br>**2023** |
|  **Net asset value, beginning of period** | $22.25 | $22.03 | $20.20 | $21.07 |
|  Income (loss) from investment operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.48 | 0.48 | 0.51 | 0.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.00 | 2.40 | 2.44 | (0.88) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 3.48 | 2.88 | 2.95 | (0.87) |
|  Less distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.54) | (0.51) | (0.47) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (2.18) | (2.15) | (0.65) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (2.72) | (2.66) | (1.12) |  |
|  **Net asset value, end of period** | $23.01 | $22.25 | $22.03 | $20.20 |
|  **Total Return<sup>(c)</sup>** | 17.57% | 13.12% | 15.14% | (4.13) |
|  **Ratios/Supplemental Data:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $68028 | $63165 | $74100 | $5 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup> | 0.61% | 0.61% | 0.59% | 0.57 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 2.26% | 2.10% | 2.50% | 1.73 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(e)</sup> | 72% | 65% | 71% | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.06 %<sup>(f)</sup> | 0.03 %<sup>(f)</sup> | 0.03 %<sup>(f)</sup> | 0.47 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of Fund shares in relation to fluctuating market values of the investments of the Fund. 

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 |
|  Portfolio turnover rate including transactions in USTF | 76% | 72% | 100% | 77% |

---

<sup>(f)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 100

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### U.S. SMALL CAP VALUE FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $20.49 | $19.09 | $17.19 | $19.74 | $24.99 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.38 | 0.36 | 0.34 | 0.30 | 0.33 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 4.72 | 1.39 | 1.91 | (1.08) | 2.89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 5.10 | 1.75 | 2.25 | (0.78) | 3.22 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.36) | (0.35) | (0.35) | (0.45) | (0.39) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.33) |  |  | (1.32) | (8.08) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.69) | (0.35) | (0.35) | (1.77) | (8.47) |
|  **Net asset value, end of period** | $24.90 | $20.49 | $19.09 | $17.19 | $19.74 |
|  **Total Return<sup>(b)</sup>** | 25.13% | 9.02% | 13.27% | (2.86)% | 13.21% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $43519 | $35471 | $34842 | $29428 | $253810 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup> | 0.50% | 0.47% | 0.48% | 0.45% | 0.42% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 1.74% | 1.74% | 1.96% | 1.71% | 1.32% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> | 92% | 89% | 81% | 60% | 62% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.19 %<sup>(e)</sup> | 0.16 %<sup>(e)</sup> | 0.17 %<sup>(e)</sup> |  | 0.00 %<sup>(e) (f)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 98% | 90% | 89% | 69% | 71% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

<sup>(f)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

101 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements

#### February 28, 2026
**1.** **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 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.

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

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Benchmark** | **Investment Objective** |
| &nbsp;&nbsp;&nbsp;Climate Change Fund | Not Applicable | High total return |
| &nbsp;&nbsp;&nbsp;Emerging Markets ex-China Fund | MSCI Emerging Markets ex-China Index | Total return in excess of its benchmark |
| &nbsp;&nbsp;&nbsp;Emerging Markets Fund | MSCI Emerging Markets Index | Total return in excess of its benchmark |
| &nbsp;&nbsp;&nbsp;International Equity Fund | Not Applicable | High total return |
| &nbsp;&nbsp;&nbsp;International Opportunistic Value Fund | Not Applicable | Total return |
| &nbsp;&nbsp;&nbsp;Japan Value Creation Fund | Not Applicable | Total return |
| &nbsp;&nbsp;&nbsp;Quality Fund | Not Applicable | Total return |
| &nbsp;&nbsp;&nbsp;Resource Transition Fund | Not Applicable | Total return |
| &nbsp;&nbsp;&nbsp;Resources Fund | Not Applicable | Total return |
| &nbsp;&nbsp;&nbsp;Small Cap Quality Fund | Not Applicable | Total return |
| &nbsp;&nbsp;&nbsp;U.S. Equity Fund | Not Applicable | High total return |
| &nbsp;&nbsp;&nbsp;U.S. Opportunistic Value Fund | Not Applicable | Total return |
| &nbsp;&nbsp;&nbsp;U.S. Small Cap Value Fund | S&P SmallCap 600 Value Index | Total return in excess of its benchmark |

---

**2.** **Significant accounting policies** 

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 "Financial Services – Investment Companies."

#### 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

102.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
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 year ended February 28, 2026, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 "Derivative financial instruments" for a further discussion on valuation of derivatives.

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

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

The three levels are defined as follows:

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

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

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

103.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
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 February 28, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Climate Change Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $5214747 | $— | $5214747 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 10242644 |  | 10242644 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 34709687 |  |  | 34709687 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 12495536 |  | 12495536 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 18205607 |  | 18205607 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 19221985 |  | 19221985 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 50731004 |  | 50731004 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 21485750 |  | 21485750 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 4905082 |  | 4905082 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 19337914 |  | 19337914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 2549259 |  |  | 2549259 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 1202485 |  | 1202485 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 15982972 |  | 15982972 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 2508637 |  | 2508637 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 45451977 |  | 45451977 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 9953920 |  | 9953920 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 6836498 |  | 6836498 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 2565081 |  | 2565081 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 1295750 |  | 1295750 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 2139000 | 8236641 |  | 10375641 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 291278724 |  |  | 291278724 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | &nbsp;&nbsp;&nbsp;&nbsp;330676670 | &nbsp;&nbsp;&nbsp;&nbsp;255874230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0§ | &nbsp;&nbsp;&nbsp;&nbsp;586550900 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 21507673 |  |  | 21507673 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 21507673 |  |  | 21507673 |

---

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#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Climate Change Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; France | $— | $— | $290936 | $290936 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 290936 | 290936 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 16963453 |  |  | 16963453 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 16963453 |  |  | 16963453 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 206079 |  |  | 206079 |
| &nbsp;&nbsp;&nbsp; Total Investments | 369353875 | 255874230 | 290936 | 625519041 |
| &nbsp;&nbsp;&nbsp; Total | $369353875 | $255874230 | $290936 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;625519041 |
| &nbsp;&nbsp;&nbsp; **Emerging Markets ex-China Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $2283952 | $1970091 | $— | $4254043 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 134357 |  |  | 134357 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 229212 |  | 229212 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 217156 |  | 217156 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 253265 |  | 253265 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 4361555 |  | 4361555 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 10076468 |  | 10076468 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 3343549 |  | 3343549 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 799268 |  | 799268 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 3085984 |  |  | 3085984 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 28233 |  | 28233 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 2402394 |  | 2402394 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 378200 |  | 378200 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 22021136 |  | 22021136 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 30096215 |  | 30096215 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 7474748 |  | 7474748 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 281049 |  | 281049 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 956747 |  | 956747 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 755872 |  |  | 755872 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 877956 |  | 877956 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 6260165 | 85767242 | 0§ | 92027407 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 1447042 | 2174777 |  | 3621819 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 735690 |  |  | 735690 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 2182732 | 2174777 | 0§ | 4357509 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 1576736 |  |  | 1576736 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 1576736 |  |  | 1576736 |

---

105.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Emerging Markets ex-China Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | $48144 | $— | $— | $48144 |
| &nbsp;&nbsp;&nbsp; Total Investments | 10067777 | 87942019 |  | 98009796 |
| &nbsp;&nbsp;&nbsp; Total | $10067777 | $87942019 | $0§ | $98009796 |
| &nbsp;&nbsp;&nbsp; **Emerging Markets Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $10755335 | $3160710 | $— | $13916045 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 9606336 | 104481939 | 24 | 114088299 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 132205 |  |  | 132205 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 815868 |  | 815868 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 3146218 |  | 3146218 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 18989765 |  | 18989765 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 29787924 |  | 29787924 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 10581257 |  | 10581257 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 2677451 |  | 2677451 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 11766795 |  |  | 11766795 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 596918 |  | 596918 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 129 |  | 129 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 11247000 |  | 11247000 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 562067 |  | 562067 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 94471130 |  | 94471130 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sri Lanka |  |  | 302374 | 302374 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 134039734 |  | 134039734 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 36563893 |  | 36563893 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 640698 |  | 640698 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 3976131 |  | 3976131 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 1281696 |  |  | 1281696 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 5149503 |  | 5149503 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 33542367 | 460888335 | 302398 | 494733100 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 10678991 | 11121691 |  | 21800682 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 4317744 |  |  | 4317744 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 3912419 |  | 3912419 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 14996735 | 15034110 | 0§ | 30030845 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 2002959 |  |  | 2002959 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 2002959 |  |  | 2002959 |
| &nbsp;&nbsp;&nbsp; Total Investments | 50542061 | 475922445 | 302398 | 526766904 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 124595 |  |  | 124595 |
| &nbsp;&nbsp;&nbsp; Total | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;50666656 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;475922445 | $302398 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;526891499 |

---

106.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **International Equity Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $48937055 | $— | $48937055 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 12643530 |  | 12643530 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 15740816 |  |  | 15740816 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 1906047 |  | 1906047 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 27951609 |  | 27951609 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 2588709 | 95840054 |  | 98428763 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 44168888 |  | 44168888 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 62921312 |  | 62921312 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel |  | 17670040 |  | 17670040 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 33989558 |  | 33989558 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 306574072 |  | 306574072 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 52289787 | 46731473 |  | 99021260 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 19493791 |  | 19493791 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 3549368 |  | 3549368 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 31256942 |  | 31256942 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 84264549 |  | 84264549 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 2954308 |  | 2954308 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 5101023 | 67905118 |  | 73006141 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 82069221 | 58589124 |  | 140658345 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 157789556 | 967346838 |  | 1125136394 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 11487175 |  | 11487175 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 11487175 |  | 11487175 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 10318555 |  |  | 10318555 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 10318555 |  |  | 10318555 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 478763 |  |  | 478763 |
| &nbsp;&nbsp;&nbsp; Total Investments | 168586874 | 978834013 |  | 1147420887 |
| &nbsp;&nbsp;&nbsp; Total | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;168586874 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;978834013 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $1147420887 |
| &nbsp;&nbsp;&nbsp; **International Opportunistic Value Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $18439855 | $— | $18439855 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 4075595 |  | 4075595 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 824803 |  | 824803 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 46560458 |  |  | 46560458 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 3114786 |  | 3114786 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 916899 |  | 916899 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 33562445 |  | 33562445 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 24387462 |  | 24387462 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 9184024 |  | 9184024 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 1086975 |  | 1086975 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 586806 | 4864490 |  | 5451296 |

---

107.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **International Opportunistic Value Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | $890038 | $5308941 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $6198979 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 3422979 | 71836933 |  | 75259912 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 6513070 |  | 6513070 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 8284813 |  | 8284813 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 10676 |  | 10676 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 2140596 |  | 2140596 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 16181083 |  | 16181083 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 10381198 |  | 10381198 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 5194770 | 19954569 |  | 25149339 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 18311196 | 15678370 |  | 33989566 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 74966247 | 256747583 | 0§ | 331713830 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 5077792 |  | 5077792 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 5077792 |  | 5077792 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 9692 |  |  | 9692 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 9692 |  |  | 9692 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 512491 |  |  | 512491 |
| &nbsp;&nbsp;&nbsp; Total Investments | 75488430 | 261825375 | 0§ | 337313805 |
| &nbsp;&nbsp;&nbsp; Total | $75488430 | $261825375 | $0§ | $337313805 |
| &nbsp;&nbsp;&nbsp; **Japan Value Creation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $— | $286860047 | $— | $286860047 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 5349561 |  |  | 5349561 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 793882 |  |  | 793882 |
| &nbsp;&nbsp;&nbsp; Total Investments | 6143443 | 286860047 |  | 293003490 |
| &nbsp;&nbsp;&nbsp; Total | $6143443 | $286860047 | $— | $293003490 |
| &nbsp;&nbsp;&nbsp; **Quality Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Common Stocks** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | $48132862 | $— | $— | $48132862 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 69302308 |  | 69302308 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 538202368 |  | 538202368 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 317574505 |  | 317574505 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 98168235 |  | 98168235 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 73409732 |  | 73409732 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 189092275 |  | 189092275 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 613830123 |  | 613830123 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 831295786 |  | 831295786 |

---

108.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Quality Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $9139938276 | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $9139938276 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 9188071138 | 2730875332 |  | 11918946470 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 180906709 |  |  | 180906709 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 180906709 |  |  | 180906709 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 52467933 |  |  | 52467933 |
| &nbsp;&nbsp;&nbsp; Total Investments | 9421445780 | 2730875332 |  | 12152321112 |
| &nbsp;&nbsp;&nbsp; Total | $9421445780 | $2730875332 | $— | $12152321112 |
| &nbsp;&nbsp;&nbsp; **Resource Transition Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $777543 | $— | $777543 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 9296874 |  | 9296874 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 20055882 |  |  | 20055882 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 3047249 |  | 3047249 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 3573582 |  | 3573582 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 6630785 |  | 6630785 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 3635010 |  | 3635010 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 2563894 |  | 2563894 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 1904324 |  | 1904324 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 1035810 |  | 1035810 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 5121903 |  | 5121903 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 1063166 |  | 1063166 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 33104709 |  | 33104709 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 67378463 |  |  | 67378463 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 87434345 | 71754849 |  | 159189194 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 9001886 |  | 9001886 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 7904680 |  |  | 7904680 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 7904680 | 9001886 |  | 16906566 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 3886166 |  |  | 3886166 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 3886166 |  |  | 3886166 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 566138 |  |  | 566138 |
| &nbsp;&nbsp;&nbsp; Total Investments | 99791329 | 80756735 |  | 180548064 |
| &nbsp;&nbsp;&nbsp; Total | $99791329 | $80756735 | $— | $180548064 |
| &nbsp;&nbsp;&nbsp; **Resources Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Argentina | $63771854 | $— | $— | $63771854 |

---

109.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Resources Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $5785470 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $5785470 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 51821296 |  | 51821296 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 110077073 |  |  | 110077073 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 16635473 |  | 16635473 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 15705885 |  | 15705885 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 30024850 |  | 30024850 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 17040542 |  | 17040542 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 3404991 |  | 3404991 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 12222354 |  | 12222354 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 13814551 |  | 13814551 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 4673875 |  | 4673875 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 35119277 |  | 35119277 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pakistan |  | 3017911 |  | 3017911 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  |  | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 5892559 |  | 5892559 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 2952865 |  | 2952865 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 5677650 | 242451989 |  | 248129639 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 494221620 |  |  | 494221620 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 673748197 | 460563888 | 3 | 1134312088 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 84672736 |  | 84672736 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 35652091 |  |  | 35652091 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 35652091 | 84672736 | 0§ | 120324827 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 6785891 |  |  | 6785891 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 6785891 |  |  | 6785891 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 358323 |  |  | 358323 |
| &nbsp;&nbsp;&nbsp; Total Investments | 716544502 | 545236624 | 3 | 1261781129 |
| &nbsp;&nbsp;&nbsp; Total | $716544502 | $545236624 | $3 | $1261781129 |
| &nbsp;&nbsp;&nbsp; **Small Cap Quality Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $667795089 | $— | $— | $667795089 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 19993081 |  |  | 19993081 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 287147 |  |  | 287147 |
| &nbsp;&nbsp;&nbsp; Total Investments | 688075317 |  |  | 688075317 |
| &nbsp;&nbsp;&nbsp; Total | $688075317 | $— | $— | $688075317 |

---

110.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **U.S. Equity Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $214341454 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $214341454 |
| &nbsp;&nbsp;&nbsp; Debt Obligations | 56066 |  |  | 56066 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 1100608 |  |  | 1100608 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 209119 |  |  | 209119 |
| &nbsp;&nbsp;&nbsp; Total Investments | 215707247 |  |  | 215707247 |
| &nbsp;&nbsp;&nbsp; Total | $215707247 | $— | $— | $215707247 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | $(69) | $— | $— | $(69) |
| &nbsp;&nbsp;&nbsp; Total | $(69) | $— | $— | $(69) |
| &nbsp;&nbsp;&nbsp; **U.S. Opportunistic Value Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $317589118 | $— | $— | $317589118 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 1129113 |  |  | 1129113 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 431636 |  |  | 431636 |
| &nbsp;&nbsp;&nbsp; Total Investments | 319149867 |  |  | 319149867 |
| &nbsp;&nbsp;&nbsp; Total | $319149867 | $— | $— | $319149867 |
| &nbsp;&nbsp;&nbsp; **U.S. Small Cap Value Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $43316004 | $— | $— | $43316004 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 91397 |  |  | 91397 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 155124 |  |  | 155124 |
| &nbsp;&nbsp;&nbsp; Total Investments | 43562525 |  |  | 43562525 |
| &nbsp;&nbsp;&nbsp; Total | $43562525 | $— | $— | $43562525 |

---

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the "Investment and other risks" and "Derivative financial instruments" sections below for a further discussion of risks.

§ Represents the interest in securities that were determined to have a value of zero at February 28, 2026.

---

| | |
|:---|:---|
| ^ | 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 year 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.

#### Cash
Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.

#### Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.

111.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

#### Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

#### Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund's ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Securities lending
The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company ("State Street") serves as the Funds' lending agent.

A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund's ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bears the risk of total loss with respect to the investment of collateral.

At February 28, 2026, securities on loan at value and collateral from securities on loan are listed below:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Value of securities** <br> **on loan ($)**  | **Cash** <br> **collateral ($)**  | **Non-cash** <br> **collateral ($)\***  | **Total** <br> **collateral ($)**  | **Total** <br> **collateral ($)**  |
| &nbsp;&nbsp;&nbsp; Climate Change Fund | 12247424 |  | 12506494 | 12506494 |  |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund | 156190 |  | 167477 | 167477 |  |
| &nbsp;&nbsp;&nbsp; Emerging Markets Fund | 3487168 |  | 3711356 | 3711356 |  |
| &nbsp;&nbsp;&nbsp; International Equity Fund | 29482417 |  | 30821944 | 30821944 |  |
| &nbsp;&nbsp;&nbsp; International Opportunistic Value Fund | 12888032 |  | 13356234 | 13356234 |  |
| &nbsp;&nbsp;&nbsp; Resource Transition Fund | 12643209 | 355635 | 13216317 | 13571952 |  |
| &nbsp;&nbsp;&nbsp; Resources Fund | 45327968 |  | 47371850 | 47371850 |  |
| &nbsp;&nbsp;&nbsp; U.S. Equity Fund | 109236 |  | 107531 | 107531 | \*\* |
| &nbsp;&nbsp;&nbsp; U.S. Opportunistic Value Fund | 1040801 |  | 1053770 | 1053770 |  |

---

\*Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

\*\*While collateral for securities loans is marked to market daily, there may be instances where, as a result of market movement or other factors, the market value of the collateral at the close of trading on a business day is less than 100% of the market value of the loaned securities at the close of trading on that day. In such cases, the borrower is required to deliver, by the close of business on the following business day, an additional amount of collateral, so that the total amount of posted collateral is equal to at least 100% of the market value of all the loaned securities as of such preceding day.

112.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
Information regarding the value of the securities loaned and the value of cash collateral at year end is included in the Statements of Assets and Liabilities.

#### Credit agreement
The Trust has entered into a Credit Agreement (the "Credit Agreement") with State Street on behalf of the Funds, along with other funds managed by GMO. The purpose of the Credit Agreement is to establish a committed, unsecured revolving line of credit whereby the participating Funds may borrow for the temporary funding of shareholder redemptions or for other temporary emergencies. The current term of the line of credit under the Credit Agreement is through January 14, 2027. Pursuant to the Credit Agreement, participating Funds may borrow up to an aggregate commitment amount of $75,000,000. Under the terms of the Credit Agreement, the Trust pays an annual commitment fee at the rate of 0.35% per year on the available credit, which is paid quarterly. Each participating Fund pays a commitment fee equal to its pro rata share of the unused portion of the line of credit under the Credit Agreement. Interest is charged to each Fund based on its borrowings at a variable rate of 0.10% plus the higher of the Federal Funds Effective Rate or the Overnight Bank Funding Rate. The Funds did not borrow under the Credit Agreement during the year ended February 28, 2026.

#### Taxes and distributions
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at its discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

As a result of court cases involving several countries across the European Union, certain Funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned ("EU tax reclaims"). These filings are subject to various administrative proceedings by each local jurisdiction's tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund's net asset value. In some cases, the amount of EU tax reclaims could be material to a Fund's NAV. If a shareholder redeems shares of a Fund before an EU tax reclaim (as finally determined) is reflected in the Fund's NAV, the shareholder will not realize the benefit of that reclaim. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service (the "IRS"). Doing so will enable a Fund to quantify and remit its tax liability related to any recoveries (on behalf of its shareholders). International Equity Fund and International Opportunistic Value Fund finalized a closing agreement with the IRS during the year ended February 28, 2026. Under the terms of these agreements, International Equity Fund and International Opportunistic Fund paid $19,185,184 and $529,624, respectively, for which estimated fees had been accrued. Finalized IRS closing agreement fee accruals, including amounts in excess of or less than the amounts previously accrued for, for the year ended February 28, 2026 are presented within Net IRS closing agreement benefits (fees) in the Statements of Operations for the year ended February 28, 2026. Further, it is expected that International Opportunistic Value Fund is expected to enter into an additional closing agreement with the IRS subsequent to February 28, 2026. Accordingly, estimated fees related to International Opportunistic Value

113.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
Fund's expected closing agreement liability is presented within Net IRS closing agreement benefits (fees) in the Statements of Operations and the estimated closing agreement liability is presented as Payable for IRS closing agreement fees in the Statements of Assets and Liabilities.

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2026, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations. Other income in the Statements of Operations may also include interest payments (net of related withholding taxes) in respect of capital gain tax refunds in connection with certain holdings previously held by the Funds.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

The table below presents income taxes paid (net of reclaims, if any) disaggregated by individual jurisdictions for Funds that paid income taxes (net of reclaims, if any) equal to or greater than five percent of total income taxes paid during the year. See "Recently-issued accounting guidance" for more information.

---

| | |
|:---|:---|
|  | **International<br>Equity**<br> **Fund** |
| &nbsp;&nbsp;&nbsp; **Income taxes by United States jurisdiction:** |  |
| &nbsp;&nbsp;&nbsp; Federal (national) | $19185184 |
| &nbsp;&nbsp;&nbsp; **Income taxes by foreign jurisdiction:** |  |
| &nbsp;&nbsp;&nbsp; Other | 3766291 |
| &nbsp;&nbsp;&nbsp; **Total income taxes paid, net of refunds** | **$22951475** |

---

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Differences related to:** | ![LOGO](g12033dsp117a.jpg) <br>| ![LOGO](g12033dsp117b.jpg) <br>| ![LOGO](g12033dsp117c.jpg) <br>| ![LOGO](g12033dsp117d.jpg) <br>| <br> ![LOGO](g12033dsp117e.jpg) <br>| ![LOGO](g12033dsp117f.jpg) <br>| ![LOGO](g12033dsp117g.jpg) <br>| ![LOGO](g12033dsp117h.jpg) <br>| ![LOGO](g12033dsp117i.jpg) <br>| ![LOGO](g12033dsp117j.jpg) <br>| ![LOGO](g12033dsp117k.jpg) <br>| ![LOGO](g12033dsp117l.jpg) <br>| ![LOGO](g12033dsp117m.jpg) <br>|
| &nbsp;&nbsp;&nbsp; Capital loss carry forwards | X | X | X | X |  |  |  | X | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Distribution character reclassification |  |  |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Dividend income and withholding tax reclaim reserves | X |  | X | X | X |  | X | X | X |  |  |  |  |

---

114.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Differences related to:** | ![LOGO](g12033dsp118a.jpg) <br>| ![LOGO](g12033dsp118b.jpg) <br>| ![LOGO](g12033dsp118c.jpg) <br>| ![LOGO](g12033dsp118d.jpg) <br>| <br> ![LOGO](g12033dsp118e.jpg) <br>| ![LOGO](g12033dsp118f.jpg) <br>| ![LOGO](g12033dsp118g.jpg) <br>| ![LOGO](g12033dsp117h.jpg) <br>| ![LOGO](g12033dsp118i.jpg) <br>| ![LOGO](g12033dsp118j.jpg) <br>| ![LOGO](g12033dsp118k.jpg) <br>| ![LOGO](g12033dsp118l.jpg) <br>| ![LOGO](g12033dsp118m.jpg) <br>|
| &nbsp;&nbsp;&nbsp; EU tax reclaims, associated interest entitlements and IRS closing agreement matters |  |  |  | X | X |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Foreign capital gains taxes |  |  | X |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Foreign currency transactions |  | X | X |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Gain/losses on underlying fund shares |  |  | X |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Late year ordinary losses |  |  |  | X |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Losses on wash sale transactions | X | X | X | X | X | X | X | X | X | X | X | X |  |
| &nbsp;&nbsp;&nbsp; Passive foreign investment company transactions | X | X | X | X | X | X |  | X | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Post-October capital losses |  |  |  |  |  |  |  |  | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Redemption in-kind transactions |  |  |  |  |  |  | X |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. federal tax equalization utilized |  |  |  |  |  |  | X |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Late Year Ordinary / Post October Loss Deferral |  |  |  | X |  |  |  |  |  |  |  |  |  |

---

The tax character of distributions declared by each Fund to shareholders is as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Tax year ended February 28, 2026** | **Tax year ended February 28, 2026** | **Tax year ended February 28, 2026** | **Tax year ended February 28, 2025** | **Tax year ended February 28, 2025** | **Tax year ended February 28, 2025** |
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Ordinary<br>Income<br>(including**<br> **any net**<br> **short-term<br>capital gain) ($)** | **Net Long-Term<br>Capital**<br> **Gain ($)** | **Total<br>Distributions ($)** | **Ordinary<br>Income<br>(including**<br> **any net**<br> **short-term<br>capital gain) ($)** | **Net Long-Term<br>Capital**<br> **Gain ($)** | **Total<br>Distributions ($)** |
| &nbsp;&nbsp;&nbsp; Climate Change Fund | 7400590 |  | 7400590 | 3702200 |  | 3702200 |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund | 3600505 | 3753369 | 7353874 | 15351650 | 8349738 | 23701388 |
| &nbsp;&nbsp;&nbsp; Emerging Markets Fund | 23644187 |  | 23644187 | 19689850 |  | 19689850 |
| &nbsp;&nbsp;&nbsp; International Equity Fund | 57689495 |  | 57689495 | 39754211 |  | 39754211 |
| &nbsp;&nbsp;&nbsp; International Opportunistic Value Fund | 34283471 | 32274270 | 66557741 | 28371407 | 6794368 | 35165775 |
| &nbsp;&nbsp;&nbsp; Japan Value Creation Fund | 9049385 | 2096416 | 11145801 | 4436420 |  | 4436420 |
| &nbsp;&nbsp;&nbsp; Quality Fund | 204947226 | 1039667377 | 1244614603 | 126361984 | 378229602 | 504591586 |
| &nbsp;&nbsp;&nbsp; Resource Transition Fund | 5145265 |  | 5145265 | 2705105 |  | 2705105 |
| &nbsp;&nbsp;&nbsp; Resources Fund | 47022183 |  | 47022183 | 52098219 |  | 52098219 |
| &nbsp;&nbsp;&nbsp; Small Cap Quality Fund | 1307680 | 1668495 | 2976175 | 9535304 | 15295112 | 24830416 |
| &nbsp;&nbsp;&nbsp; U.S. Equity Fund | 3667418 | 19581351 | 23248769 | 9425164 | 12020897 | 21446061 |
| &nbsp;&nbsp;&nbsp; U.S. Opportunistic Value Fund | 19136594 | 26488507 | 45625101 | 39812446 | 20846507 | 60658953 |
| &nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund | 621012 | 568119 | 1189131 | 600026 |  | 600026 |

---

Distributions in excess of a Fund's tax basis earnings and profits, if significant, are reported in the Funds' financial statements as a return of capital.

115.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
As of February 28, 2026, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Undistributed<br>Ordinary<br>Income<br>(including any<br>net short-term<br>capital gain) ($)** | **Undistributed<br>Net Long-Term<br>Capital Gain ($)** | **Late-Year<br>Ordinary Loss<br>Deferral ($)** | **Capital Loss<br>Carryforwards ($)** | **Post-October<br>Capital Losses<br>Deferral ($)** |
| &nbsp;&nbsp;&nbsp; Climate Change Fund | 4297275 |  |  | (153422560) |  |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund | 4714290 |  |  | (26446489) |  |
| &nbsp;&nbsp;&nbsp; Emerging Markets Fund | 15114152 |  |  | (1435601266) |  |
| &nbsp;&nbsp;&nbsp; International Equity Fund |  |  | (24436485) | (641989190) |  |
| &nbsp;&nbsp;&nbsp; International Opportunistic Value Fund | 5766628 | 12018974 |  |  |  |
| &nbsp;&nbsp;&nbsp; Japan Value Creation Fund | 5331749 | 4504571 |  |  |  |
| &nbsp;&nbsp;&nbsp; Quality Fund | 89941805 | 244420899 |  |  |  |
| &nbsp;&nbsp;&nbsp; Resource Transition Fund | 2383032 |  |  | (72601062) |  |
| &nbsp;&nbsp;&nbsp; Resources Fund | 17918024 |  |  | (147127738) | (5133937) |
| &nbsp;&nbsp;&nbsp; Small Cap Quality Fund | 2267239 | 20515557 |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Equity Fund | 5120066 | 10488345 |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Opportunistic Value Fund | 8421952 | 10998891 |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund | 1292594 | 2478755 |  |  |  |

---

As of February 28, 2026, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2026, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds' capital loss carryforwards are as follows:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Short-Term ($)** | **Long-Term ($)** |
| &nbsp;&nbsp;&nbsp; Climate Change Fund | (1987830) | (151434730) |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund | (5150065) | (21296424) |
| &nbsp;&nbsp;&nbsp; Emerging Markets Fund | (163742980) | (1271858286) |
| &nbsp;&nbsp;&nbsp; International Equity Fund | (641989190) |  |
| &nbsp;&nbsp;&nbsp; International Opportunistic Value Fund |  |  |
| &nbsp;&nbsp;&nbsp; Japan Value Creation Fund |  |  |
| &nbsp;&nbsp;&nbsp; Quality Fund |  |  |
| &nbsp;&nbsp;&nbsp; Resource Transition Fund | (58008020) | (14593042) |
| &nbsp;&nbsp;&nbsp; Resources Fund | (21683615) | (125444123) |
| &nbsp;&nbsp;&nbsp; Small Cap Quality Fund |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Equity Fund |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Opportunistic Value Fund |  |  |
| &nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund |  |  |

---

116.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
As of February 28, 2026, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments, for U.S. federal income tax purposes were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Total Investments** | **Total Investments** | **Total Investments** | **Total Investments** | **Outstanding<br>Financial<br>Instruments** |
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Aggregate<br>Cost ($)** | **Gross Unrealized<br>Appreciation ($)** | **Gross Unrealized**<br> (Depreciation) ($) | **Net Unrealized<br>Appreciation<br>(Depreciation) ($)** | **Net Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| &nbsp;&nbsp;&nbsp; Climate Change Fund | 641625694 | 89408137 | (105514790) | (16106653) |  |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund | 144383609 | 31233594 | (77607407) | (46373813) |  |
| &nbsp;&nbsp;&nbsp; Emerging Markets Fund | 766113809 | 149469813 | (388816718) | (239346905) |  |
| &nbsp;&nbsp;&nbsp; International Equity Fund | 871256155 | 291316294 | (15151562) | 276164732 |  |
| &nbsp;&nbsp;&nbsp; International Opportunistic Value Fund | 240180949 | 99198320 | (2065464) | 97132856 |  |
| &nbsp;&nbsp;&nbsp; Japan Value Creation Fund | 219205067 | 74751043 | (952620) | 73798423 |  |
| &nbsp;&nbsp;&nbsp; Quality Fund | 6981857203 | 5519761468 | (349297559) | 5170463909 |  |
| &nbsp;&nbsp;&nbsp; Resource Transition Fund | 187276667 | 33337512 | (40066115) | (6728603) |  |
| &nbsp;&nbsp;&nbsp; Resources Fund | 1330775946 | 273729342 | (342724159) | (68994817) |  |
| &nbsp;&nbsp;&nbsp; Small Cap Quality Fund | 626779096 | 100986831 | (39690610) | 61296221 |  |
| &nbsp;&nbsp;&nbsp; U.S. Equity Fund | 183264336 | 36927656 | (4484745) | 32442911 |  |
| &nbsp;&nbsp;&nbsp; U.S. Opportunistic Value Fund | 284935489 | 44218043 | (10003665) | 34214378 |  |
| &nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund | 37990745 | 8203169 | (2631389) | 5571780 |  |

---

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds' understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds' U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 28, 2026, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

#### Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds' policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

117.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
During the year ended February 28, 2026, the Funds did not recognize dividends or foreign withholding taxes on local Russian shares, if any, due to restrictions imposed by the Russian government on dividend payments received by foreign shareholders like the Funds. The ruble balances, which have not been recorded to date, could be material to the Funds. At this time, no assurance can be given regarding the future payment of outstanding dividends by Russian issuers, the time period during which such Russia's restrictions will remain in place, or on the future ability of foreign shareholders to claim or otherwise gain control over or access to dividends paid.

Proceeds from litigation settlements, if any, are included in the Statements of Operations within Net realized gain (loss).

#### Expenses and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).

#### Custodian, Fund Accounting Agent and Transfer Agent
State Street serves as the Funds' custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

#### Other matters — Emerging Markets Fund ("EMF")
Indian regulators alleged in 2002 that EMF violated some conditions under which it was granted permission to operate in India and have restricted some of EMF's locally held assets pending resolution of the dispute. Although these locally held assets remain the property of EMF, a portion of the assets are not permitted to be withdrawn from EMF's local custodial account located in India. The amount of restricted assets was INR 262,800,000 (equivalent to $2,888,666) as of February 28, 2026 and is included in Foreign currency within the Statements of Assets and Liabilities. In recognition of the potential liability and based on management's estimate of that liability having consulted with counsel, a portion of that amount (INR 65,700,000, equivalent to $722,166) is included as a Miscellaneous payable within the Statements of Assets and Liabilities. Any costs in respect of this matter will be borne by EMF.

#### Segment reporting
The Officers of the Funds act as the Funds' chief operating decision maker ("CODM") assessing performance and making decisions about resource allocation. The CODM has determined that each Fund operates as a single segment. The CODM monitors the operating results of each Fund as a whole and each Fund makes investments in accordance with its investment objective as outlined in its prospectus. The financial information used by the CODM is consistent with that presented in each Fund's Schedule of Investments, Statement of Changes in Net Assets and Financial Highlights.

The accounting policies of the segment are the same as those described in Note 2. Significant accounting policies. The financial statements include all the details of the segment assets, segment revenue and expenses, and reflect the financial results of the segment.

#### Recently-issued accounting guidance
In December 2023, the Financial Accounting Standards Board ("FASB") issued a new Accounting Standards Update ASU 2023-09, "*Income Taxes (Topic 740) – Improvements to Income Tax Disclosures*" ("ASU 2023-09"). The purpose of ASU 2023-09 is to enhance the transparency of income tax disclosures, including the requirement to disclose income taxes paid disaggregated by jurisdictions. The amendments in ASU 2023-09 are effective for annual periods beginning after December 15, 2024, with early adoption permitted. Adoption of the new standard impacted financial statement disclosures only and did not affect the Funds' financial position or results of operations.

118.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
**3.** **Investment and other risks** 

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | ![LOGO](g12033dsp118a.jpg)  | ![LOGO](g12033dsp122b.jpg)  | ![LOGO](g12033dsp122c.jpg)  | ![LOGO](g12033dsp122d.jpg)  | <br> ![LOGO](g12033dsp122e.jpg)  | ![LOGO](g12033dsp122f.jpg)  | ![LOGO](g12033dsp122g.jpg)  | ![LOGO](g12033dsp122h.jpg)  | ![LOGO](g12033dsp122i.jpg)  | ![LOGO](g12033dsp122j.jpg)  | ![LOGO](g12033dsp122k.jpg)  | ![LOGO](g12033dsp122l.jpg)  | ![LOGO](g12033dsp122m.jpg)  |
| &nbsp;&nbsp;&nbsp; Market Risk – Equities | X | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Management and Operational Risk | X | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Focused Investment Risk | X | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Smaller Company Risk | X | X | X | X | X | X |  | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Illiquidity Risk | X | X | X | X | X | X |  | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Non-U.S. Investment Risk | X | X | X | X | X | X | X | X | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Currency Risk | X | X | X | X | X | X | X | X | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Derivatives and Short Sales Risk | X | X | X | X | X |  | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Counterparty Risk | X | X | X | X | X |  | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Leveraging Risk | X | X | X | X | X |  | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Large Transactions Risk | X | X | X | X | X | X |  | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Commodities Risk | X |  |  |  |  |  |  | X | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Value Investing Risk |  |  |  |  | X | X |  |  |  |  |  | X | X |
| &nbsp;&nbsp;&nbsp; Fund of Funds Risk |  | X | X |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Non-Diversified Funds |  |  |  |  |  |  |  | X |  |  |  |  |  |

---

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds' prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds or other investment companies (collectively, "Underlying Funds") are exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly and indirectly by the Fund.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **MARKET RISK — EQUITIES.** The market price of an equity in a Fund's portfolio may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline (for example, if GMO's assessment proves to be incorrect or the market fails to recognize the equity's intrinsic value). A Fund also may purchase

119.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations and interest rates than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund's shares.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **MANAGEMENT AND OPERATIONAL RISK.** Each Fund runs the risk that GMO's investment techniques will fail to produce intended results. For many Funds, GMO uses quantitative models as part of its investment process. GMO's models may not accurately predict future market movements. In addition, GMO's models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO's assessment of an investment, including a security's fundamental fair (or intrinsic) value, is wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **FOCUSED INVESTMENT RISK.** Investments in countries, regions, asset classes, sectors, industries, currencies or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **MARKET DISRUPTION AND GEOPOLITICAL RISK.** Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism, diplomatic tensions, dramatic changes in regulatory and/or foreign policy, cyberattacks and rapid technological developments such as artificial intelligence) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds' investments.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **SMALLER COMPANY RISK.** Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **ILLIQUIDITY RISK.** Low trading volume, lack of a market maker, large position size or legal restrictions increase the risk that a Fund or an underlying fund is limited or prevented from selling particular securities or closing derivative positions at desirable prices at a particular time or at all.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **NON-U.S. INVESTMENT RISK.** The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund is subject to taxation by countries other than the United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, a Fund needs a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund's investments. The risks above (such as substantial price fluctuations and market instability, illiquidity and lack of regulation) and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of issuers tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or commodities, and often are more volatile than the economies of developed countries.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **CURRENCY RISK.** Fluctuations in exchange rates can adversely affect the market value of a Fund's foreign currency holdings and investments denominated in foreign currencies.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **DERIVATIVES AND SHORT SALES RISK.** The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange

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#### February 28, 2026
rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. A Fund typically creates short investment exposure by selling securities short or by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of a Fund's shares will be adversely affected if the equities or other assets that are the subject of a Fund's short exposures appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities is theoretically unlimited.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **COUNTERPARTY RISK.** A Fund runs the risk that the counterparty to a derivatives contract or a clearing member used by the Fund to hold a cleared derivatives contract is unable or unwilling to make timely settlement payments, return the Fund's collateral or otherwise honor its obligations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **LEVERAGING RISK**. The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund's losses when the value of its investments (including derivatives) declines. In addition, a Fund's portfolio will be leveraged if it exercises its right to delay payment on a redemption and the value of the Fund's assets declines between the time a redemption request is treated as being received by the Fund and the time the Fund liquidates assets to fund that redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **LARGE TRANSACTIONS RISK.** To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder or group will require the Fund to sell investments at disadvantageous prices, disrupt the Fund's operations, lead to temporary overexposure to the Fund's intended investment program or force the Fund's liquidation. A Fund may also be subject to these effects when a number of shareholders collectively redeem a large amount of Fund shares.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **COMMODITIES RISK.** Commodity prices can be extremely volatile, and exposure to commodities can cause the net asset value of a Fund's shares to decline, fluctuate significantly in a rapid and unpredictable manner or fluctuate significantly more than if a Fund had a broader range of investments.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **VALUE INVESTING RISK.** Issuers whose securities GMO believes are undervalued may not realize their business potential, may never be recognized by the market as being undervalued and/or may be appropriately priced notwithstanding GMO's assessment. These and other factors may cause the price of value stocks to decline, resulting in losses to a Fund.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **FUND OF FUNDS RISK.** A Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds will not perform as expected.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **NON-DIVERSIFIED FUNDS.** Resource Transition Fund is not a "diversified" investment company within the meaning of the 1940 Act. This means it is allowed to invest in the securities of a relatively small number of issuers. As a result, poor performance by a single investment is likely to have a greater impact on its performance.

**4.** **Derivative financial instruments** 

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices to increase, decrease or adjust elements of the investment exposures of a Fund's portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to securities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by "equitizing" its cash balances using futures contracts or other types of derivatives. The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

A Fund also may use currency derivatives in an attempt to reduce some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

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#### February 28, 2026
The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of stocks of companies in a particular sector and GMO believes that stocks of companies in another sector will outperform those stocks, the Fund might use a short futures contract on an appropriate index (to synthetically "sell" a portion of the Fund's portfolio) in combination with a long futures contract on another index (to synthetically "buy" exposure to that index). In adjusting their investment exposures, the Funds also may use currency derivatives in an attempt to adjust their currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currencies in which their equities are traded.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

Each of the Funds may have investment exposures in excess of its net assets (i.e. the Fund may be leveraged).

A Fund's foreign currency exposure may differ significantly from the currencies in which its equities are traded.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be (or are capable of being) transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of notice to a Fund, a clearing member at any time can require termination of existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy and any increase in margin held by a clearing member could expose a Fund to greater credit risk to its clearing member. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund's behalf. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and/or loss of hedging protection.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See "Investment and other risks" above for further information.

For Funds that held derivatives during the year ended February 28, 2026, the following table shows how the Fund used these derivatives (marked with an X):

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Type of Derivative and Objective for Use** | **Emerging** <br> **Markets Fund**  | **U.S. Equity** <br> **Fund**  | **U.S. Small** <br> **Cap Value** <br> **Fund**  |
| &nbsp;&nbsp;&nbsp; **Futures contracts** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust exposure to certain securities markets | X | X | X |
| &nbsp;&nbsp;&nbsp;&nbsp; Maintain the diversity and liquidity of the portfolio |  | X | X |

---

#### Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund's futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for

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#### February 28, 2026
as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded in the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

\*\*\*\*

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure.

**The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2026 and the Statements of Operations for the year ended February 28, 2026^:** 

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the "Investment and other risks" and "Portfolio valuation" sections for a further discussion of risks.

---

| | |
|:---|:---|
|  | <br> **Equity <br>Contracts**  |
| &nbsp;&nbsp;&nbsp; **Emerging Markets Fund** |  |
| &nbsp;&nbsp;&nbsp; **Asset Derivatives** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Futures Contracts¤ | $124595 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $124595 |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $1375825 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $1375825 |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $334113 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $334113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> **U.S. Equity Fund** |  |
| &nbsp;&nbsp;&nbsp; **Liability Derivatives** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Futures Contracts¤ | $(69) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(69) |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $410950 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $410950 |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $18335 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $18335 |

---

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#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | |
|:---|:---|
|  | <br> **Equity <br>Contracts**  |
| &nbsp;&nbsp;&nbsp; **U.S. Small Cap Value Fund** |  |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $4210 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $4210 |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $15589 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15589 |

---

---

| | |
|:---|:---|
| ^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds' investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.  |

---

---

| | |
|:---|:---|
| ¤ | The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Year end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.  |

---

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, "Master Agreements") that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty's affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund's operations. For more information about other uncertainties and risks, see "Investments and other risks" above.

For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. For financial reporting purposes, the Funds' Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at February 28, 2026, if any.

The average derivative activity of notional amounts (futures contracts), based on absolute values, at each month-end, was as follows for the year ended February 28, 2026:

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | <br> **Futures** <br> **Contracts ($)**  |
| &nbsp;&nbsp;&nbsp; Emerging Markets Fund | 8299145 |
| &nbsp;&nbsp;&nbsp; U.S. Equity Fund | 711468 |
| &nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund | 33308 |

---

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#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
**5.** **Fees and other transactions with affiliates** 

GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund's average daily net assets set forth in the table below:

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | ![LOGO](g12033dsp118a.jpg)  | ![LOGO](g12033dsp122b.jpg)  | ![LOGO](g12033dsp122c.jpg)  | ![LOGO](g12033dsp122d.jpg)  | <br> ![LOGO](g12033dsp122e.jpg)  | ![LOGO](g12033dsp122f.jpg)  | ![LOGO](g12033dsp122g.jpg)  | ![LOGO](g12033dsp122h.jpg)  | ![LOGO](g12033dsp122i.jpg)  | ![LOGO](g12033dsp122j.jpg)  | ![LOGO](g12033dsp122k.jpg)  | ![LOGO](g12033dsp122l.jpg)  | ![LOGO](g12033dsp122m.jpg)  |
| &nbsp;&nbsp;&nbsp; Management Fee | 0.60% | 0.55% | 0.65% | 0.50% | 0.50% | 0.50% | 0.33% | 0.80% | 0.50% | 0.60% | 0.31% | 0.31% | 0.31% |

---

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly at the annual rate equal to the percentage of each applicable Class's average daily net assets set forth in the table below:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Class II** | **Class III** | **Class IV** | **Class V** | **Class VI** | **Class R6** | **Class I** |
| &nbsp;&nbsp;&nbsp; Climate Change Fund |  | 0.15% | 0.10%\* | 0.085%\* | 0.055%\* | 0.15% | 0.15% |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund | 0.22%\* | 0.15% | 0.105%\* | 0.085%\* | 0.055% | 0.22%\* | 0.22%\* |
| &nbsp;&nbsp;&nbsp; Emerging Markets Fund | 0.22% | 0.15% | 0.105%\* | 0.085%\* | 0.055% | 0.22% | 0.22% |
| &nbsp;&nbsp;&nbsp; International Equity Fund | 0.22%\* | 0.15% | 0.09% |  |  | 0.22%\* | 0.22% |
| &nbsp;&nbsp;&nbsp; International Opportunistic Value Fund |  | 0.15% | 0.10% |  |  | 0.15% | 0.15% |
| &nbsp;&nbsp;&nbsp; Japan Value Creation Fund |  | 0.15% | 0.10%\* | 0.085%\* | 0.055% | 0.15%\* | 0.15% |
| &nbsp;&nbsp;&nbsp; Quality Fund |  | 0.15% | 0.105% | 0.085%\* | 0.055% | 0.15% | 0.15% |
| &nbsp;&nbsp;&nbsp; Resource Transition Fund |  | 0.15%\* | 0.10%\* | 0.085%\* | 0.055% | 0.15%\* | 0.15%\* |
| &nbsp;&nbsp;&nbsp; Resources Fund |  | 0.15% | 0.10% | 0.085%\* | 0.055% | 0.15% | 0.15% |
| &nbsp;&nbsp;&nbsp; Small Cap Quality Fund |  | 0.15% | 0.10% | 0.085%\* | 0.055% | 0.15% | 0.15% |
| &nbsp;&nbsp;&nbsp; U.S. Equity Fund |  | 0.15% | 0.10%\* | 0.085%\* | 0.055% | 0.15%\* | 0.15%\* |
| &nbsp;&nbsp;&nbsp; U.S. Opportunistic Value Fund |  | 0.15% | 0.10%\* | 0.085%\* | 0.055% | 0.15% | 0.15% |
| &nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund |  | 0.15%\* | 0.10%\* | 0.085%\* | 0.055% | 0.15%\* | 0.15%\* |

---

\* Class is offered but has no shareholders as of February 28, 2026.

GMO has contractually agreed to reimburse Emerging Markets Fund for "Specified Operating Expenses" (as defined below). For U.S. Opportunistic Value Fund, International Equity Fund, International Opportunistic Value Fund, Japan Value Creation Fund and U.S. Equity Fund, GMO has contractually agreed to reimburse the Funds for the portion of their "Specified Operating Expenses" (as defined below) that exceed 0.02% of each Fund's average daily net assets. For Resources Fund and U.S. Small Cap Value Fund, GMO has contractually agreed to reimburse the Funds for the portion of their "Specified Operating Expenses" (as defined below) that exceed 0.10% of each Fund's average daily net assets. Any such reimbursements are paid to a Fund concurrently with the Fund's payment of management fees to GMO.

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#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
Subject to the exclusions noted below, "Specified Operating Expenses" means: audit expenses, fund accounting and administration expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Emerging Markets Fund, "Specified Operating Expenses" does not include custody expenses.

With respect to Climate Change Fund, Emerging Markets ex-China Fund, Quality Fund, Resource Transition Fund and Small Cap Quality Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse each Fund to the extent that the Fund's total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares (each, an "Expense Cap"). The Expense Cap for Climate Change Fund is 0.77% for Class III shares; 0.72% for Class IV shares; 0.705% for Class V shares; 0.675% for Class VI shares; 0.77% for Class R6 shares; and 0.77% for Class I shares. The Expense Cap for Emerging Markets ex-China Fund is 0.85% for Class II shares; 0.80% for Class III shares; 0.75% for Class IV shares; 0.70% for Class V shares; 0.67% for Class VI shares; 0.85% for Class R6 shares; and 0.85% for Class I shares. The Expense Cap for Quality Fund is 0.50% for Class III shares; 0.455% for Class IV shares; 0.435% for Class V shares; 0.405% for Class VI shares; 0.50% for Class R6 shares; and 0.50% for Class I shares. The Expense Cap for Resource Transition Fund is 0.95% for Class III shares; 0.90% for Class IV shares; 0.885% for Class V shares; 0.855% for Class VI shares; 0.95% for Class R6 shares; and 0.95% for Class I shares. The Expense Cap for Small Cap Quality Fund is 0.75% for Class III shares; 0.70% for Class IV shares; 0.685% for Class V shares; 0.655% for Class VI shares; 0.75% for Class R6 shares; and 0.75% for Class I shares. Fees and expenses of the "non-interested" Trustees and legal counsel to the "non-interested" Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, borrowing and borrowing-related costs (such as expenses incurred in establishing and maintaining a credit facility), taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund's business (collectively, "Excluded Expenses"), are excluded from the Expense Cap.

GMO is permitted to recover from Climate Change Fund, Emerging Markets ex-China Fund, Resources Fund and U.S. Small Cap Value Fund on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund's total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Caps set forth above or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses.

For the year ended February 28, 2026, GMO did not recoup any previously recorded waivers and/or reimbursements.

On February 28, 2026, the waivers and/or reimbursements subject to possible future recoupment are as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Expiring the<br>year ending<br> February 28, <br>2027** | **Expiring the<br>year ending<br> February 29, <br>2028** | **Expiring the<br>year ending<br> February 28, <br>2029** |
| &nbsp;&nbsp;&nbsp; Climate Change Fund, Class III | $143124 | $158309 | $66782 |
| &nbsp;&nbsp;&nbsp; Climate Change Fund, Class R6 | $76390 | $82283 | $56772 |
| &nbsp;&nbsp;&nbsp; Climate Change Fund, Class I | $140261 | $93024 | $22515 |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund, Class III | $34737 | $217983 | $101705 |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund, Class VI | $310278 | $300320 | $124766 |
| &nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund, Class VI | $52412 | $61347 | $71332 |

---

126.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
For each Fund that pays GMO a management fee and shareholder service fee, GMO has contractually agreed to waive or reduce the Fund's management fees and shareholder service fees, to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund's direct or indirect investments in other series of GMO Trust and GMO-managed ETFs. Management fees and shareholder service fees will not be waived below zero.

In addition, for Emerging Markets Fund, GMO has contractually agreed to waive the shareholder service fees charged to each class of shares of the Fund to the extent necessary to prevent the shareholder service fees paid by the class from exceeding the following amounts of the class's average daily net assets: 0.20% for Class II shares, 0.15% for Class III shares, 0.10% for Class IV shares, 0.05% for Class V shares, 0.02% for Class VI shares, 0.20% for Class R6 shares and 0.20% for Class I shares.

GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares of each Fund, except Emerging Markets Fund and Small Cap Quality Fund, to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.15% of such Fund's average daily net assets attributable to Class I shares.

For Emerging Markets Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.10% of the average daily net assets attributable to Class I shares.

For Small Cap Quality Fund, GMO has voluntarily determined to waive its fees with respect to and/or reimburse Class I shares for all amounts paid by the Fund out of the net assets attributable to Class I shares to financial intermediaries for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders.

These contractual waivers and reimbursements will continue through at least June 30, 2026 for each Fund unless the Funds' Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund's management contract or servicing and supplemental support agreement.

#### Sub-Transfer Agent/Recordkeeping Payments
Class II, III, IV, V, VI and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI or Class R6 shares. These payments create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund's Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds' portion of the fees paid by the Trust to the Trust's independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2026 is shown in the table below and is included in the Statements of Operations.

127.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | <br> **Independent Trustees and<br>their legal counsel ($)** |
| &nbsp;&nbsp;&nbsp; Climate Change Fund | 31725 |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund | 4751 |
| &nbsp;&nbsp;&nbsp; Emerging Markets Fund | 29561 |
| &nbsp;&nbsp;&nbsp; International Equity Fund | 70929 |
| &nbsp;&nbsp;&nbsp; International Opportunistic Value Fund | 24322 |
| &nbsp;&nbsp;&nbsp; Japan Value Creation Fund | 13098 |
| &nbsp;&nbsp;&nbsp; Quality Fund | 760500 |
| &nbsp;&nbsp;&nbsp; Resource Transition Fund | 7601 |
| &nbsp;&nbsp;&nbsp; Resources Fund | 90374 |
| &nbsp;&nbsp;&nbsp; Small Cap Quality Fund | 38043 |
| &nbsp;&nbsp;&nbsp; U.S. Equity Fund | 12822 |
| &nbsp;&nbsp;&nbsp; U.S. Opportunistic Value Fund | 25302 |
| &nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund | 2453 |

---

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2026, none of the Funds had indirect fees and expenses greater than 0.01% of the Fund's average daily net assets.

The Funds are permitted to purchase or sell securities from or to other GMO Trust funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another GMO Trust fund complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2026, the Funds did not engage in these transactions.

**6.** **Purchases and sales of securities** 

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2026 are noted in the table below:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Purchases ($)** | **Purchases ($)** | **Sales ($)** | **Sales ($)** |
| &nbsp;&nbsp;&nbsp;**Fund Name** | **U.S. Government** <br> **Securities**  | **Investments (Non-U.S.** <br> **Government Securities)**  | **U.S. Government** <br> **Securities**  | **Investments (Non-U.S.** <br> **Government Securities)**  |
| &nbsp;&nbsp;&nbsp; Climate Change Fund |  | 358251141 |  | 500485400 |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund |  | 72950964 |  | 83155066 |
| &nbsp;&nbsp;&nbsp; Emerging Markets Fund |  | 480478970 |  | 508768641 |
| &nbsp;&nbsp;&nbsp; International Equity Fund | 1300556 | 1107316384 | 2599796 | 1404458325 |
| &nbsp;&nbsp;&nbsp; International Opportunistic Value Fund |  | 226827141 |  | 422190479 |
| &nbsp;&nbsp;&nbsp; Japan Value Creation Fund |  | 141702323 |  | 119519203 |
| &nbsp;&nbsp;&nbsp; Quality Fund |  | 4329357545 |  | 4796942404 |
| &nbsp;&nbsp;&nbsp; Resource Transition Fund |  | 94354386 |  | 92050890 |
| &nbsp;&nbsp;&nbsp; Resources Fund |  | 1036171887 |  | 1776525838 |
| &nbsp;&nbsp;&nbsp; Small Cap Quality Fund |  | 629688474 |  | 421483256 |
| &nbsp;&nbsp;&nbsp; U.S. Equity Fund | 574138 | 220734950 | 943062 | 194138196 |
| &nbsp;&nbsp;&nbsp; U.S. Opportunistic Value Fund |  | 267927802 |  | 470841120 |
| &nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund |  | 37052511 |  | 36840409 |

---

128.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the year ended February 28, 2026. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;Fund Name | In-Kind<br>Purchases ($) | In-Kind<br>Sales ($) | <br> **Net realized gains/(losses)<br>attributed to redemption in-kind <br>transactions ($)** |
| &nbsp;&nbsp;&nbsp; Quality Fund | – | 292027332 | 161920694 |

---

**7.** **Guarantees** 

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds' indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

**8.** **Principal shareholders as of February 28, 2026** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Number of** <br> **shareholders that held** <br> **more than 10% of the** <br> **outstanding shares of** <br> **the Fund**  | <br> **Percentage of<br>outstanding shares of<br>the Fund held by those<br>shareholders owning<br>greater than 10% of the<br>outstanding shares of<br>the Fund** |
| &nbsp;&nbsp;&nbsp; Climate Change Fund | 1 | 41.55% |
| &nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund | 6# | 89.67% |
| &nbsp;&nbsp;&nbsp; Emerging Markets Fund | 4# | 58.18% |
| &nbsp;&nbsp;&nbsp; International Equity Fund | 4§ | 74.99% |
| &nbsp;&nbsp;&nbsp; International Opportunistic Value Fund | 4^ | 68.59% |
| &nbsp;&nbsp;&nbsp; Japan Value Creation Fund | 4# | 64.84% |
| &nbsp;&nbsp;&nbsp; Quality Fund |  |  |
| &nbsp;&nbsp;&nbsp; Resource Transition Fund | 1 | 99.89% |
| &nbsp;&nbsp;&nbsp; Resources Fund | 2 | 43.02% |
| &nbsp;&nbsp;&nbsp; Small Cap Quality Fund | 3 | 59.87% |
| &nbsp;&nbsp;&nbsp; U.S. Equity Fund | 4# | 86.99% |
| &nbsp;&nbsp;&nbsp; U.S. Opportunistic Value Fund | 4# | 76.70% |
| &nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund | 3# | 83.46% |

---

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

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

^ Four of the shareholders are other funds of the Trust.

129.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
**9.** **Share transactions** 

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds' shares were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended<br>February 28, 2026** | <br> **Year Ended<br>February 28, 2026** | **Year Ended<br>February 28, 2025** | **Year Ended<br>February 28, 2025** |
|  | <br> **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Climate Change Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 261397 | $5246437 | 5008636 | $111293372 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 116599 | 2903310 | 95719 | 1843543 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (7526970) | (150375431) | (4868798) | (103730953) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (7148974) | $(142225684) | 235557 | $9405962 |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 4914820 | $111403011 | 1488956 | $30404850 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 133375 | 3311707 | 51378 | 987487 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (1971629) | (36834928) | (872683) | (18094793) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) | 3076566 | $77879790 | 667651 | $13297544 |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 673227 | $13766145 | 2691000 | $56336938 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 38768 | 964154 | 33476 | 644084 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (4785138) | (87098863) | (7242428) | (152167231) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) | (4073143) | $(72368564) | (4517952) | $(95186209) |
| &nbsp;&nbsp;&nbsp; **Emerging Markets ex-China Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 41813 | $480436 | 70493 | $994799 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 214676 | 2902365 | 653429 | 8322886 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (438393) | (5809045) | (433039) | (6693436) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (181904) | $(2426244) | 290883 | $2624249 |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 209079 | $2661897 | 37850 | $580135 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 280142 | 3804046 | 1091933 | 14469210 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (751813) | (10103359) | (10535711) | (160156056) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) | (262592) | $(3637416) | (9405928) | $(145106711) |
| &nbsp;&nbsp;&nbsp; **Emerging Markets Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class II:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 981 | $32762 | 2150 | $51822 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 140821 | 4069998 | 149383 | 3571366 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (205602) | (5768033) | (763688) | (19078815) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (63800) | $(1665273) | (612155) | $(15455627) |

---

130.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended<br>February 28, 2026** | <br> **Year Ended<br>February 28, 2026** | **Year Ended<br>February 28, 2025** | **Year Ended<br>February 28, 2025** |
|  | <br> **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Emerging Markets Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 180 | $5386 |  | $— |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 96 | 2825 | 87 | 2101 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (189) | (6546) | (29) | (671) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 87 | $1665 | 58 | $1430 |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 788895 | $20981059 | 394904 | $9398872 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 390318 | 11145447 | 428380 | 10121736 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (2272026) | (64886611) | (3515048) | (84579421) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (1092813) | $(32760105) | (2691764) | $(65058813) |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 157081 | $4187923 | 96931 | $2390490 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 30409 | 878528 | 28004 | 668458 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (114467) | (3128388) | (81999) | (2011994) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 73023 | $1938063 | 42936 | $1046954 |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 1308884 | $32371960 | 664671 | $15933992 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 143255 | 4131960 | 102433 | 2449173 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (938700) | (24607434) | (858817) | (20980748) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 513439 | $11896486 | (91713) | $(2597583) |
| &nbsp;&nbsp;&nbsp; **International Equity Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 702465 | $21599465 | 1053461 | $26288605 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 697089 | 23057139 | 617636 | 15068214 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (4486311) | (141244262) | (2116051) | (52990442) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (3086757) | $(96587658) | (444954) | $(11633623) |
| &nbsp;&nbsp;&nbsp; **Class IV:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 6181936 | $188100609 | 2297727 | $57273047 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 993085 | 32750454 | 1006650 | 24519773 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (13938873) | (432719935) | (5079264) | (127266477) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (6763852) | $(211868872) | (1774887) | $(45473657) |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 1787608 | $60528323 | 81898 | $2027088 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 50865 | 1702539 | 6775 | 166224 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (219077) | (7766129) | (115371) | (2872567) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 1619396 | $54464733 | (26698) | $(679255) |

---

131.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended<br>February 28, 2026** | <br> **Year Ended<br>February 28, 2026** | **Year Ended<br>February 28, 2025** | **Year Ended<br>February 28, 2025** |
|  | <br> **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **International Opportunistic Value Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 80 | $1228 |  | $— |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 409747 | 6592534 | 178913 | 2539048 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (336646) | (5716363) | (1995448) | (30273533) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 73181 | $877399 | (1816535) | $(27734485) |
| &nbsp;&nbsp;&nbsp; **Class IV:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 4542116 | $75138305 | 3351298 | $49984148 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 3437879 | 55032975 | 2150926 | 30429281 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (16538607) | (272575344) | (3511066) | (51969609) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (8558612) | $(142404064) | 1991158 | $28443820 |
| &nbsp;&nbsp;&nbsp; **Class R6:<sup>(a)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 488 | $8965 | 1801572 | $27257783 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 287609 | 4618609 | 151969 | 2155735 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (568620) | (9326384) | (498883) | (7313043) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (280523) | $(4698810) | 1454658 | $22100475 |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 82972 | $1479689 |  | $— |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 12990 | 208289 | 360 | 5085 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (59827) | (966900) |  |  |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 36135 | $721078 | 360 | $5085 |
| &nbsp;&nbsp;&nbsp; **Japan Value Creation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 3198 | $66305 | 5041 | $100000 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 76872 | 1872465 | 35561 | 711451 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (78088) | (1840000) | (78827) | (1656764) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 1982 | $98770 | (38225) | $(845313) |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 1093849 | $26199222 | 2445870 | $49277281 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 268948 | 6546142 | 154118 | 3083177 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (2555970) | (60628647) | (831365) | (16709068) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (1193173) | $(27883283) | 1768623 | $35651390 |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 2500067 | $62228926 | 1291850 | $25850094 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 86988 | 2120068 | 22371 | 446427 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (141874) | (3449015) | (260968) | (5164032) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 2445181 | $60899979 | 1053253 | $21132489 |

---

132.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended<br>February 28, 2026** | <br> **Year Ended<br>February 28, 2026** | **Year Ended<br>February 28, 2025** | **Year Ended<br>February 28, 2025** |
|  | <br> **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Quality Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 8426688 | $289127005 | 11848016 | $397741264 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 10148469 | 351807945 | 3825109 | 128020109 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (18191233) | (625235913) | (20698389) | (689809806) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 383924 | $15699037 | (5025264) | $(164048433) |
| &nbsp;&nbsp;&nbsp; **Class IV:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 14406105 | $502625100 | 10575017 | $355329042 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 3284891 | 114277839 | 1925265 | 64629074 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (21568287)<sup>(b)</sup> | (747221290)<sup>(b)</sup> | (9760568) | (330386258) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (3877291) | $(130318351) | 2739714 | $89571858 |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 14963685 | $521176002 | 8076976 <sup>(c)</sup> | $271289108 <sup>(c)</sup> |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 8209790 | 284446985 | 4356062 | 145747640 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (20995207) | (716595216) | (9063046) | (303073229) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 2178268 | $89027771 | 3369992 | $113963519 |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 20952042 | $734019625 | 13333109 | $450116681 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 4677896 | 161859377 | 1842402 | 61534197 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (11905401)<sup>(d)</sup> | (390239812)<sup>(d)</sup> | (6026166) | (200261840) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 13724537 | $505639190 | 9149345 | $311389038 |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 13890077 | $475104651 | 18998547 | $620440995 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 4942772 | 170656597 | 2045265 | 68206502 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (12722716) | (436809916) | (12191694) | (408931497) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 6110133 | $208951332 | 8852118 | $279716000 |
| &nbsp;&nbsp;&nbsp; **Resource Transition Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 4069 | $50000 |  | $— |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 315660 | 5145265 | 221765 | 2705105 |
| &nbsp;&nbsp;&nbsp; Shares repurchased |  |  | (2350) | (26997) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 319729 | $5195265 | 219415 | $2678108 |
| &nbsp;&nbsp;&nbsp; **Resources Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 367006 | $7515199 | 1293867 | $26047776 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 308591 | 6626922 | 273127 | 5051506 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (2582642) | (50697057) | (1254397) | (25706932) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (1907045) | $(36554936) | 312597 | $5392350 |

---

133.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended<br>February 28, 2026** | <br> **Year Ended<br>February 28, 2026** | **Year Ended<br>February 28, 2025** | **Year Ended<br>February 28, 2025** |
|  | <br> **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Resources Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class IV:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold |  | $— | 124159 | $2700000 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 327038 | 6924035 | 677523 | 12473962 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (14617218) | (307425778) | (651909) | (12045271) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (14290180) | $(300501743) | 149773 | $3128691 |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 103235 | $2114248 | 297250 | $5921178 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 152338 | 3254067 | 142806 | 2636715 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (1372399) | (27951116) | (1143126) | (22920077) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (1116826) | $(22582801) | (703070) | $(14362184) |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 5743373 | $106473644 | 7442502 | $157856711 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 694812 | 14847713 | 813599 | 15036495 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (14670352) | (289696298) | (8622837) | (175102004) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (8232167) | $(168374941) | (366736) | $(2208798) |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 3137745 | $58869409 | 14738474 | $301146855 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 336074 | 7248257 | 388150 | 7282911 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (15693053) | (263716880) | (25387340) | (502203992) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (12219234) | $(197599214) | (10260716) | $(193774226) |
| &nbsp;&nbsp;&nbsp; **Small Cap Quality Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 345253 | $7615078 | 1713985 | $43475682 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 12793 | 300633 | 117989 | 3006708 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (24030) | (557475) | (144062) | (3432376) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 334016 | $7358236 | 1687912 | $43050014 |
| &nbsp;&nbsp;&nbsp; **Class IV:<sup>(e)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 6484484 | $140000000 |  | $— |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 34794 | 818084 |  |  |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 6519278 | $140818084 |  | $— |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 373739 | $8303978 | 11433 | $290030 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 11294 | 265837 | 137021 | 3479629 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (754485) | (17267428) | (601377) | (15393426) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (369452) | $(8697613) | (452923) | $(11623767) |
| &nbsp;&nbsp;&nbsp; **Class R6:<sup>(f)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 8253355 | $193176017 |  | $— |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 17189 | 413201 |  |  |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (168335) | (4087819) |  |  |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 8102209 | $189501399 |  | $— |

---

134.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended<br>February 28, 2026** | <br> **Year Ended<br>February 28, 2026** | **Year Ended<br>February 28, 2025** | **Year Ended<br>February 28, 2025** |
|  | <br> **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Small Cap Quality Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 3837277 | $86389210 | 8234698 | $201083257 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 42239 | 984532 | 650033 | 16509988 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (9007730) | (208471868) | (1249107) | (31004193) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (5128214) | $(121098126) | 7635624 | $186589052 |
| &nbsp;&nbsp;&nbsp; **U.S. Equity Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 680629 | $8762712 | 1545 | $22063 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 661855 | 9327069 | 717998 | 10060650 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (301604) | (4327816) | (248173) | (3573696) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 1040880 | $13761965 | 471370 | $6509017 |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 3689025 | $47635264 | 1412199 | $19393447 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 1004384 | 13882133 | 815805 | 11235311 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (2125836) | (28745475) | (1566409) | (22238255) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 2567573 | $32771922 | 661595 | $8390503 |
| &nbsp;&nbsp;&nbsp; **U.S. Opportunistic Value Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 2928849 | $67066441 |  | $— |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 230606 | 4736599 | 179151 | 4049858 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (98621) | (2150000) | (234193) | (5426411) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 3060834 | $69653040 | (55042) | $(1376553) |
| &nbsp;&nbsp;&nbsp; **Class IV:<sup>(g)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 859219 | $17457560 | 1457796 | $32884788 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (12223310) | (261497055) | (3028701) | (67000000) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (11364091) | $(244039495) | (1570905) | $(34115212) |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 591272 | $12484573 | 445038 | $9973618 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 769843 | 15788054 | 655148 | 14786369 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (964816) | (20590102) | (1791612) | (42230103) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 396299 | $7682525 | (691426) | $(17470116) |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 6752 | $142766 | 7705 | $176034 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 7844 | 157030 | 9768 | 220044 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (102331) | (2172347) | (8385) | (190260) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (87735) | $(1872551) | 9088 | $205818 |

---

135.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended<br>February 28, 2026** | <br> **Year Ended<br>February 28, 2026** | **Year Ended<br>February 28, 2025** | **Year Ended<br>February 28, 2025** |
|  | <br> **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **U.S. Opportunistic Value Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 298740 | $6396824 | 174180 | $4001872 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 363354 | 7435146 | 385310 | 8683205 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (544508) | (11644127) | (1084741) | (24384557) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 117586 | $2187843 | (525251) | $(11699480) |
| &nbsp;&nbsp;&nbsp; **U.S. Small Cap Value Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 68592 | $1590000 | 267104 | $5048374 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 51325 | 1189131 | 26871 | 600026 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (103469) | (2444728) | (388144) | (8201112) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 16448 | $334403 | (94169) | $(2552712) |

---

<sup>(a)</sup> The period under the heading "Year Ended February 28, 2025" represents the period from April 8, 2024 (commencement of operations) through February 28, 2025.

<sup>(b)</sup> 5,289,998 shares and $170,549,526 were redeemed in-kind. 

<sup>(c)</sup> 2,894,482 shares and $98,991,268 were purchased in-kind by an affiliate. 

<sup>(d)</sup> 4,154,508 shares and $121,477,806 were redeemed in-kind. 

<sup>(e)</sup> The period under the heading "Year Ended February 28, 2026" represents the period from March 31, 2025 (commencement of operations) through February 28, 2026.

<sup>(f)</sup> The period under the heading "Year Ended February 28, 2026" represents the period from April 29, 2025 (commencement of operations) through February 28, 2026.

<sup>(g)</sup> Class IV liquidated on February 23, 2026.

**10.** **Investments in affiliated companies and other Funds of the Trust** 

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer's voting securities or an investment in other funds of GMO Trust. A summary of the Funds' transactions involving companies that are or were affiliates during the year ended February 28, 2026 is set forth below:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income** | **Distributions<br>of Realized<br>Gains** | **Net<br>Realized<br>Gain (Loss)** | <br> **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp; **Climate Change Fund** | &nbsp;&nbsp;&nbsp; **Climate Change Fund** | &nbsp;&nbsp;&nbsp; **Climate Change Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $11565483 | $159063848 | $153676700 | $363679 | $— | $10906 | $(84) | $16963453 |
| &nbsp;&nbsp;&nbsp; **Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp; **Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp; **Emerging Markets ex-China Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $344450 | $6211916 | $6052000 | $11950 | $— | $1797 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $506163 |
| &nbsp;&nbsp;&nbsp; **Emerging Markets Fund** | &nbsp;&nbsp;&nbsp; **Emerging Markets Fund** | &nbsp;&nbsp;&nbsp; **Emerging Markets Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Anilana Hotels & Properties Ltd. | $316968 | $— | $— | $— | $— | $— | $(14594) | $302374 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 12532067 | 86562680 | 97122500 | 161800 |  | 30712 |  | 2002959 |
| &nbsp;&nbsp;&nbsp; Totals | $12849035 | $86562680 | $97122500 | $161800 | $— | $30712 | $(14594) | $2305333 |

---

136.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income** | **Distributions<br>of Realized<br>Gains** | **Net<br>Realized<br>Gain (Loss)** | <br> **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp; **International Equity Fund** | &nbsp;&nbsp;&nbsp; **International Equity Fund** | &nbsp;&nbsp;&nbsp; **International Equity Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $51870555 | $351100001 | $392650000 | $2101680 | $— | $71394 | $(73395) | $10318555 |
| &nbsp;&nbsp;&nbsp; **International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp; **International Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp; **International Opportunistic Value Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $2486 | $67850000 | $67837000 | $134760 | $— | $(5813) | $19 | $9692 |
| &nbsp;&nbsp;&nbsp; **Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp; **Japan Value Creation Fund** | &nbsp;&nbsp;&nbsp; **Japan Value Creation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $5739519 | $39859242 | $40250000 | $225207 | $— | $8586 | $(7786) | $5349561 |
| &nbsp;&nbsp;&nbsp; **Quality Fund** | &nbsp;&nbsp;&nbsp; **Quality Fund** | &nbsp;&nbsp;&nbsp; **Quality Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $51968777 | $1703300000 | $1574375000 | $6592794 | $— | $9932 | $3000 | $180906709 |
| &nbsp;&nbsp;&nbsp; **Resource Transition Fund** | &nbsp;&nbsp;&nbsp; **Resource Transition Fund** | &nbsp;&nbsp;&nbsp; **Resource Transition Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $1187313 | $29520492 | $26821654 | $93150 \* | $— | $165 | $(150) | $3886166 |
| &nbsp;&nbsp;&nbsp; **Resources Fund** | &nbsp;&nbsp;&nbsp; **Resources Fund** | &nbsp;&nbsp;&nbsp; **Resources Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $26840502 | $504200000 | $524253000 | $992800 | $— | $30244 | $(31855) | $6785891 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kosmos Energy Ltd. | 76344437 | 19393736 | 21934800 |  |  | (2474410) | (15127860) | 56201103 |
| &nbsp;&nbsp;&nbsp; Totals | $103184939 | $523593736 | $546187800 | $992800 | $— | $(2444166) | $(15159715) | $62986994 |
| &nbsp;&nbsp;&nbsp; **Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp; **Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp; **Small Cap Quality Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $9943792 | $86397888 | $76350000 | $622644 | $— | $7738 | $(6337) | $19993081 |
| &nbsp;&nbsp;&nbsp; **U.S. Equity Fund** | &nbsp;&nbsp;&nbsp; **U.S. Equity Fund** | &nbsp;&nbsp;&nbsp; **U.S. Equity Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $460172 | $13112767 | $12472398 | $52236 \* | $— | $67 | $— | $1100608 |
| &nbsp;&nbsp;&nbsp; **U.S. Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp; **U.S. Opportunistic Value Fund** | &nbsp;&nbsp;&nbsp; **U.S. Opportunistic Value Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $2208334 | $17177979 | $18257000 | $78930 | $— | $(200) | $— | $1129113 |
| &nbsp;&nbsp;&nbsp; **U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp; **U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp; **U.S. Small Cap Value Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $84397 | $2240001 | $2233000 | $5767 | $— | $168 | $(169) | $91397 |

---

\* 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 $1,417 and $117 in Resource Transition Fund and U.S. Equity Fund, respectively, during the period. 

137.0 ------

#### Report of Independent Registered Public Accounting Firm
**To the Board of Trustees of GMO Trust and Shareholders of GMO Climate Change Fund, GMO Emerging Markets ex-China Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO International Opportunistic Value Fund, GMO-Usonian Japan Value Creation Fund, GMO Quality Fund, GMO Resource Transition Fund, GMO Resources Fund, GMO Small Cap Quality Fund, GMO U.S. Equity Fund, GMO U.S. Opportunistic Value Fund and GMO U.S. Small Cap Value Fund** 

#### Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of GMO Climate Change Fund, GMO Emerging Markets ex-China Fund, GMO Emerging Markets Fund, GMO International Equity Fund, GMO International Opportunistic Value Fund, GMO-Usonian Japan Value Creation Fund, GMO Quality Fund, GMO Resource Transition Fund, GMO Resources Fund, GMO Small Cap Quality Fund, GMO U.S. Equity Fund, GMO U.S. Opportunistic Value Fund and GMO U.S. Small Cap Value Fund (thirteen of the funds constituting GMO Trust, hereafter collectively referred to as the "Funds") as of February 28, 2026, the related statements of operations for the year ended February 28, 2026, the statements of changes in net assets for each of the two years in the period ended February 28, 2026, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2026, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2026 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

#### Basis for Opinions
These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2026 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

April 24, 2026

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

------

#### GMO Trust Funds

#### Tax Information for the Tax Year Ended February 28, 2026 (Unaudited)
The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state specific requirements. Shareholders should consult their tax advisors.

With respect to distributable earnings on a tax basis, the Fund designates the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year ended February 28, 2026:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Dividend<br>Received<br>Deduction<br>(corporate<br>shareholders)<br>($)** | **Qualified<br>Dividend<br>Income** <br> **(non-corporate<br>shareholders)<br>($)** | **U.S.<br>Government<br>Obligation<br>Income**<br> **($)<sup>(1)</sup>** | **Interest-<br>Related<br>Dividend<br>Income<br>($)<sup>(2)</sup>** | **Short-Term<br> Capital Gain <br>Dividends ($)<sup>(2)</sup>** | **Long-Term<br>Capital Gain<br>Distributions<br>($)** | **Foreign<br>Taxes<br>Paid<br>($)<sup>(3)</sup>** | **Foreign<br>Source<br>Income<br>($)<sup>(3)</sup>** | **Section 199A<br>Dividend<br>Income<br>(non-corporate<br>shareholders)<br>($)<sup>(4)</sup>** | **Code<br>Section 163(j)<br>Interest-Related<br>Dividend<br>Income** <br> **($)<sup>(5)</sup>** |
| &nbsp;&nbsp;&nbsp;&nbsp; Climate Change Fund | 1048480 | 3574492 | 249922 | 291246 |  |  | 226798 | 3638654 |  | 291247 |
| &nbsp;&nbsp;&nbsp;&nbsp; Emerging Markets ex-China Fund |  | 1574012 |  |  | 1780809 | 3753369 | 513160 | 3693102 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Emerging Markets Fund |  | 7797934 |  |  |  |  | 2912191 | 19295649 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; International Equity Fund |  | 26672218 | 1494484 | 1942296 |  |  | 1948551 | 34563102 |  | 1942296 |
| &nbsp;&nbsp;&nbsp;&nbsp; International Opportunistic Value Fund |  | 11697886 |  | 145482 | 20875181 | 44293244 | 933423 | 15873270 |  | 145482 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan Value Creation Fund |  | 5132127 | 154216 | 233415 | 3392843 | 6600987 | 597116 | 5381478 |  | 233415 |
| &nbsp;&nbsp;&nbsp;&nbsp; Quality Fund | 102518836 | 152347655 | 4551197 | 5402066 | 171538938 | 1326024847 |  |  |  | 5402066 |
| &nbsp;&nbsp;&nbsp;&nbsp; Resource Transition Fund | 199345 | 1398652 |  |  |  |  | 148233 | 2692990 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Resources Fund | 5326735 | 24229532 |  |  |  |  | 1845389 | 32589374 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Small Cap Quality Fund | 4829601 | 5090106 | 429981 | 288568 | 2014453 | 22184052 |  |  |  | 288568 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Equity Fund | 3176409 | 3288872 |  |  | 5911627 | 30069696 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Opportunistic Value Fund | 9476255 | 9757477 |  |  | 16757886 | 37487398 |  |  | 163816 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Small Cap Value Fund | 722654 | 731993 |  |  | 1200103 | 3046874 |  |  | 57894 |  |

---

<sup>(1)</sup> All or a portion of these amounts may be exempt from taxation at the state level. 

<sup>(2)</sup> These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds' shareholders. If applicable, interest-related dividend amounts may include short-term capital gain distributions received from underlying funds. 

<sup>(3)</sup> The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds' shareholders.

<sup>(4)</sup> The Funds hereby designate the above qualified business income under Section 199A of the Code.

<sup>(5)</sup> The Funds hereby designate the above business interest-related dividend income pursuant to Section 163(j) of the Code and the regulations.

In early 2027, the Funds will notify applicable shareholders of amounts for use in preparing 2026 U.S. federal income tax forms.

------

### GMO Trust

### Annual Financial Statements and Other Information

### February 28, 2026

### Asset Allocation Bond Fund

### Emerging Country Debt Fund

### Emerging Country Debt Shares Fund

### High Yield Fund

### Opportunistic Income Fund

### U.S. Treasury Fund

------

For a free copy of the Funds' proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO's website at www.gmo.com or visit the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO's website at www.gmo.com and on the Securities and Exchange Commission's website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT which is available on the Commission's website at www.sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO's website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds' prospectus regarding specific principal risks for each Fund. General risks may include: market risk-fixed income investments, management and operational risk, market risk-asset backed securities, credit risk and derivatives risk.

------

#### **TABLE OF CONTENTS**

---

| | |
|:---|:---|
|  [Asset Allocation Bond Fund](#fin212033_1)<br>Schedule of Investments | 1 |
|  [Emerging Country Debt Fund](#fin212033_2)<br>Schedule of Investments | 3 |
|  [Emerging Country Debt Shares Fund](#fin212033_3)<br>Schedule of Investments | 16 |
|  [High Yield Fund](#fin212033_4)<br>Schedule of Investments | 17 |
|  [Opportunistic Income Fund](#fin212033_5)<br>Schedule of Investments | 22 |
|  [U.S. Treasury Fund](#fin212033_6)<br>Schedule of Investments | 35 |
|  [Portfolio, Counterparty and Currency Abbreviations](#fin212033_7) | 36 |
|  Fund Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Assets and Liabilities](#fin212033_8) | 37 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Operations](#fin212033_9) | 41 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Changes in Net Assets](#fin212033_10) | 43 |
|  [Financial Highlights](#fin212033_11) | 46 |
|  [Notes to Financial Statements](#fin212033_12) | 58 |
|  [Report of Independent Registered Public Accounting Firm](#fin212033_13) | 91 |
|  [Tax Information](#fin212033_14) | 92 |

---

------

#### GMO Asset Allocation Bond Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value† /<br>Shares** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 8.8%** | **DEBT OBLIGATIONS — 8.8%** |
|  | **U.S. Government — 8.8%** | **U.S. Government — 8.8%** |
| 3356000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 04/30/27 <sup>(a)</sup> | 3359996 |
| 4855000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 07/31/27 <sup>(a)</sup> | 4860836 |
| 1069000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.72%, due 01/31/28 | 1068951 |
|  | Total U.S. Government | 9289783 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $9,281,237) | 9289783 |
|  | **SHORT-TERM INVESTMENTS — 90.5%** | **SHORT-TERM INVESTMENTS — 90.5%** |
|  | **Money Market Funds — 1.8%** | **Money Market Funds — 1.8%** |
| 1952900 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 1952900 |
|  | **Repurchase Agreements — 88.7%** | **Repurchase Agreements — 88.7%** |
| 93999193 | Nomura Securities International, Inc. Repurchase Agreement, dated 02/27/26 maturing on 03/02/26 with a maturity value of $94,027,628 and an effective yield of 3.63%, collateralized by a U.S. Treasury Note with maturity date 07/31/27 and a market value of $95,981,520. | 93999193 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $95,952,093) | 95952093 |
|  | **TOTAL INVESTMENTS — 99.3%**<br> (Cost $105,233,330) | 105241876 |
|  | Other Assets and Liabilities (net) — 0.7% | 715581 |
|  | **TOTAL NET ASSETS — 100.0%** | $**105957457** |

---

1 See accompanying notes to the financial statements.

------

#### GMO Asset Allocation Bond Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
A summary of outstanding financial instruments at February 28, 2026 is as follows:

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of**<br>**Contracts +** | **Type** | **Expiration**<br>**Date** | **Notional**<br>**Amount ($)** | **Value/Net**<br>**Unrealized**<br>**Appreciation**<br>**(Depreciation) ($)** |
| Buys |  |  |  |  |
| 227 | U.S. Long Bond (CBT) | June 2026 | 26892406 | 209671 |
| 289 | U.S. Treasury Note 10 Yr.<br>(CBT) | June 2026 | 32891812 | 144448 |
| 121 | U.S. Treasury Note 2 Yr.<br>(CBT) | June 2026 | 25322086 | 49967 |
| 671 | U.S. Treasury Note 5 Yr.<br>(CBT) | June 2026 | 73904359 | 421211 |
| 242 | U.S. Treasury Ultra 10 Yr.<br>(CBT) | June 2026 | 28249719 | 160911 |
| 162 | U.S. Ultra Bond (CBT) | June 2026 | 19698188 | 164271 |
|  |  |  | $206958570 | $1150479 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of February 28, 2026, 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:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

&nbsp;&nbsp;&nbsp;&nbsp;(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, written options, repurchase agreements and/or reverse repurchase agreements, if any (Note 4).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 36.

See accompanying notes to the financial statements. 2

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **DEBT OBLIGATIONS — 94.8%** | **DEBT OBLIGATIONS — 94.8%** |
|  |  | **Albania — 0.9%** |  |
|  |  | **Corporate Debt — 0.8%** | **Corporate Debt — 0.8%** |
|  EUR | 17500000 | Delphos Securities SARL - Compartment Bernina, 7.63%, due 04/08/35 | &nbsp;&nbsp;&nbsp;&nbsp;19821407 |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  EUR | 2610000 | Albania Government International Bonds, Reg S, 4.75%, due 02/14/35 | 3161076 |
|  |  | Total Albania | 22982483 |
|  |  | **Angola — 0.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  | 5180000 | Angola Government International Bonds, Reg S, 9.38%, due 05/08/48 | 4668475 |
|  | 8520000 | Angola Government International Bonds, Reg S, 9.13%, due 11/26/49 | 7538130 |
|  |  | Total Angola | 12206605 |
|  |  | **Argentina — 3.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.2%** | **Sovereign and Sovereign Agency Issuers — 3.2%** |
|  EUR | 2735818 | Argentina Government International Bonds, Step Up, 4.00%, due 07/09/46 | 2214231 |
|  | 353740 | Argentina Republic Government International Bonds, 1.00%, due 07/09/29 | 300076 |
|  | 9276115 | Argentina Republic Government International Bonds, Step Up, 0.75%, due 07/09/30 | 7867305 |
|  JPY | 240236036 | Argentina Republic Government International Bonds, 4.33%, due 12/31/33 <sup>(a)</sup> | 261519 |
|  EUR | 7800000 | Argentina Republic Government International Bonds, Step Up, 3.88%, due 07/09/35 | 6855864 |
|  EUR | 12360000 | Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38 | 11318547 |
|  JPY | 246273000 | Argentina Republic Government International Bonds, 0.67%, due 12/31/38 <sup>(a)</sup> | 268091 |
|  EUR | 11268000 | Argentina Republic Government International Bonds, Step Up, 3.00%, due 07/09/41 | 9053704 |
|  | 722000 | Argentina Republic Government International Bonds, Step Up, 3.50%, due 07/09/41 | 506122 |
|  | 56055386 | Argentina Republic Government International Bonds, Step Up, 4.13%, due 07/09/46 | 39862387 |
|  |  | Total Argentina | 78507846 |
|  |  | **Armenia — 0.6%** |  |
|  |  | **Corporate Debt — 0.1%** | **Corporate Debt — 0.1%** |
|  | 3290000 | Ardshinbank CJSC Via Dilijan Finance BV, 144A, 6.60%, due 01/22/31 | 3335238 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Armenia — continued** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
| 4800000 | Republic of Armenia International Bonds, Reg S, 3.60%, due 02/02/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4422000 |
| 7200000 | Republic of Armenia International Bonds, Reg S, 6.75%, due 03/12/35 | 7627536 |
|  |  | 12049536 |
|  | Total Armenia | 15384774 |
|  | **Bahamas — 0.4%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
| 8270000 | Bahamas Government International Bonds, 144A, 8.25%, due 06/24/36 | 9255205 |
|  | **Bahrain — 2.3%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 2.3%** | **Sovereign and Sovereign Agency Issuers — 2.3%** |
| 4870000 | Bahrain Government International Bonds, 144A, 6.63%, due 10/06/37 | 4748226 |
| 4800000 | Bahrain Government International Bonds, 144A, 7.10%, due 02/03/38 <sup>(b)</sup> | 4819200 |
| 37296000 | Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44 | 32298709 |
| 17350000 | Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51 <sup>(b)</sup> | 15197559 |
|  | Total Bahrain | 57063694 |
|  | **Barbados — 0.6%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
| 14900000 | Barbados Government International Bonds, 144A, 8.00%, due 06/26/35 | 15972800 |
|  | **Belarus — 0.6%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
| 7504000 | Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 <sup>(c)</sup> | 4277280 |
| 13400000 | Republic of Belarus International Bonds, Reg S, 6.20%, due 02/28/30 <sup>(a) (c)</sup> | 10318000 |
|  | Total Belarus | 14595280 |
|  | **Bolivia — 0.3%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
| 7600000 | Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28 <sup>(b)</sup> | 7277000 |
|  | **Brazil — 4.4%** |  |
|  | **Corporate Debt — 1.7%** |  |
| 1657000 | Braskem America Finance Co., Reg S, 7.13%, due 07/22/41 | 643745 |
| 11010000 | Braskem Netherlands Finance BV, Reg S, 8.50%, due 01/12/31 | 4672644 |
| 33912000 | Braskem Netherlands Finance BV, Reg S, 8.00%, due 10/15/34 | 13897816 |
| 13375000 | Kinetics LNG Holdings Ltd., Reg S, 9.88%, due 11/13/29 | 13569199 |

---

3 See accompanying notes to the financial statements.

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **Brazil — continued** |  |
|  |  | **Corporate Debt — continued** | **Corporate Debt — continued** |
|  | 2960100 | Yinson Bergenia Production BV, 144A, 8.50%, due 01/31/45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3149176 |
|  | 6295061 | Yinson Boronia Production BV, Reg S, 8.95%, due 07/31/42 | 6923875 |
|  |  |  | 42856455 |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.7%** | **Sovereign and Sovereign Agency Issuers — 2.7%** |
|  | 26500000 | Brazil Government International Bonds, 6.25%, due 05/22/36 | 26791500 |
|  | 5650000 | Brazil Government International Bonds, 4.75%, due 01/14/50 | 4243150 |
|  | 26500000 | Brazil Government International Bonds, 7.25%, due 01/12/56 | 26924000 |
|  BRL | 41418104 | Rio Smart Lighting SARL, Reg S, 12.25%, due 09/20/32 <sup>(d)</sup> | 7788714 |
|  |  |  | 65747364 |
|  |  | Total Brazil | 108603819 |
|  |  | **Bulgaria — 0.1%** |  |
|  |  | **Corporate Debt — 0.1%** | **Corporate Debt — 0.1%** |
|  EUR | 2500000 | Eastern European Electric Co. BV, 144A, 6.50%, due 05/15/30 | 3101700 |
|  |  | **Cameroon — 0.9%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.9%** | **Sovereign and Sovereign Agency Issuers — 0.9%** |
|  EUR | 20550000 | Republic of Cameroon International Bonds, Reg S, 5.95%, due 07/07/32 | 21240334 |
|  |  | **Chile — 1.3%** |  |
|  |  | **Corporate Debt — 1.0%** | **Corporate Debt — 1.0%** |
|  | 15951000 | Enel Generacion Chile SA, 8.13%, due 02/01/97 <sup>(e)</sup> | 15394310 |
|  | 8690000 | EnfraGen Energia Sur SAU/EnfraGen Chile SpA/EnfraGen Spain SAU, 144A, 8.50%, due 06/30/32 | 9059846 |
|  |  |  | 24454156 |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  | 2400000 | Chile Government International Bonds, 3.10%, due 05/07/41 | 1891800 |
|  | 4985275 | Chile Electricity Lux MPC II SARL, Reg S, 5.58%, due 10/20/35 | 5147297 |
|  |  |  | 7039097 |
|  |  | Total Chile | 31493253 |
|  |  | **China — 0.0%** |  |
|  |  | **Corporate Debt — 0.0%** | **Corporate Debt — 0.0%** |
|  | 10200000 | China Evergrande Group, Reg S, 11.50%, due 01/22/23 <sup>(c)</sup> | 102000 |
|  | 13000000 | China Evergrande Group, Reg S, 12.00%, due 01/22/24 <sup>(c)</sup> | 130000 |
|  | 6800000 | China Evergrande Group, Reg S, 10.50%, due 04/11/24 <sup>(c)</sup> | 68000 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **China — continued** |  |
|  |  | **Corporate Debt — continued** | **Corporate Debt — continued** |
|  | 5500000 | Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 <sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55000 |
|  | 1900000 | Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 <sup>(c)</sup> | 19000 |
|  | 3300000 | Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 <sup>(c)</sup> | 33000 |
|  | 3700000 | Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 <sup>(c)</sup> | 37000 |
|  |  | Total China | 444000 |
|  |  | **Colombia — 4.5%** |  |
|  |  | **Corporate Debt — 0.3%** | **Corporate Debt — 0.3%** |
|  COP | 27948605852 | PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36 | 6238528 |
|  |  | **Sovereign and Sovereign Agency Issuers — 4.2%** | **Sovereign and Sovereign Agency Issuers — 4.2%** |
|  | 992000 | Colombia Government International Bonds, 8.38%, due 02/15/27 <sup>(e)</sup> | 1015116 |
|  | 2800000 | Colombia Government International Bonds, 11.85%, due 03/09/28 <sup>(e)</sup> | 3111638 |
|  | 1500000 | Colombia Government International Bonds, 6.50%, due 01/21/33 | 1491000 |
|  | 43660000 | Colombia Government International Bonds, 5.63%, due 02/26/44 | 35382501 |
|  | 39590000 | Colombia Government International Bonds, 5.00%, due 06/15/45 | 29189707 |
|  | 8000000 | Colombia Government International Bonds, 5.20%, due 05/15/49 | 5914400 |
|  | 29940000 | Ecopetrol SA, 5.88%, due 05/28/45 | 22440030 |
|  COP | 18236000000 | Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27 | 4443324 |
|  |  |  | 102987716 |
|  |  | Total Colombia | 109226244 |
|  |  | **Congo Republic (Brazzaville) — 0.8%** | **Congo Republic (Brazzaville) — 0.8%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  | 22052198 | Congolese International Bonds, Step Up, 6.00%, due 06/30/29 <sup>(a) (b)</sup> | 20628508 |
|  |  | **Costa Rica — 2.0%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.0%** | **Sovereign and Sovereign Agency Issuers — 2.0%** |
|  EUR | 18750000 | Costa Rica Government International Bonds, 144A, 6.00%, due 01/16/36 | 23143337 |
|  | 4260000 | Costa Rica Government International Bonds, Reg S, 7.00%, due 04/04/44 | 4727801 |
|  | 18931000 | Costa Rica Government International Bonds, Reg S, 7.16%, due 03/12/45 | 21206860 |
|  |  | Total Costa Rica | 49077998 |
|  |  | **Cote D'Ivoire — 0.7%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.7%** | **Sovereign and Sovereign Agency Issuers — 0.7%** |
|  EUR | 14450000 | Ivory Coast Government International Bonds, Reg S, 6.63%, due 03/22/48 | 15987747 |

---

See accompanying notes to the financial statements. 4

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **Czech Republic — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 4058000 | CEZ AS, Reg S, 5.63%, due 04/03/42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3920642 |
|  |  | **Dominican Republic — 2.3%** |  |
|  |  | **Corporate Debt — 0.1%** | **Corporate Debt — 0.1%** |
|  | 3375000 | Polaris Renewable Energy, Inc., 9.50%, due 12/03/29 | 3528562 |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.2%** | **Sovereign and Sovereign Agency Issuers — 2.2%** |
|  DOP | 60500000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 1256354 |
|  | 2690000 | Dominican Republic International Bonds, 144A, 5.88%, due 10/28/35 | 2687646 |
|  DOP | 230000000 | Dominican Republic International Bonds, Reg S, 10.75%, due 06/01/36 | 4328397 |
|  | 14720000 | Dominican Republic International Bonds, 144A, 6.15%, due 05/17/38 | 14778880 |
|  | 700000 | Dominican Republic International Bonds, Reg S, 5.30%, due 01/21/41 | 639800 |
|  | 32554000 | Dominican Republic International Bonds, Reg S, 5.88%, due 01/30/60 | 29363708 |
|  |  |  | 53054785 |
|  |  | Total Dominican Republic | 56583347 |
|  |  | **Ecuador — 2.6%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.6%** | **Sovereign and Sovereign Agency Issuers — 2.6%** |
|  | 3192203 | Ecuador Government International Bonds, Reg S, Zero Coupon, due 07/31/30 | 2677460 |
|  | 4700000 | Ecuador Government International Bonds, 144A, 8.75%, due 01/29/34 | 4742300 |
|  | 41185988 | Ecuador Government International Bonds, Reg S, Step Up, 6.90%, due 07/31/35 | 37386581 |
|  | 20281750 | Ecuador Government International Bonds, Reg S, Step Up, 5.00%, due 07/31/40 | 16570190 |
|  | 1902395 | Ecuador Social Bonds SARL, Reg S, , Zero Coupon, due 01/30/35 | 1422972 |
|  |  | Total Ecuador | 62799503 |
|  |  | **Egypt — 2.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.5%** | **Sovereign and Sovereign Agency Issuers — 2.5%** |
|  | 18970000 | Egypt Government International Bonds, Reg S, 8.50%, due 01/31/47 | 18116350 |
|  | 19230000 | Egypt Government International Bonds, Reg S, 8.70%, due 03/01/49 | 18683099 |
|  | 26564000 | Egypt Government International Bonds, Reg S, 8.15%, due 11/20/59 | 24105236 |
|  |  | Total Egypt | 60904685 |
|  |  | **El Salvador — 0.7%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.7%** | **Sovereign and Sovereign Agency Issuers — 0.7%** |
|  | 18420000 | El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50 | 16762200 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Ethiopia — 0.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
| 2690000 | Ethiopia International Bonds, Reg S, 6.63%, due 12/11/24 <sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2784150 |
|  | **Gabon — 0.6%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
| 1900000 | Gabon Blue Bond Master Trust, Reg S, 6.10%, due 08/01/38 | 1917746 |
| 5800000 | Gabon Government International Bonds, Reg S, 6.63%, due 02/06/31 | 4794048 |
| 9600000 | Gabon Government International Bonds, Reg S, 7.00%, due 11/24/31 | 7832448 |
|  | Total Gabon | 14544242 |
|  | **Ghana — 1.6%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.6%** | **Sovereign and Sovereign Agency Issuers — 1.6%** |
| 632000 | Ghana Government International Bonds, Reg S, Zero Coupon, due 07/03/26 | 621730 |
| 4959500 | Ghana Government International Bonds, Step Up, Reg S, 5.00%, due 07/03/29 | 4855351 |
| 3617226 | Ghana Government International Bonds, Reg S, Zero Coupon, due 01/03/30 | 3119857 |
| 27492000 | Ghana Government International Bonds, Step Up, Reg S, 5.00%, due 07/03/35 | 24875105 |
| 6469920 | Saderea DAC, Reg S, 12.50%, due 11/30/26 <sup>(c)</sup> | 6793416 |
|  | Total Ghana | 40265459 |
|  | **Grenada — 0.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
| 3274814 | Grenada Government International Bonds, Reg S, 7.00%, due 05/12/30 | 3156986 |
|  | **Guatemala — 1.4%** |  |
|  | **Corporate Debt — 0.3%** | **Corporate Debt — 0.3%** |
| 8210000 | Threelands Energy Ltd. SARL, 144A, 7.45%, due 10/20/35 | 8548662 |
|  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
| 4860000 | Guatemala Government Bonds, Reg S, 6.60%, due 06/13/36 | 5276138 |
| 830000 | Guatemala Government Bonds, 144A, 6.25%, due 08/15/36 | 880474 |
| 20810000 | Guatemala Government Bonds, Reg S, 6.13%, due 06/01/50 | 20864106 |
|  |  | 27020718 |
|  | Total Guatemala | 35569380 |
|  | **Hungary — 2.2%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 2.2%** | **Sovereign and Sovereign Agency Issuers — 2.2%** |
| 33730000 | Hungary Government International Bonds, Reg S, 5.50%, due 03/26/36 | 34168490 |
| 18900000 | Hungary Government International Bonds, Reg S, 3.13%, due 09/21/51 | 11973433 |

---

5 See accompanying notes to the financial statements.

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Hungary — continued** | **Hungary — continued** |
|  | **Sovereign and Sovereign Agency Issuers — continued** | **Sovereign and Sovereign Agency Issuers — continued** |
| 8250000 | Hungary Government International Bonds, 144A, 6.75%, due 09/23/55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8827500 |
|  | Total Hungary | 54969423 |
|  | **India — 0.9%** |  |
|  | **Corporate Debt — 0.9%** |  |
| 16057116 | Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, Reg S, 6.70%, due 03/12/42 <sup>(b)</sup> | 15575403 |
| 8705250 | Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd./Wardha Solar Maharashtra, Reg S, 4.63%, due 10/15/39 | 7377699 |
|  | Total India | 22953102 |
|  | **Indonesia — 0.1%** |  |
|  | **Corporate Debt — 0.1%** |  |
| 2695200 | LLPL Capital Pte. Ltd., Reg S, 6.88%, due 02/04/39 | 2803008 |
|  | **Iraq — 0.4%** |  |
|  | **Corporate Debt — 0.4%** |  |
| 9350000 | Pearl Petroleum Co. Ltd., Reg S, 13.00%, due 05/15/28 | 10167564 |
|  | **Israel — 1.0%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
| 13983000 | Israel Electric Corp. Ltd., Reg S, 8.10%, due 12/15/96 | 18266972 |
| 8050000 | State of Israel, Reg S, 3.80%, due 05/13/60 | 5516584 |
|  | Total Israel | 23783556 |
|  | **Jamaica — 0.9%** |  |
|  | **Corporate Debt — 0.9%** |  |
| 21100000 | NCB Financial Group Ltd., Reg S, 11.00%, due 07/31/30 | 21850105 |
|  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
| 505000 | Jamaica Government International Bonds, 7.88%, due 07/28/45 | 610293 |
|  | Total Jamaica | 22460398 |
|  | **Jordan — 1.0%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
| 3000000 | Jordan Government International Bonds, 144A, 5.75%, due 11/12/32 | 2949000 |
| 21455000 | Jordan Government International Bonds, Reg S, 7.38%, due 10/10/47 | 21197540 |
|  | Total Jordan | 24146540 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **Kazakhstan — 0.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  KZT | 1919000000 | Development Bank of Kazakhstan JSC, 144A, 18.40%, due 10/16/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3949213 |
|  | 5000000 | Kazakhstan Government International Bonds, 144A, 5.50%, due 07/01/37 | 5156450 |
|  | 2510000 | KazMunayGas National Co. JSC, Reg S, 6.38%, due 10/24/48 | 2560351 |
|  |  | Total Kazakhstan | 11666014 |
|  |  | **Kenya — 1.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.4%** | **Sovereign and Sovereign Agency Issuers — 1.4%** |
|  | 10100000 | Republic of Kenya Government International Bonds, 144A, 8.70%, due 02/26/39 | 9858501 |
|  | 27074000 | Republic of Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48 | 25339639 |
|  |  | Total Kenya | 35198140 |
|  |  | **Kyrgyzstan — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 3860000 | Kyrgyz Republic International Bonds, 144A, 7.75%, due 06/03/30 | 4031288 |
|  |  | **Lao Peoples Democratic Republic — 0.2%** | **Lao Peoples Democratic Republic — 0.2%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 5800000 | Laos Government International Bonds, 144A, 11.25%, due 11/12/30 | 6162500 |
|  |  | **Latvia — 0.3%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  | 6850000 | Latvia Government International Bonds, Reg S, 5.13%, due 07/30/34 | 7083037 |
|  |  | **Lebanon — 1.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.4%** | **Sovereign and Sovereign Agency Issuers — 1.4%** |
|  | 5047000 | Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28 <sup>(c)</sup> | 1471201 |
|  | 45005000 | Lebanon Government International Bonds, Reg S, 7.15%, due 11/20/31 <sup>(c)</sup> | 13186465 |
|  | 13300000 | Lebanon Government International Bonds, Reg S, 8.20%, due 05/17/33 <sup>(c)</sup> | 3903550 |
|  | 51714000 | Lebanon Government International Bonds, Reg S, 8.25%, due 05/17/34 <sup>(c)</sup> | 15178059 |
|  |  | Total Lebanon | 33739275 |
|  |  | **Mexico — 6.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 6.2%** | **Sovereign and Sovereign Agency Issuers — 6.2%** |
|  | 4800000 | Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49 | 4150920 |
|  | 4000000 | Mexico Government International Bonds, 6.75%, due 02/09/56 | 4060000 |
|  GBP | 50406000 | Mexico Government International Bonds, 5.63%, due 03/19/2114 | 53503118 |
|  | 4700000 | Petroleos Mexicanos, Reg S, 6.63% <sup>(f)</sup> | 3555550 |

---

See accompanying notes to the financial statements. 6

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Mexico — continued** |  |
|  | **Sovereign and Sovereign Agency Issuers — continued** | **Sovereign and Sovereign Agency Issuers — continued** |
| 96400000 | Petroleos Mexicanos, 7.69%, due 01/23/50 | &nbsp;&nbsp;&nbsp;&nbsp;87752920 |
|  | Total Mexico | 153022508 |
|  | **Mongolia — 0.9%** |  |
|  | **Corporate Debt — 0.9%** |  |
| 21180000 | Tsetsens Mining & Energy LLC, Reg S, 11.38%, due 02/05/31 | 22080150 |
|  | **Montenegro — 0.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
| 1200000 | Montenegro Government International Bonds, Reg S, 7.25%, due 03/12/31 | 1285128 |
|  | **Morocco — 0.2%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
| 5700000 | Morocco Government International Bonds, Reg S, 4.00%, due 12/15/50 | 4184142 |
|  | **Mozambique — 0.3%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
| 9076000 | Mozambique International Bonds, Reg S, Step Up, 9.00%, due 09/15/31 | 7682834 |
|  | **Nigeria — 1.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
| 4400000 | Nigeria Government International Bonds, 144A, 9.13%, due 01/13/46 | 4787200 |
| 22150000 | Nigeria Government International Bonds, Reg S, 8.25%, due 09/28/51 | 22028175 |
|  | Total Nigeria | 26815375 |
|  | **Oman — 0.9%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.9%** | **Sovereign and Sovereign Agency Issuers — 0.9%** |
| 20710000 | Oman Government International Bonds, Reg S, 6.75%, due 01/17/48 | 22814550 |
|  | **Pakistan — 0.4%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
| 3010000 | Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36 | 2968028 |
| 6130000 | Pakistan Government International Bonds, Reg S, 8.88%, due 04/08/51 | 6038908 |
| 1946000 | Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31 | 1877890 |
|  | Total Pakistan | 10884826 |
|  | **Panama — 0.3%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
| 2679000 | Panama Government International Bonds, 8.13%, due 04/28/34 | 3198726 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **Panama — continued** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — continued** | **Sovereign and Sovereign Agency Issuers — continued** |
|  | 4600000 | Panama Government International Bonds, 4.50%, due 04/16/50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3685463 |
|  |  | Total Panama | 6884189 |
|  |  | **Paraguay — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  PYG | 29020000000 | Paraguay Government International Bonds, 144A, 8.50%, due 04/04/38 | 4494801 |
|  |  | **Peru — 2.1%** |  |
|  |  | **Corporate Debt — 0.3%** | **Corporate Debt — 0.3%** |
|  | 8510635 | Peru LNG SRL, Reg S, 5.38%, due 03/22/30 | 8270975 |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.8%** | **Sovereign and Sovereign Agency Issuers — 1.8%** |
|  | 2200000 | Peru Government International Bonds, 3.60%, due 01/15/72 | 1437260 |
|  | 3010000 | Peru Government International Bonds, 3.23%, due 07/28/2121 | 1694630 |
|  | 63145000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 40391754 |
|  |  |  | 43523644 |
|  |  | Total Peru | 51794619 |
|  |  | **Philippines — 0.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  | 3500000 | Bangko Sentral ng Pilipinas International Bonds, 8.60%, due 06/15/97 <sup>(e)</sup> | 5035073 |
|  | 9400000 | Philippines Government International Bonds, 3.20%, due 07/06/46 | 6833800 |
|  | 8000000 | Philippines Government International Bonds, 5.75%, due 01/27/51 | 8288000 |
|  |  | Total Philippines | 20156873 |
|  |  | **Poland — 3.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.2%** | **Sovereign and Sovereign Agency Issuers — 3.2%** |
|  | 33900000 | Republic of Poland Government International Bonds, 5.13%, due 09/18/34 | 35222100 |
|  | 30000000 | Republic of Poland Government International Bonds, 5.38%, due 02/12/35 | 31414500 |
|  | 11700000 | Republic of Poland Government International Bonds, 5.50%, due 03/18/54 | 11450088 |
|  |  | Total Poland | 78086688 |
|  |  | **Republic of North Macedonia — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  EUR | 3200000 | North Macedonia Government International Bonds, 144A, 4.75%, due 01/21/34 <sup>(b)</sup> | 3756921 |

---

7 See accompanying notes to the financial statements.

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **Romania — 3.6%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.6%** | **Sovereign and Sovereign Agency Issuers — 3.6%** |
|  | 34450000 | Romania Government International Bonds, Reg S, 5.75%, due 03/24/35 | &nbsp;&nbsp;&nbsp;&nbsp;34828950 |
|  | 9710000 | Romania Government International Bonds, Reg S, 6.63%, due 05/16/36 | 10350860 |
|  EUR | 38880000 | Romania Government International Bonds, Reg S, 2.88%, due 04/13/42 | 31971910 |
|  EUR | 2000000 | Romania Government International Bonds, Reg S, 3.38%, due 01/28/50 | 1601470 |
|  | 12460000 | Romania Government International Bonds, Reg S, 4.00%, due 02/14/51 | 9001976 |
|  |  | Total Romania | 87755166 |
|  |  | **Russia — 0.0%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  | 6870000 | GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 <sup>(c) (e)</sup> <sup>(g)</sup> | 3435 |
|  | 5200000 | GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 <sup>(c) (e)</sup> <sup>(g)</sup> | 2600 |
|  | 6800000 | GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 <sup>(c) (e)</sup> <sup>(g)</sup> | 3400 |
|  | 20000000 | Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35 <sup>(c) (e)</sup> <sup>(g)</sup> | 10000 |
|  | 6400000 | Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35 <sup>(c) (e)</sup> <sup>(g)</sup> | 3200 |
|  |  | Total Russia | 22635 |
|  |  | **Rwanda — 0.1%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  | 2440000 | Rwanda International Government Bonds, Reg S, 5.50%, due 08/09/31 | 2288256 |
|  |  | **Saudi Arabia — 1.9%** |  |
|  |  | **Corporate Debt — 0.1%** | **Corporate Debt — 0.1%** |
|  | 2251137 | Acwa Power Management & Investments One Ltd., Reg S, 5.95%, due 12/15/39 | 2310229 |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.8%** | **Sovereign and Sovereign Agency Issuers — 1.8%** |
|  | 8900000 | Saudi Government International Bonds, Reg S, 4.63%, due 10/04/47 | 7745225 |
|  | 8400000 | Saudi Government International Bonds, Reg S, 5.00%, due 01/18/53 | 7539000 |
|  | 12740000 | Saudi Government International Bonds, Reg S, 3.75%, due 01/21/55 | 9184744 |
|  | 28600000 | Saudi Government International Bonds, Reg S, 3.45%, due 02/02/61 | 18675800 |
|  |  |  | 43144769 |
|  |  | Total Saudi Arabia | 45454998 |
|  |  | **Senegal — 0.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  EUR | 2200000 | Senegal Government International Bonds, Reg S, 4.75%, due 03/13/28 | 2060926 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **Senegal — continued** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — continued** | **Sovereign and Sovereign Agency Issuers — continued** |
|  | 17450000 | Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48 <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9826618 |
|  |  | Total Senegal | 11887544 |
|  |  | **Serbia — 0.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  | 18500000 | Serbia International Bonds, Reg S, 6.00%, due 06/12/34 | 19478905 |
|  |  | **South Africa — 1.9%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.9%** | **Sovereign and Sovereign Agency Issuers — 1.9%** |
|  ZAR | 150350000 | Eskom Holdings, Zero Coupon, due 12/31/32 | 3814988 |
|  | 49420000 | Republic of South Africa Government International Bonds, 5.75%, due 09/30/49 | 41574575 |
|  ZAR | 20200000 | Transnet, Reg S, 13.50%, due 04/18/28 | 1346085 |
|  |  | Total South Africa | 46735648 |
|  |  | **Sri Lanka — 1.3%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.3%** | **Sovereign and Sovereign Agency Issuers — 1.3%** |
|  | 1822885 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.10%, due 01/15/30 | 1817416 |
|  | 10401276 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.35%, due 03/15/33 | 9712192 |
|  | 8235292 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.60%, due 06/15/35 | 6728234 |
|  | 2715484 | Sri Lanka Government International Bonds, Step Up, 144A, 3.60%, due 05/15/36 <sup>(b)</sup> | 2704622 |
|  | 11435771 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.60%, due 02/15/38 | 11412899 |
|  |  | Total Sri Lanka | 32375363 |
|  |  | **SupraNational — 0.3%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  NGN | 1891000000 | Asian Development Bank, 20.00%, due 03/27/26 | 1387401 |
|  NGN | 3450000000 | European Bank for Reconstruction & Development, 21.00%, due 07/21/26 | 2522182 |
|  NGN | 4325000000 | European Bank for Reconstruction & Development, 22.50%, due 07/31/26 | 3204970 |
|  |  | Total SupraNational | 7114553 |
|  |  | **Tajikistan — 0.1%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  | 1916000 | Republic of Tajikistan International Bonds, Reg S, 7.13%, due 09/14/27 | 1916613 |
|  |  | **Trinidad And Tobago — 1.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.4%** | **Sovereign and Sovereign Agency Issuers — 1.4%** |
|  | 19628000 | Port of Spain Waterfront Development, Reg S, 7.88%, due 02/19/40 | 19946955 |

---

See accompanying notes to the financial statements. 8

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **Trinidad And Tobago — continued** | **Trinidad And Tobago — continued** |
|  |  | **Sovereign and Sovereign Agency Issuers — continued** | **Sovereign and Sovereign Agency Issuers — continued** |
|  | 5822000 | Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29 | 5940653 |
|  | 8000000 | Trinidad & Tobago Government International Bonds, 144A, 6.50%, due 01/28/36 | 8094000 |
|  |  | Total Trinidad And Tobago | 33981608 |
|  |  | **Tunisia — 1.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.4%** | **Sovereign and Sovereign Agency Issuers — 1.4%** |
|  JPY | 5411700000 | Tunisian Republic, 4.30%, due 08/02/30 <sup>(a)</sup> | 30451966 |
|  JPY | 190000000 | Tunisian Republic, 4.20%, due 03/17/31 <sup>(a)</sup> | 1076746 |
|  JPY | 730000000 | Tunisian Republic, 3.50%, due 02/03/33 | 3885714 |
|  |  | Total Tunisia | 35414426 |
|  |  | **Turkey — 4.6%** |  |
|  |  | **Corporate Debt — 1.5%** | **Corporate Debt — 1.5%** |
|  | 42350000 | Zorlu Enerji Elektrik Uretim AS, Reg S, 11.00%, due 04/23/30 | 38069474 |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.1%** | **Sovereign and Sovereign Agency Issuers — 3.1%** |
|  | 6200000 | Turkiye Government International Bonds, 6.80%, due 11/04/36 | 6200000 |
|  | 5900000 | Turkiye Government International Bonds, 6.88%, due 01/14/38 | 5876400 |
|  | 28600000 | Turkiye Government International Bonds, 4.88%, due 04/16/43 | 21753160 |
|  | 50713000 | Turkiye Government International Bonds, 5.75%, due 05/11/47 | 41445199 |
|  |  |  | 75274759 |
|  |  | Total Turkey | &nbsp;&nbsp;&nbsp;&nbsp;113344233 |
|  |  | **Ukraine — 2.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.2%** | **Sovereign and Sovereign Agency Issuers — 2.2%** |
|  | 5000000 | NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 <sup>(c)</sup> | 4655386 |
|  | 2211014 | Ukraine Government International Bonds, Step Up, Reg S, Zero Coupon, due 02/01/30 | 1419471 |
|  | 14265640 | Ukraine Government International Bonds, Step Up, 144A, 4.00%, due 02/01/32 | 11055871 |
|  | 18426157 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/34 | 9028817 |
|  | 4022412 | Ukraine Government International Bonds, Step Up, Reg S, 4.50%, due 02/01/34 | 2497918 |
|  | 7982158 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/35 | 4521893 |
|  | 13555124 | Ukraine Government International Bonds, Step Up, Reg S, 4.50%, due 02/01/35 | 8227960 |
|  | 5818464 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/36 <sup>(b)</sup> | 3284523 |
|  | 14953917 | Ukraine Government International Bonds, Step Up, Reg S, 4.50%, due 02/01/36 | 8972350 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **Ukraine — continued** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — continued** | **Sovereign and Sovereign Agency Issuers — continued** |
|  | 211141 | Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 <sup>(c)</sup> | 163634 |
|  |  | Total Ukraine | 53827823 |
|  |  | **United Arab Emirates — 0.9%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.9%** | **Sovereign and Sovereign Agency Issuers — 0.9%** |
|  | 10700000 | Abu Dhabi Government International Bonds, Reg S, 3.13%, due 09/30/49 | 7656064 |
|  | 8300000 | Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50 | 5580588 |
|  | 12500000 | Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51 | 8912000 |
|  |  | Total United Arab Emirates | &nbsp;&nbsp;&nbsp;&nbsp;22148652 |
|  |  | **United States — 2.6%** |  |
|  |  | **Asset-Backed Securities — 0.2%** | **Asset-Backed Securities — 0.2%** |
|  | 320225 | CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 4.01%, due 12/15/35 | 313030 |
|  | 295139 | CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 3.97%, due 05/15/36 | 287538 |
|  | 5533024 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.26%, 3.94%, due 11/25/36 | 1811198 |
|  | 5582871 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.33%, 4.01%, due 11/25/36 | 1827478 |
|  | 2843601 | WaMu Asset-Backed Certificates Trust, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. USD Term SOFR + 0.83%, 4.51%, due 04/25/37 | 1035564 |
|  |  |  | 5274808 |
|  |  | **U.S. Government — 2.4%** |  |
|  | 15000000 | U.S. Treasury Bonds, 4.25%, due 08/15/54 <sup>(h)</sup> 14,054,297 | U.S. Treasury Bonds, 4.25%, due 08/15/54 <sup>(h)</sup> 14,054,297 |
|  | 36020000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 07/31/27 <sup>(h)</sup> | 36063297 |
|  | 8300000 | U.S. Treasury Notes, 3.88%, due 11/30/27 | 8364195 |
|  |  |  | 58481789 |
|  |  | Total United States | 63756597 |
|  |  | **Uruguay — 0.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
|  | 1900000 | Oriental Republic of Uruguay, 5.25%, due 09/10/60 | 1806254 |
|  UYU | 85300000 | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 2529831 |

---

9 See accompanying notes to the financial statements.

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **Uruguay — continued** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — continued** | **Sovereign and Sovereign Agency Issuers — continued** |
|  UYU | 146000000 | Uruguay Government International Bonds, 8.00%, due 10/29/35 | 4004033 |
|  | 1718000 | Uruguay Government International Bonds, 4.98%, due 04/20/55 | 1592586 |
|  |  | Total Uruguay | 9932704 |
|  |  | **Uzbekistan — 1.3%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.3%** | **Sovereign and Sovereign Agency Issuers — 1.3%** |
|  | 3300000 | Jscb Agrobank, Reg S, 9.25%, due 10/02/29 | 3620925 |
|  | 5200000 | Republic of Uzbekistan International Bonds, Reg S, 3.70%, due 11/25/30 | 4900168 |
|  | 600000 | Republic of Uzbekistan International Bonds, Reg S, 6.95%, due 05/25/32 | 653280 |
|  | 5100000 | Uzbek Industrial & Construction Bank ATB, Reg S, 8.95%, due 07/24/29 | 5574300 |
|  | 5900000 | Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28 | 5777398 |
|  | 10590000 | Uzbekneftegaz JSC, Reg S, 8.75%, due 05/07/30 | 11559647 |
|  |  | Total Uzbekistan | &nbsp;&nbsp;&nbsp;&nbsp;32085718 |
|  |  | **Venezuela — 5.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 5.4%** | **Sovereign and Sovereign Agency Issuers — 5.4%** |
|  | 101165000 | C.A. La Electricidad de Caracas, Reg S, 8.50%, due 04/10/18 <sup>(a) (c)</sup> | 27836561 |
|  | 9800000 | Petroleos de Venezuela SA, Reg S, 9.00%, due 11/17/21 <sup>(c)</sup> | 3655400 |
|  | 9300000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 10/28/22 <sup>(c)</sup> | 2647803 |
|  | 85620000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 <sup>(c)</sup> | 27184350 |
|  | 797000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 <sup>(c)</sup> | 253048 |
|  | 71670000 | Petroleos de Venezuela SA, Reg S, 9.75%, due 05/17/35 <sup>(c)</sup> | 27306270 |
|  | 29650000 | Venezuela Government International Bonds, Reg S, 12.75%, due 08/23/22 <sup>(c)</sup> | 13727950 |
|  | 56743000 | Venezuela Government International Bonds, Reg S, 9.00%, due 05/07/23 <sup>(c)</sup> | 22753943 |
|  | 13850000 | Venezuela Government International Bonds, Reg S, 11.95%, due 08/05/31 <sup>(c)</sup> | 6354553 |
|  |  | Total Venezuela | 131719878 |
|  |  | **Vietnam — 0.3%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  | 7318000 | Vietnam Government International Bonds, Variable Rate, 6 mo. USD LIBOR + 0.81%, 5.49%, due 03/13/28 <sup>(a)</sup> | 7391180 |

---

---

| | | | |
|:---|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value† /**<br> **Shares** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value† /** <br> **Shares** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  |  | **Zambia — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 4540219 | Zambia Government International Bonds, Reg S, Step Up, 5.75%, due 06/30/33 | 4415363 |
|  |  | TOTAL DEBT OBLIGATIONS<br> (COST $2,389,045,505) | 2326495196 |
|  |  | **LOAN ASSIGNMENTS — 0.9%** | **LOAN ASSIGNMENTS — 0.9%** |
|  |  | **Serbia — 0.6%** | **Serbia — 0.6%** |
|  | 12400000 | Telekom Srbija AD Beograd, Variable Rate, 8.42%, due 06/13/29 <sup>(a)</sup> | 14578583 |
|  |  | **Turkey — 0.3%** | **Turkey — 0.3%** |
|  | 7392857 | Meridiam Eastern Europe Investment S.à.r.l Loan Agreement, 8.85%, due 06/23/28 <sup>(e)</sup> | 8560692 |
|  |  | TOTAL LOAN ASSIGNMENTS<br> (COST $22,238,772) | 23139275 |
|  |  | **LOAN PARTICIPATIONS — 0.1%** | **LOAN PARTICIPATIONS — 0.1%** |
|  |  | **Angola — 0.1%** | **Angola — 0.1%** |
|  | 1757143 | Angola Government International Bonds Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 <sup>(a)</sup> | 1736619 |
|  |  | **Iraq — 0.0%** | **Iraq — 0.0%** |
|  EUR | 224413 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 <sup>(e)</sup> | 249601 |
|  |  | **Russia — 0.0%** | **Russia — 0.0%** |
|  EUR | 76893500 | Russian Foreign Trade Obligations, (Participation with GML International Ltd.) <sup>(a) (c)</sup> <sup>(g)</sup> | 3 |
|  |  | Sudan — 0.0% |  |
|  CHF | 11833578 | Republic of Sudan, Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) <sup>(a) (c)</sup> | 384782 |
|  CHF | 5155077 | Republic of Sudan, Loan Agreement, Tranche B (Participation via Abu Dhabi Investment<br>Company) <sup>(a) (c)</sup> | 150861 |
|  |  | Total Sudan | 535643 |
|  |  | TOTAL LOAN PARTICIPATIONS<br> (COST $22,450,318) | 2521866 |
|  |  | **INVESTMENT FUNDS — 0.7%** | **INVESTMENT FUNDS — 0.7%** |
|  |  | **Colombia — 0.7%** | **Colombia — 0.7%** |
|  | 9300000 | Bona Fide Investment Holdings II LLC <sup>(e)</sup> <sup>(i)</sup> <sup>(j)</sup> | 15843071 |
|  |  | TOTAL INVESTMENT FUNDS<br> (COST $9,300,000) | 15843071 |

---

See accompanying notes to the financial statements. 10

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
| **Shares / <br> Par Value†** | **Shares / <br> Par Value†** | **Description** | **Value ($)** |
|  |  | **RIGHTS/WARRANTS — 1.0%** | **RIGHTS/WARRANTS — 1.0%** |
|  |  | **Argentina — 1.0%** | **Argentina — 1.0%** |
|  EUR | 198089675 | Argentina Republic GDP Linked Warrants, Variable Rate, Expires 12/15/35 <sup>(k)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;23563100 |
|  JPY | 1723445000 | Argentina Republic GDP Linked Warrants, Variable Rate, Expires 12/15/35 <sup>(e) (k)</sup> | 195890 |
|  |  | TOTAL RIGHTS/WARRANTS<br> (COST $28,331,701) | 23758990 |
|  |  | **SHORT-TERM INVESTMENTS — 2.4%** | **SHORT-TERM INVESTMENTS — 2.4%** |
|  |  | **Money Market Funds — 0.2%** | **Money Market Funds — 0.2%** |
|  | 4785230 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(l)</sup> | 4785230 |
|  |  | **Repurchase Agreements — 2.2%** | **Repurchase Agreements — 2.2%** |
|  | 49999339 | Nomura Securities International, Inc. Repurchase Agreement, dated 02/27/26, maturing on 03/02/26 with a maturity value of $50,014,464 and an effective yield of 3.63%, collateralized by a U.S. Treasury Note with maturity date 07/31/27 and a market value of $51,053,764. | 49999339 |
|  | 3214363 | Nomura International PLC Repurchase Agreement, dated 10/10/25, to be returned on demand at face value plus an effective yield of 3.30%, collateralized by a Suzano Austria GmbH, 3.75%, due 01/15/31 and a market value of $3,255,741. <sup>(m)</sup> | 3214363 |
|  |  | Total Repurchase Agreements | 53213702 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $57,998,932) | 57998932 |
|  |  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $2,529,365,228) | **2449757330** |

---

---

| | | |
|:---|:---|:---|
| **<br> Par Value†** | **Description** | **Value ($)** |
|  | **SECURITIES SOLD SHORT — (0.1)%** | **SECURITIES SOLD SHORT — (0.1)%** |
|  | **Corporate Debt — (0.1)%** | **Corporate Debt — (0.1)%** |
|  | **Brazil — (0.1)%** | **Brazil — (0.1)%** |
| (3400000) | Suzano Austria GmbH, 3.75%, due 01/15/31 | (3258074) |
|  | TOTAL CORPORATE DEBT<br> (PROCEEDS $3,162,000) | (3258074) |
|  | **TOTAL SECURITIES SOLD SHORT — (0.1)%** |  |
|  | (PROCEEDS $3,162,000) | (3258074) |
|  | Other Assets and Liabilities (net) — 0.2% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6571309 |
|  | **TOTAL NET ASSETS — 100.0%** | $**2453070565** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer**<br> **Description** | **Acquisition<br>Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>February 28,<br>2026** |
|  Bona Fide Investment Holdings II LLC | 06/07/23 | $9300000 | 0.7% | $15843071 |
|  GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 | 04/30/20 | 6683240 | 0.0% | 3435 |
|  GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 | 03/12/21 | 5255382 | 0.0% | 2600 |
|  GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 | 01/26/22 | 5890814 | 0.0% | 3400 |
|  Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35 | 03/21/19 | 20000000 | 0.0% | 10000 |
|  Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35 | 10/11/19 | 6756965 | 0.0% | 3200 |
|  Russian Foreign Trade Obligations, (Participation with GML International Ltd.) | 07/12/07 | 17524214 | 0.0% | 3 |
|  |  |  |  | $15865709 |

---

11 See accompanying notes to the financial statements.

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
A summary of outstanding financial instruments at February 28, 2026 is as follows:

#### Forward Currency Contracts

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br> Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency Purchased** | **Currency Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
|  05/11/2026 | MSCI | COP | 98825000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | 26550801 | 658075 |
|  04/14/2026 | MSCI | EUR | 2000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | 2385088 | 17119 |
|  03/03/2026 | BCLY | USD | 4305665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BRL | 23000000 | 180827 |
|  03/03/2026 | JPM | USD | 1763566 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BRL | 9100000 | 11524 |
|  03/11/2026 | SSB | USD | 3116623 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EUR | 2640000 | 4007 |
|  04/16/2026 | JPM | USD | 11198440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;KRW | 16482200000 | 259553 |
|  04/16/2026 | MSCI | USD | 644135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;KRW | 948000000 | 14890 |
|  04/30/2026 | BCLY | USD | 12202548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TRY | 565100000 | 69610 |
|  04/30/2026 | MSCI | USD | 1866055 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ZAR | 30000000 | 10198 |
|  03/03/2026 | CITI | BRL | 7000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | 1270740 | (94714) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br> Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency Purchased** | **Currency Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
|  05/05/2026 | JPM | BRL | 9100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | 1738466 | (11073) |
|  03/03/2026  | MSCI | BRL | 25100000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | 4550976 | (345152) |
|  04/14/2026 | MSCI | EUR | 181270000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;212666194 | (1954670) |
|  04/15/2026 | BCLY | GBP | 40400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | 54375168 | (76774) |
|  04/14/2026 | JPM | JPY | 307300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | 1961501 | (13391) |
|  04/14/2026 | MSCI | JPY | 3983320000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | 25422793 | (176393) |
|  04/14/2026 | JPM | USD | 4640017 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EUR | 3900000 | (22477) |
|  05/05/2026 | MSCI | USD | 5066883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PEN | 17000000 | (9010) |
|  |  |  |  |  |  | $(1477851) |

---

#### Reverse Repurchase Agreements<sup>(n)</sup>

---

| | | | |
|:---|:---|:---|:---|
| **Face Value** | **Face Value** | **Description** | **Value ($)** |
| USD | (5968859) | Morgan Stanley & Co. International PLC, 3.15%, dated 03/12/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51), to be repurchased on demand at face value plus accrued interest. | (5968859) |
| USD | (5797573) | Morgan Stanley & Co. International PLC, 3.15%, dated 05/02/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51), to be repurchased on demand at face value plus accrued interest. | (5797573) |
| USD | (367241) | Morgan Stanley & Co. International PLC, 3.00%, dated 06/25/25, (Collateral: Sri Lanka Government International Bonds, Step Up, 144A, 3.60%, due 05/15/36), to be repurchased on demand at face value plus accrued interest. | (367241) |
| USD | (256150) | Morgan Stanley & Co. International PLC, 3.10%, dated 10/17/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51), to be repurchased on demand at face value plus accrued interest. | (256150) |
| USD | (1274277) | Morgan Stanley & Co. International PLC, 3.15%, dated 11/14/25, (Collateral: Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51), to be repurchased on demand at face value plus accrued interest. | (1274277) |
| USD | (4191489) | Morgan Stanley & Co. International PLC, 3.00%, dated 01/09/26, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (4191489) |
| USD | (1485847) | Morgan Stanley & Co. International PLC, 3.00%, dated 01/13/26, (Collateral: Sri Lanka Government International Bonds, Step Up, 144A, 3.60%, due 05/15/36), to be repurchased on demand at face value plus accrued interest. | (1485847) |
| USD | (1265282) | Morgan Stanley & Co. International PLC, 3.35%, dated 01/20/26, (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. | (1265282) |
| EUR | (3128714) | Morgan Stanley & Co. International PLC, 1.60%, dated 01/20/26, (Collateral: North Macedonia Government International Bonds, 144A, 4.75%, due 01/21/34), to be repurchased on demand at face value plus accrued interest. | (3128714) |
| USD | (2229828) | Morgan Stanley & Co. International PLC, 3.00%, dated 01/21/26, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (2229828) |
| USD | (4318537) | Morgan Stanley & Co. International PLC, 3.00%, dated 02/03/26, (Collateral: Bahrain Government International Bonds, 144A, 7.10%, due 02/03/38), to be repurchased on demand at face value plus accrued interest. | (4318537) |
| USD | (3120059) | Morgan Stanley & Co. International PLC, 3.10%, dated 02/13/26, (Collateral: Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/36), to be repurchased on demand at face value plus accrued interest. | (3120059) |
| USD | (7983069) | Morgan Stanley & Co. International PLC, 3.25%, dated 02/25/26, (Collateral: Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48), to be repurchased on demand at face value plus accrued interest. | (7983069) |
| USD | (408956) | Morgan Stanley & Co. International PLC, 3.00%, dated 02/26/26, (Collateral: Congolese International Bonds, Step Up, 6.00%, due 06/30/29), to be repurchased on demand at face value plus accrued interest. | (408956) |
|  |  |  | $(41795881) |

---

See accompanying notes to the financial statements. 12

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026

#### Reverse Repurchase Agreements<sup>(n)</sup>— continued

---

| | |
|:---|:---|
| Average balance outstanding | $(51100824) |
| Average interest rate (net) | (3.70)% |
| Maximum balance outstanding | $(79192918) |

---

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<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments<br>by the<br>Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  CDX.EM.S44 | USD | 80600000 | 1.00% | 1.35% | N/A | 12/20/2030 | Quarterly | $1106235 | $1201665 | $95430 |

---

#### OTC Credit Default Swaps

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-<br>party** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic**<br>**Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |  |
|  Republic of Brazil | MSBNA | USD | 12700000 | 1.00% | 0.50% | N/A | 12/20/2026 | Quarterly | (63507) | (50656) | 12851 |
|  Republic of Colombia | MSCI | USD | 45300000 | 1.00% | 0.97% | N/A | 12/20/2026 | Quarterly | (125808) | (11265) | 114543 |
|  Republic of South Africa Government International Bonds | JPM | USD | 34300000 | 1.00% | 0.38% | N/A | 12/20/2026 | Quarterly | (234412) | (172171) | 62241 |
|  Republic of Egypt | CITI | USD | 2300000 | 1.00% | 2.14% | N/A | 12/20/2027 | Quarterly | 655499 | 45492 | (610007) |
|  Republic of Egypt | JPM | USD | 2500000 | 1.00% | 2.14% | N/A | 12/20/2027 | Quarterly | 690000 | 49449 | (640551) |
|  Republic of Egypt | JPM | USD | 2500000 | 1.00% | 2.14% | N/A | 12/20/2027 | Quarterly | 725000 | 49449 | (675551) |
|  Kingdom of Bahrain | MSBNA | USD | 5400000 | 1.00% | 1.53% | N/A | 06/20/2028 | Quarterly | 401901 | 63356 | (338545) |
|  Panama Government International Bonds | DB | USD | 118200000 | 1.00% | 0.62% | N/A | 06/20/2028 | Quarterly | (756426) | (1011859) | (255433) |
|  Republic of Turkey | MSBNA | USD | 1600000 | 1.00% | 1.49% | N/A | 06/20/2028 | Quarterly | 350661 | 17258 | (333403) |
|  Israel Government International Bonds | BOA | USD | 9500000 | 1.00% | 0.73% | N/A | 12/20/2029 | Quarterly | 211213 | (90784) | (301997) |
|  Israel Government International Bonds | JPM | USD | 3800000 | 1.00% | 0.73% | N/A | 12/20/2029 | Quarterly | 76240 | (36313) | (112553) |
|  United States of Mexico | MSBNA | USD | 29400000 | 1.00% | 0.71% | N/A | 12/20/2029 | Quarterly | 273879 | (307071) | (580950) |
|  Republic of South Africa Government International Bonds | MSCI | USD | 21500000 | 1.00% | 1.41% | N/A | 12/20/2030 | Quarterly | 912525 | 383584 | (528941) |
|  United States of Mexico | GS | USD | 14700000 | 1.00% | 1.05% | N/A | 09/20/2031 | Quarterly | 1940881 | 39166 | (1901715) |

---

13 See accompanying notes to the financial statements.

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026

#### Swap Contracts — continued

#### OTC Credit Default Swaps — continued

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by the<br>Fund Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic**<br>**Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  Panama Government International Bonds<br> DB | USD | 118200000 | 1.00% | 1.11% | 118,200,000 USD | 06/20/2028 | Quarterly | (665231) | (294722) | 370509 |
|  |  |  |  |  |  |  |  | $4392415 | $(1327087) | $(5719502) |

---

---

| | |
|:---|:---|
| ^ | 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. <br>

<sup>(1)</sup> As of February 28, 2026, 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. 

<sup>(2)</sup> 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**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  USD-SOFR-OIS COMPOUND | 4.01% | USD | 162500000 | 12/21/2027 | Annually | 155081 | 2168921 | 2013840 |
|  BRL-CDI | 13.30% | BRL | 266263658 | 01/02/2031 | At Maturity | (10266) | 967771 | 978037 |
|  1.10% | JPY-TONA-OIS-COMPOUND | JPY | 7694000000 | 09/18/2034 | Annually | (96109) | 2726996 | 2823105 |
|  USD-SOFR-OIS COMPOUND | 4.00% | USD | 87800000 | 09/17/2035 | Annually | 2412828 | 3470892 | 1058064 |
|  1.40% | THB-THOR | THB | 835000000 | 12/17/2035 | Quarterly | 173060 | 592156 | 419096 |
|  2.90% | EURIBOR | EUR | 34400000 | 03/18/2036 | Semi-Annually | (72130) | (810414) | (738284) |
|  4.60% | GBP-SONIA-COMPOUND | GBP | 25800000 | 09/17/2055 | Annually | (103591) | (1221687) | (1118096) |
|  2.80% | EURIBOR | EUR | 38300000 | 12/17/2055 | Semi-Annually | 1034599 | 1595577 | 560978 |
|  |  |  |  |  |  | $3493472 | $9490212 | $5996740 |

---

#### OTC Total Return Swaps

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration**<br>**Date** | **Periodic<br>Payment<br>Frequency** | **Premiums**<br>**Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  J.P. Morgan EMBIG Div<br>Ex CCC Total Return<br>USD | USD-SOFR-OIS<br>COMPOUND | JPM | USD | 63800000 | 03/04/2026 | At Maturity | $– | $(871951) | $(871951) |

---

See accompanying notes to the financial statements. 14

------

#### GMO Emerging Country Debt Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
As of February 28, 2026, 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:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

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

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

&nbsp;&nbsp;&nbsp;&nbsp;(c) Security is in default.

&nbsp;&nbsp;&nbsp;&nbsp;(d) Security is backed by the United States International Development Finance Corporation.

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

&nbsp;&nbsp;&nbsp;&nbsp;(f) Perpetual security with no stated maturity date.

&nbsp;&nbsp;&nbsp;&nbsp;(g) The security is restricted as to resale.

&nbsp;&nbsp;&nbsp;&nbsp;(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, written options, repurchase agreements and/or reverse repurchase agreements, if any (Note 4).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(i) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(j) Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals. Share amount represents the Fund's invested capital.

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

&nbsp;&nbsp;&nbsp;&nbsp;(l) The rate disclosed is the 7 day net yield as of February 28, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;(m) The repurchase agreement has an open maturity date and can be closed by either party on demand.

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

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 36.

15 See accompanying notes to the financial statements.

------

#### GMO Emerging Country Debt Shares Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 100.0%** | **INVESTMENT FUNDS — 100.0%** |
|  | **United States — 100.0%** | **United States — 100.0%** |
| 1118121 | GMO Emerging Country Debt Fund, Class III <sup>(a)</sup> | 26566548 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $26,080,236) | 26566548 |
|  | **SHORT-TERM INVESTMENTS — 6.5%** | **SHORT-TERM INVESTMENTS — 6.5%** |
|  | **Money Market Funds — 6.5%** | **Money Market Funds — 6.5%** |
| 1728490 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 1728490 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $1,728,490) | 1728490 |
|  | **TOTAL INVESTMENTS — 106.5%**<br> (Cost $27,808,726) | **28295038** |
|  | Other Assets and Liabilities (net) — (6.5%) | (1729241) |
|  | **TOTAL NET ASSETS — 100.0%** | $**26565797** |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 36.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See accompanying notes to the financial statements. 16

------

#### GMO High Yield Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†**  | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 83.8%** |  |
|  | **Corporate Debt — 30.0%** |  |
|  | **Australia — 0.7%** |  |
| 470000 | Fortescue Treasury Pty. Ltd., 144A, 4.50%, due 09/15/27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;469608 |
| 450000 | Mineral Resources Ltd., 144A, 7.00%, due 04/01/31 | 473285 |
|  | Total Australia | 942893 |
|  | **Canada — 1.6%** |  |
| 445000 | Bombardier, Inc., 144A, 7.45%, due 05/01/34 | 501325 |
| 475000 | Enerflex, Inc., 144A, 6.88%, due 01/15/31 | 492280 |
| 460000 | Precision Drilling Corp., 144A, 6.88%, due 01/15/29 | 465964 |
| 385000 | RB Global Holdings, Inc., 144A, 6.75%, due 03/15/28 | 391215 |
| 350000 | Sagicor Financial Co. Ltd., 144A, 5.30%, due 05/13/28 | 348670 |
|  | Total Canada | 2199454 |
|  | **Denmark — 0.3%** |  |
| 465000 | Genmab AS/Genmab Finance LLC, 144A, 6.25%, due 12/15/32 | 482588 |
|  | **Finland — 0.3%** |  |
| 333000 | Amer Sports Co., 144A, 6.75%, due 02/16/31 | 347451 |
|  | **France — 0.3%** |  |
| 445000 | Forvia SE, 144A, 8.00%, due 06/15/30 | 474226 |
|  | **Italy — 0.3%** |  |
| 430000 | Telecom Italia Capital SA, 7.20%, due 07/18/36 | 476428 |
|  | **Japan — 0.9%** |  |
| 370000 | Kioxia Holdings Corp., 144A, 6.25%, due 07/24/30 | 384172 |
| 435000 | Nissan Motor Co. Ltd., 144A, 8.13%, due 07/17/35 | 475018 |
| 300000 | Rakuten Group, Inc., 144A, 9.75%, due 04/15/29 | 332749 |
|  | Total Japan | 1191939 |
|  | **Macau — 0.3%** |  |
| 350000 | Wynn Macau Ltd., 144A, 5.13%, due 12/15/29 | 347684 |
|  | **Norway — 0.7%** |  |
| 485000 | Seadrill Finance Ltd., 144A, 8.38%, due 08/01/30 | 509664 |
| 480000 | TGS ASA, 144A, 8.50%, due 01/15/30 | 507085 |
|  | Total Norway | 1016749 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†**  | **Description** | **Value ($)** |
|  | **Corporate Debt — continued** |  |
|  | **United Kingdom — 0.3%** |  |
| 395000 | Belron U.K. Finance PLC, 144A, 5.75%, due 10/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;403752 |
|  | **United States — 24.3%** |  |
| 460000 | Allegiant Travel Co., 144A, 7.25%, due 08/15/27 | 464268 |
| 360000 | Alliance Resource Operating Partners LP/Alliance Resource Finance Corp., 144A, 8.63%, due 06/15/29 | 379003 |
| 460000 | American Axle & Manufacturing, Inc., 144A, 6.38%, due 10/15/32 | 468154 |
| 445000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 144A, 5.75%, due 10/15/33 | 451742 |
| 265000 | Arbor Realty SR, Inc., 144A, 7.88%, due 07/15/30 | 244285 |
| 520000 | Ashland, Inc., 144A, 3.38%, due 09/01/31 | 479048 |
| 535000 | Ball Corp., 2.88%, due 08/15/30 | 497599 |
| 495000 | Boyd Gaming Corp., 144A, 4.75%, due 06/15/31 | 484227 |
| 360000 | Brandywine Operating Partnership LP, 8.88%, due 04/12/29 | 382436 |
| 185000 | Brink's Co., 144A, 6.75%, due 06/15/32 | 191457 |
| 350000 | BWX Technologies, Inc., 144A, 4.13%, due 06/30/28 | 346642 |
| 380000 | Carnival Corp., 144A, 5.75%, due 08/01/32 | 394364 |
| 450000 | Celanese U.S. Holdings LLC, 7.20%, due 11/15/33 | 483456 |
| 490000 | Charles River Laboratories International, Inc., 144A, 3.75%, due 03/15/29 | 471604 |
| 525000 | Clearway Energy Operating LLC, 144A, 3.75%, due 02/15/31 | 497355 |
| 490000 | CNX Resources Corp., 144A, 7.38%, due 01/15/31 | 508199 |
| 475000 | Columbus McKinnon Corp., 144A, 7.13%, due 02/01/33 | 488329 |
| 200000 | Commercial Metals Co., 144A, 6.00%, due 12/15/35 | 204850 |
| 490000 | Constellium SE, 144A, 3.75%, due 04/15/29 | 474788 |
| 445000 | Credit Acceptance Corp., 144A, 6.63%, due 03/15/30 | 442679 |
| 480000 | Crescent Energy Finance LLC, 144A, 8.38%, due 01/15/34 | 496152 |
| 440000 | Deluxe Corp., 144A, 8.13%, due 09/15/29 | 461526 |
| 445000 | Elanco Animal Health, Inc., 6.65%, due 08/28/28 | 462623 |
| 475000 | Encore Capital Group, Inc., 144A, 6.63%, due 04/15/31 | 482315 |
| 470000 | Enpro, Inc., 144A, 6.13%, due 06/01/33 | 485063 |
| 455000 | Excelerate Energy LP, 144A, 8.00%, due 05/15/30 | 482314 |
| 485000 | Fair Isaac Corp., 144A, 4.00%, due 06/15/28 | 474818 |
| 750000 | FMC Corp., 5.65%, due 05/18/33 | 658297 |
| 470000 | FTAI Aviation Investors LLC, 144A, 5.50%, due 05/01/28 | 469951 |

---

17 See accompanying notes to the financial statements.

------

#### GMO High Yield Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†**  | **Description** | **Value ($)** |
|  | **Corporate Debt — continued** |  |
|  | **United States — continued** |  |
| 250000 | Genting New York LLC/GENNY Capital, Inc., 144A, 7.25%, due 10/01/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;259207 |
| 475000 | GFL Environmental, Inc., 144A, 4.00%, due 08/01/28 | 467649 |
| 300000 | Global Net Lease, Inc., 144A, 4.50%, due 09/30/28 | 294987 |
| 385000 | Gulfport Energy Operating Corp., 144A, 6.75%, due 09/01/29 | 398692 |
| 475000 | Hawaiian Electric Co., Inc., 144A, 6.00%, due 10/01/33 | 484152 |
| 445000 | Herc Holdings, Inc., 144A, 7.25%, due 06/15/33 | 470395 |
| 490000 | Hilton Domestic Operating Co., Inc., 144A, 3.75%, due 05/01/29 | 477081 |
| 430000 | HLF Financing SARL LLC/Herbalife International, Inc., 144A, 12.25%, due 04/15/29 | 459320 |
| 300000 | HNI Corp., 144A, 5.13%, due 01/18/29 | 295551 |
| 490000 | Huntsman International LLC, 4.50%, due 05/01/29 | 469401 |
| 490000 | Ingevity Corp., 144A, 3.88%, due 11/01/28 | 477780 |
| 350000 | Iron Mountain, Inc., 144A, 4.50%, due 02/15/31 | 337580 |
| 475000 | Jazz Securities DAC, 144A, 4.38%, due 01/15/29 | 468296 |
| 50000 | Kodiak Gas Services LLC, 144A, 6.75%, due 10/01/35 | 52245 |
| 340000 | Kohl's Corp., 144A, 10.00%, due 06/01/30 | 370131 |
| 465000 | Lamar Media Corp., 3.75%, due 02/15/28 | 457242 |
| 400000 | Level 3 Financing, Inc., 144A, 7.00%, due 03/31/34 | 415818 |
| 440000 | Macy's Retail Holdings LLC, 144A, 7.38%, due 08/01/33 | 460958 |
| 480000 | Moog, Inc., 144A, 4.25%, due 12/15/27 | 478667 |
| 300000 | Mueller Water Products, Inc., 144A, 4.00%, due 06/15/29 | 291430 |
| 475000 | Murphy Oil Corp., 6.00%, due 10/01/32 | 475786 |
| 470000 | Nabors Industries, Inc., 144A, 7.63%, due 11/15/32 | 484187 |
| 500000 | NRG Energy, Inc., 144A, 3.63%, due 02/15/31 | 471963 |
| 465000 | OneMain Finance Corp., 6.50%, due 03/15/33 | 460764 |
| 460000 | Patrick Industries, Inc., 144A, 6.38%, due 11/01/32 | 472476 |
| 470000 | PBF Holding Co. LLC/PBF Finance Corp., |  |
|  | 6.00%, due 02/15/28 | 468038 |
| 180000 | Phinia, Inc., 144A, 6.63%, due 10/15/32 | 186870 |
| 455000 | Resideo Funding, Inc., 144A, 6.50%, due 07/15/32 | 464519 |
| 400000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., Reg S, 4.63%, due 04/16/29 | 364590 |
| 350000 | Seagate Data Storage Technology Pte. Ltd., 144A, 5.75%, due 12/01/34 | 358059 |
| 355000 | Sealed Air Corp., 144A, 6.88%, due 07/15/33 | 366959 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†**  | **Description** | **Value ($)** |
|  | **Corporate Debt — continued** |  |
|  | **United States — continued** |  |
| 425000 | Sensata Technologies, Inc., 144A, 3.75%, due 02/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;400671 |
| 485000 | Somnigroup International, Inc., 144A, 4.00%, due 04/15/29 | 471339 |
| 445000 | Talen Energy Supply LLC, 144A, 8.63%, due 06/01/30 | 468230 |
| 225000 | TEGNA, Inc., 4.63%, due 03/15/28 | 224363 |
| 470000 | TerraForm Power Operating LLC, 144A, 5.00%, due 01/31/28 | 470597 |
| 430000 | Tidewater, Inc., 144A, 9.13%, due 07/15/30 | 465175 |
| 410000 | TopBuild Corp., 144A, 4.13%, due 02/15/32 | 389665 |
| 385000 | TransDigm, Inc., 144A, 6.00%, due 01/15/33 | 391810 |
| 465000 | Travel & Leisure Co., 6.00%, due 04/01/27 | 470729 |
| 485000 | TTM Technologies, Inc., 144A, 4.00%, due 03/01/29 | 470670 |
| 490000 | Twilio, Inc., 3.63%, due 03/15/29 | 471507 |
| 380000 | U.S. Foods, Inc., 144A, 4.63%, due 06/01/30 | 376223 |
| 390000 | Vertiv Group Corp., 144A, 4.13%, due 11/15/28 | 388425 |
| 530000 | VF Corp., 2.95%, due 04/23/30 | 486452 |
| 470000 | Viasat, Inc., 144A, 5.63%, due 04/15/27 | 469133 |
| 370000 | Vistra Operations Co. LLC, 144A, 7.75%, due 10/15/31 | 391001 |
| 450000 | Wayfair LLC, 144A, 7.25%, due 10/31/29 | 465049 |
| 50000 | Weatherford International Ltd., 144A, 6.75%, due 10/15/33 | 52274 |
| 470000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 144A, 5.25%, due 05/15/27 | 471322 |
| 120000 | XPLR Infrastructure Operating Partners LP, 144A, 7.75%, due 04/15/34 | 124422 |
|  | Total United States | 33207394 |
|  | Total Corporate Debt | 41090558 |
|  | **U.S. Government — 53.8%** |  |
| 1355000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.72%, due 01/31/27 | 1355464 |
| 25543000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 04/30/27 <sup>(a)</sup> | 25573413 |
| 4575000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 07/31/27 <sup>(a)</sup> | 4580499 |
| 6455000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.81%, due 10/31/27 <sup>(a)</sup> | 6465498 |

---

See accompanying notes to the financial statements. 18

------

#### GMO High Yield Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
|  |  | **U.S. Government — continued** | **U.S. Government — continued** |
|  | 35680000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.72%, due 01/31/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35678379 |
|  |  | Total U.S. Government | 73653253 |
|  |  | TOTAL DEBT OBLIGATIONS<br> (COST $114,354,196) | 114743811 |
|  |  | **SHORT-TERM INVESTMENTS — 12.9%** | **SHORT-TERM INVESTMENTS — 12.9%** |
|  |  | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
|  | 530933 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 530933 |
|  |  | **Sovereign and Sovereign Agency Issuers — 12.5%** | **Sovereign and Sovereign Agency Issuers — 12.5%** |
| JPY | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2672000000 | Japan Treasury Discount Bills, Zero Coupon, due 04/06/26 | 17099023 |
|  |  | TOTAL SHORT-TERM INVESTMENTS (COST $17,577,698) | 17629956 |
|  |  | **TOTAL INVESTMENTS — 96.7%**<br> (Cost $131,931,894) | **132373767** |
|  |  | Other Assets and Liabilities (net) — 3.3% | 4481780 |
|  |  | **TOTAL NET ASSETS — 100.0%** | **$136855547** |

---

19 See accompanying notes to the financial statements.

------

#### GMO High Yield Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
A summary of outstanding financial instruments at February 28, 2026 is as follows:

#### Forward Currency Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
| 04/06/2026 | MSCI | JPY 2,672,000,000 | USD 17,180,059 | $19795 |

---

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional**<br>**Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation**<br>**(Depreciation) ($)** |
| Buys |  |  |  |  |
| 21 | U.S. Treasury Note 10 Yr. (CBT) | June 2026 | 2390062 | 10496 |
| 38 | U.S. Treasury Note 2 Yr. (CBT) | June 2026 | 7952391 | 12020 |
| 45 | U.S. Treasury Note 5 Yr. (CBT) | June 2026 | 4956328 | 28248 |
|  |  |  | $15298781 | $50764 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

#### Swap Contracts

#### Centrally Cleared Credit Default Swaps

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br>**Amount** | **Annual**<br>**Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund**<br>**Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.45 | USD 25,340,040 | 5.00% | 3.32% | 25,340,040 USD | 12/20/2030 | Quarterly | $1834236 | $1711998 | $(122238) |

---

---

| | |
|:---|:---|
| ^ | 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. <br>

<sup>(1)</sup> As of February 28, 2026, 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. 

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

See accompanying notes to the financial statements. 20

------

#### GMO High Yield Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026

#### Swap Contracts — continued

#### OTC Total Return Swaps

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional<br>Amount** | **Notional<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value<br>($)** | **Net Unrealized<br>Appreciation/**<br>**(Depreciation) ($)** |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 18424000 | 03/20/2026 | Quarterly | 75 | 372869 | 372794 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | GS | USD | 43445000 | 03/20/2026 | Quarterly |  | 476137 | 476137 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 1353000 | 03/20/2026 | Quarterly |  | 547 | 547 |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | MSCI | USD | 383000 | 03/20/2026 | Quarterly |  | (232) | (232) |
|  SOFR | Total Return on iBoxx USD Liquid High Yield Index | BOA | USD | 2542000 | 03/20/2026 | Quarterly |  | 514 | 514 |
|  |  |  |  |  |  |  | $75 | $849835 | $849760 |

---

As of February 28, 2026, 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:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

&nbsp;&nbsp;&nbsp;&nbsp;(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, written options, repurchase agreements and/or reverse repurchase agreements, if any (Note 4).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 36.

21 See accompanying notes to the financial statements.

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 92.6%** | **DEBT OBLIGATIONS — 92.6%** |
|  | **Asset-Backed Securities — 76.6%** | **Asset-Backed Securities — 76.6%** |
|  | **Auto Retail Prime — 0.5%** |  |
| 6518282 | Chase Auto Owner Trust, Series 24-4A, Class A3, 144A, 4.94%, due 07/25/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6573848 |
|  | **Auto Retail Subprime — 1.6%** |  |
| 4695424 | GM Financial Consumer Automobile Receivables Trust, Series 24-1, Class A3, 4.85%, due 12/18/28 | 4724729 |
| 6134602 | Hyundai Auto Receivables Trust, Series 24-A, Class A3, 4.99%, due 02/15/29 | 6185349 |
| 3621000 | Volkswagen Auto Loan Enhanced Trust, Series 24-1, Class A3, 4.63%, due 07/20/29 | 3665219 |
| 6030000 | World Omni Auto Receivables Trust, Series 24-C, Class A3, 4.43%, due 12/17/29 | 6070885 |
|  | Total Auto Retail Subprime | 20646182 |
|  | **CMBS CDO — 0.0%** |  |
| 8586000 | ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 9 |
|  | **Collateralized Loan Obligations — 11.0%** | **Collateralized Loan Obligations — 11.0%** |
| 5510000 | AGL CLO 12 Ltd., Series 21-12A, Class XR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.80%, 4.72%, due 10/20/38 | 5505388 |
| 2454000 | Battalion CLO VIII Ltd., Series 15-8A, Class BR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.25%, 4.92%, due 07/18/30 | 2454518 |
| 4300994 | Battalion CLO XV Ltd., Series 20-15A, Class A1RR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.98%, 4.65%, due 01/17/33 | 4301136 |
| 1048271 | Black Diamond CLO Ltd., Series 16-1A, Class A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.29%, 4.96%, due 04/26/31 | 1049333 |
| 9398751 | BlueMountain CLO Ltd., Series 15-4A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.95%, 4.62%, due 04/20/30 | 9404428 |
| 520304 | BlueMountain CLO Ltd., Series 13-2A, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 5.53%, due 10/22/30 | 520533 |
| 11229012 | Canyon Capital CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 5.00%, due 07/15/31 | 11239309 |
| 3414636 | Dryden 64 CLO Ltd., Series 18-64A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 4.90%, due 04/18/31 | 3417709 |
| 9985038 | Dryden 80 CLO Ltd., Series 19-80A, Class ARR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.95%, 4.62%, due 01/17/33 | 9989002 |
| 20239199 | Eaton Vance CLO Ltd., Series 14-1RA, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.90%, 4.55%, due 07/15/30 | 20242215 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Collateralized Loan Obligations — continued** | **Collateralized Loan Obligations — continued** |
| 50327 | Elevation CLO Ltd., Series 18-10A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.92%, 4.59%, due 10/20/31 | 50311 |
| 8296009 | Gallatin CLO VIII Ltd., Series 17-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.35%, 5.02%, due 07/15/31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8304703 |
| 1656953 | Jefferson Mill CLO Ltd., Series 15-1A, Class ARR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 4.90%, due 10/20/31 | 1657836 |
| 4156901 | LCM 37 Ltd., Series 37A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.06%, 4.73%, due 04/15/34 | 4156880 |
| 1180000 | LCM XVIII LP, Series 18A, Class CR, 144A, Variable Rate, 3 mo. USD Term SOFR + 2.11%, 5.78%, due 04/20/31 | 1179975 |
| 3375228 | Madison Park Funding XLII Ltd., Series 13A, Class AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.92%, 4.59%, due 11/21/30 | 3375866 |
| 4635555 | Madison Park Funding XXXIII Ltd., Series 19-33A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.29%, 4.96%, due 10/15/32 | 4640922 |
| 4227000 | Mountain View CLO LLC, Series 16-1A, Class AR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.88%, 0.00, due 04/14/33 | 4226979 |
| 4000000 | Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. USD Term SOFR + 1.93%, 5.58%, due 10/12/30 | 4004416 |
| 2365473 | Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 4.99%, due 04/22/31 | 2371053 |
| 4740000 | Octagon Investment Partners 18-R Ltd., Series 18-18A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.73%, 5.40%, due 04/16/31 | 4755144 |
| 1083456 | OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26 | 108 |
| 4066939 | OZLM XV Ltd., Series 16-15A, Class A1R3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.05%, 4.72%, due 04/20/33 | 4068830 |
| 589132 | OZLM XXII Ltd., Series 18-22A, Class A2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.76%, 5.43%, due 01/17/31 | 589694 |
| 6000000 | Rockford Tower CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.98%, 5.64%, due 05/20/31 | 6014778 |
| 4797672 | Rockford Tower CLO Ltd., Series 19-2A, Class AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.13%, 4.79%, due 08/20/32 | 4805291 |
| 51320 | Sound Point CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 4.93%, due 04/15/31 | 51343 |

---

See accompanying notes to the financial statements. 22

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Collateralized Loan Obligations — continued** | **Collateralized Loan Obligations — continued** |
| 595866 | Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 5.08%, due 04/18/31 | 595858 |
| 337525 | Steele Creek CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.38%, 5.10%, due 06/15/31 | 337562 |
| 1146481 | Trinitas CLO XII Ltd., Series 20-12A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.05%, 4.72%, due 04/25/33 | 1147152 |
| 2030731 | Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.03%, due 07/18/31 | 2034469 |
| 1404357 | Venture 38 CLO Ltd., Series 19-38A, Class ARR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.00%, 4.67%, due 07/30/32 | 1405135 |
| 902595 | Voya CLO Ltd., Series 19-2A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.20%, 4.87%, due 07/20/32 | 903305 |
| 1725000 | Voya CLO Ltd., Series 25-1A, Class X, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.90%, 4.57%, due 04/20/38 | 1724978 |
| 2278069 | Zais CLO 13 Ltd., Series 19-13A, Class A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.30%, 4.97%, due 07/15/32 | 2279124 |
| 5368000 | Zais CLO 16 Ltd., Series 20-16A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.13%, 4.80%, due 10/20/34 | 5364522 |
|  | Total Collateralized Loan Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;138169805 |
|  | **Commercial Mortgage-Backed Securities — 22.2%** | **Commercial Mortgage-Backed Securities — 22.2%** |
| 15387600 | BBCMS Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.92%, 4.58%, due 03/15/37 | 14781930 |
| 11037000 | BBCMS Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.27%, due 08/05/38 | 9615559 |
| 5024611 | Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.21%, due 07/25/36 | 4734794 |
| 4825120 | Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52 | 4806729 |
| 16000000 | Benchmark Mortgage Trust, Series 19-B9, Class A5, 4.02%, due 03/15/52 | 15830277 |
| 10380057 | Benchmark Mortgage Trust, Series 20-B19, Class A5, 1.85%, due 09/15/53 | 9380459 |
| 18847000 | Benchmark Mortgage Trust, Series 20-B20, Class A5, 2.03%, due 10/15/53 | 16996652 |
| 11556000 | Benchmark Mortgage Trust, Series 22-B32, Class A5, Variable Rate, 3.00%, due 01/15/55 | 10564019 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| 16535000 | Benchmark Mortgage Trust, Series 22-B34, Class A5, Variable Rate, 3.79%, due 04/15/55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15683456 |
| 10395000 | Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72 | 9840507 |
| 8000000 | BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44 | 7523010 |
| 8000000 | BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44 | 7515813 |
| 13000000 | BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41 | 12493292 |
| 4570000 | BX Trust, Series 19-OC11, Class D, 144A, Variable Rate, 3.94%, due 12/09/41 | 4410119 |
| 9000000 | BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 3.94%, due 12/09/41 | 8424940 |
| 15516000 | COMM Mortgage Trust, Series 24-277P, Class A, 144A, 6.34%, due 08/10/44 | 16389458 |
| 26327712 | COMM Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51 | 26034258 |
| 8625000 | Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40 | 7824842 |
| 4636000 | Houston Galleria Mall Trust, Series 25-HGLR, Class A, 144A, Variable Rate, 5.46%, due 02/05/45 | 4890953 |
| 11393000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 24-OMNI, Class A, 144A, Variable Rate, 5.80%, due 10/05/39 | 11580632 |
| 14600000 | MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40 | 13382448 |
| 2754000 | NYC Commercial Mortgage Trust, Series 26-1PARK, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.25%, 4.95%, due 02/15/43 | 2755719 |
| 6306639 | OBX Trust, Series 25-NQM8, Class A1, 144A, Step Up, 5.47%, due 03/25/65 | 6373622 |
| 4000000 | ROCK Trust, Series 24-CNTR, Class A, 144A, 5.39%, due 11/13/41 | 4139826 |
| 4000000 | ROCK Trust, Series 24-CNTR, Class E, 144A, 8.82%, due 11/13/41 | 4280704 |
| 1326592 | Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52 | 1213865 |
| 3594555 | WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 5.65%, due 11/23/43 | 3578188 |
| 11594960 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 6.25%, due 03/23/45 | 10698906 |
| 2285000 | Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52 | 2207294 |
| 2428476 | WFRBS Commercial Mortgage Trust, Series 14-C21, Class B, Variable Rate, 4.21%, due 08/15/47 | 2388406 |

---

23 See accompanying notes to the financial statements.

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| 9814966 | WFRBS Commercial Mortgage Trust, Series 14-C21, Class C, Variable Rate, 4.23%, due 08/15/47 | 9334033 |
|  | Total Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;279674710 |
|  | **Credit Cards — 1.1%** |  |
| 13695000 | American Express Credit Account Master Trust, Series 24-3, Class A, 4.65%, due 07/15/29 | 13876468 |
|  | **Residential Mortgage-Backed Securities — Other — 10.1%** | **Residential Mortgage-Backed Securities — Other — 10.1%** |
| 732542 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.39%, 4.07%, due 02/25/36 | 46183 |
| 1967296 | ACE Securities Corp. Home Equity Loan Trust, Series 05-SD3, Class M2, Variable Rate, 1 mo. USD Term SOFR + 2.36%, 6.04%, due 08/25/45 | 1807147 |
| 17663707 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 4.15%, due 02/25/36 | 510702 |
| 7367028 | Angel Oak Mortgage Trust, Series 25-5, Class A1, 144A, Step Up, 5.57%, due 04/25/70 | 7445630 |
| 960099 | Atlas Senior Loan Fund XV Ltd., Series 19-15A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.22%, 4.89%, due 10/23/32 | 961559 |
| 13743281 | BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/28 | 923275 |
| 1731260 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 1724109 |
| 8834023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/17/29 | 484982 |
| 2928137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 182531 |
| 4448795 | Bear Stearns Mortgage Funding Trust, Series 07-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.27%, 3.95%, due 01/25/37 | 3978537 |
| 69080 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.11%, due 02/25/37 | 92982 |
| 826333 | Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29 | 838651 |
| 836151 | Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30 | 849116 |
| 4018223 | Conseco Finance Securitizations Corp., Series 02-2, Class M2, Variable Rate, 9.16%, due 03/01/33 | 4092131 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Residential Mortgage-Backed Securities — Other — continued** | **Residential Mortgage-Backed Securities — Other — continued** |
| 4422180 | Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4603235 |
| 3522623 | Conseco Finance Securitizations Corp., Series 02-1, Class M2, Variable Rate, 9.55%, due 12/01/33 | 3628262 |
| 408771 | CoreVest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53 | 403848 |
| 8088687 | Dryden 40 Senior Loan Fund, Series 15-40A, Class AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.15%, 4.80%, due 08/15/31 | 8096638 |
| 6141463 | FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38 | 6033266 |
| 1881888 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.29%, due 10/25/34 | 1868272 |
| 1017133 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37 | 1010483 |
| 4328989 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.42%, due 09/25/35 | 44417 |
| 7572884 | Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36 | 1257264 |
| 8298726 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37 | 735407 |
| 8478739 | Invitation Homes Trust, Series 24-SFR1, Class A, 144A, 4.00%, due 09/17/41 | 8415059 |
| 3326117 | Lehman ABS Manufactured Housing Contract Trust, Series 01-B, Class M2, Variable Rate, 7.17%, due 04/15/40 | 3200177 |
| 3463783 | MASTR Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.11%, due 03/25/36 | 183007 |
| 78392 | Mellon Re-REMICS Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 4.04%, due 02/26/34 | 73520 |
| 699045 | New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.09%, 4.76%, due 10/25/33 | 701413 |
| 13454617 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 3.99%, due 03/25/36 | 281387 |
| 7674789 | New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 4.13%, due 03/25/36 | 160452 |
| 20461833 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 4.19%, due 03/25/36 | 427708 |
| 10725 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 4.69%, due 08/25/35 <sup>(a)</sup> | 221160 |

---

See accompanying notes to the financial statements. 24

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Residential Mortgage-Backed Securities — Other — continued** | **Residential Mortgage-Backed Securities — Other — continued** |
| 1206179 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A2, 5.05%, due 11/15/19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1177130 |
| 439007 | Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28 | 441159 |
| 1712587 | Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29 | 1724425 |
| 5610774 | Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30 | 2105712 |
| 11752084 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 1309632 |
| 2973509 | Oakwood Mortgage Investors, Inc., Series 01-B, Class M1, 144A, Variable Rate, 7.92%, due 03/15/31 | 2941378 |
| 2430509 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 919358 |
| 249121 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31 | 246107 |
| 1751323 | Oakwood Mortgage Investors, Inc., Series 02-C, Class M1, Variable Rate, 6.89%, due 11/15/32 | 1778465 |
| 1272714 | Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40 | 1219629 |
| 3307780 | RALI Trust, Series 05-QS11, Class A1, 5.50%, due 07/25/35 | 2848758 |
| 11080867 | Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38 | 11058976 |
| 12749049 | Tricon American Homes Trust, Series 20-SFR1, Class A, 144A, 1.50%, due 07/17/38 | 12606618 |
| 5664696 | Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39 | 5421165 |
| 9907706 | Tricon Residential Trust, Series 24-SFR4, Class A, 144A, 4.30%, due 11/17/41 | 9913550 |
| 1152846 | UCFC Manufactured Housing Contract, Series 98-2, Class M1, 6.73%, due 10/15/29 | 1122003 |
| 4422330 | Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67 | 4415663 |
|  | Total Residential Mortgage-Backed Securities — Other | 126532238 |
|  | **Residential Mortgage-Backed Securities — Performing Loans — 0.6%** | **Residential Mortgage-Backed Securities — Performing Loans — 0.6%** |
| 1822733 | Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65 | 1674104 |
| 3186532 | COLT Trust, Series 21-RPL1, Class A1, 144A, Variable Rate, 1.67%, due 09/25/61 | 2978361 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Residential Mortgage-Backed Securities — Performing Loans — continued** | **Residential Mortgage-Backed Securities — Performing Loans — continued** |
| 3599931 | CSMC Trust, Series 21-RPL2, Class A1A, 144A, Variable Rate, 1.11%, due 01/25/60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3108360 |
|  | Total Residential Mortgage-Backed Securities — Performing Loans | 7760825 |
|  | **Residential Mortgage-Backed Securities — Prime —2.5%** | **Residential Mortgage-Backed Securities — Prime —2.5%** |
| 7238353 | American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. USD Term SOFR + 0.32%, 4.00%, due 10/25/46 | 3629324 |
| 323790 | Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, 1 yr. CMT + 2.30%, 6.42%, due 10/25/35 | 315329 |
| 3585594 | CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37 | 1872154 |
| 1701609 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.92%, due 12/25/36 | 1297466 |
| 771063 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.95%, due 03/25/37 | 598762 |
| 6118842 | IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 4.23%, due 04/25/46 | 5787792 |
| 1598475 | Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36 | 627088 |
| 50789310 | RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 6.23%, due 09/25/35 <sup>(a)</sup> | 1 |
| 3638370 | Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 1 yr. MTA + 1.40%, 5.32%, due 05/25/35 | 2955643 |
| 2943351 | Structured Asset Mortgage Investments II Trust, Series 07-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.11%, due 01/25/37 | 2714249 |
| 591211 | WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 4.59%, due 09/25/35 | 563186 |
| 751073 | WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 1 yr. MTA + 1.25%, 5.17%, due 01/25/47 | 684790 |
| 1482281 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-4, Class CB3, Variable Rate, 1 mo. USD Term SOFR + 0.56%, 4.24%, due 06/25/35 | 1297288 |
| 1577716 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-10, Class 4CB3, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 4.39%, due 12/25/35 | 1406309 |
| 3786628 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-8, Class A5, Step Up, 4.07%, due 10/25/36 | 1241446 |

---

25 See accompanying notes to the financial statements.

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Residential Mortgage-Backed Securities — Prime — continued** | **Residential Mortgage-Backed Securities — Prime — continued** |
| 7080684 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 07-5, Class A6, 6.00%, due 06/25/37 | 6656673 |
|  | Total Residential Mortgage-Backed Securities — Prime | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31647500 |
|  | **Residential Mortgage-Backed Securities — Subprime — 1.9%** | **Residential Mortgage-Backed Securities — Subprime — 1.9%** |
| 649660 | ABFC Trust, Series 05-AQ1, Class A5, Step Up, 4.10%, due 06/25/35 | 639974 |
| 453433 | BCAP LLC Trust, Series 14-RR2, Class 11A3, 144A, Variable Rate, 2.43%, due 05/26/37 | 445776 |
| 14094246 | Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 4.39%, due 07/25/36 | 12945064 |
| 277611 | Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.39%, 4.07%, due 12/25/36 | 274400 |
| 645586 | CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 5.27%, due 11/20/34 | 624238 |
| 1815420 | First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.22%, 3.89%, due 09/25/36 | 1766071 |
| 1737839 | Home Equity Asset Trust, Series 06-2, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 4.36%, due 05/25/36 | 1794619 |
| 639764 | Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.29%, due 08/25/37 | 634549 |
| 2266741 | Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. USD Term SOFR + 1.31%, 4.99%, due 01/25/35 | 2218925 |
| 974742 | Saxon Asset Securities Trust, Series 04-3, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 4.69%, due 12/26/34 | 955017 |
| 1420426 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-AR9, Class 2A, Variable Rate, 1 yr. MTA + 0.84%, 4.76%, due 11/25/46 | 1251259 |
|  | Total Residential Mortgage-Backed Securities — Subprime | 23549892 |
|  | **Residential Mortgage-Backed Securities — Alt-A — 3.2%** | **Residential Mortgage-Backed Securities — Alt-A — 3.2%** |
| 630588 | Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 4.69%, due 11/25/34 | 632614 |
| 1556871 | Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.11%, due 01/25/47 | 1373280 |
| 1141050 | Bear Stearns Asset-Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34 | 1118864 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Residential Mortgage-Backed Securities — Alt-A — continued** | **Residential Mortgage-Backed Securities — Alt-A — continued** |
| 3198928 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 4.79%, due 07/25/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1774292 |
| 88031 | Countrywide Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34 | 88676 |
| 2000564 | Countrywide Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35 | 1502475 |
| 1472733 | Countrywide Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 4.49%, due 05/25/36 | 581054 |
| 1524683 | Countrywide Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 4.49%, due 10/25/36 | 526180 |
| 2080487 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 06-AF1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 4.39%, due 04/25/36 | 1996497 |
| 7264683 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 07-AR2, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.41%, 4.09%, due 03/25/37 | 7020743 |
| 3972434 | Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. USD Term SOFR + 2.66%, 6.34%, due 10/25/35 | 2562821 |
| 10214073 | GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.11%, due 06/25/36 | 1832455 |
| 10130855 | GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.22%, due 06/25/47 | 5795787 |
| 5180562 | HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 4.00%, due 07/19/37 | 5093487 |
| 26996 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37 | 23592 |
| 941315 | Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 3.11%, 6.79%, due 10/25/37 | 929296 |
| 2462449 | Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35 | 1195310 |
| 15303444 | Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36 | 3539913 |
| 7541850 | Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 4.33%, due 08/25/37 | 3312718 |
|  | Total Residential Mortgage-Backed Securities — Alt-A | 40900054 |

---

See accompanying notes to the financial statements. 26

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Small Balance Commercial Mortgages — 4.5%** | **Small Balance Commercial Mortgages — 4.5%** |
| 1790583 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.58%, 4.25%, due 08/25/35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1757506 |
| 935260 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.70%, 4.37%, due 01/25/36 | 899757 |
| 1197513 | Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 4.33%, due 04/25/36 | 1144777 |
| 481374 | Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 4.36%, due 04/25/36 | 454755 |
| 667167 | Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 4.13%, due 07/25/36 | 648491 |
| 1364698 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.21%, due 07/25/36 | 1336218 |
| 2920313 | Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.49%, 4.16%, due 10/25/36 | 2837547 |
| 5335440 | Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.21%, due 01/25/37 | 5123607 |
| 866993 | Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.44%, 4.12%, due 03/25/37 | 837816 |
| 1554864 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 4.15%, due 07/25/37 | 1505023 |
| 4355668 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.52%, 4.19%, due 07/25/37 | 4112533 |
| 5721201 | Bayview Commercial Asset Trust, Series 07-4A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.79%, 4.46%, due 09/25/37 | 5467322 |
| 755073 | Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. USD Term SOFR + 2.36%, 6.04%, due 01/25/38 | 750156 |
| 71813367 | FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 0.00, due 05/25/30 | 1613618 |
| 89778622 | FRESB Mortgage Trust, Series 19-SB63, Class X1, Variable Rate, 1.68%, due 04/25/39 | 2823834 |
| 33937654 | FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 0.00, due 03/25/40 | 1259630 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Small Balance Commercial Mortgages — continued** | **Small Balance Commercial Mortgages — continued** |
| 192198440 | FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.18%, due 06/25/40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6375011 |
| 1295000 | Harvest Commercial Capital Loan Trust, Series 19-1, Class M4, 144A, Variable Rate, 4.64%, due 09/25/46 | 1275142 |
| 3500000 | Harvest Commercial Capital Loan Trust, Series 19-1, Class M5, 144A, Variable Rate, 5.73%, due 09/25/46 | 3437971 |
| 3230000 | Harvest Commercial Capital Loan Trust, Series 20-1, Class M4, 144A, Variable Rate, 5.96%, due 04/25/52 | 3242729 |
| 1599759 | Harvest Commercial Capital Loan Trust, Series 24-1, Class A, 6.16%, due 10/25/56 | 1654560 |
| 2075724 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.29%, due 03/25/37 | 1920173 |
| 1500178 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.38%, due 10/25/37 | 1515180 |
| 3532079 | Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51 | 3218448 |
| 1224423 | Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51 | 1026940 |
|  | Total Small Balance Commercial Mortgages | 56238744 |
|  | **Student Loans—Federal Family Education Loan Program — 4.1%** | **Student Loans—Federal Family Education Loan Program — 4.1%** |
| 6960589 | AccessLex Institute, Series 04-2, Class A4, Variable Rate, 90 day USD SOFR Average + 0.60%, 4.49%, due 04/26/32 | 6900632 |
| 2994236 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 90 day USD SOFR Average + 0.96%, 4.85%, due 01/25/43 | 2753076 |
| 9423595 | SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 90 day USD SOFR Average + 1.16%, 5.29%, due 06/15/40 | 9344418 |
| 6897194 | SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 90 day USD SOFR Average + 1.91%, 5.80%, due 07/25/22 | 6913242 |
| 14661461 | SLM Student Loan Trust, Series 08-6, Class A4, Variable Rate, 90 day USD SOFR Average + 1.36%, 5.25%, due 07/25/23 | 14664720 |
| 6768297 | SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 90 day USD SOFR Average + 1.96%, 5.85%, due 07/25/23 | 6810232 |

---

27 See accompanying notes to the financial statements.

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Student Loans-Federal Family Education Loan Program — continued** | **Student Loans-Federal Family Education Loan Program — continued** |
| 3692684 | SLM Student Loan Trust, Series 07-7, Class A4, Variable Rate, 90 day USD SOFR Average + 0.59%, 4.48%, due 01/25/49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3656062 |
|  | Total Student Loans-Federal Family Education Loan Program | 51042382 |
|  | **Student Loans-Private — 13.3%** | **Student Loans-Private — 13.3%** |
| 2488933 | Commonbond Student Loan Trust, Series 21-AGS, Class A, 144A, 1.20%, due 03/25/52 | 2168545 |
| 1094528 | ELFI Graduate Loan Program LLC, Series 21-A, Class A, 144A, 1.53%, due 12/26/46 | 991140 |
| 4222601 | KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 5.25%, due 12/27/38 | 4147554 |
| 11024863 | KeyCorp Student Loan Trust, Series 06-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 5.10%, due 03/27/42 | 9008951 |
| 3403107 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 5.18%, due 07/28/42 | 3283683 |
| 8758011 | National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 8.64%, due 03/31/38 <sup>(a)</sup> | 1072856 |
| 7625000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28 day ARS + 0.00%, 8.07%, due 03/25/38 <sup>(a)</sup> | 934062 |
| 673142 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 4.10%, due 05/25/32 | 670613 |
| 5440000 | National Collegiate Student Loan Trust, Series 06-4, Class B, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 4.13%, due 05/25/32 | 3079764 |
| 2420891 | National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.40%, 4.08%, due 01/25/33 | 2382478 |
| 2604329 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 4.14%, due 03/25/33 | 2580533 |
| 728609 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. USD Term SOFR + 0.48%, 4.16%, due 06/25/33 | 723893 |
| 6269905 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 4.09%, due 10/25/33 | 6205352 |
| 24944 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 7.75%, due 03/25/38 <sup>(b)</sup> | 19442 |
| 75000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 7.75%, due 03/25/38 <sup>(b)</sup> | 58455 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Student Loans - Private — continued** | **Student Loans - Private — continued** |
| 3475746 | Navient Private Education Refi Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3224006 |
| 948222 | Navient Student Loan Trust, Series 23-BA, Class A1B, 144A, Variable Rate, 30 day USD SOFR Average + 1.70%, 5.36%, due 03/15/72 | 956749 |
| 1844202 | Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62 | 1764544 |
| 2793409 | Nelnet Student Loan Trust, Series 21-DA, Class AFL, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.80%, 4.47%, due 04/20/62 | 2782040 |
| 1939289 | SLM Private Credit Student Loan Trust, Series 03-A, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 5.58%, due 06/15/32 | 789729 |
| 1709000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 6.94%, due 06/15/32 <sup>(b)</sup> | 1709000 |
| 11085730 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 5.58%, due 09/15/32 | 2421032 |
| 800000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.07%, due 09/15/32 <sup>(b)</sup> | 800000 |
| 7367782 | SLM Private Credit Student Loan Trust, Series 03-B, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 5.58%, due 03/15/33 | 2002176 |
| 1853796 | SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. USD Term SOFR + 0.66%, 4.38%, due 06/15/33 | 1850114 |
| 4861738 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.69%, 4.41%, due 09/15/33 | 4820912 |
| 14744461 | SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.57%, 4.29%, due 12/15/38 | 14562162 |
| 13717241 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.55%, 4.27%, due 06/15/39 | 13469622 |
| 8829153 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.59%, 4.31%, due 06/15/39 | 8701541 |
| 1255937 | SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.46%, 4.18%, due 12/15/39 | 1230475 |
| 6385678 | SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.53%, 4.25%, due 12/15/39 | 6267321 |

---

See accompanying notes to the financial statements. 28

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Student Loans—Private — continued** | **Student Loans—Private — continued** |
| 2672291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 0.65%, 4.37%, due 12/15/39 | 2536529 |
| 8274773 | SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. USD Term SOFR + 0.50%, 4.22%, due 12/16/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8223425 |
| 3168880 | SLM Private Education Loan Trust, Series 10-C, Class A5, 144A, Variable Rate, 1 mo. USD Term SOFR + 4.86%, 8.52%, due 10/15/41 | 3326654 |
| 2487835 | SLM Student Loan Trust, Series 08-2, Class A3, Variable Rate, 90 day USD SOFR Average + 1.01%, 4.90%, due 04/25/23 | 2487772 |
| 534197 | SMB Private Education Loan Trust, Series 15-B, Class B, 144A, 3.50%, due 12/17/40 | 533642 |
| 1150000 | SMB Private Education Loan Trust, Series 14-A, Class C, 144A, 4.50%, due 09/15/45 | 1057036 |
| 10182331 | SMB Private Education Loan Trust, Series 21-A, Class B, 144A, 2.31%, due 01/15/53 | 9972760 |
| 1000 | SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56 <sup>(b)</sup> | 404201 |
| 122243 | South Carolina Student Loan Corp., Series 15-A, Class A, Variable Rate, 1 mo. USD Term SOFR + 1.61%, 5.29%, due 01/25/36 | 122261 |
| 1340247 | Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 4.84%, due 01/25/46 | 1340148 |
| 8432486 | Towd Point Asset Trust, Series 21-SL1, Class A1, 144A, 1.05%, due 11/20/61 | 8196919 |
| 6900000 | Towd Point Asset Trust, Series 21-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 4.83%, due 11/20/61 | 6849693 |
| 17741000 | Towd Point Asset Trust, Series 21-SL1, Class C, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.51%, 5.18%, due 11/20/61 | 17534924 |
|  | Total Student Loans—Private | 167264708 |
|  | Total Asset-Backed Securities | 963877365 |
|  | **U.S. Government — 13.2%** |  |
| 43545000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 04/30/27 <sup>(c)</sup> | 43596847 |
| 13200000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 07/31/27 <sup>(c)</sup> | 13215867 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value† /** <br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **U.S. Government — continued** |  |
| 109605000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.72%, due 01/31/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;109600020 |
|  | Total U.S. Government | 166412734 |
|  | **U.S. Government Agency — 2.8%** |  |
| 13800000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 03/01/40 | 14157309 |
| 14500000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 03/01/55 | 14872480 |
| 7000000 | Uniform Mortgage-Backed Security, TBA, 2.50%, due 03/01/56 | 6064044 |
|  | Total U.S. Government Agency | 35093833 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $1,237,511,297) | 1165383932 |
|  | **INVESTMENT FUNDS — 0.9%** |  |
|  | **United States — 0.9%** |  |
| 2323242 | GMO U.S. Treasury Fund, Class VI <sup>(d)</sup> | 11639444 |
| 6000 | GMO Ultra-Short Income ETF <sup>(d)</sup> | 301417 |
|  | Total United States | 11940861 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $12,003,931) | 11940861 |
|  | **SHORT-TERM INVESTMENTS — 7.2%** | **SHORT-TERM INVESTMENTS — 7.2%** |
|  | **Money Market Funds — 0.2%** | **Money Market Funds — 0.2%** |
| 2029558 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(e)</sup> | 2029558 |
|  | **Repurchase Agreements — 7.0%** | **Repurchase Agreements — 7.0%** |
| 88001109 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 02/27/26 maturing on 03/02/26 with a maturity value of $88,027,876 and an effective yield of 3.65%, collateralized by a U.S. Treasury Note with maturity date 03/31/29 and a market value of $89,907,829. | 88001109 |
|  | TOTAL SHORT-TERM INVESTMENTS (COST $90,030,667) | 90030667 |

---

29 See accompanying notes to the financial statements.

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

#### PURCHASED OPTIONS — 0.0%

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Rate** | **Expiration<br>Date** | **Principal/**<br> **Notional**<br> **Amount** | **Principal/**<br> **Notional**<br> **Amount** | **Floating**<br> **Rate Index** | **Pay/Receive<br>Floating Rate** | **Value ($)** |
| **Options on Credit Default Swaps - Puts — 0.0%** | **Options on Credit Default Swaps - Puts — 0.0%** |  |  |  |  |  |  |  |
| CDX.NA.IG.45 | CITI | 0.50% | 03/18/26 | USD | 71100000 | Fixed Spread | Pay | 210288 |
|  | TOTAL PURCHASED OPTIONS (COST $114,613) | TOTAL PURCHASED OPTIONS (COST $114,613) | TOTAL PURCHASED OPTIONS (COST $114,613) | TOTAL PURCHASED OPTIONS (COST $114,613) | TOTAL PURCHASED OPTIONS (COST $114,613) |  |  | 210288 |
|  | **TOTAL INVESTMENTS — 100.7%**<br> (Cost $1,339,660,508) | **TOTAL INVESTMENTS — 100.7%**<br> (Cost $1,339,660,508) | **TOTAL INVESTMENTS — 100.7%**<br> (Cost $1,339,660,508) | **TOTAL INVESTMENTS — 100.7%**<br> (Cost $1,339,660,508) | **TOTAL INVESTMENTS — 100.7%**<br> (Cost $1,339,660,508) |  |  | 1267565748 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Description** | **Value ($)** |
|  | **SECURITIES SOLD SHORT — (2.4)%** | **SECURITIES SOLD SHORT — (2.4)%** |
|  | **DEBT OBLIGATIONS — (2.4)%** |  |
|  | **U.S. Government Agency — (2.4)%** |  |
| (10500000) | Uniform Mortgage-Backed Security, TBA, 6.00%, due 03/01/55 | (10773008) |
| (20000000) | Uniform Mortgage-Backed Security, TBA, 2.50%, due 03/01/41 | (19084697) |
|  | Total U.S. Government Agency | (29857705) |
|  | TOTAL DEBT OBLIGATIONS<br> (PROCEEDS $29,579,766) | (29857705) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $29,579,766) | (29857705) |
|  | Other Assets and Liabilities (net) — 1.7% | 21240554 |
|  | **TOTAL NET ASSETS — 100.0%** | $**1258948597** |

---

See accompanying notes to the financial statements. 30

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
A summary of outstanding financial instruments at February 28, 2026 is as follows:

#### Forward Currency Contracts

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Settlement<br> Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
|  04/30/2026  | DB | EUR 5,743,000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USD | 6893785 | 89032 |
|  04/30/2026  | CITI | USD 162,243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EUR | 137000 | 85 |
|  04/30/2026  | DB | USD 2,698,455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EUR | 2248000 | (34850) |
|  |  |  |  |  | $54267 |

---

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 558 | U.S. Treasury Note 10 Yr. (CBT) | June 2026 | 63507375 | 278899 |
| 410 | U.S. Treasury Note 2 Yr. (CBT) | June 2026 | 85802109 | 169310 |
| 373 | U.S. Treasury Ultra 10 Yr. (CBT) | June 2026 | 43541922 | 248015 |
|  |  |  | $192851406 | $696224 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Sales |  |  |  |  |
| 471 | U.S. Treasury Note 5 Yr. (CBT) | June 2026 | $51876234 | $(178988) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

#### Written Options

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Rate** | **Expiration<br>Date** |  | **Principal/<br>Notional<br>Amount** | **Floating Rate<br>Index** | **Pay/Receive<br>Floating Rate** | **Value**<br>**($)** |
| **Written Options on Credit Default Swaps – Puts** | **Written Options on Credit Default Swaps – Puts** |  |  |  |  |  |  |  |
| CDX.NA.IG.45 | CITI | 0.65% | 03/18/26 | USD | (106650000) | Fixed Spread | Pay | (52550) |
| ITRAXX.FINSR.44 | JPM | 0.70% | 04/15/26 | EUR | (52212000) | Fixed Spread | Pay | (70084) |
|  |  |  |  | Total Written Option on Credit Default Swaps - Puts | Total Written Option on Credit Default Swaps - Puts | Total Written Option on Credit Default Swaps - Puts | Total Written Option on Credit Default Swaps - Puts | (122634) |
|  |  |  |  |  |  | **TOTAL WRITTEN OPTIONS** | **TOTAL WRITTEN OPTIONS** |  |
|  |  |  |  |  |  | (Premiums $127,168) | (Premiums $127,168) | $(122634) |

---

#### Swap Contracts

#### Centrally Cleared Credit Default Swaps

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund**<br>**Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  ITRAXX.EUR.42 | EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;47150000 | 1.00% | 0.44% | N/A | 12/20/2029 | Quarterly | (881120) | (1135420) | (254300) |
|  CDX.NA.IG.S45 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;117930000 | 1.00% | 0.56% | N/A | 12/20/2030 | Quarterly | (2715216) | (2285719) | 429497 |
|  ITRAXX.EUR.44 | EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23700000 | 1.00% | 0.55% | N/A | 12/20/2030 | Quarterly | (590879) | (568171) | 22708 |
|  ITRAXX.FINSR.44 | EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;104424000 | 1.00% | 0.59% | N/A | 12/20/2030 | Quarterly | (2290097) | (2306480) | (16383) |

---

31 See accompanying notes to the financial statements.

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026

#### Swap Contracts — continued

#### Centrally Cleared Credit Default Swaps — continued

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br>**Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund**<br>**Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  ITRAXX.XO.44 | EUR 10,290,000 | 5.00% | 2.60% | N/A | 12/20/2030 | Quarterly | (1331031) | (1226323) | 104708 |
|  |  |  |  |  |  |  | $(7808343) | $(7522113) | $286230 |

---

#### OTC Credit Default Swaps

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-<br>party** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic**<br>**Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.43 | GS | USD | 11900000 | 5.00% | 2.73% | N/A | 12/20/2029 | Quarterly | (896533) | (953726) | (57193) |
|  CMBX.NA.A.7 | CGMI | USD | 244235 | 2.00% | 57.37% | N/A | 01/17/2047 | Monthly | 15338 | 37348 | 22010 |
|  CMBX.NA.A.7 | CGMI | USD | 1719962 | 2.00% | 57.37% | N/A | 01/17/2047 | Monthly | 102123 | 263011 | 160888 |
|  CMBX.NA.A.7 | GS | USD | 488469 | 2.00% | 57.37% | N/A | 01/17/2047 | Monthly | 26893 | 74695 | 47802 |
|  CMBX.NA.AS.7 | BOA | USD | 217814 | 1.00% | 1.44% | N/A | 01/17/2047 | Monthly | 2289 | 127 | (2162) |
|  CMBX.NA.AS.7 | DB | USD | 367841 | 1.00% | 1.44% | N/A | 01/17/2047 | Monthly | (5797) | 215 | 6012 |
|  CMBX.NA.AS.7 | DB | USD | 806359 | 1.00% | 1.44% | N/A | 01/17/2047 | Monthly | 9542 | 470 | (9072) |
|  CMBX.NA.AS.7 | GS | USD | 212737 | 1.00% | 1.44% | N/A | 01/17/2047 | Monthly | 5454 | 124 | (5330) |
|  CMBX.NA.AS.7 | MORD | USD | 641595 | 1.00% | 1.44% | N/A | 01/17/2047 | Monthly | 9949 | 374 | (9575) |
|  CMBX.NA.AA.11 | CGMI | USD | 4000000 | 1.50% | 1.84% | N/A | 11/18/2054 | Monthly | (6041) | 20709 | 26750 |
|  CMBX.NA.AA.11 | CGMI | USD | 4626000 | 1.50% | 1.84% | N/A | 11/18/2054 | Monthly | (63740) | 23951 | 87691 |
|  CMBX.NA.AA.11 | MORD | USD | 4624500 | 1.50% | 1.84% | N/A | 11/18/2054 | Monthly | (67279) | 23943 | 91222 |
|  CMBX.NA.AA.11 | MORD | USD | 4624500 | 1.50% | 1.84% | N/A | 11/18/2054 | Monthly | (61371) | 23943 | 85314 |
|  CMBX.NA.BBB-.11 | CGMI | USD | 5215000 | 3.00% | 10.88% | N/A | 11/18/2054 | Monthly | 798547 | 599725 | (198822) |
|  CMBX.NA.BBB-.11 | CGMI | USD | 5752000 | 3.00% | 10.88% | N/A | 11/18/2054 | Monthly | 1213313 | 661480 | (551833) |
|  CMBX.NA.BBB-.11 | GS | USD | 9940000 | 3.00% | 10.88% | N/A | 11/18/2054 | Monthly | 1289094 | 1143100 | (145994) |
|  CMBX.NA.A.8 | CGMI | USD | 2558996 | 2.00% | 79.71% | N/A | 10/17/2057 | Monthly | 134347 | 166085 | 31738 |
|  CMBX.NA.A.8 | GS | USD | 936081 | 2.00% | 79.71% | N/A | 10/17/2057 | Monthly | 15810 | 60754 | 44944 |
|  CMBX.NA.A.8 | MORD | USD | 1023598 | 2.00% | 79.71% | N/A | 10/17/2057 | Monthly | 55018 | 66434 | 11416 |
|  CMBX.NA.BBB-.18 | GS | USD | 5156000 | 3.00% | 5.76% | N/A | 12/17/2057 | Monthly | 331918 | 416670 | 84752 |
|  CMBX.NA.BBB-.18 | GS | USD | 8160000 | 3.00% | 5.76% | N/A | 12/17/2057 | Monthly | 633175 | 659430 | 26255 |
|  CMBX.NA.BBB-.18 | MSCI | USD | 5156000 | 3.00% | 5.76% | N/A | 12/17/2057 | Monthly | 360920 | 416669 | 55749 |
|  CMBX.NA.BBB-.9 | MORD | USD | 2876507 | 3.00% | 335.52% | N/A | 09/17/2058 | Monthly | 328715 | 809017 | 480302 |
|  CMBX.NA.AA.12 | GS | USD | 6974000 | 1.50% | 1.79% | N/A | 08/17/2061 | Monthly | (61732) | 45788 | 107520 |
|  CMBX.NA.AA.6 | GS | USD | 488624 | 1.50% | 45.46% | N/A | 05/11/2063 | Monthly | 3624 | 57904 | 54280 |
|  CMBX.NA.BBB-.6 | CGMI | USD | 1426075 | 3.00% | 22.69% | N/A | 05/11/2063 | Monthly | 452898 | 181468 | (271430) |
|  CMBX.NA.BBB-.6 | GS | USD | 1361345 | 3.00% | 22.69% | N/A | 05/11/2063 | Monthly | 192290 | 173231 | (19059) |
|  CMBX.NA.A.15 | CGMI | USD | 5000000 | 2.00% | 2.93% | N/A | 11/18/2064 | Monthly | 600000 | 205591 | (394409) |
|  CMBX.NA.A.15 | MORD | USD | 3000000 | 2.00% | 2.93% | N/A | 11/18/2064 | Monthly | 287105 | 123355 | (163750) |
|  CMBX.NA.A.15 | MSCI | USD | 4560000 | 2.00% | 2.93% | N/A | 11/18/2064 | Monthly | 275394 | 187499 | (87895) |
|  CMBX.NA.BBB-.15 | CGMI | USD | 5000000 | 3.00% | 6.87% | N/A | 11/18/2064 | Monthly | 796875 | 773958 | (22917) |
|  CMBX.NA.BBB-.15 | GS | USD | 5000000 | 3.00% | 6.87% | N/A | 11/18/2064 | Monthly | 787500 | 773958 | (13542) |

---

See accompanying notes to the financial statements. 32

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026

#### Swap Contracts — continued

#### OTC Credit Default Swaps — continued

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-<br>party** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic**<br>**Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  CMBX.NA.BBB-.15 | MSCI | USD | 5000000 | 3.00% | 6.87% | N/A | 11/18/2064 | Monthly | 718500 | 773958 | 55458 |
|  CMBX.NA.A.14 | GS | USD | 2682000 | 2.00% | 3.38% | N/A | 12/16/2072 | Monthly | 349769 | 136865 | (212904) |
|  CMBX.NA.AA.13 | CGMI | USD | 2000000 | 1.50% | 1.92% | N/A | 12/16/2072 | Monthly | 147237 | 27118 | (120119) |
|  CMBX.NA.AA.13 | CGMI | USD | 3000000 | 1.50% | 1.92% | N/A | 12/16/2072 | Monthly | 138948 | 40677 | (98271) |
|  CMBX.NA.BBB-.14 | CGMI | USD | 3933500 | 3.00% | 7.89% | N/A | 12/16/2072 | Monthly | 1111214 | 648700 | (462514) |
|  CMBX.NA.BBB-.14 | GS | USD | 1360000 | 3.00% | 7.89% | N/A | 12/16/2072 | Monthly | 340000 | 224287 | (115713) |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.43 | GS | USD | 18250000 | 5.00% | 1.06% | 18,250,000 USD | 12/20/2029 | Quarterly | 2749160 | 2579845 | (169315) |
|  CDX.NA.HY.43 | MSCI | USD | 3967000 | 5.00% | 1.06% | 3,967,000 USD | 12/20/2029 | Quarterly | 595601 | 560781 | (34820) |
|  CDX.NA.HY.43 | GS | USD | 3060000 | 5.00% | 1.06% | 3,060,000 USD | 12/20/2029 | Quarterly | 288677 | 432566 | 143889 |
|  CDX.NA.HY.43 | GS | USD | 3060000 | 5.00% | 2.73% | 3,060,000 USD | 12/20/2029 | Quarterly | (161755) | 245243 | 406998 |
|  ITRAXX.EUR.42 | BOA | EUR | 78580000 | 1.00% | 0.21% | 78,580,000 EUR | 12/20/2029 | Quarterly | 2735206 | 2724032 | (11174) |
|  ITRAXX.EUR.44 | BOA | EUR | 39500000 | 1.00% | 0.28% | 39,500,000 EUR | 12/20/2030 | Quarterly | 1589343 | 1535992 | (53351) |
|  ITRAXX.XO.44 | BNP | EUR | 23390000 | 5.00% | 0.63% | 23,390,000 EUR | 12/20/2030 | Quarterly | 5444057 | 5301358 | (142699) |
|  CMBX.NA.AA.7 | CGMI | USD | 704283 | 1.50% | 16.76% | 704,283 USD | 01/17/2047 | Monthly | (17607) | (42232) | (24625) |
|  CMBX.NA.BBB-.17 | GS | USD | 3966000 | 3.00% | 5.63% | 3,966,000 USD | 12/15/2056 | Monthly | (506904) | (532039) | (25135) |
|  CMBX.NA.BBB-.17 | MSCI | USD | 3966000 | 3.00% | 5.63% | 3,966,000 USD | 12/15/2056 | Monthly | (526734) | (532039) | (5305) |
|  CMBX.NA.AAA.10 | GS | USD | 7437431 | 0.50% | 0.21% | 7,437,431 USD | 11/17/2059 | Monthly | 68022 | 10862 | (57160) |
|  CMBX.NA.AAA.15 | CGMI | USD | 9986270 | 0.50% | 0.51% | 9,986,270 USD | 11/18/2064 | Monthly | (372596) | (3423) | 369173 |
|  CMBX.NA.AAA.15 | GS | USD | 2821121 | 0.50% | 0.51% | 2,821,121 USD | 11/18/2064 | Monthly | (43405) | (967) | 42438 |
|  CMBX.NA.AAA.15 | MSCI | USD | 9107478 | 0.50% | 0.51% | 9,107,478 USD | 11/18/2064 | Monthly | (131561) | (3122) | 128439 |
|  |  |  |  |  |  |  |  |  | $22080810 | $21165762 | $(915048) |

---

---

| | |
|:---|:---|
| ^ | 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. <br>

<sup>(1)</sup> As of February 28, 2026, 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. 

<sup>(2)</sup> 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**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.29% | USD-SOFR-OIS COMPOUND | USD | 21000000 | 08/31/2030 | Annually | (4994) | (89237) | (84243) |

---

33 See accompanying notes to the financial statements.

------

#### GMO Opportunistic Income Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026
As of February 28, 2026, 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:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

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

<sup>(b)</sup> Investment valued using significant unobservable inputs (Note 2).

<sup>(c)</sup> 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, written options, repurchase agreements and/or reverse repurchase agreements, if any (Note 4). 

<sup>(d)</sup> Affiliated company (Note 10).

<sup>(e)</sup> The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 36.

See accompanying notes to the financial statements. 34

------

#### GMO U.S. Treasury Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 99.9%** | **SHORT-TERM INVESTMENTS — 99.9%** |
|  | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 145206 | State Street Institutional Treasury Plus Money Market Fund – Premier Class, 3.63% <sup>(a)</sup> | 145206 |
|  | **Repurchase Agreements — 46.9%** |  |
| 16599461 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 02/27/26 maturing on 03/02/26 with a maturity value of $16,604,371 and an effective yield of 3.55%, collateralized by a U.S. Treasury Note with maturity date 03/31/29 and a market value of $16,959,824. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16599461 |
| 150001127 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 02/27/26 maturing on 03/02/26 with a maturity value of $150,046,753 and an effective yield of 3.65%, collateralized by a U.S. Treasury Note with maturity date 03/31/29 and a market value of $153,257,553. | 150001127 |
|  | Total Repurchase Agreements | 166600588 |
|  | **U.S. Government — 53.0%** |  |
| 5578000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 04/30/27 | 5584642 |
| 28410000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 07/31/27 | 28444149 |
| 37570000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.72%, due 01/31/28 | 37568293 |
| 7426376 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 04/15/26 | 7433724 |
| 7408467 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 07/15/26 | 7447142 |
| 7435530 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 10/15/26 | 7448697 |
| 10749000 | U.S. Treasury Notes, 4.38%, due 07/31/26 | 10780575 |
| 5848000 | U.S. Treasury Notes, 3.75%, due 08/31/26 | 5850147 |
| 15743000 | U.S. Treasury Notes, 4.63%, due 09/15/26 | 15822607 |
| 15920000 | U.S. Treasury Notes, 4.25%, due 11/30/26 | 15994998 |
| 15640000 | U.S. Treasury Notes, 4.25%, due 12/31/26 | 15728708 |
| 15720000 | U.S. Treasury Notes, 4.13%, due 01/31/27 | 15801179 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†**  | **Description** | **Value ($)** |
|  | U.S. Government — continued |  |
| 14860000 | U.S. Treasury Notes, 1.88%, due 02/28/27 | 14620731 |
|  | Total U.S. Government | 188525592 |
|  | TOTAL SHORT-TERM INVESTMENTS (COST $355,048,339) | 355271386 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $355,048,339) | 355271386 |
|  | Other Assets and Liabilities (net) — 0.1% | 374485 |
|  | **TOTAL NET ASSETS — 100.0%** | $**355645871** |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

<sup>(a)</sup> The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 36.

35 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### February 28, 2026

#### 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.

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

CDI - Certificado de Deposito Interbancario

CDO - Collateralized Debt Obligation

CJSC - Closed Joint-Stock Company

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

ETF - Exchange-Traded Fund

EURIBOR - Euro Interbank Offered Rate

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

GDP - Gross Domestic Product

IO - Interest Only

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

MTA - Monthly Treasury Average Index

OIS - Overnight Indexed Swaps

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.

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 February 28, 2026.

TBA - To Be Announced - Delayed Delivery Security

THOR - Thai Overnight Repurchase Rate

TONA - Tokyo Overnight Average Rate

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

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

The rates shown on variable rate notes are the current interest rates at February 28, 2026, which are subject to change based on the terms of the security.

---

| | |
|:---|:---|
| **Counterparty Abbreviations:** |  |
| BCLY - Barclays Bank PLC | MORD - Morgan Stanley Capital |
| BNP - BNP Paribas | Services LLC |
| BOA - Bank of America, N.A. | MSBNA - Morgan Stanley Bank, |
| CGMI - Citigroup Global Markets Inc. | N.A. |
| CITI - Citibank N.A. | MSCI - Morgan Stanley & Co. |
| DB - Deutsche Bank AG | International PLC |
| GS - Goldman Sachs International | SSB - State Street Bank and Trust |
| JPM - JPMorgan Chase Bank, N.A. | Company |
| **Currency Abbreviations:** |  |
| BRL - Brazilian Real | NGN - Nigerian Naira |
| CHF - Swiss Franc | PEN - Peruvian Sol |
| COP - Colombian Peso | PYG - Paraguayan Guarani |
| DOP - Dominican Republic Peso | THB - Thai Baht |
| EUR - Euro | TRY - Turkish Lira |
| GBP - British Pound | USD - United States Dollar |
| JPY - Japanese Yen | UYU - Uruguay Peso |
| KRW - South Korean Won | ZAR - South African Rand |
| KZT - Kazakhstani Tenge |  |

---

See accompanying notes to the financial statements. 36

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
|  | **Asset<br>Allocation<br>Bond Fund** | **Emerging<br>Country<br>Debt Fund** | **Emerging<br>Country<br>Debt Shares<br>Fund** |
|  **Assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers, at value (Notes 2 and 10)<sup>(a)</sup>  | $— | $15843071 | $26566548 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(b)</sup>  | 11242683 | 2380700557 | 1728490 |
| &nbsp;&nbsp;&nbsp;&nbsp; Repurchase agreements, at value (Note 2)<sup>(c)</sup>  | 93999193 | 53213702 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign currency, at value (Note 2)<sup>(d)</sup>  |  | 544 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash |  | 1145284 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for investments sold | 1073582 | 560131 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold |  | 149905 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 51676 | 42544789 | 372 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest withholding tax receivable |  | 23778 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on open forward currency contracts (Note 4) |  | 1225803 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due from broker (Note 2) |  | 14622317 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for variation margin on open futures contracts (Note 4) | 759699 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for open OTC swap contracts (Note 4) |  | 647754 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest receivable for open OTC swap contracts (Note 4) |  | 270687 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 6393 |  | 21304 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous receivable |  | 12758 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total assets | 107133226 | 2510961080 | 28316714 |
|  **Liabilities:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold short, at value (Note 2)<sup>(e)</sup>  |  | 3258074 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due to custodian |  |  | 1701090 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for investments purchased | 1072381 | 5007682 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares repurchased |  | 5000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to affiliate for (Note 5): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fee | 16617 | 655043 | 6697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee | 3656 | 214083 | 2870 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for variation margin on open cleared swap contracts (Note 4) |  | 163662 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on open forward currency contracts (Note 4) |  | 2703654 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest payable for open OTC swap contracts (Note 4) |  | 582092 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for open OTC swap contracts (Note 4) |  | 2846792 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for reverse repurchase agreements (Note 2) |  | 41795881 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to Trustees and related expenses | 435 | 24693 | 111 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and dividend payable for short sales |  | 16283 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued expenses | 82680 | 617576 | 40149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total liabilities | 1175769 | 57890515 | 1750917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commitments and contingent liabilities (Note 5) |  |  |  |
|  **Net assets** | $**105957457** | $**2453070565** | $**26565797** |
|  <sup>(a)</sup> Cost of investments – affiliated issuers: | $— | $9300000 | $26080236 |
|  <sup>(b)</sup> Cost of investments – unaffiliated issuers: | $11234137 | $2466851526 | $1728490 |
|  <sup>(c)</sup> Cost of investments – repurchase agreements: | $93999193 | $53213702 | $— |
|  <sup>(d)</sup> Cost of foreign currency: | $— | $42 | $— |
|  <sup>(e)</sup> Proceeds from securities sold short: | $— | $3162000 | $— |

---

37 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **Asset<br>Allocation<br>Bond Fund** | **Emerging<br>Country<br>Debt Fund** | **Emerging<br>Country<br>Debt Shares<br>Fund** |
|  **Net assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $154774213 | $3418616977 | $26079485 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | (48816756) | (965546412) | 486312 |
|  | $**105957457** | $**2453070565** | $**26565797** |
|  **Net assets attributable to:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $— | $774251181 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $— | $1566854066 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $105957457 | $111965318 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $— | $— | $26565797 |
|  **Shares outstanding:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III |  | 32586366 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV |  | 66114416 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | 5488181 | 4726923 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I |  |  | 1285575 |
|  **Net asset value per share:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $— | $23.76 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $— | $23.70 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $19.31 | $23.69 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $— | $— | $20.66 |

---

See accompanying notes to the financial statements. 38

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **High Yield<br>Fund** | **Opportunistic<br>Income**<br>**Fund** | **U.S. Treasury**<br>**Fund** |
|  **Assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers, at value (Notes 2 and 10)<sup>(a)</sup>  | $— | $11940861 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(b)</sup>  | 132373767 | 1167623778 | 188670798 |
| &nbsp;&nbsp;&nbsp;&nbsp; Repurchase agreements, at value (Note 2)<sup>(c)</sup>  |  | 88001109 | 166600588 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign currency, at value (Note 2) |  | 12522 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash |  | 15634 | 35 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for investments sold | 20407490 | 98129214 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | 5071432 | 1547242 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for closed swap contracts (Note 4) | 17706 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 902230 | 5027848 | 1207823 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on open forward currency contracts (Note 4) | 19795 | 89117 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for variation margin on open cleared swap contracts (Note 4) |  | 331432 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due from broker (Note 2) | 90147 | 945917 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for variation margin on open futures contracts (Note 4) | 33932 | 474388 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for open OTC swap contracts (Note 4) | 850067 | 23233310 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest receivable for open OTC swap contracts (Note 4) |  | 808235 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 21591 | 8387 | 6438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total assets | 159788157 | 1398188994 | 356485682 |
|  **Liabilities:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold short, at value (Note 2)<sup>(d)</sup>  |  | 29857705 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due to custodian | 785 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for investments purchased | 22109737 | 104873061 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares repurchased |  | 492329 | 112999 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to affiliate for (Note 5): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fee | 35341 | 381840 | 23794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee | 5616 | 129173 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for variation margin on open cleared swap contracts (Note 4) | 119888 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for closed swap contracts (Note 4) | 86320 | 753470 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends payable |  |  | 595560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on open forward currency contracts (Note 4) |  | 34850 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest payable for open OTC swap contracts (Note 4) | 456457 | 148596 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for open OTC swap contracts (Note 4) | 232 | 2067548 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to Trustees and related expenses | 1458 | 14562 | 5353 |
| &nbsp;&nbsp;&nbsp;&nbsp; Written options outstanding, at value (Note 4)<sup>(e)</sup>  |  | 122634 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued expenses | 116776 | 364629 | 102105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total liabilities | 22932610 | 139240397 | 839811 |
|  **Net assets** | $**136855547** | $**1258948597** | $**355645871** |
|  <sup>(a)</sup> Cost of investments – affiliated issuers: | $— | $12003931 | $— |
|  <sup>(b)</sup> Cost of investments – unaffiliated issuers: | $131931894 | $1239655468 | $188447751 |
|  <sup>(c)</sup> Cost of investments – repurchase agreements: | $— | $88001109 | $166600588 |
|  <sup>(d)</sup> Proceeds from securities sold short: | $— | $29579766 | $— |
|  <sup>(e)</sup> Premiums on written options: | $— | $127168 | $— |

---

39 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **High Yield<br>Fund** | **Opportunistic<br>Income**<br>**Fund** | **U.S. Treasury<br>Fund** |
|  **Net assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $143043267 | $1390872716 | $356359594 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | (6187720) | (131924119) | (713723) |
|  | $**136855547** | $**1258948597** | $**355645871** |
|  **Net assets attributable to:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $— | $105771778 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $135947146 | $196256805 | $355645871 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $— | $538830295 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $908401 | $418089719 | $— |
|  **Shares outstanding:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III |  | 4296396 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | 7840362 | 7971028 | 70920840 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  | 21978063 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | 52538 | 17021473 |  |
|  **Net asset value per share:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $— | $24.62 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $17.34 | $24.62 | $5.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $— | $24.52 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $17.29 | $24.56 | $— |

---

See accompanying notes to the financial statements. 40

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Operations —Year Ended February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
|  | **Asset<br>Allocation<br>Bond Fund** | **Emerging<br>Country<br>Debt Fund** | **Emerging<br>Country<br>Debt Shares<br>Fund\*** |
|  **Investment income:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | $1748987 | $186619303 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers | 80595 | 174911 | 375 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other income |  | 3499 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investment income | 1829582 | 186797713 | 375 |
|  **Expenses:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Management fee (Note 5) | 111757 | 8226029 | 8573 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class III (Note 5) |  | 1347817 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class IV (Note 5) |  | 1304528 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class VI (Note 5) | 24586 | 80972 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class I (Note 5) |  |  | 3674 |
| &nbsp;&nbsp;&nbsp;&nbsp; Organizational expenses |  |  | 25715 |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax fees | 102564 | 182888 | 17000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian, fund accounting, administration and transfer agent fees | 32830 | 410169 | 5797 |
| &nbsp;&nbsp;&nbsp;&nbsp; Legal fees | 12577 | 105459 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 928 | 17410 | 189 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and related expenses (Note 5) | 2785 | 160983 | 111 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest expense (Note 2) |  | 1888680 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 1363 | 82697 | 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 289390 | 13807632 | 61236 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO (Note 5) | (128739) |  | (45204) |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred management fees waived or borne by GMO (Note 5) |  |  | (7842) |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred shareholder service fees waived or borne by GMO (Note 5) |  |  | (3361) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 160651 | 13807632 | 4829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | 1668931 | 172990081 | (4454) |
|  **Realized and unrealized gain (loss):** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers | 7490 | 8338558 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers |  |  | 952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities sold short |  | (1937750) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 2553068 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts | (445417) | 5235416 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts |  | (25444505) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions |  | (634354) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 2115141 | (14442635) | 952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers | (4109) | 324759613 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers |  | 2678642 | 486312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities sold short |  | 147693 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 143019 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts | 76469 | 867839 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts |  | 1674522 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions |  | 234033 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 215379 | 330362342 | 486312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 2330520 | 315919707 | 487264 |
|  **Net increase (decrease) in net assets resulting from operations** | $**3999451** | $**488909788** | $**482810** |

---

\* Period from January 13, 2026 (commencement of operations) through February 28, 2026.

41 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Operations —Year Ended February 28, 2026 — (Continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **High Yield<br>Fund** | **Opportunistic<br>Income**<br>**Fund** | **U.S. Treasury<br>Fund** |
|  **Investment income:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | $5543025 | $76029014 | $16884517 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers | 121457 | 181819 | 10124 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from affiliated issuers (Note 10) |  | 467268 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investment income | 5664482 | 76678101 | 16894641 |
|  **Expenses:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Management fee (Note 5) | 476005 | 5217837 | 326680 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class III (Note 5) |  | 166846 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class VI (Note 5) | 74429 | 76200 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class R6 (Note 5) |  | 520845 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class I (Note 5) | 1030 | 1061179 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax fees | 88157 | 140346 | 43540 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian, fund accounting, administration and transfer agent fees | 77383 | 1076434 | 80355 |
| &nbsp;&nbsp;&nbsp;&nbsp; Legal fees | 14492 | 64080 | 19566 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 20152 | 25187 | 1161 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and related expenses (Note 5) | 9531 | 91509 | 29520 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 18296 | 158485 | 6766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 779475 | 8598948 | 507588 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO (Note 5) | (284040) | (267400) | (139863) |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred management fees waived or borne by GMO (Note 5) |  | (9424) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 495435 | 8322124 | 367725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | 5169047 | 68355977 | 16526916 |
|  **Realized and unrealized gain (loss):** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers | 974435 | 2874485 | 624214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities sold short |  | (640652) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 265188 | 3785160 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written options | (440547) | 1004129 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts | 4499834 | (3584804) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts | 197806 | (704847) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions | (119694) | (54621) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 5377022 | 2678850 | 624214 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers | (1094970) | (876342) | (431711) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers |  | 1027 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities sold short |  | 180942 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (23261) | (416694) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written options | 24984 | (123560) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts | (402568) | 2001218 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts | 953839 | 33828 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions |  | 18720 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (541976) | 819139 | (431711) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 4835046 | 3497989 | 192503 |
|  **Net increase (decrease) in net assets resulting from operations** | $**10004093** | $**71853966** | $**16719419** |

---

See accompanying notes to the financial statements. 42

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Asset<br>Allocation<br>Bond Fund** | **Asset<br>Allocation<br>Bond Fund** | **Emerging<br>Country<br>Debt Fund** | **Emerging<br>Country<br>Debt Fund** |
|  | **Year Ended<br>February 28,** | **Year Ended<br>February 28,** | **Year Ended<br>February 28,** | **Year Ended<br>February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $1668931 | $1837702 | $172990081 | $158637956 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 2115141 | (1766661) | (14442635) | (159981394) |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 215379 | 631959 | 330362342 | 340726832 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 3999451 | 703000 | 488909788 | 339383394 |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III |  |  | (56579036) | (59497375) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  | (80498457) | (77986472) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | (1252994) | (1873103) | (7683046) | (10742727) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1252994) | (1873103) | (144760539) | (148226574) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III |  |  | (285342422) | (246557877) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  | 130522146 | 200409914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | 61832116 | 2322468 | (73779905) | (90045151) |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | 61832116 | 2322468 | (228600181) | (136193114) |
| &nbsp;&nbsp;&nbsp;&nbsp; Purchase premiums and redemption fees (Notes 2 and 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III |  |  | 1118431 | 926538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  | 1683644 | 934892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI |  |  | 178249 | 168411 |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from purchase premiums and redemption fees |  |  | 2980324 | 2029841 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets resulting from net share transactions, purchase premiums and redemption fees | 61832116 | 2322468 | (225619857) | (134163273) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 64578573 | 1152365 | 118529392 | 56993547 |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 41378884 | 40226519 | 2334541173 | 2277547626 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $105957457 | $41378884 | $2453070565 | $2334541173 |

---

43 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **Emerging<br>Country<br>Debt Shares<br>Fund** | **High Yield**<br>**Fund** | **High Yield**<br>**Fund** |
|  | | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **Period from<br>January 13, 2026<br>(commencement<br>of operations)<br>through<br>February 28,**<br>**2026** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |
|  Operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $(4454) | $5169047 | $5317138 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 952 | 5377022 | 11267609 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 486312 | (541976) | (2716432) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 482810 | 10004093 | 13868315 |
|  Distributions to shareholders: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI |  | (6800442) | (18390218) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I |  | (39940) | (26781) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions |  | (6840382) | (18416999) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI |  | (639650) | (21440530) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | 26082987 | 149560 | 666264 |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | 26082987 | (490090) | (20774266) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 26565797 | 2673621 | (25322950) |
|  **Net assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period |  | 134181926 | 159504876 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $26565797 | $136855547 | $134181926 |

---

See accompanying notes to the financial statements. 44

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Opportunistic<br>Income<br>Fund** | **Opportunistic<br>Income<br>Fund** | **U.S. Treasury<br>Fund** | **U.S. Treasury<br>Fund** |
|  | **Year Ended<br>February 28,** | **Year Ended<br>February 28,** | **Year Ended<br>February 28,** | **Year Ended<br>February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $68355977 | $87291117 | $16526916 | $21418424 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 2678850 | (16545450) | 624214 | 520268 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 819139 | 28951497 | (431711) | 188764 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 71853966 | 99697164 | 16719419 | 22127456 |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (5512272) | (5824171) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | (6965285) | (10482228) | (16463763) | (21486831) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (16938239) | (12303129) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (34813985) | (45431651) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (64229781) | (74041179) | (16463763) | (21486831) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (13704289) | 47026357 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | 36657408 | (91558971) | 45464517 | (240163994) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | 217978750 | 135691096 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (479478783) | (57132158) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | (238546914) | 34026324 | 45464517 | (240163994) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | (230922729) | 59682309 | 45720173 | (239523369) |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 1489871326 | 1430189017 | 309925698 | 549449067 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $1258948597 | $1489871326 | $355645871 | $309925698 |

---

45 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights

#### (For a share outstanding throughout each period)

#### ASSET ALLOCATION BOND FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $18.80 | $19.52 | $20.37 | $23.52 | $23.88 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | 0.70 | 0.86 | 0.92 | 0.40 | 0.39 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.31 | (0.67) | (0.71) | (3.40) | (0.31) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 1.01 | 0.19 | 0.21 | (3.00) | 0.08 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.50) | (0.91) | (1.06) | (0.15) | (0.44) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.50) | (0.91) | (1.06) | (0.15) | (0.44) |
|  **Net asset value, end of period** | $19.31 | $18.80 | $19.52 | $20.37 | $23.52 |
|  **Total Return<sup>(b)</sup>**  | 5.49% | 1.22% | 0.88% | (12.81)% | 0.26% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $105957 | $41379 | $40227 | $20131 | $37997 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.36% | 0.37% | 0.35% | 0.32% | 0.31% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.73% | 4.48% | 4.61% | 1.88% | 1.60% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup>  | 95% | 84% | 0% | 95% | 209% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.29% | 0.28% | 0.39% | 0.61% | 0.17 %<sup>(e)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | N/A | N/A | N/A | 96% | 206% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 46

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### EMERGING COUNTRY DEBT FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $20.56 | $18.90 | $17.71 | $21.34 | $25.54 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | 1.59 | 1.40 | 1.27 | 1.28 | 1.42 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.02 | 1.61 | 1.82 | (2.52) | (3.16) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 4.61 | 3.01 | 3.09 | (1.24) | (1.74) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.41) | (1.35) | (1.90) | (2.39) | (1.82) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  |  | (0.64) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.41) | (1.35) | (1.90) | (2.39) | (2.46) |
|  **Net asset value, end of period** | $23.76 | $20.56 | $18.90 | $17.71 | $21.34 |
|  **Total Return<sup>(b)</sup>**  | 23.05% | 16.21% | 18.14% | (5.52)% | (7.83)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $774251 | $928858 | $1085552 | $1222989 | $942565 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup>  | 0.54% | 0.54% | 0.54% | 0.54% | 0.53% |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(d)</sup>  | 0.08% | 0.06% | 0.04% | 0.00 %<sup>(e)</sup> |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(c)</sup>  | 0.62% | 0.60% | 0.58% | 0.54% | 0.53% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 7.34% | 6.98% | 6.96% | 6.75% | 5.62% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup>  | 41% | 35% | 20% | 32% | 34% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: |  |  | 0.00 %<sup>(e)</sup> <sup>(g)</sup> |  | 0.00 %<sup>(e)</sup> <sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $0.03 | $0.02 | $0.04 | $0.02 | $0.02 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(e)</sup> Rounds to less than 0.01%. 

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | N/A | N/A | 20% | 32% | 33% |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

47 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### EMERGING COUNTRY DEBT FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $20.52 | $18.86 | $17.67 | $21.30 | $25.50 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | 1.60 | 1.41 | 1.27 | 1.28 | 1.41 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.00 | 1.62 | 1.82 | (2.51) | (3.14) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 4.60 | 3.03 | 3.09 | (1.23) | (1.73) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.42) | (1.37) | (1.90) | (2.40) | (1.83) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  |  | (0.64) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.42) | (1.37) | (1.90) | (2.40) | (2.47) |
|  **Net asset value, end of period** | $23.70 | $20.52 | $18.86 | $17.67 | $21.30 |
|  **Total Return<sup>(b)</sup>**  | 23.06% | 16.34% | 18.22% | (5.48)% | (7.82)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $1566854 | $1242784 | $955908 | $1170559 | $1531528 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup>  | 0.49% | 0.48% | 0.49% | 0.49% | 0.48% |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(d)</sup>  | 0.08% | 0.07% | 0.04% | 0.00 %<sup>(e)</sup> |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(c)</sup>  | 0.57% | 0.55% | 0.53% | 0.49% | 0.48% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 7.37% | 7.03% | 7.02% | 6.78% | 5.56% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup>  | 41% | 35% | 20% | 32% | 34% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: |  |  | 0.00 %<sup>(e)</sup> (g) |  | 0.00 %<sup>(e)</sup> (g) |
| &nbsp;&nbsp;&nbsp;&nbsp; Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $0.03 | $0.02 | $0.03 | $0.02 | $0.02 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(e)</sup> Rounds to less than 0.01%. 

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | N/A | N/A | 20% | 32% | 33% |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 48

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### EMERGING COUNTRY DEBT FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Period from**<br> **July 29, 2021**<br> **(commencement**<br> **of operations)**<br> **through**<br> **February 28,** |
|  | **2026** | **2025** | **2024** | **2023** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2022**  |
|  **Net asset value, beginning of period** | $20.50 | $18.85 | $17.66 | $21.30 | $25.89 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | 1.60 | 1.41 | 1.28 | 1.27 | 0.77 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.02 | 1.61 | 1.82 | (2.51) | (3.60) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 4.62 | 3.02 | 3.10 | (1.24) | (2.83) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.43) | (1.37) | (1.91) | (2.40) | (1.55) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  |  | (0.21) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.43) | (1.37) | (1.91) | (2.40) | (1.76) |
|  **Net asset value, end of period** | $23.69 | $20.50 | $18.85 | $17.66 | $21.30 |
|  **Total Return<sup>(b)</sup>**  | 23.17% | 16.33% | 18.27% | (5.49)% | (11.63) |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $111965 | $162899 | $236087 | $392813 | $1255123 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup>  | 0.45% | 0.44% | 0.44% | 0.44% | 0.43 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(d)</sup>  | 0.08% | 0.06% | 0.04% | 0.00 %<sup>(e)</sup> |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(c)</sup>  | 0.53% | 0.50% | 0.48% | 0.44% | 0.43 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 7.44% | 7.09% | 7.06% | 6.68% | 5.35 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup>  | 41% | 35% | 20% | 32% | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: |  |  | 0.00 %<sup>(e)</sup> <sup>(g)</sup> |  | 0.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Purchase premiums and redemption fees consisted of the following per share amounts (Note 2):† | $0.03 | $0.02 | $0.04 | $0.02 | $0.01 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(e)</sup> Rounds to less than 0.01%. 

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | N/A | N/A | 20% | 32% | 33% |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

49 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout the period)

#### EMERGING COUNTRY DEBT SHARES FUND

---

| | | |
|:---|:---|:---|
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I Shares**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I Shares**  |
|  | **Period from**<br> **January 13, 2026**<br> **(commencement**<br> **of operations)**<br> **through**<br> **February 28,**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2026**  | **Period from**<br> **January 13, 2026**<br> **(commencement**<br> **of operations)**<br> **through**<br> **February 28,**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2026**  |
|  **Net asset value, beginning of period** | $20.00 |  |
|  Income (loss) from investment operations: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | (0.00) |)<sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.66 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 0.66 |  |
|  **Net asset value, end of period** | $20.66 |  |
|  **Total Return<sup>(c)</sup>**  | 3.30 | %\*\* |
|  **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $26566 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.20 | %\* |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | (0.18) |)%\* |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 0 | %<sup>(e)</sup> \*\* |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 2.30 | %<sup>(f)</sup> \* |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Rounds to less than $0.01. 

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> The portfolio turnover rate was less than 1%. 

<sup>(f)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 50

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### HIGH YIELD FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.03 | $17.79 | $16.73 | $18.61 | $20.90 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | 0.66 | 0.65 | 0.64 | 0.32 | 0.21 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.63 | 1.01 | 1.20 | (0.87) | 0.13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 1.29 | 1.66 | 1.84 | (0.55) | 0.34 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.98) | (2.42) | (0.78) | (1.30) | (0.68) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.03) | (1.95) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.98) | (2.42) | (0.78) | (1.33) | (2.63) |
|  **Net asset value, end of period** | $17.34 | $17.03 | $17.79 | $16.73 | $18.61 |
|  **Total Return<sup>(b)</sup>**  | 7.64% | 9.95% | 11.03% | (2.90)% | 1.35% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $135947 | $133424 | $159413 | $257215 | $84586 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup>  | 0.36% | 0.46% | 0.46% | 0.46% | 0.51% |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(d)</sup>  |  |  |  | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(c)</sup>  | 0.36% | 0.46% | 0.46% | 0.46% | 0.51% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.80% | 3.67% | 3.70% | 1.86% | 1.05% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 160% | 115% | 94% | 31% | 98% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.21% | 0.08% | 0.06% | 0.01% | 0.03% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> Interest expense incurred as a result of entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(e)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

51 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### HIGH YIELD FUND (continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended<br>February 28,** | **Year Ended<br>February 28,** | |
|  | **2026** | **2025** | <br> **Period from<br>April 13, 2023<br>(commencement<br>of operations)<br>through<br>February 29,**<br>**2024** |
|  **Net asset value, beginning of period** | $17.00 | $17.78 | $17.15 |
|  Income (loss) from investment operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | 0.64 | 0.59 | 0.54 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.63 | 1.04 | 0.86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 1.27 | 1.63 | 1.40 |
|  Less distributions to shareholders: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.98) | (2.41) | (0.77) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.98) | (2.41) | (0.77) |
|  **Net asset value, end of period** | $17.29 | $17.00 | $17.78 |
|  **Total Return<sup>(b)</sup>**  | 7.51% | 9.75% | 8.20 |
|  **Ratios/Supplemental Data:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $908 | $758 | $92 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.47% | 0.65% | 0.60 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.69% | 3.42% | 3.47 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 160% | 115% | 94 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.30% | 1.37% | 0.47 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 52

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### OPPORTUNISTIC INCOME FUND

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Period from**<br> **February 1, 2022**<br> **(commencement**<br> **of operations**<br> **through**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;February 28,**  | **Period from**<br> **July 21, 2021**<br> **(commencement**<br> **of operations)**<br> **through**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;December 28,**  |
|  | **2026** | **2025** | **2024** | **2023** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2022**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2021**  |
|  **Net asset value, beginning of period** | $24.45 | $24.00 | $24.11 | $25.56 | $25.66 | $25.88 |
|  Income (loss) from investment operations: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | 1.29 | 1.40 | 1.51 | 1.05 | 0.07 | 0.44 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.09 | 0.23 | 0.01 | (1.23) | (0.17) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 1.38 | 1.63 | 1.52 | (0.18) | (0.10) | 0.11 |
|  Less distributions to shareholders: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.21) | (1.18) | (1.63) | (0.90) |  | (0.42) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.37) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.21) | (1.18) | (1.63) | (1.27) |  | (0.42) |
|  **Net asset value, end of period** | $24.62 | $24.45 | $24.00 | $24.11 | $25.56 | $25.57 |
|  **Total Return<sup>(b)</sup>**  | 5.78% | 6.98% | 6.44% | (0.66)% | (0.39) | 0.43 |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $105772 | $118769 | $69589 | $48101 | $12281 | $13847 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup>  | 0.58% | 0.58% | 0.57% | 0.56% | 0.70 | 0.56 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses to average daily net assets<sup>(d)</sup>  |  |  | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 | 0.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(c)</sup>  | 0.58% | 0.58% | 0.57% | 0.56% | 0.70 | 0.56 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 5.30% | 5.79% | 6.19% | 4.19% | 3.92 | 3.84 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup>  | 277% | 277% | 160% | 73% | 95 | 95 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 %<sup>(g)</sup> | 0.03 %<sup>(g)</sup> | 0.04 %<sup>(g)</sup> | 0.06% | 0.08 | 0.04 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(e)</sup> Rounds to less than 0.01%. 

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 274% | 275% | 159% | 72% | 94% |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

53 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### OPPORTUNISTIC INCOME FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $24.45 | $24.00 | $24.10 | $25.56 | $25.84 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | 1.31 | 1.43 | 1.52 | 1.11 | 0.81 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.09 | 0.22 | 0.03 | (1.27) | (0.55) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 1.40 | 1.65 | 1.55 | (0.16) | 0.26 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.23) | (1.20) | (1.65) | (0.93) | (0.54) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.37) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.23) | (1.20) | (1.65) | (1.30) | (0.54) |
|  **Net asset value, end of period** | $24.62 | $24.45 | $24.00 | $24.10 | $25.56 |
|  **Total Return<sup>(b)</sup>**  | 5.88% | 7.07% | 6.56% | (0.58)% | 1.00% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $196257 | $158635 | $246187 | $389295 | $375117 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup>  | 0.49% | 0.48% | 0.48% | 0.47% | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(d)</sup>  |  |  | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(c)</sup>  | 0.49% | 0.48% | 0.48% | 0.47% | 0.47% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 5.36% | 5.90% | 6.24% | 4.52% | 3.13% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup>  | 277% | 277% | 160% | 73% | 95% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 %<sup>(g)</sup> | 0.03 %<sup>(g)</sup> | 0.03 %<sup>(g)</sup> | 0.05% | 0.05 %<sup>(g)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(e)</sup> Rounds to less than 0.01%. 

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 274% | 275% | 159% | 72% | 94% |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 54

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### OPPORTUNISTIC INCOME FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | <br> **Period from<br>May 19, 2021<br>(commencement<br>of operations)<br>through<br>February 28,** |
|  | **2026** | **2025** | **2024** | **2023** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2022**  |
|  **Net asset value, beginning of period** | $24.35 | $23.91 | $24.02 | $25.48 | $25.86 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | 1.29 | 1.38 | 1.50 | 1.08 | 0.67 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.09 | 0.25 | 0.01 | (1.27) | (0.51) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 1.38 | 1.63 | 1.51 | (0.19) | 0.16 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.21) | (1.19) | (1.62) | (0.90) | (0.54) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.37) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.21) | (1.19) | (1.62) | (1.27) | (0.54) |
|  **Net asset value, end of period** | $24.52 | $24.35 | $23.91 | $24.02 | $25.48 |
|  **Total Return<sup>(b)</sup>**  | 5.81% | 6.96% | 6.43% | (0.68)% | 0.62 |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $538830 | $317487 | $178391 | $186230 | $152877 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup>  | 0.58% | 0.58% | 0.57% | 0.56% | 0.58 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(d)</sup>  |  |  | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(c)</sup>  | 0.58% | 0.58% | 0.57% | 0.56% | 0.58 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 5.27% | 5.73% | 6.16% | 4.42% | 3.29 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup>  | 277% | 277% | 160% | 73% | 95 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 %<sup>(g)</sup> | 0.02 %<sup>(g)</sup> | 0.04 %<sup>(g)</sup> | 0.05% | 0.05 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(e)</sup> Rounds to less than 0.01%. 

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 274% | 275% | 159% | 72% | 94% |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

55 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### OPPORTUNISTIC INCOME FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $24.39 | $23.95 | $24.06 | $25.51 | $25.80 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> † | 1.26 | 1.37 | 1.48 | 1.06 | 0.77 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.08 | 0.23 | 0.01 | (1.26) | (0.57) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 1.34 | 1.60 | 1.49 | (0.20) | 0.20 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.17) | (1.16) | (1.60) | (0.88) | (0.49) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.37) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.17) | (1.16) | (1.60) | (1.25) | (0.49) |
|  **Net asset value, end of period** | $24.56 | $24.39 | $23.95 | $24.06 | $25.51 |
|  **Total Return<sup>(b)</sup>**  | 5.66% | 6.84% | 6.33% | (0.73)% | 0.77% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $418090 | $894980 | $936022 | $503531 | $443602 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup>  | 0.70% | 0.69% | 0.67% | 0.66% | 0.67% |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(d)</sup>  |  |  | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(c)</sup>  | 0.70% | 0.69% | 0.67% | 0.66% | 0.67% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 5.19% | 5.68% | 6.09% | 4.33% | 2.97% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup>  | 277% | 277% | 160% | 73% | 95% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.02 %<sup>(g)</sup> | 0.03 %<sup>(g)</sup> | 0.04 %<sup>(g)</sup> | 0.05% | 0.05 %<sup>(g)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(e)</sup> Rounds to less than 0.01%. 

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28,<br>2026 | February 28,<br>2025 | February 29,<br>2024 | February 28,<br>2023 | February 28,<br>2022 |
|  Portfolio turnover rate including transactions in USTF | 274% | 275% | 159% | 72% | 94% |

---

<sup>(g)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 56

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### U.S. TREASURY FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $5.01 | $5.00 | $4.99 | $5.01 | $5.04 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)† | 0.20 | 0.25 | 0.26 | 0.13 | 0.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.00 <sup>(a)</sup> | 0.00 <sup>(a)</sup> | 0.01 | (0.03) | (0.04) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 0.20 | 0.25 | 0.27 | 0.10 | (0.03) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.20) | (0.24) | (0.26) | (0.12) | (0.00)<sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  |  | (0.00)<sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.20) | (0.24) | (0.26) | (0.12) | (0.00)<sup>(a)</sup> |
|  **Net asset value, end of period** | $5.01 | $5.01 | $5.00 | $4.99 | $5.01 |
|  **Total Return<sup>(b)</sup>**  | 4.08% | 5.22% | 5.54% | 2.00% | (0.37)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $355646 | $309926 | $549449 | $408457 | $257766 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets | 0.09% | 0.09% | 0.08% | 0.01% | 0.02% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets | 4.03% | 5.03% | 5.22% | 2.60% | 0.13% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(c)</sup>  | 0% | 0% | 0% | 0% | 0% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03% | 0.03% | 0.04% | 0.12% | 0.10% |

---

<sup>(a)</sup> Rounds to less than $0.01. 

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. Calculation excludes purchase premiums and redemption fees which are borne by the shareholder purchasing or redeeming Fund shares, if any. 

<sup>(c)</sup> Portfolio turnover rate calculation excludes short-term investments.

† Calculated using average shares outstanding throughout the period.

57 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements

#### February 28, 2026
**1.** **Organization** 

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, Emerging Country Debt Shares Fund (commenced operations on January 13, 2026), High Yield Fund, Opportunistic Income Fund and U.S. Treasury Fund (each a "Fund" and collectively the "Funds") is a series of GMO Trust (the "Trust"). The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust ("Trustees") to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC ("GMO").

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Some of the Funds may invest in other GMO Funds ("underlying funds"). Emerging Country Debt Shares Fund invests substantially all its assets in shares of Emerging Country Debt 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 Securities and Exchange Commission's ("SEC") website at www.sec.gov or on GMO's website at www.gmo.com.

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

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Benchmark** | **Investment Objective** |
| &nbsp;&nbsp;&nbsp;Asset Allocation Bond Fund | FTSE 3-Month Treasury Bill Index | Total return in excess of its benchmark |
| &nbsp;&nbsp;&nbsp;Emerging Country Debt Fund | J.P. Morgan EMBI Global Diversified | Total return in excess of its benchmark |
| &nbsp;&nbsp;&nbsp;Emerging Country Debt Shares Fund | J.P. Morgan EMBI Global Diversified | Total return in excess of its benchmark |
| &nbsp;&nbsp;&nbsp;High Yield Fund | Markit iBoxx USD Liquid High Yield Index | Total return in excess of its benchmark |
| &nbsp;&nbsp;&nbsp;Opportunistic Income Fund | Not Applicable | Capital appreciation and current income |
| &nbsp;&nbsp;&nbsp;U.S. Treasury Fund | Not Applicable | Liquidity and safety of principal with current income as a secondary objective |

---

Asset Allocation Bond Fund currently limits subscriptions.

**2.** **Significant accounting policies** 

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 "Financial Services – Investment Companies."

#### 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

58.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
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 year ended February 28, 2026, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 "Derivative financial instruments" for a further discussion on valuation of derivatives.

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

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

The three levels are defined as follows:

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

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds and exchange-traded 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

59.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
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 February 28, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | $9289783 | $— | $— | $9289783 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 9289783 |  |  | 9289783 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1952900 | 93999193 |  | 95952093 |
| &nbsp;&nbsp;&nbsp; Total Investments | 11242683 | 93999193 |  | 105241876 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 1150479 |  |  | 1150479 |
| &nbsp;&nbsp;&nbsp; Total | $12393162 | $93999193 | $— | $106392355 |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $5274808 | $— | $5274808 |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt |  | 225439005 | 15394310 | 240833315 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers |  | 1914488251 | 107417033 | 2021905284 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 58481789 |  |  | 58481789 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 58481789 | 2145202064 | 122811343 | 2326495196 |
| &nbsp;&nbsp;&nbsp; Loan Assignments |  |  | 23139275 | 23139275 |
| &nbsp;&nbsp;&nbsp; Loan Participations |  |  | 2521866 | 2521866 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  | 15843071 | 15843071 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  | 23563100 | 195890 | 23758990 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 4785230 | 53213702 |  | 57998932 |
| &nbsp;&nbsp;&nbsp; Total Investments | 63267019 | 2221978866 | 164511445 | 2449757330 |

---

60.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk | $— | $1225803 | $— | $1225803 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 1849419 |  | 1849419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 11522313 |  | 11522313 |
| &nbsp;&nbsp;&nbsp; Total | $63267019 | $2236576401 | $164511445 | $2464354865 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $— | $(3258074) | $— | $(3258074) |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS |  | (3258074) |  | (3258074) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (2703654) |  | (2703654) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (1974841) |  | (1974841) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (2904052) |  | (2904052) |
| &nbsp;&nbsp;&nbsp; Total | $— | $(10840621) | $— | $(10840621) |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Shares Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $26566548 | $— | $— | $26566548 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1728490 |  |  | 1728490 |
| &nbsp;&nbsp;&nbsp; Total Investments | 28295038 |  |  | 28295038 |
| &nbsp;&nbsp;&nbsp; Total | $28295038 | $— | $— | $28295038 |
| &nbsp;&nbsp;&nbsp; **High Yield Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $— | $41090558 | $— | $41090558 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 73653253 |  |  | 73653253 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 73653253 | 41090558 |  | 114743811 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 530933 | 17099023 |  | 17629956 |
| &nbsp;&nbsp;&nbsp; Total Investments | 74184186 | 58189581 |  | 132373767 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 19795 |  | 19795 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 50764 |  |  | 50764 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 1711998 |  | 1711998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 850067 |  | 850067 |
| &nbsp;&nbsp;&nbsp; Total | $74234950 | $60771441 | $— | $135006391 |

---

61.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **High Yield Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | $— | $(232) | $— | $(232) |
| &nbsp;&nbsp;&nbsp; Total | $— | $(232) | $— | $(232) |
| &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $958658188 | $5219177 | $963877365 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 166412734 |  |  | 166412734 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency |  | 35093833 |  | 35093833 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 166412734 | 993752021 | 5219177 | 1165383932 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 11940861 |  |  | 11940861 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 2029558 | 88001109 |  | 90030667 |
| &nbsp;&nbsp;&nbsp; Purchased Options |  | 210288 |  | 210288 |
| &nbsp;&nbsp;&nbsp; Total Investments | 180383153 | 1081963418 | 5219177 | 1267565748 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 89117 |  | 89117 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 696224 |  |  | 696224 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 23233310 |  | 23233310 |
| &nbsp;&nbsp;&nbsp; Total | $181079377 | $1105285845 | $5219177 | $1291584399 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency | $— | $(29857705) | $— | $(29857705) |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS |  | (29857705) |  | (29857705) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (34850) |  | (34850) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (178988) |  |  | (178988) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (122634) |  | (122634) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (9589661) |  | (9589661) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (89237) |  | (89237) |
| &nbsp;&nbsp;&nbsp; Total | $(178988) | $(39694087) | $— | $(39873075) |

---

62.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **U.S. Treasury Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | $166341235 | $188930151 | $— | $355271386 |
| &nbsp;&nbsp;&nbsp; Total Investments | 166341235 | 188930151 |  | 355271386 |
| &nbsp;&nbsp;&nbsp; Total | $166341235 | $188930151 | $— | $355271386 |

---

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the "Investment and other risks" and "Derivative financial instruments" sections below for a further discussion of risks.

---

| | |
|:---|:---|
| ^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for 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 year 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 February 28, 2026, 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 Enel Generacion Chile SA, 8.13%, due 02/01/97 which is valued based on the average of a selection of comparable bonds and applying a 270 basis point discount for liquidity considerations and 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**<br> **as of**<br> **February 28,**<br> **2025** | **Purchases** | **Sales** | **Accrued**<br> **Discounts/**<br> **Premiums** | **Total**<br> **Realized**<br> **Gain/**<br> (Loss) | **Change in**<br> **Unrealized**<br> **Appreciation**<br> (Depreciation) | **Transfer**<br> **into**<br> **Level 3** | **Transfer**<br> **out of**<br> **Level 3** | **Balances**<br> **as of**<br> **February 28,** <br> **2026** | **Net Change in**<br> **Unrealized**<br> **Appreciation**<br> (Depreciation)<br> **from**<br> **Investments**<br> **Still Held as**<br> **of February 28,**<br> **2026** |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations: |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $14400563 | $— | $— | $(1842) | $— | $995589 | $— | $— | $15394310 | $995589 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 118110776 |  | (47430712) | 2004510 | (637336) | 27978615 | 7391180‡ |  | 107417033 | 27839143 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 13164429 |  |  |  |  | 2678642 |  |  | 15843071 | 2678642 |
| &nbsp;&nbsp;&nbsp; Loan Assignments | 25781502 |  | (5878297) | 53219 | 288826 | 2894025 |  |  | 23139275 | 3309543 |
| &nbsp;&nbsp;&nbsp; Loan Participations | 4496624 |  | (1888886) | 53068 | 46385 | (185325) |  |  | 2521866 | (185325) |
| &nbsp;&nbsp;&nbsp; Rights/Warrants | 200239 |  |  |  |  | (4349) |  |  | 195890 | (4349) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Investments | 176154133 |  | (55197895) | 2108955 | (302125) | 34357197 | 7391180 |  | 164511445 | 34633243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total | $176154133 | $— | $(55197895) | $2108955 | $(302125) | $34357197 | $7391180 | $— | $164511445 | $34633243 |

---

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

# Includes $12,988,241 of proceeds received from partial calls and/or principal paydowns as applicable. 

63.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended February 28, 2026.

#### Quantitative information about Level 3 Fair Value Measurements\*

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Investment Type** | **Total Fair<br>Value ($)** | **Valuation <br>Methodology** | **Unobservable Inputs** | **Range (Weighted<br>Average)** |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 9161827 | Market comparable | Discount for lack of liquidity/marketability | 0.50% - 1.60% (0.98%) |
| &nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 22635 | Recovery value | Discount for lack of liquidity/marketability | 99% (N/A) |
| &nbsp;&nbsp;&nbsp; Corporate Debt | 15394310 | Market comparable | Discount for lack of liquidity/marketability | 2.70% (N/A) |
| &nbsp;&nbsp;&nbsp; Loan Assignments | 8560692 | Market comparable | Vendor price of comparable loan | N/A |
| &nbsp;&nbsp;&nbsp; Loan Participations | 249601 | Market comparable | Discount for lack of liquidity/marketability | 5.00% (N/A) |
| &nbsp;&nbsp;&nbsp; Warrants | 195890 | Market comparable | Discount for lack of liquidity/marketability | 50% (N/A) |
| &nbsp;&nbsp;&nbsp; Investment Funds | 15843071 | NAV | 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 February 28, 2026, the value of these securities and/or derivatives for Emerging Country Debt Fund was $115,083,419. The inputs for these investments are not readily available or cannot be reasonably estimated. 

#### Cash
Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.

#### Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.

#### Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

#### Indexed investments
Each Fund may invest in various transactions and instruments that are designed to track the performance of an index (including, but not limited to, securities indices and credit default indices). Indexed securities are securities the redemption values and/or coupons of which are indexed to a specific instrument, group of instruments, index, or other statistic. Indexed securities typically, but not always, are debt securities or deposits whose value at maturity or coupon rate is determined by reference to other securities, securities or inflation indices, currencies, precious metals or other commodities, or other financial indicators. For example, the maturity value of gold-indexed securities depends on the price of gold and, therefore, their price tends to rise and fall with gold prices.

#### Loan assignments and participations
The Funds (except U.S. Treasury Fund) may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such "loans" may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan

64.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund's ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Repurchase agreements
The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund's recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities.

As of February 28, 2026, the Funds listed below had entered into repurchase agreements. The value of related collateral for each broker listed below exceeds the value of the repurchase agreements at year end. Repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Counterparty** | **Value ($)** | **Value (with<br>associated collateral) ($)** | **Weighted Average <br>Maturity (days)** |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund | Nomura Securities International, Inc. | 93999193 | 95981520 | 3 |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | Nomura Securities International, Inc. | 49999339 | 51053764 | 3 |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | Nomura International PLC | 3214363 | 3255741 | N/A \* |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund | Daiwa Capital Markets America, Inc. | 88001109 | 89907829 | 3 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Fund | Daiwa Capital Markets America, Inc. | 16599461 | 16959824 | 3 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Fund | Daiwa Capital Markets America, Inc. | 150001127 | 153257553 | 3 |

---

\*The repurchase agreement has an open maturity date and can be closed by either party on demand.

#### Reverse repurchase agreements
The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund's portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. As of February 28, 2026, the Funds listed below had entered into reverse repurchase agreements.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Received from** <br> **reverse repurchase** <br> **agreements ($)** | **Market value of** <br> **securities plus** <br> **accrued interest ($)**  |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | 41795881 | 49511119 |

---

65.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
As of February 28, 2026, Emerging Country Debt Fund had investments in reverse repurchase agreements with Morgan Stanley & Co. International PLC with a gross value of $41,795,881. The value of related collateral on reverse repurchase agreements exceeded the value at year end. As of February 28, 2026, the reverse repurchase agreements held by Emerging Country Debt Fund had open maturity dates.

Reverse repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

The following is a summary of the gross value of reverse repurchase agreements categorized by class of collateral pledged and maturity date:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | February 28, 2026 | February 28, 2026 | February 28, 2026 | February 28, 2026 | February 28, 2026 | February 28, 2026 |
|  | Remaining Contractual Maturity of the Agreements | Remaining Contractual Maturity of the Agreements | Remaining Contractual Maturity of the Agreements | Remaining Contractual Maturity of the Agreements | Remaining Contractual Maturity of the Agreements | Remaining Contractual Maturity of the Agreements |
|  | **Overnight and<br>Continuous** | **Up to**<br> **30 days** | **Between<br>30-90 days** | **Greater Than<br>90 days** | **On<br>Demand** | **Total** |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Reverse Repurchase Agreements** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Corporate Debt | $— | $— | $— | $— | $1265282 | $1265282 |
| &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sovereign and Sovereign Agency Issuers |  |  |  |  | 40530599 | 40530599 |
| &nbsp;&nbsp;&nbsp; Total borrowings | $— | $— | $— | $— | $41795881 | $41795881 |

---

#### Inflation-indexed bonds
The Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.

The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e. stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund's gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund's gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

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

#### Short sales
Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Short sales outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

66.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

#### Credit agreement
The Trust has entered into a Credit Agreement (the "Credit Agreement") with State Street on behalf of the Funds, except for U.S. Treasury Fund, and along with other funds managed by GMO. The purpose of the Credit Agreement is to establish a committed, unsecured revolving line of credit whereby the participating Funds may borrow for the temporary funding of shareholder redemptions or for other temporary emergencies. The current term of the line of credit under the Credit Agreement is through January 14, 2027. Pursuant to the Credit Agreement, participating Funds may borrow up to an aggregate commitment amount of $75,000,000. Under the terms of the Credit Agreement, the Trust pays an annual commitment fee at the rate of 0.35% per year on the available credit, which is paid quarterly. Each participating Fund pays a commitment fee equal to its pro rata share of the unused portion of the line of credit under the Credit Agreement. Interest is charged to each Fund based on its borrowings at a variable rate of 0.10% plus the higher of the Federal Funds Effective Rate or the Overnight Bank Funding Rate. The Funds did not borrow under the Credit Agreement during the year ended February 28, 2026.

#### Taxes and distributions
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

With the exception of U.S. Treasury Fund and Opportunistic Income Fund, the policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. The policy of U.S. Treasury Fund is to declare dividends daily, to the extent net investment income is available. U.S. Treasury Fund will generally pay dividends on the first business day following the end of each month in which dividends were declared. Accrued dividends in respect of a shareholder's partial redemption of U.S. Treasury Fund shares redeemed between monthly payment dates will be paid on the first business day following the end of the month in which redemptions are made. Accrued dividends in respect of a shareholder's complete redemption of U.S. Treasury Fund shares between monthly payment dates will be paid with the redemption proceeds. The policy of Opportunistic Income Fund is to declare dividends monthly, to the extent net investment income is available. Opportunistic Income Fund will generally pay dividends on the first business day following the declaration. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at its discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders. Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2026, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

67.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Differences related to:** | ![LOGO](g12033dsp214a.jpg) | ![LOGO](g12033dsp214b.jpg) | ![LOGO](g12033dsp214c.jpg) | ![LOGO](g12033dsp214d.jpg) | ![LOGO](g12033dsp214e.jpg) | ![LOGO](g12033dsp214f.jpg) |
| &nbsp;&nbsp;&nbsp; Capital loss carryforwards | X | X |  | X | X | X |
| &nbsp;&nbsp;&nbsp; Constructive sale gains |  |  |  |  | X |  |
| &nbsp;&nbsp;&nbsp; Defaulted bonds |  | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivative contract transactions | X | X |  | X | X |  |
| &nbsp;&nbsp;&nbsp; Foreign currency transactions |  | X |  | X |  |  |
| &nbsp;&nbsp;&nbsp; Interest, accretion, and amortization |  | X |  | X | X |  |
| &nbsp;&nbsp;&nbsp; Late year ordinary losses |  | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Losses on wash sale transactions |  | X |  | X |  |  |
| &nbsp;&nbsp;&nbsp; Losses related to debt obligations |  |  |  |  | X |  |
| &nbsp;&nbsp;&nbsp; Partnership interest tax allocations |  | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Paydown gain/losses |  |  |  |  | X |  |

---

The tax character of distributions declared by each Fund to shareholders is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Tax year ended February 28, 2026** | <br> **Tax year ended February 28, 2026** | <br> **Tax year ended February 28, 2025** | <br> **Tax year ended February 28, 2025** |
| &nbsp;&nbsp;&nbsp;Fund Name | <br> **Ordinary Income<br>(including**<br> **any net**<br> **short-term**<br> **capital gain) ($)**  | **Total**<br> **Distributions ($)**  | <br> **Ordinary Income**<br> **(including**<br> **any net**<br> **short-term**<br> **capital gain) ($)**  | **Total**<br> **Distributions ($)**  |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund | 1252994 | 1252994 | 1873103 | 1873103 |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | 144760539 | 144760539 | 148226574 | 148226574 |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Shares Fund |  |  | N/A | N/A |
| &nbsp;&nbsp;&nbsp; High Yield Fund | 6840382 | 6840382 | 18416999 | 18416999 |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund | 64229781 | 64229781 | 74041179 | 74041179 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Fund | 16463763 | 16463763 | 21486831 | 21486831 |

---

Distributions in excess of a Fund's tax basis earnings and profits, if significant, are reported in the Funds' financial statements as a return of capital.

68.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
As of February 28, 2026, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;Fund Name | <br> **Undistributed**<br> **Ordinary**<br> **Income**<br> **(including any**<br> **net short-term**<br> **capital gain) ($)**  | **Late-Year**<br> **Ordinary Loss** <br> **Deferral ($)** | **Capital Loss**<br> **Carryforwards ($)**  | **Post-October**<br> **Capital Losses** <br> **Deferral ($)** |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund | 432341 |  | (49257641) |  |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund |  | (1489068) | (626038528) |  |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Shares Fund |  |  |  |  |
| &nbsp;&nbsp;&nbsp; High Yield Fund | 1854119 |  | (6849168) |  |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund | 5430254 |  | (53938130) |  |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Fund |  |  | (931516) |  |

---

As of February 28, 2026, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2026, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds' capital loss carryforwards are as follows:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Short-Term ($)** | **Long-Term ($)** |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund | (27440440) | (21817201) |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | (16485409) | (609553119) |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Shares Fund |  |  |
| &nbsp;&nbsp;&nbsp; High Yield Fund | (3798356) | (3050812) |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund |  | (53938130) |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Fund | (931516) |  |

---

As of February 28, 2026, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments, for U.S. federal income tax purposes were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Total Investments** | **Total Investments** | **Total Investments** | **Total Investments** | |
| <br>&nbsp;&nbsp;&nbsp;**Fund Name** | **Aggregate**<br> **Cost ($)** | **Gross Unrealized** <br> **Appreciation ($)**  | **Gross Unrealized** <br> (Depreciation) ($)  | **Net Unrealized** <br> **Appreciation** <br> (Depreciation) ($)  | <br> **Outstanding<br>Financial<br>Instruments**<br>**Net Unrealized** <br> **Appreciation** <br> (Depreciation) ($)  |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund | 105233330 | 8655 | (109) | 8546 |  |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | 2672419495 | 189025700 | (414945939) | (225920239) | 433839 |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Shares Fund | 27808726 | 486312 |  | 486312 |  |
| &nbsp;&nbsp;&nbsp; High Yield Fund | 133441774 | 558042 | (1626049) | (1068007) | (124664) |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund | 1318923612 | 23897735 | (105113304) | (81215569) | (2227536) |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Fund | 355048339 | 228115 | (5068) | 223047 |  |

---

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds' understanding of the

69.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds' U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 28, 2026, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

#### Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds' policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Interest income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

Proceeds from litigation settlements, if any, are included in the Statements of Operations within Net realized gain (loss).

#### Expenses and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses, purchase premiums and redemption fees, if any, and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).

#### Custodian, Fund Accounting Agent and Transfer Agent
State Street Bank and Trust Company ("State Street") serves as the Funds' custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

#### Purchases and redemptions of Fund shares
Purchase premiums and redemption fees (if applicable) are paid to and retained by a Fund to help offset estimated portfolio transaction costs and other related costs (e.g., bid to ask spreads, stamp duties, and transfer fees) incurred by the Fund directly or indirectly (e.g., through investments in underlying funds) as a result of an investor's purchase or redemption by allocating estimated transaction costs to the purchasing or redeeming shareholder. Purchase premiums and redemption fees are paid to and retained by a Fund for the benefit of non-transacting shareholders. Purchase premiums are not charged on reinvestments of dividends or other distributions. Redemption fees apply to all shares of a Fund regardless of how the shares were acquired (e.g., by direct purchase or by reinvestment of dividends or other distributions).

Such fees are recorded as a component of the Funds' net share transactions. A Fund may impose a new purchase premium and redemption fee or modify existing purchase premium and redemption fees at any time.

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#### Notes to Financial Statements — (Continued)

#### February 28, 2026
If GMO determines that any portion of a cash purchase or redemption, as applicable, is offset by a corresponding cash redemption or purchase occurring on the same day, it ordinarily will waive or reduce the purchase premium or redemption fee with respect to that portion.

GMO also may waive or reduce the purchase premium or redemption fee for a purchase or redemption of a Fund's shares if the Fund will not incur transaction costs or will incur reduced transaction costs. For example, GMO may reduce the purchase premium to the extent that securities are used to purchase a Fund's shares (taking into account transaction costs, stamp duties or transfer fees), and GMO may reduce redemption fees to the extent a Fund uses portfolio securities to redeem its shares (taking into account transaction costs, stamp duties or transfer fees).

As of February 28, 2026, the premium on cash purchases and the fee on cash redemptions were as follows:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | <br>![LOGO](g12033dsp214a.jpg)  | <br>![LOGO](g12033dsp217b.jpg)  | <br>![LOGO](g12033dsp217c.jpg)  | <br>![LOGO](g12033dsp217d.jpg)  | <br>![LOGO](g12033dsp217e.jpg)  | <br>![LOGO](g12033dsp217f.jpg)  |
| &nbsp;&nbsp;&nbsp; Purchase Premium | – | 0.75% | – |  | – |  |
| &nbsp;&nbsp;&nbsp; Redemption Fee | – | 0.75% | – |  | – |  |

---

<sup>(1)</sup> For the period from July 31, 2020 to May 18, 2021, the premium on purchases and the fee on redemptions was 1.00% of the amount invested or redeemed. 

<sup>(2)</sup> The Fund invests in an underlying fund, GMO Emerging Country Debt Fund, which charges purchase premiums and redemption fees.

#### Segment reporting
The Officers of the Funds act as the Funds' chief operating decision maker ("CODM") assessing performance and making decisions about resource allocation. The CODM has determined that each Fund operates as a single segment. The CODM monitors the operating results of each Fund as a whole and each Fund makes investments in accordance with its investment objective as outlined in its prospectus. The financial information used by the CODM is consistent with that presented in each Fund's Schedule of Investments, Statement of Changes in Net Assets and Financial Highlights.

The accounting policies of the segment are the same as those described in Note 2. Significant accounting policies. The financial statements include all the details of the segment assets, segment revenue and expenses, and reflect the financial results of the segment.

#### Recently-issued accounting guidance
In December 2023, the Financial Accounting Standards Board ("FASB") issued a new Accounting Standards Update ASU 2023-09, "*Income Taxes (Topic 740) – Improvements to Income Tax Disclosures*" ("ASU 2023-09"). The purpose of ASU 2023-09 is to enhance the transparency of income tax disclosures, including the requirement to disclose income taxes paid disaggregated by jurisdictions. The amendments in ASU 2023-09 are effective for annual periods beginning after December 15, 2024, with early adoption permitted. Adoption of the new standard impacted financial statement disclosures only and did not affect the Funds' financial position or results of operations.

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#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
**3.** **Investment and other risks** 

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | ![LOGO](g12033dsp218a.jpg) | ![LOGO](g12033dsp218b.jpg) | ![LOGO](g12033dsp218c.jpg) | ![LOGO](g12033dsp218d.jpg) | ![LOGO](g12033dsp217e.jpg) | ![LOGO](g12033dsp218f.jpg) |
| &nbsp;&nbsp;&nbsp; Credit Risk | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Market Risk – Fixed Income | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Illiquidity Risk | X | X | X | X | X |  |
| &nbsp;&nbsp;&nbsp; Derivatives and Short Sales Risk | X | X | X | X | X |  |
| &nbsp;&nbsp;&nbsp; Management and Operational Risk | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Counterparty Risk | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Market Disruption and Geopolitical Risk | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Focused Investment Risk | X | X | X | X | X |  |
| &nbsp;&nbsp;&nbsp; Large Transactions Risk | X | X |  | X | X | X |
| &nbsp;&nbsp;&nbsp; Currency Risk | X | X | X | X | X |  |
| &nbsp;&nbsp;&nbsp; Non-U.S. Investment Risk | X | X | X | X | X |  |
| &nbsp;&nbsp;&nbsp; Leveraging Risk | X | X | X | X | X |  |
| &nbsp;&nbsp;&nbsp; Market Risk – Asset-Backed Securities | X |  |  |  | X |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts Risk |  |  |  | X | X |  |
| &nbsp;&nbsp;&nbsp; Fund of Funds Risk | X |  | X | X |  |  |
| &nbsp;&nbsp;&nbsp; Smaller Company Risk | X |  |  |  | X |  |
| &nbsp;&nbsp;&nbsp; Commodities Risk | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Market Risk – Equities | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Non-Diversified Funds |  |  |  | X |  |  |

---

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds' prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds or other investment companies (collectively, "Underlying Funds") are exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly and indirectly by the Fund.

An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• CREDIT RISK.** A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy their obligations to pay principal and interest or otherwise to honor its obligations in a timely manner or at all. The market price of a

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#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such a failure. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments. In addition, investments in emerging country sovereign or quasi-sovereign debt are subject to a heightened risk that the issuer responsible for repayment of the debt may be unable or unwilling to pay interest and repay principal when due, and the Fund may lack recourse against the issuer in the event of a default. Investments in quasi-sovereign debt also are subject to the risk that the issuer will default independently of its sovereign. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and are subject to substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to their issuers' payment defaults and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and the Fund may incur additional expenses in its effort to be repaid. If GMO's assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the Fund may lose a substantial portion or all of its original investment or may be required to accept cash or instruments worth less than its original investment. Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. A further credit rating downgrade could decrease, and a U.S. credit default would decrease, the value of a Fund's investments and increase the volatility of a Fund's portfolio.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• MARKET RISK — FIXED INCOME.** The market price of a fixed income investment can decline due to market-related factors, including rising interest or inflation rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market prices of emerging country sovereign and quasi-sovereign debt investments can decline due to uncertainty about their credit quality and the reliability of their payment streams.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• ILLIQUIDITY RISK**. Low trading volume, lack of a market maker, large position size, or legal restrictions increase the risk that a Fund or an underlying fund is limited or prevented from selling particular securities or closing derivative positions at desirable prices at a particular time or at all.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• DERIVATIVES AND SHORT SALES RISK.** The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. A Fund typically creates short investment exposure by selling securities short or by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of a Fund's shares will be adversely affected if the equities or other assets that are the subject of a Fund's short exposures appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities is theoretically unlimited.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• MANAGEMENT AND OPERATIONAL RISK.** A Fund runs the risk that GMO's investment techniques will fail to produce intended results. For many funds, GMO uses quantitative models as part of its investment process. GMO's models may not accurately predict future market movements. In addition, GMO's models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO's assessment of an investment including a security's fundamental fair (or intrinsic) value is wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• COUNTERPARTY RISK.** A Fund runs the risk that the counterparty to a derivatives contract or a clearing member used by the Fund to hold a cleared derivatives contract is unable or unwilling to make timely settlement payments, return the Fund's collateral or otherwise honor its obligations.

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#### Notes to Financial Statements — (Continued)

#### February 28, 2026
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• MARKET DISRUPTION AND GEOPOLITICAL RISK.** Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism, diplomatic tensions, dramatic changes in regulatory and/or foreign policy, cyberattacks, and rapid technological developments such as artificial intelligence) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Funds' investments.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• FOCUSED INVESTMENT RISK.** Investments in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• LARGE TRANSACTIONS RISK.** To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder or group will require the Fund to sell investments at disadvantageous prices, disrupt the Fund's operations, lead to temporary overexposure to the Fund's intended investment program or force the Fund's liquidation. A Fund may also be subject to these effects when a number of shareholders collectively redeem a large amount of Fund shares.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• CURRENCY RISK.** Fluctuations in exchange rates can adversely affect the market value of a Fund's foreign currency holdings and investments denominated in foreign currencies.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• NON-U.S. INVESTMENT RISK.** The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund is subject to taxation by countries other than the United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, the Fund needs a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of a Fund's investments. The risks above (such as substantial price fluctuations and market instability, illiquidity and lack of regulation) and other risks (e.g. nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of issuers tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or commodities and often are more volatile than the economies of developed countries.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• LEVERAGING RISK.** The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund's losses when the value of its investments (including derivatives) declines. In addition, a Fund's portfolio will be leveraged if it exercises its right to delay payment on a redemption and the value of the Fund's assets declines between the time a redemption request is treated as being received by a Fund and the time the Fund liquidates assets to fund that redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• MARKET RISK— ASSET BACKED SECURITIES.** The market price of asset-backed securities, like that of other fixed income investments, can decline for a variety of reasons, including increases in interest rates. In addition, the market price can decrease due to a reduction in or decrease in the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure and creditworthiness of any credit-support provider), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. The liquidity of asset-backed securities (particularly below investment grade asset-backed securities) may change over time. During periods of deteriorating economic conditions, such as recessions or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, for asset-backed securities whose underlying assets consist of loans, sales contracts, receivables and other obligations.

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#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• FUTURES CONTRACTS RISK.** The loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund's net asset value. A liquid secondary market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund's investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*•* **FUND OF FUNDS RISK.** A Fund is indirectly exposed to all of the risks of an investment in the underlying funds in which it invests, including the risk that those underlying funds will not perform as expected.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• SMALLER COMPANY RISK.** Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• COMMODITIES RISK.** Commodity prices can be extremely volatile, and exposure to commodities can cause the net asset value of a Fund's shares to decline or fluctuate significantly.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• MARKET RISK—EQUITIES.** The market price of an equity in a Fund's portfolio may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline (for example, if GMO's assessment proves to be incorrect or the market fails to recognize the equity's intrinsic value). A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations and interest rates than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund's shares.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**• NON-DIVERSIFIED FUNDS.** High Yield Fund is not a "diversified" investment company within the meaning of the 1940 Act. This means it is allowed to invest in the securities of a relatively small number of issuers. As a result, poor performance by a single investment is likely to have a greater impact on its performance. In addition, each Fund, other than U.S. Treasury Fund, may invest a portion of its assets in shares of an underlying fund that is not "diversified".

**4.** **Derivative financial instruments** 

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices to increase, decrease or adjust elements of the investment exposures of a Fund's portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

The Funds may use derivatives to gain long investment exposure to securities or other assets. In particular, the Funds may use swaps, options, or other derivatives on an index, an ETF, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Funds also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts, cross currency basis swaps and options) to gain exposure to a given currency.

The Funds may use derivatives in an attempt to reduce their investment exposures (which may result in a reduction below zero). For example, a Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to various securities, sectors, markets, indices, ETFs, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund's exposure to the credit of an issuer through the debt instrument but adjust the Fund's interest rate exposure through the swap.

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#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting its investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of their derivative positions, a Fund may have gross investment exposures in excess of its net assets (i.e., the Fund may be leveraged) and therefore are subject to heightened risk of loss. Each Fund's (other than U.S. Treasury Fund's) performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be (or are capable of being) transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of notice to a Fund, a clearing member at any time can require termination of existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy and any increase in margin held by a clearing member could expose a Fund to greater credit risk to its clearing member. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund's behalf. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and/or loss of hedging protection.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See "Investment and other risks" above for further information.

For Funds that held derivatives during the year ended February 28, 2026, the following table shows how the Fund used these derivatives (marked with an X):

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Type of Derivative and Objective for Use** | **Asset<br>Allocation<br>Bond Fund** | **Asset<br>Allocation<br>Bond Fund** | **Emerging<br>Country<br>Debt Fund** | **Emerging<br>Country<br>Debt Fund** | **High Yield <br>Fund** | **High Yield <br>Fund** | **Opportunistic <br>Income<br>Fund** | **Opportunistic <br>Income<br>Fund** |
| &nbsp;&nbsp;&nbsp; **Forward currency contracts** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust currency exchange rate risk |  |  |  | X |  | X |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust exposure to foreign currencies |  |  |  | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Futures contracts** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust interest rate exposure |  | X |  |  |  | X |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp; Maintain the diversity and liquidity of the portfolio |  |  |  |  |  | X |  | X |
| &nbsp;&nbsp;&nbsp; **Options (Purchased)** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Achieve exposure to a reference entity's credit |  |  |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust interest rate exposure |  |  |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp; Provide a measure of protection against default loss |  |  |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp; **Options (Written)** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Achieve exposure to a reference entity's credit |  |  |  |  |  | X |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp; Provide a measure of protection against default loss |  |  |  |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp; **Swap contracts** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Achieve exposure to a reference entity's credit |  | X |  | X |  | X |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust exposure to certain markets |  |  |  | X |  |  |  | X |

---

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#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Type of Derivative and Objective for Use (Continued)** | **Asset<br>Allocation<br>Bond Fund** | **Asset<br>Allocation<br>Bond Fund** | **Emerging<br>Country<br>Debt Fund** | **Emerging<br>Country<br>Debt Fund** | **High Yield <br>Fund** | **High Yield <br>Fund** | **Opportunistic <br>Income<br>Fund** | **Opportunistic <br>Income<br>Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust interest rate exposure |  | X |  | X |  |  |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust portfolio beta |  |  |  | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Generate long risk exposure to an index |  |  |  |  |  | X |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Provide a measure of protection against default loss |  |  |  | X |  | X |  | X |
| &nbsp;&nbsp;&nbsp;&nbsp; Provide exposure to the Fund's benchmark |  |  |  |  |  | X |  |  |

---

#### Bond forward contracts
The Funds may enter into bond forward contracts. A bond forward may be a contractual agreement between the Fund and another party to cash settle the difference between the final price of an underlying asset and the forward price, calculated at inception of the contract. In a bond forward transaction, no cash premium is paid when the parties enter into the bond forward. If the transaction is collateralized, an exchange of margin collateral will take place according to an agreed-upon schedule. Otherwise, no asset of any kind changes hands until the bond forward matures (typically in 30 days) or is rolled over for another agreed upon period. Generally, the value of the bond forward will change based on changes in the value of the underlying asset. Bond forwards are subject to market risk (the risk that the market value of the underlying bond may change), non-correlation risk (the risk that the market value of the bond forward might move independently of the market value of the underlying bond) and counterparty credit risk (the risk that a counterparty will be unable to meet its obligation under the contract). If there is no cash exchanged at the time the Fund enters into the bond forward, counterparty risk may be limited to the loss of any marked-to market profit on the contract and any delays or limitations on the Fund's ability to sell or otherwise use the investments posted as collateral for the bond forward. Bond forward contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Forward currency contracts
The Funds (except U.S. Treasury Fund) may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund's forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are collateralized. Forward currency contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund's futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded in the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing

77.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. "Quanto" options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

The Funds may write (i.e. sell) call and put options on futures, swaps ("swaptions"), securities or currencies they own or in which they may invest. Writing options alters a Fund's exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

#### Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

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#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer's failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed "strike" correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic

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#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

\*\*\*\*

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure.

**The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2026 and the Statements of Operations for the year ended February 28, 2026^:** 

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the "Investment and other risks" and "Portfolio valuation" sections for a further discussion of risks.

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Credit<br>Contracts** | **Foreign<br>Currency<br>Contracts** | **Interest<br>Rate<br>Contracts** | **Total** |
| &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Derivatives** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Futures Contracts¤ | $— | $— | $1150479 | $1150479 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $— | $— | $1150479 | $1150479 |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $2553068 | $2553068 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | (445417) |  |  | (445417) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(445417) | $— | $2553068 | $2107651 |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $143019 | $143019 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | 76469 |  |  | 76469 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $76469 | $— | $143019 | $219488 |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Derivatives** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Forward Currency Contracts | $— | $1225803 | $— | $1225803 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | 1849419 |  | 11522313 | 13371732 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $1849419 | $1225803 | $11522313 | $14597535 |
| &nbsp;&nbsp;&nbsp; **Liability Derivatives** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Forward Currency Contracts | $— | $(2703654) | $— | $(2703654) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | (1974841) |  | (2904052) | (4878893) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(1974841) | $(2703654) | $(2904052) | $(7582547) |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | $(8108926) | $— | $13344342 | $5235416 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  | (25444505) |  | (25444505) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(8108926) | $(25444505) | $13344342 | $(20209089) |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | $(1303369) | $— | $2171208 | $867839 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  | 1674522 |  | 1674522 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(1303369) | $1674522 | $2171208 | $2542361 |

---

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#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Credit<br>Contracts** | **Foreign<br>Currency<br>Contracts** | **Interest<br>Rate<br>Contracts** | **Total** |
| &nbsp;&nbsp;&nbsp; **High Yield Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Derivatives** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Forward Currency Contracts | $— | $19795 | $— | $19795 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Futures Contracts¤ |  |  | 50764 | 50764 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | 1711998 |  | 850067 | 2562065 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $1711998 | $19795 | $900831 | $2632624 |
| &nbsp;&nbsp;&nbsp; **Liability Derivatives** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | $— | $— | $(232) | $(232) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $— | $— | $(232) | $(232) |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $265188 | $265188 |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options | (440547) |  |  | (440547) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | 1502943 |  | 2996891 | 4499834 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  | 197806 |  | 197806 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $1062396 | $197806 | $3262079 | $4522281 |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $(23261) | $(23261) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options | 24984 |  |  | 24984 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | (46988) |  | (355580) | (402568) |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  | 953839 |  | 953839 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(22004) | $953839 | $(378841) | $552994 |

---

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#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Credit<br>Contracts** | **Foreign<br>Currency<br>Contracts** | **Interest<br>Rate<br>Contracts** | **Total** |
| &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Derivatives** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments, at value (purchased options) | $210288 | $— | $— | $210288 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Forward Currency Contracts |  | 89117 |  | 89117 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Futures Contracts¤ |  |  | 696224 | 696224 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | 23233310 |  |  | 23233310 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $23443598 | $89117 | $696224 | $24228939 |
| &nbsp;&nbsp;&nbsp; **Liability Derivatives** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Forward Currency Contracts | $— | $(34850) | $— | $(34850) |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Futures Contracts¤ |  |  | (178988) | (178988) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options, at value | (122634) |  |  | (122634) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | (9589661) |  | (89237) | (9678898) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(9712295) | $(34850) | $(268225) | $(10015370) |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments (purchased options) | $(250256) | $— | $(253465) | $(503721) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  | 3785160 | 3785160 |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options | 937955 |  | 66174 | 1004129 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | (3607374) |  | 22570 | (3584804) |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  | (704847) |  | (704847) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(2919675) | $(704847) | $3620439 | $(4083) |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments (purchased options) | $65497 | $— | $— | $65497 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  | (416694) | (416694) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options | (123560) |  |  | (123560) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | 1892402 |  | 108816 | 2001218 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  | 33828 |  | 33828 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $1834339 | $33828 | $(307878) | $1560289 |

---

---

| | |
|:---|:---|
| ^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds' investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.  |

---

---

| | |
|:---|:---|
| ¤ | The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Year end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.  |

---

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements or other similar types of agreements (collectively, "Master Agreements") that generally govern the terms of OTC derivative transactions, repurchase agreements and reverse repurchase agreements. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty's affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund's operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see "Investments and other risks" above.

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#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds' Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements and reverse repurchase agreements held by the Funds at February 28, 2026, if any.

The tables above present the Funds' derivative assets and liabilities by type of financial instrument. The following tables present the Funds' OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 28, 2026:

#### Emerging Country Debt Fund

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Assets Subject to<br>Master Agreements** | **Collateral<br>Received** | **Derivative**<br> **Assets/Liabilities**<br> **Available for Offset** | **Net Amount<br>of Derivative<br>Assets** |
| &nbsp;&nbsp;&nbsp; Barclays Bank PLC | $250437 | $(146000) | $(76774) | $27663 |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | 45492 |  | (45492) |  |
| &nbsp;&nbsp;&nbsp; Goldman Sachs International | 39166 | (39166) |  | — \* |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Bank, N.A. | 369975 |  | (369975) |  |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 1083866 |  | (1083866) |  |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank, N.A. | 80614 |  | (80614) |  |
| &nbsp;&nbsp;&nbsp; State Street Bank and Trust Company | 4007 |  |  | 4007 |
| &nbsp;&nbsp;&nbsp; Total | $1873557 | $(185166) | $(1656721) | $31670 |
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Liabilities Subject to<br>Master Agreements** | **Collateral<br>Pledged** | **Derivative**<br> **Assets/Liabilities**<br> **Available for Offset** | **Net Amount<br>of Derivative<br>Liabilities** |
| &nbsp;&nbsp;&nbsp; Bank of America, N.A. | $(90784) | $— | $— | $(90784) |
| &nbsp;&nbsp;&nbsp; Barclays Bank PLC | (76774) |  | 76774 |  |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | (94714) |  | 45492 | (49222) |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG | (1306581) | 1306581 |  | — \* |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Bank, N.A. | (1127376) | 757401 | 369975 | — \* |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | (2496490) | 1313577 | 1083866 | (99047) |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank, N.A. | (357727) | 277113 | 80614 | — \* |
| &nbsp;&nbsp;&nbsp; Total | $(5550446) | $3654672 | $1656721 | $(239053) |

---

#### High Yield Fund

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Assets Subject to<br>Master Agreements** | **Collateral<br>Received** | **Derivative**<br> **Assets/Liabilities**<br> **Available for Offset** | **Net Amount<br>of Derivative<br>Assets** |
| &nbsp;&nbsp;&nbsp; Bank of America, N.A. | $514 | $— | $— | $514 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs International | 476137 | (270000) |  | 206137 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 393211 | (90000) | (232) | 302979 |
| &nbsp;&nbsp;&nbsp; Total | $869862 | $(360000) | $(232) | $509630 |

---

83.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

#### High Yield Fund (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Liabilities Subject to<br>Master Agreements** | **Collateral<br>Pledged** | **Derivative**<br> **Assets/Liabilities**<br> **Available for Offset** | **Net Amount<br>of Derivative<br>Liabilities** |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | $(232) | $– | $232 | $— |
| &nbsp;&nbsp;&nbsp; Total | $(232) | $– | $232 | $— |

---

#### Opportunistic Income Fund

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Assets Subject to<br>Master Agreements** | **Collateral<br>Received** | **Derivative**<br> **Assets/Liabilities**<br> **Available for Offset** | **Net Amount<br>of Derivative<br>Assets** |
| &nbsp;&nbsp;&nbsp; Bank of America, N.A. | $4260151 | $(4260151) | $— | $— \* |
| &nbsp;&nbsp;&nbsp; BNP Paribas | 5301358 | (5301358) |  | — \* |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | 210373 |  | (52550) | 157823 |
| &nbsp;&nbsp;&nbsp; Citigroup Global Markets Inc. | 3649821 | (3554983) | (45655) | 49183 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG | 89717 |  | (34850) | 54867 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs International | 7035322 | (5522000) | (1486732) | 26590 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 1938907 | (1403746) | (535161) | — \* |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital Services LLC | 1047066 | (890000) |  | 157066 |
| &nbsp;&nbsp;&nbsp; Total | $23532715 | $(20932238) | $(2154948) | $445529 |
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Liabilities Subject to<br>Master Agreements** | **Collateral<br>Pledged** | **Derivative**<br> **Assets/Liabilities**<br> **Available for Offset** | **Net Amount<br>of Derivative<br>Liabilities** |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | $(52550) | $— | $52550 | $— |
| &nbsp;&nbsp;&nbsp; Citigroup Global Markets Inc. | (45655) |  | 45655 |  |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG | (34850) |  | 34850 |  |
| &nbsp;&nbsp;&nbsp; Goldman Sachs International | (1486732) |  | 1486732 |  |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Bank, N.A. | (70084) |  |  | (70084) |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | (535161) |  | 535161 |  |
| &nbsp;&nbsp;&nbsp; Total | $(2225032) | $— | $2154948 | $(70084) |

---

\* The actual collateral received and/or pledged is more than the amount shown. 

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2026:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Forward<br>Currency<br>Contracts ($)** | **Futures<br>Contracts ($)** | **Options<br>(Principal)** | **Options<br>(Contracts)** | **Swap<br>Contracts ($)** |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund |  | 110113037 |  |  | 7766667 |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | 366990036 |  |  |  | 993354969 |
| &nbsp;&nbsp;&nbsp; High Yield Fund | 18876350 | 16338214 | 11342500 |  | 96865558 |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund | 10315255 | 799236092 | 141450955 | 1632 | 710994104 |

---

84.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
**5.** **Fees and other transactions with affiliates** 

GMO receives a management fee for the services it provides to each Fund. Management fees are paid monthly at the annual rate equal to the percentage of each Fund's average daily net assets set forth in the table below:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | ![LOGO](g12033dsp231a.jpg) | ![LOGO](g12033dsp231b.jpg) | ![LOGO](g12033dsp231c.jpg) | ![LOGO](g12033dsp231d.jpg) | ![LOGO](g12033dsp231e.jpg) | ![LOGO](g12033dsp231f.jpg) |
| &nbsp;&nbsp;&nbsp; Management Fee | 0.25% | 0.35% | 0.35% | 0.35% | 0.40% | 0.08 %<sup>(a)</sup> |

---

<sup>(a)</sup> From April 9, 2021 to May 1, 2023, GMO voluntarily waived the Fund's entire management fee.

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related information. Shareholder service fees are paid monthly at the annual rate equal to the percentage of each applicable Class's average daily net assets set forth in the table below:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Class III** | | **Class IV** | **Class VI** | **Class R6** | | **Class I** |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund | 0.15 | %\* |  | 0.055% |  |  |  |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | 0.15 | % | 0.10% | 0.055% |  |  |  |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Shares Fund |  |  |  |  | 0.15 | %\* | 0.15% |
| &nbsp;&nbsp;&nbsp; High Yield Fund |  |  |  | 0.055% | 0.15 | %\* | 0.15% |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund | 0.15 | % |  | 0.055% | 0.15 | % | 0.15% |

---

\* Class is offered but has no shareholders as of February 28, 2026.

For Asset Allocation Bond Fund, Emerging Country Debt Shares Fund and Opportunistic Income Fund, GMO has contractually agreed to reimburse the Funds for the portion of their "Specified Operating Expenses" (as defined below) that exceeds 0.02% of each Fund's average daily net assets. Any such reimbursements are paid to a Fund concurrently with the Fund's payment of management fees to GMO. For U.S. Treasury Fund, GMO has contractually agreed to reimburse the Fund for its portion of "Specified Operating Expenses" (as defined below).

"Specified Operating Expenses" means: audit expenses, fund accounting and administration expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses.

With respect to High Yield Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund's total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.35% for Class VI shares; 0.35% for Class R6 shares; and 0.35% for Class I shares (each,

85.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
an "Expense Cap"). Fees and expenses of the "non-interested" Trustees and legal counsel to the "non-interested" Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, borrowing and borrowing-related costs (such as expenses incurred in establishing and maintaining a credit facility), taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund's business (collectively, "Excluded Expenses"), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund's total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses.

For the year ended February 28, 2026, GMO did not recoup any previously recorded waivers and/or reimbursements.

On February 28, 2026, the waivers and/or reimbursements subject to possible future recoupment are as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Expiring the<br>year ending<br>February 28,<br>2027** | **Expiring the<br>year ending<br>February 29,<br>2028** | **Expiring the<br>year ending<br>February 28,<br>2029** |
| &nbsp;&nbsp;&nbsp; High Yield Fund, Class VI | $102338 | $113594 | $281982 |
| &nbsp;&nbsp;&nbsp; High Yield Fund, Class I | $21 | $126 | $2058 |

---

GMO has contractually agreed to waive or reduce each Fund's management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund's direct or indirect investments in other series of GMO Trust and GMO-managed ETFs. Management fees and shareholder service fees, if any, will not be waived below zero.

For Opportunistic Income Fund and Emerging Country Debt Shares Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares to the extent that amounts paid by the Fund out of net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.15% of the Fund's average daily net assets attributable to Class I shares.

For High Yield Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.10% of the average daily net assets attributable to Class I shares.

These contractual waivers and reimbursements will continue through at least June 30, 2026 for each Fund unless the Funds' Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund's management contract or servicing and supplemental support agreement.

#### Sub-Transfer Agent/Recordkeeping Payments
Class III, IV, VI, and R6 shares are not subject to payments to third parties for sub-transfer agent, recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class III, IV, VI, or Class R6 shares. These payments create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and

86.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
other administrative services are paid out of a Fund's Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds' portion of the fees paid by the Trust to the Trust's independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2026 is shown in the table below and is included in the Statements of Operations.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Independent Trustees and** <br> **their legal counsel ($)**  |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund | 2785 |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | 160983 |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Shares Fund | 111 |
| &nbsp;&nbsp;&nbsp; High Yield Fund | 9531 |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund | 91509 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Fund | 29520 |

---

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2026, the Funds below had indirect fees and expenses greater than 0.01% of the Fund's average daily net assets.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Total Indirect Expense** |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Shares Fund | 0.072%\* |

---

\* Includes indirect interest and/or dividend expense on reverse repurchase agreements and short sales, respectively, and borrowing costs for investments sold short, if any.

The Funds are permitted to purchase or sell securities from or to other GMO Trust funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another GMO Trust fund complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2026, the Funds did not engage in these transactions.

**6.** **Purchases and sales of securities** 

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2026 are noted in the table below:

---

| | | | | |
|:---|:---|:---|:---|:---|
| <br>&nbsp;&nbsp;&nbsp;**Fund Name** | **Purchases ($)**<br>**U.S. Government** <br> **Securities**  | **Purchases ($)**<br>**Investments (Non-U.S.** <br> **Government Securities)**  | **Sales ($)**<br>**U.S. Government** <br> **Securities**  | **Sales ($)**<br>**Investments (Non-U.S.** <br> **Government Securities)**  |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund | 10351387 |  | 7986751 |  |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | 134626016 | 823233473 | 125063396 | 1121669948 |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Shares Fund |  | 26149284 |  | 70000 |
| &nbsp;&nbsp;&nbsp; High Yield Fund | 116125413 | 63675952 | 102417764 | 58886834 |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund | 2931038178 | 336017211 | 2998712667 | 404066623 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Fund |  |  |  |  |

---

87.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
**7.** **Guarantees** 

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds' indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

**8.** **Principal shareholders as of February 28, 2026** 

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Number of <br>shareholders that held <br>more than 10% of the <br>outstanding shares of <br>the Fund** | **Number of <br>shareholders that held <br>more than 10% of the <br>outstanding shares of <br>the Fund** | **Percentage of <br>outstanding shares of <br>the Fund held by those <br>shareholders owning <br>greater than 10% of the <br>outstanding shares of <br>the Fund** |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund | 2 | ‡ | 93.58% |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | 2 |  | 22.29% |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Shares Fund | 2 |  | 100.00% |
| &nbsp;&nbsp;&nbsp; High Yield Fund | 3 | # | 86.45% |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund | 1 |  | 22.01% |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Fund | 2 | ‡ | 65.11% |

---

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

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

**9.** **Share transactions** 

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds' shares were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended**<br>**February 28, 2026** | **Year Ended**<br>**February 28, 2026** | **Year Ended**<br>**February 28, 2025** | **Year Ended**<br>**February 28, 2025** |
|  | <br> **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 3706588 | $69603174 | 208608 | $3857811 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 67192 | 1252994 | 104032 | 1873103 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (486313) | (9024052) | (173077) | (3408446) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 3287467 | $61832116 | 139563 | $2322468 |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 7839873 | $182230789 | 4893248 | $98014178 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 2061039 | 45500501 | 2062788 | 40996155 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (22484315) | (513073712) | (19228017) | (385568210) |
| &nbsp;&nbsp;&nbsp; Redemption fees |  | 1118431 |  | 926538 |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (12583403) | $(284223991) | (12271981) | $(245631339) |

---

88.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended**<br>**February 28, 2026** | **Year Ended**<br>**February 28, 2026** | **Year Ended**<br>**February 28, 2025** | **Year Ended**<br>**February 28, 2025** |
|  | <br> **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class IV:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 15617296 | $360655439 | 7641672 | $156008806 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 2510579 | 55071016 | 2994955 | 59423353 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (12587858) | (285204309) | (739646) | (15022245) |
| &nbsp;&nbsp;&nbsp; Redemption fees |  | 1683644 |  | 934892 |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 5540017 | $132205790 | 9896981 | $201344806 |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 1349686 | $29733621 | 24 | $517 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 274090 | 5979451 | 460248 | 9118672 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (4842375) | (109492977) | (5040667) | (99164340) |
| &nbsp;&nbsp;&nbsp; Redemption fees |  | 178249 |  | 168411 |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (3218599) | $(73601656) | (4580395) | $(89876740) |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Shares Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class I:<sup>(a)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 1289424 | $26162405 |  |  |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (3849) | (79418) |  |  |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 1285575 | $26082987 |  |  |
| &nbsp;&nbsp;&nbsp; **High Yield Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 1723703 | $30538281 | 20996 | $375000 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 385249 | 6607019 | 1060743 | 17912284 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (2101237) | (37784950) | (2207637) | (39727814) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 7715 | $(639650) | (1125898) | $(21440530) |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 43742 | $753673 | 45252 | $766486 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 2336 | 39940 | 1448 | 24293 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (38107) | (644053) | (7328) | (124515) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 7971 | $149560 | 39372 | $666264 |
| &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 246205 | $6000000 | 2278836 | $54854076 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 200741 | 4899874 | 193880 | 4688828 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (1008756) | (24604163) | (514017) | (12516547) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (561810) | $(13704289) | 1958699 | $47026357 |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 4414686 | $108160707 | 272829 | $6611124 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 181234 | 4426981 | 238450 | 5767190 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (3112780) | (75930280) | (4281300) | (103937285) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 1483140 | $36657408 | (3770021) | $(91558971) |

---

89.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Year Ended**<br>**February 28, 2026** | **Year Ended**<br>**February 28, 2026** | **Year Ended**<br>**February 28, 2025** | **Year Ended**<br>**February 28, 2025** |
|  | <br> **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 10818995 | $263707865 | 6574559 | $159785496 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 414861 | 10086596 | 274855 | 6632761 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (2292555) | (55815711) | (1272645) | (30727161) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 8941301 | $217978750 | 5576769 | $135691096 |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 7559677 | $184261087 | 16625321 | $401146875 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 1219517 | 29697841 | 1537857 | 37113820 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (28449379) | (693437711) | (20552908) | (495392853) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (19670185) | $(479478783) | (2389730) | $(57132158) |
| &nbsp;&nbsp;&nbsp; **U.S. Treasury Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 710573926 | $3559987776 | 610755185 | $3053569695 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 888198 | 4449873 | 1061307 | 5307436 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (702383881) | (3518973132) | (659813128) | (3299041125) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 9078243 | $45464517 | (47996636) | $(240163994) |

---

<sup>(a)</sup> The period under the heading "Year Ended February 28, 2026" represents the period from January 13, 2026 (commencement of operations) through February 28, 2026.

**10.** **Investments in affiliated companies and other Funds of the Trust** 

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer's voting securities or an investment in other funds of GMO Trust. A summary of the Funds' transactions involving companies that are or were affiliates during the year ended February 28, 2026 is set forth below:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning<br>of period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income** | **Distributions<br>of Realized<br>Gains** | **Net<br>Realized<br>Gain (Loss)** | <br> **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Bona Fide Investment Holdings II LLC | $13164429 | $— | $— | $— | $— | $— | $2678642 | $15843071 |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Shares Fund** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class III | $— | $26149284 | $70000 | $— | $— | $952 | $486312 | $26566548 |
| &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $11639444 | $— | $— | $465679 | $— | $— | $— | $11639444 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Ultra-Short Income ETF |  | 300390 |  | 1589 |  |  | 1027 | 301417 |
| &nbsp;&nbsp;&nbsp; Totals | $11639444 | $300390 | $— | $467268 | $— | $— | $1027 | $11940861 |

---

90.0 ------

#### Report of Independent Registered Public Accounting Firm
**To the Board of Trustees of GMO Trust and Shareholders of GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO Emerging Country Debt Shares Fund, GMO High Yield Fund, GMO Opportunistic Income Fund and GMO U.S. Treasury Fund** 

#### Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (six of the funds constituting GMO Trust, hereafter collectively referred to as the "Funds") as of February 28, 2026, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds listed in the table below as of February 28, 2026, the results of each of their operations and the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.

---

| |
|:---|
| &nbsp;&nbsp;&nbsp;(1) GMO Asset Allocation Bond Fund, GMO Emerging Country Debt Fund, GMO High Yield Fund, GMO Opportunistic Income Fund and GMO U.S. Treasury Fund |
| &nbsp;&nbsp;&nbsp;(2) GMO Emerging Country Debt Shares Fund |
| &nbsp;&nbsp;&nbsp;(1) Statement of operations for the year ended February 28, 2026 and statement of changes in net assets for the years ended February 28, 2026 and 2025 |
| &nbsp;&nbsp;&nbsp;(2) Statement of operations and statement of changes in net assets for the period from January 13, 2026 (commencement of operations) through February 28, 2026 |

---

#### Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2026 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

April 24, 2026

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Tax Information for the Tax Year Ended February 28, 2026 (Unaudited)
The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributable earnings on a tax basis, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2026:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **U.S.<br>Government<br>Obligation<br>Income**<br> **($)<sup>(1)</sup>** | **Interest-<br>Related<br>Dividend<br>Income<br>($)<sup>(2)</sup>** | **Short-Term<br>Capital Gain<br>Dividends<br>($)<sup>(2)</sup>** | **Long-Term<br>Capital Gain<br>Distributions<br>($)** | **Code<br>Section 163(j)<br>Interest-Related<br>Dividend<br>Income ($)<sup>(3)</sup>** |
| &nbsp;&nbsp;&nbsp; Asset Allocation Bond Fund | 347808 | 1668565 | – |  |  |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Fund | 2900802 | 2702741 | – |  | 128136250 |
| &nbsp;&nbsp;&nbsp; Emerging Country Debt Shares Fund |  |  | – |  |  |
| &nbsp;&nbsp;&nbsp; High Yield Fund | 2889575 | 4958255 | – |  | 5384513 |
| &nbsp;&nbsp;&nbsp; Opportunistic Income Fund | 8606180 | 64196630 | – |  | 64672416 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Fund | 10791970 | 16493779 | – |  | 16493779 |

---

<sup>(1)</sup> All or a portion of these amounts may be exempt from taxation at the state level. 

<sup>(2)</sup> These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds' shareholders. If applicable, interest-related dividend amounts may include short-term capital gain distributions received from underlying funds. 

<sup>(3)</sup> The Funds hereby designate the above business interest-related dividend income pursuant to Section 163(j) of the Code and the regulations.

In early 2027, the Funds will notify applicable shareholders of amounts for use in preparing 2026 U.S. federal income tax forms.

------

### GMO Trust

### Annual Financial Statements and Other Information

### February 28, 2026

### 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

### MAC Implementation Fund

### Multi-Asset Credit Fund

### Strategic Opportunities Allocation Fund

------

For a free copy of the Funds' proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO's website at www.gmo.com or visit the Securities and Exchange Commission's website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO's website at www.gmo.com and on the Securities and Exchange Commission's website at www.sec.gov no later than August 31 of each year.

The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT which is available on the Commission's website at www.sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO's website at www.gmo.com.

This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).

An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds' prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, market risk-asset backed securities, credit risk, non-U.S. investment risk, small company risk and derivatives risk.

------

#### **TABLE OF CONTENTS**

---

| | |
|:---|:---|
|  [Alternative Allocation Fund](#fin312033_1) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 1 |
|  [Benchmark-Free Allocation Fund](#fin312033_2) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 25 |
|  [Benchmark-Free Fund](#fin312033_3) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 26 |
|  [Global Asset Allocation Fund](#fin312033_4) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 45 |
|  [Global Developed Equity Allocation Fund](#fin312033_5) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 46 |
|  [Global Equity Allocation Fund](#fin312033_6) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 47 |
|  [Implementation Fund](#fin312033_7) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 48 |
|  [International Developed Equity Allocation Fund](#fin312033_8) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 68 |
|  [International Equity Allocation Fund](#fin312033_9) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 69 |
|  [MAC Implementation Fund](#fin312033_10) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 70 |
|  [Multi-Asset Credit Fund](#fin312033_11) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 73 |
|  [Strategic Opportunities Allocation Fund](#fin312033_12) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Schedule of Investments | 74 |
|  [Portfolio, Counterparty and Currency Abbreviations](#fin312033_13) | 76 |
|  Fund Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Assets and Liabilities](#fin312033_14) | 77 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Operations](#fin312033_15) | 83 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Changes in Net Assets](#fin312033_16) | 87 |
| &nbsp;&nbsp;&nbsp;&nbsp; [Statements of Cash Flow](#fin312033_17) | 93 |
|  [Financial Highlights](#fin312033_18) | 94 |
|  [Notes to Financial Statements](#fin312033_19) | 119 |
|  [Report of Independent Registered Public Accounting Firm](#fin312033_20) | 171 |
|  [Tax Information](#fin312033_21) | 172 |

---

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 135.4%** | **COMMON STOCKS — 135.4%** |
|  | **Australia — 4.0%** | **Australia — 4.0%** |
| 33658 | Aristocrat Leisure Ltd. <sup>(a)</sup> | 1150655 |
| 73116 | BHP Group Ltd. <sup>(a)</sup> | 2966701 |
| 88032 | Brambles Ltd. <sup>(a)</sup> | 1569973 |
| 123871 | Evolution Mining Ltd. <sup>(a)</sup> | 1469612 |
| 129588 | Fortescue Ltd. <sup>(a)</sup> | 1946570 |
| 61571 | James Hardie Industries PLC \* <sup>(a) (b)</sup> | 1499254 |
| 5533456 | National Storage REIT <sup>(a)</sup> | 10944680 |
| 32116 | Northern Star Resources Ltd. <sup>(a)</sup> | 703975 |
| 2665794 | Qube Holdings Ltd. | 9494401 |
| 189704 | Stockland – (REIT) <sup>(a)</sup> | 689878 |
| 101632 | Vicinity Ltd. – (REIT) <sup>(a)</sup> | 177154 |
|  | Total Australia | 32612853 |
|  | **Austria — 0.3%** | **Austria — 0.3%** |
| 8799 | Erste Group Bank AG <sup>(a)</sup> | 1044390 |
| 14873 | OMV AG <sup>(a)</sup> | 963476 |
| 5483 | Raiffeisen Bank International AG <sup>(a)</sup> | 272395 |
| 2620 | Verbund AG <sup>(a)</sup> | 186554 |
|  | Total Austria | 2466815 |
|  | **Belgium — 0.4%** | **Belgium — 0.4%** |
| 42227 | Ageas SA <sup>(a)</sup> | 3134368 |
| 290 | Sofina SA <sup>(a)</sup> | 86142 |
|  | Total Belgium | 3220510 |
|  | **Canada — 5.2%** | **Canada — 5.2%** |
| 10600 | Alimentation Couche-Tard, Inc. <sup>(a)</sup> | 643281 |
| 13200 | Canadian Tire Corp. Ltd. – Class A <sup>(a)</sup> | 1851513 |
| 14200 | CCL Industries, Inc. – Class B <sup>(a)</sup> | 987717 |
| 23900 | CGI, Inc. <sup>(a)</sup> | 1747930 |
| 337 | Constellation Software, Inc. <sup>(a)</sup> | 622750 |
| 20795 | Empire Co. Ltd. – Class A <sup>(a)</sup> | 737555 |
| 600 | Fairfax Financial Holdings Ltd. <sup>(a)</sup> | 1032697 |
| 3700 | FirstService Corp. <sup>(a)</sup> | 583027 |
| 15485 | Gildan Activewear, Inc. <sup>(a)</sup> | 1055416 |
| 4000 | iA Financial Corp., Inc. <sup>(a)</sup> | 454910 |
| 14169 | IGM Financial, Inc. <sup>(a)</sup> | 704892 |
| 25700 | Kinross Gold Corp. <sup>(a)</sup> | 949961 |
| 39959 | Magna International, Inc. <sup>(a)</sup> (c) | 2519415 |
| 1100 | Magna International, Inc. <sup>(a)</sup> <sup>(c)</sup> | 69360 |
| 37520 | Manulife Financial Corp. <sup>(a)</sup> | 1333461 |
| 1440892 | New Gold, Inc. \* <sup>(a)</sup> | 19336771 |
| 30702 | Nutrien Ltd. <sup>(a)</sup> <sup>(c)</sup> | 2304799 |
| 500 | Nutrien Ltd. <sup>(a)</sup> (c) | 37605 |
| 49900 | Open Text Corp. <sup>(a)</sup> <sup>(c)</sup> | 1236114 |
| 48300 | Open Text Corp. <sup>(a)</sup> <sup>(c)</sup> | 1196391 |
| 9500 | Power Corp. of Canada <sup>(a)</sup> | 477211 |
| 6900 | TFI International, Inc. <sup>(a)</sup> <sup>(b)</sup> | 826068 |
| 2053 | TMX Group Ltd. <sup>(a)</sup> | 69249 |
| 17200 | Toronto-Dominion Bank <sup>(a)</sup> | 1675552 |
|  | Total Canada | 42453645 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **China — 0.7%** | **China — 0.7%** |
| 1160000 | AviChina Industry & Technology Co. Ltd. – Class H | 629899 |
| 45000 | Bank of Communications Co. Ltd. – Class H | 39383 |
| 61000 | Beijing Enterprises Holdings Ltd. | 274343 |
| 410000 | China Communications Services Corp. Ltd. – Class H | 232746 |
| 569000 | China Construction Bank Corp. – Class H | 578897 |
| 250000 | China National Building Material Co. Ltd. – Class H | 216759 |
| 494000 | China Overseas Land & Investment Ltd. | 902468 |
| 1137000 | China Railway Group Ltd. – Class H | 752407 |
| 58800 | China Taiping Insurance Holdings Co. Ltd. | 171221 |
| 791000 | CITIC Ltd. | 1260948 |
| 56000 | Longfor Group Holdings Ltd. | 70902 |
| 42456 | Qfin Holdings, Inc. <sup>(a)</sup> <sup>(d)</sup> | 618159 |
|  | Total China | 5748132 |
|  | **Denmark — 1.2%** | **Denmark — 1.2%** |
| 665 | AP Moller - Maersk AS – Class A <sup>(a)</sup> | 1628861 |
| 793 | AP Moller - Maersk AS – Class B <sup>(a)</sup> | 1968902 |
| 10378 | Genmab AS \* | 3055557 |
| 23968 | Novo Nordisk AS – Class B | 906554 |
| 3209 | Pandora AS <sup>(a)</sup> | 253673 |
| 60746 | Rockwool AS – B Shares | 2014187 |
|  | Total Denmark | 9827734 |
|  | **Finland — 0.8%** | **Finland — 0.8%** |
| 51802 | Neste OYJ <sup>(a)</sup> | 1294472 |
| 357949 | Nokia OYJ <sup>(a)</sup> | 2747265 |
| 15128 | Orion OYJ – Class B | 1211862 |
| 32140 | Wartsila OYJ Abp <sup>(a)</sup> | 1395666 |
|  | Total Finland | 6649265 |
|  | **France — 2.3%** | **France — 2.3%** |
| 13071 | Amundi SA <sup>(a)</sup> | 1246881 |
| 43900 | ArcelorMittal SA | 2875840 |
| 7472 | BioMerieux <sup>(a)</sup> | 883129 |
| 2331 | Capgemini SE <sup>(a)</sup> | 294584 |
| 20683 | Carrefour SA <sup>(a)</sup> | 392260 |
| 2298 | Cie de Saint-Gobain SA <sup>(a)</sup> | 232883 |
| 28610 | Cie Generale des Etablissements Michelin SCA <sup>(a)</sup> | 1157023 |
| 53725 | Dassault Systemes SE <sup>(a)</sup> | 1176511 |
| 8960 | Ipsen SA | 1749015 |
| 7526 | Legrand SA <sup>(a)</sup> | 1363163 |
| 282 | L'Oreal SA <sup>(a)</sup> | 132130 |
| 3385 | LVMH Moet Hennessy Louis Vuitton SE (a) | 2163084 |
| 9045 | Safran SA <sup>(a)</sup> | 3642772 |
| 2275 | Schneider Electric SE <sup>(a)</sup> | 743492 |
| 3223 | Teleperformance SE <sup>(a)</sup> | 194878 |
| 2524 | TotalEnergies SE <sup>(a)</sup> | 202177 |
|  | Total France | 18449822 |

---

1 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Germany — 2.6%** | **Germany — 2.6%** |
| 45920 | Bayer AG (Registered) | 2272159 |
| 19293 | Bayerische Motoren Werke AG <sup>(a)</sup> | 2021973 |
| 9564 | Continental AG <sup>(a)</sup> | 824168 |
| 31438 | Deutsche Bank AG (Registered) <sup>(a)</sup> | 1114576 |
| 21379 | Deutsche Post AG <sup>(a)</sup> | 1258905 |
| 98582 | E.ON SE <sup>(a)</sup> | 2293096 |
| 4262 | GEA Group AG <sup>(a)</sup> | 330448 |
| 3576 | Heidelberg Materials AG <sup>(a)</sup> | 796706 |
| 538 | HOCHTIEF AG <sup>(a)</sup> | 259510 |
| 20504 | Infineon Technologies AG <sup>(a)</sup> | 1105060 |
| 5915 | Knorr-Bremse AG <sup>(a)</sup> | 774192 |
| 29770 | Mercedes-Benz Group AG <sup>(a)</sup> | 2059745 |
| 1439 | Rational AG | 1247195 |
| 16658 | SAP SE <sup>(a)</sup> | 3346464 |
| 1832 | Siemens AG (Registered) <sup>(a)</sup> | 529711 |
| 6072 | Talanx AG <sup>(a)</sup> | 763739 |
|  | Total Germany | 20997647 |
|  | **Hong Kong — 1.3%** | **Hong Kong — 1.3%** |
| 353768 | CK Asset Holdings Ltd. <sup>(a)</sup> | 2244579 |
| 241500 | CK Hutchison Holdings Ltd. <sup>(a)</sup> | 1988462 |
| 10000 | Galaxy Entertainment Group Ltd. | 53211 |
| 582279 | HKT Trust & HKT Ltd. <sup>(a)</sup> | 917881 |
| 319000 | SITC International Holdings Co. Ltd. | 1360760 |
| 92500 | Sun Hung Kai Properties Ltd. <sup>(a)</sup> | 1719634 |
| 73500 | Techtronic Industries Co. Ltd. <sup>(a)</sup> | 1190382 |
| 1151500 | WH Group Ltd. <sup>(a)</sup> | 1447604 |
|  | Total Hong Kong | 10922513 |
|  | **Indonesia — 0.0%** | **Indonesia — 0.0%** |
| 619100 | Astra International Tbk. PT | 246339 |
| 168600 | Indofood Sukses Makmur Tbk. PT | 64831 |
|  | Total Indonesia | 311170 |
|  | **Ireland — 0.0%** | **Ireland — 0.0%** |
| 3852 | Kingspan Group PLC | 381362 |
|  | **Israel — 0.8%** | **Israel — 0.8%** |
| 34619 | Bank Leumi Le-Israel BM | 838109 |
| 2629 | Check Point Software Technologies Ltd. \* | 399792 |
| 36865 | CyberArk Software Ltd. <sup>(e)</sup> | 1658925 |
| 65045 | ICL Group Ltd. | 308282 |
| 39317 | Israel Discount Bank Ltd. – Class A | 475853 |
| 18413 | Nice Ltd. Sponsored ADR\* <sup>(a)</sup> <sup>(d)</sup> | 2140511 |
| 2253 | Nice Ltd. \* | 258009 |
| 332 | Nova Ltd. \* | 145813 |
|  | Total Israel | 6225294 |
|  | **Italy — 1.7%** | **Italy — 1.7%** |
| 10207 | Buzzi SpA <sup>(a)</sup> | 588468 |
| 12544 | Leonardo SpA <sup>(a)</sup> | 845103 |
| 37974 | Poste Italiane SpA <sup>(a)</sup> | 1017322 |
| 8849 | Prysmian SpA <sup>(a)</sup> | 1065870 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Italy — continued** | **Italy — continued** |
| 16845 | Recordati Industria Chimica e Farmaceutica SpA | 962420 |
| 33819 | Snam SpA <sup>(a)</sup> | 262597 |
| 291183 | Stellantis NV <sup>(a)</sup> | 2362618 |
| 4313726 | Telecom Italia SpA \* <sup>(a)</sup> | 3236847 |
| 63831 | Tenaris SA <sup>(a)</sup> | 1744750 |
| 15972 | Tenaris SA ADR <sup>(a)</sup> (d) | 868877 |
| 5093 | UniCredit SpA <sup>(a)</sup> | 433655 |
| 12321 | Unipol Assicurazioni SpA <sup>(a)</sup> | 306528 |
|  | Total Italy | 13695055 |
|  | **Japan — 8.1%** | **Japan — 8.1%** |
| 11000 | AGC, Inc. <sup>(a)</sup> | 487861 |
| 28500 | Chubu Electric Power Co., Inc. <sup>(a)</sup> | 481336 |
| 15600 | Credit Saison Co. Ltd. <sup>(a)</sup> | 474997 |
| 18200 | Dai Nippon Printing Co. Ltd. <sup>(a)</sup> | 378236 |
| 64400 | Daito Trust Construction Co. Ltd. <sup>(a)</sup> | 1482988 |
| 29100 | Daiwa House Industry Co. Ltd. <sup>(a)</sup> | 1050116 |
| 19500 | Daiwabo Holdings Co. Ltd. <sup>(a)</sup> | 398967 |
| 14200 | Denka Co. Ltd. <sup>(a)</sup> | 334289 |
| 10400 | EXEO Group, Inc. | 199283 |
| 15700 | Fuji Corp. | 610404 |
| 16900 | Fuji Electric Co. Ltd. <sup>(a)</sup> | 1497927 |
| 24900 | FUJIFILM Holdings Corp. <sup>(a)</sup> | 512044 |
| 28100 | H.U. Group Holdings, Inc. | 604399 |
| 201600 | Honda Motor Co. Ltd. <sup>(a)</sup> | 2019516 |
| 500 | Hoya Corp. <sup>(a)</sup> | 90314 |
| 117700 | Inpex Corp. <sup>(a)</sup> | 2873376 |
| 24700 | Isuzu Motors Ltd. <sup>(a)</sup> | 460358 |
| 1800 | Japan Post Insurance Co. Ltd. <sup>(a)</sup> | 58754 |
| 12100 | Jeol Ltd. <sup>(a)</sup> | 531920 |
| 68300 | JX Advanced Metals Corp. <sup>(a)</sup> | 1812634 |
| 41800 | Kanematsu Corp. | 657102 |
| 51400 | Kawasaki Kisen Kaisha Ltd. <sup>(a)</sup> | 826346 |
| 85400 | Kirin Holdings Co. Ltd. <sup>(a)</sup> | 1482349 |
| 2800 | Komatsu Ltd. <sup>(a)</sup> | 134401 |
| 3200 | Kraftia Corp. | 216493 |
| 42500 | Kyowa Kirin Co. Ltd. | 789995 |
| 7400 | Macnica Holdings, Inc. <sup>(a)</sup> | 130784 |
| 3100 | Makita Corp. <sup>(a)</sup> | 119950 |
| 25200 | Maruichi Steel Tube Ltd. <sup>(a)</sup> | 262192 |
| 61800 | MatsukiyoCocokara & Co. <sup>(a)</sup> | 1022084 |
| 13000 | Maxell Ltd. | 190367 |
| 11000 | Minebea Mitsumi, Inc. <sup>(a)</sup> | 235836 |
| 56700 | Mitsubishi Electric Corp. <sup>(a)</sup> | 2158172 |
| 21200 | Mitsubishi UFJ Financial Group, Inc. <sup>(a)</sup> | 393557 |
| 7700 | Mitsui Fudosan Co. Ltd. <sup>(a)</sup> | 103795 |
| 46200 | Mitsui OSK Lines Ltd. <sup>(a)</sup> | 1714233 |
| 20600 | Mizuno Corp. | 535090 |
| 12100 | Morinaga & Co. Ltd. | 224003 |
| 2500 | Musashi Seimitsu Industry Co. Ltd. | 49871 |
| 9100 | NEC Corp. <sup>(a)</sup> | 252282 |
| 10600 | NH Foods Ltd. <sup>(a)</sup> | 485994 |
| 61900 | Nippon Yusen KK <sup>(a)</sup> | 2125417 |

---

See accompanying notes to the financial statements. 2

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Japan — continued** | **Japan — continued** |
| 820700 | Nissan Motor Co. Ltd. \* <sup>(a)</sup> | 2260988 |
| 55500 | Nitto Denko Corp. <sup>(a)</sup> | 1287070 |
| 250900 | NTT, Inc. <sup>(a)</sup> | 245464 |
| 5200 | Obic Co. Ltd. <sup>(a)</sup> | 140044 |
| 29400 | Osaka Gas Co. Ltd. <sup>(a)</sup> | 1227274 |
| 201926 | Panasonic Holdings Corp. <sup>(a)</sup> | 3256269 |
| 35100 | Penta-Ocean Construction Co. Ltd. | 477044 |
| 22900 | Recruit Holdings Co. Ltd. <sup>(a)</sup> | 996500 |
| 91800 | Renesas Electronics Corp. <sup>(a)</sup> | 1731238 |
| 7000 | Sankyu, Inc. <sup>(a)</sup> | 450259 |
| 17000 | SBI Holdings, Inc. <sup>(a)</sup> | 363608 |
| 26600 | Sega Sammy Holdings, Inc. <sup>(a)</sup> | 445168 |
| 137900 | Shionogi & Co. Ltd. | 3256134 |
| 10000 | Stanley Electric Co. Ltd. | 210877 |
| 130600 | Subaru Corp. <sup>(a)</sup> | 2449677 |
| 22000 | SUMCO Corp. <sup>(a)</sup> | 256008 |
| 26800 | Sumitomo Electric Industries Ltd. <sup>(a)</sup> | 1770922 |
| 26000 | Sumitomo Mitsui Financial Group, Inc. <sup>(a)</sup> | 981125 |
| 17000 | Sumitomo Mitsui Trust Group, Inc. <sup>(a)</sup> | 592771 |
| 91900 | Suzuki Motor Corp. <sup>(a)</sup> | 1389838 |
| 17000 | T&D Holdings, Inc. <sup>(a)</sup> | 457851 |
| 18002 | TDK Corp. <sup>(a)</sup> | 278102 |
| 9300 | THK Co. Ltd. | 334795 |
| 11600 | TIS, Inc. <sup>(a)</sup> | 239744 |
| 4500 | Tokyo Electron Ltd. <sup>(a)</sup> | 1266186 |
| 37900 | Tokyo Gas Co. Ltd. <sup>(a)</sup> | 1860482 |
| 13500 | TOPPAN Holdings, Inc. <sup>(a)</sup> | 462439 |
| 15600 | Tosei Corp. <sup>(a)</sup> | 164730 |
| 15100 | TOTO Ltd. | 588455 |
| 82500 | Toyota Tsusho Corp. <sup>(a)</sup> | 3687800 |
| 17000 | Unicharm Corp. <sup>(a)</sup> | 116326 |
| 35700 | Yamaha Corp. <sup>(a)</sup> | 276664 |
| 78900 | Yamaha Motor Co. Ltd. <sup>(a)</sup> | 627410 |
| 18500 | Yokogawa Electric Corp. <sup>(a)</sup> | 737909 |
| 14800 | Zenkoku Hosho Co. Ltd. <sup>(a)</sup> | 304770 |
|  | Total Japan | 65661973 |
|  | **Mexico — 0.1%** | **Mexico — 0.1%** |
| 65583 | Cemex SAB de CV Sponsored ADR | 820443 |
|  | **Netherlands — 4.0%** | **Netherlands — 4.0%** |
| 32749 | ABN AMRO Bank NV <sup>(a)</sup> | 1096854 |
| 28678 | Aegon Ltd. <sup>(a)</sup> | 218249 |
| 17821 | Akzo Nobel NV <sup>(a)</sup> | 1255436 |
| 974 | ASM International NV <sup>(a)</sup> | 821459 |
| 768 | ASML Holding NV <sup>(a)</sup> | 1116986 |
| 17491 | DSM-Firmenich AG <sup>(a)</sup> | 1249202 |
| 32701 | EXOR NV <sup>(a)</sup> | 2869811 |
| 15702 | ING Groep NV <sup>(a)</sup> | 453049 |
| 459686 | JDE Peet's NV | 17233397 |
| 19465 | Koninklijke Ahold Delhaize NV <sup>(a)</sup> | 961839 |
| 123484 | Koninklijke KPN NV <sup>(a)</sup> | 701959 |
| 57358 | Magnum Ice Cream Co. NV \* <sup>(a)</sup> (c) | 910614 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Netherlands — continued** | **Netherlands — continued** |
| 9954 | Magnum Ice Cream Co. NV \* <sup>(c)</sup> | 157621 |
| 21235 | NN Group NV <sup>(a)</sup> | 1741643 |
| 7915 | Randstad NV <sup>(a)</sup> | 260973 |
| 15005 | Wolters Kluwer NV <sup>(a)</sup> | 1212187 |
|  | Total Netherlands | 32261279 |
|  | **New Zealand — 0.0%** | **New Zealand — 0.0%** |
| 65902 | Meridian Energy Ltd. | 223431 |
|  | **Norway — 0.5%** | **Norway — 0.5%** |
| 81436 | Equinor ASA <sup>(a)</sup> | 2440161 |
| 148365 | Norsk Hydro ASA <sup>(a)</sup> | 1376594 |
| 22163 | Orkla ASA <sup>(a)</sup> | 303413 |
| 2721 | Yara International ASA | 137743 |
|  | Total Norway | 4257911 |
|  | **Poland — 0.4%** | **Poland — 0.4%** |
| 80643 | ORLEN SA | 2597445 |
| 143893 | PGE Polska Grupa Energetyczna SA \* | 454435 |
|  | Total Poland | 3051880 |
|  | **Portugal — 0.2%** | **Portugal — 0.2%** |
| 279459 | Banco Comercial Portugues SA – Class R | 293528 |
| 57875 | Galp Energia SGPS SA | 1255824 |
| 5720 | Jeronimo Martins SGPS SA | 150327 |
|  | Total Portugal | 1699679 |
|  | **Singapore — 0.7%** | **Singapore — 0.7%** |
| 278400 | CapitaLand Integrated Commercial Trust – (REIT) | 538617 |
| 86600 | Singapore Exchange Ltd. | 1243630 |
| 16400 | Wilmar International Ltd. | 45593 |
| 1130700 | Yangzijiang Shipbuilding Holdings Ltd. | 3864699 |
|  | Total Singapore | 5692539 |
|  | **South Korea — 2.5%** | **South Korea — 2.5%** |
| 12475 | Doosan Bobcat, Inc. | 562532 |
| 12666 | Hankook Tire & Technology Co. Ltd. | 641561 |
| 38235 | HMM Co. Ltd. | 566721 |
| 2995 | Hyundai Glovis Co. Ltd. | 603044 |
| 8786 | Hyundai Mobis Co. Ltd. | 3158149 |
| 3085 | Hyundai Motor Co. | 1446323 |
| 24419 | Kia Corp. | 3486730 |
| 10353 | LG Corp. | 774705 |
| 31160 | LG Electronics, Inc. | 3152308 |
| 1179 | POSCO Holdings, Inc. Sponsored ADR <sup>(a)</sup> | 82047 |
| 1150 | POSCO Holdings, Inc. | 330050 |
| 17340 | Samsung Electronics Co. Ltd. | 2595300 |
| 4901 | Shinhan Financial Group Co. Ltd. ADR <sup>(a)</sup> | 327436 |
| 3769 | Shinhan Financial Group Co. Ltd. | 253490 |
| 4286 | SK Square Co. Ltd. \* | 1923633 |
|  | Total South Korea | 19904029 |

---

3 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Spain — 1.4%** | **Spain — 1.4%** |
| 7107 | Aena SME SA <sup>(a)</sup> | 224000 |
| 33900 | Amadeus IT Group SA <sup>(a)</sup> | 2096781 |
| 82668 | Banco Bilbao Vizcaya Argentaria SA <sup>(a)</sup> | 1914723 |
| 316710 | Banco Santander SA <sup>(a)</sup> | 3994367 |
| 256389 | Mapfre SA <sup>(a)</sup> | 1191718 |
| 80993 | Repsol SA <sup>(a)</sup> | 1832918 |
|  | Total Spain | 11254507 |
|  | **Sweden — 1.4%** | **Sweden — 1.4%** |
| 67051 | Atlas Copco AB – B Shares <sup>(a)</sup> | 1256981 |
| 1054 | Atlas Copco AB – Class A <sup>(a)</sup> | 22676 |
| 18819 | Boliden AB \* <sup>(a)</sup> | 1491739 |
| 55902 | Investor AB – B Shares <sup>(a)</sup> | 2331759 |
| 14483 | Sandvik AB <sup>(a)</sup> | 638283 |
| 4126 | Securitas AB – B Shares <sup>(a)</sup> | 73425 |
| 21539 | Skanska AB – B Shares <sup>(a)</sup> | 660318 |
| 58360 | SKF AB – B Shares <sup>(a)</sup> | 1668203 |
| 14403 | Svenska Cellulosa AB SCA – Class B <sup>(a)</sup> | 195533 |
| 46556 | Tele2 AB – Class B <sup>(a)</sup> | 982525 |
| 161756 | Telefonaktiebolaget LM Ericsson – B Shares <sup>(a)</sup> | 1869896 |
|  | Total Sweden | 11191338 |
|  | **Switzerland — 1.2%** | **Switzerland — 1.2%** |
| 15738 | ABB Ltd. (Registered) <sup>(a)</sup> | 1465778 |
| 6330 | BKW AG <sup>(a)</sup> | 1243838 |
| 17417 | Logitech International SA (Registered) <sup>(a)</sup> | 1597892 |
| 22739 | Nestle SA (Registered) <sup>(a)</sup> | 2484472 |
| 1672 | Novartis AG (Registered) <sup>(a)</sup> | 281133 |
| 59 | Roche Holding AG <sup>(a)</sup> | 28078 |
| 280 | Roche Holding AG – Class BR | 138785 |
| 2761 | Schindler Holding AG (Registered) <sup>(a)</sup> | 1006513 |
| 26030 | UBS Group AG (Registered) <sup>(a)</sup> | 1081542 |
| 246 | VAT Group AG <sup>(a)</sup> | 173500 |
|  | Total Switzerland | 9501531 |
|  | **Taiwan — 1.4%** | **Taiwan — 1.4%** |
| 39000 | Asustek Computer, Inc. | 659025 |
| 219000 | Compal Electronics, Inc. | 219704 |
| 356000 | Evergreen Marine Corp. Taiwan Ltd. | 2234164 |
| 25000 | Pegatron Corp. | 58514 |
| 8000 | Realtek Semiconductor Corp. | 122440 |
| 127251 | Taiwan Semiconductor Manufacturing Co. Ltd. | 7940229 |
| 78000 | Wan Hai Lines Ltd. | 190643 |
| 54000 | Yang Ming Marine Transport Corp. | 98906 |
|  | Total Taiwan | 11523625 |
|  | **Thailand — 0.7%** | **Thailand — 0.7%** |
| 308200 | Kasikornbank PCL NVDR | 1992329 |
| 2351500 | Krung Thai Bank PCL NVDR | 2589442 |
| 255800 | PTT Exploration & Production PCL NVDR | 1131456 |
| 98600 | PTT PCL NVDR | 117348 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Thailand — continued** | **Thailand — continued** |
| 48300 | SCB X PCL NVDR | 230616 |
|  | Total Thailand | 6061191 |
|  | **Turkey — 0.1%** | **Turkey — 0.1%** |
| 129508 | Turk Hava Yollari AO | 907777 |
|  | **United Kingdom — 4.6%** | **United Kingdom — 4.6%** |
| 76913 | 3i Group PLC <sup>(a)</sup> | 3436156 |
| 897114 | BT Group PLC <sup>(a)</sup> | 2614727 |
| 460373 | Centrica PLC <sup>(a)</sup> | 1234603 |
| 18441 | Coca-Cola HBC AG – Class DI <sup>(a)</sup> | 1197030 |
| 119412 | Compass Group PLC <sup>(a)</sup> | 3656810 |
| 72599 | Diageo PLC <sup>(a)</sup> | 1628144 |
| 22779 | Experian PLC <sup>(a)</sup> | 857383 |
| 12791 | Fresnillo PLC | 729845 |
| 41910 | GSK PLC Sponsored ADR | 2478138 |
| 30461 | GSK PLC | 905096 |
| 564805 | Haleon PLC | 3100180 |
| 59342 | HSBC Holdings PLC <sup>(a)</sup> | 1109162 |
| 87849 | JD Sports Fashion PLC <sup>(a)</sup> | 96777 |
| 392253 | Kingfisher PLC <sup>(a)</sup> | 1973044 |
| 5884 | Next PLC <sup>(a)</sup> | 1072297 |
| 73801 | Pearson PLC <sup>(a)</sup> | 949768 |
| 21600 | Rentokil Initial PLC ADR <sup>(a)</sup> (b) | 675648 |
| 51866 | Sage Group PLC <sup>(a)</sup> | 570720 |
| 7311 | Shell PLC ADR <sup>(a)</sup> | 610542 |
| 22725 | Smiths Group PLC <sup>(a)</sup> | 840152 |
| 21735 | Standard Chartered PLC <sup>(a)</sup> | 536146 |
| 44240 | Unilever PLC <sup>(a)</sup> | 3250847 |
| 1068107 | Vodafone Group PLC <sup>(a)</sup> | 1644703 |
| 148695 | Vodafone Group PLC Sponsored ADR <sup>(a)</sup> | 2283955 |
|  | Total United Kingdom | 37451873 |
|  | **United States — 86.8%** | **United States — 86.8%** |
| 24492 | AAON, Inc. <sup>(d)</sup> | 2478590 |
| 34015 | Abbott Laboratories <sup>(d)</sup> | 3957645 |
| 16174 | Accenture PLC – Class A <sup>(a)</sup> (d) | 3375837 |
| 13723 | Acushnet Holdings Corp. <sup>(d)</sup> | 1404275 |
| 28666 | ACV Auctions, Inc. – Class A \* <sup>(d)</sup> | 139317 |
| 12312 | Adobe, Inc. \* <sup>(a)</sup> | 3230792 |
| 240413 | Air Lease Corp. <sup>(d)</sup> | 15588379 |
| 1600 | Air Products & Chemicals, Inc. <sup>(b)</sup> | 441072 |
| 14562 | Allegion PLC <sup>(a)</sup> | 2346666 |
| 10135 | Allstate Corp. <sup>(a)</sup> (d) | 2174160 |
| 28247 | Alphabet, Inc. – Class A <sup>(a)</sup> (d) | 8806285 |
| 1501 | Alphabet, Inc. – Class C <sup>(a)</sup> | 467456 |
| 29471 | Amazon.com, Inc. \* <sup>(d)</sup> | 6188910 |
| 8018 | American Electric Power Co., Inc. <sup>(a)</sup> <sup>(d)</sup> | 1072969 |
| 8814 | Amphenol Corp. – Class A <sup>(a)</sup> | 1287373 |
| 7300 | Annaly Capital Management, Inc. – (REIT) <sup>(a)</sup> | 169652 |
| 31077 | Apple, Inc. <sup>(a)</sup> | 8209922 |
| 1887 | Applied Materials, Inc. <sup>(d)</sup> | 702530 |

---

See accompanying notes to the financial statements. 4

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** | **United States — continued** |
| 16606 | AptarGroup, Inc. <sup>(a)</sup> <sup>(d)</sup> | 2386448 |
| 14387 | Aptiv PLC \* <sup>(a)</sup> | 1058020 |
| 60203 | Aramark <sup>(a)</sup> <sup>(d)</sup> | 2519496 |
| 7437 | Arch Capital Group Ltd. \* <sup>(a)</sup> <sup>(d)</sup> | 744816 |
| 9032 | Atrium Therapeutics, Inc. | 133222 |
| 51000 | Avantor, Inc. \* <sup>(b)</sup> <sup>(d)</sup> | 461550 |
| 71314 | Axalta Coating Systems Ltd. \* | 2382601 |
| 20196 | Axcelis Technologies, Inc. \* <sup>(a)</sup> | 1668392 |
| 11337 | Badger Meter, Inc. <sup>(d)</sup> | 1728099 |
| 15137 | Balchem Corp. <sup>(a)</sup> | 2746306 |
| 40652 | Bank of America Corp. <sup>(a)</sup> | 2025689 |
| 4572 | Bank of New York Mellon Corp. <sup>(a)</sup> | 544525 |
| 4000 | Becton Dickinson & Co. <sup>(a)</sup> <sup>(b)</sup> | 705920 |
| 46794 | Best Buy Co., Inc. <sup>(d)</sup> | 2899824 |
| 2882 | Block, Inc. – Class A \* <sup>(a)</sup> | 183583 |
| 21812 | Booz Allen Hamilton Holding Corp. <sup>(d)</sup> | 1719440 |
| 15744 | Boston Scientific Corp. \* <sup>(a)</sup> | 1209926 |
| 38946 | Bristol-Myers Squibb Co. <sup>(d)</sup> | 2429062 |
| 11236 | Broadcom, Inc. <sup>(a)</sup> | 3590464 |
| 11413 | Brown-Forman Corp. – Class B <sup>(d)</sup> | 329379 |
| 20119 | Bruker Corp. <sup>(d)</sup> | 806973 |
| 17222 | Builders FirstSource, Inc. \* <sup>(d)</sup> | 1796082 |
| 1858 | Bunge Global SA <sup>(d)</sup> | 224168 |
| 23675 | Cactus, Inc. – Class A <sup>(d)</sup> | 1278450 |
| 14361 | Capital One Financial Corp. <sup>(a)</sup> <sup>(d)</sup> | 2809586 |
| 50 | Cboe Global Markets, Inc. <sup>(d)</sup> | 14986 |
| 6968 | CBRE Group, Inc. – Class A \* <sup>(a)</sup> | 1028895 |
| 16741 | CF Industries Holdings, Inc. <sup>(a)</sup> <sup>(d)</sup> | 1666399 |
| 6585 | CH Robinson Worldwide, Inc. <sup>(d)</sup> | 1219871 |
| 7500 | Charles Schwab Corp. <sup>(d)</sup> | 714000 |
| 80698 | Chart Industries, Inc. \* <sup>(a)</sup> | 16728695 |
| 4400 | Charter Communications, Inc. – Class A \* <sup>(a) (b)</sup> | 1032372 |
| 3612 | Chubb Ltd. <sup>(a)</sup> | 1231186 |
| 1634 | Ciena Corp. \* <sup>(a)</sup> | 569776 |
| 16303 | Cigna Group <sup>(a)</sup> | 4724935 |
| 15499 | Cirrus Logic, Inc. \* <sup>(a)</sup> <sup>(d)</sup> | 2187219 |
| 4544 | Cisco Systems, Inc. <sup>(d)</sup> | 361066 |
| 29541 | Citigroup, Inc. <sup>(d)</sup> | 3255123 |
| 3875 | Citizens Financial Group, Inc. <sup>(a)</sup> | 233236 |
| 8099 | Clean Harbors, Inc. \* <sup>(d)</sup> | 2374627 |
| 136607 | CNH Industrial NV <sup>(d)</sup> | 1680266 |
| 31440 | Coca-Cola Co. <sup>(d)</sup> | 2564246 |
| 7180 | Coca-Cola Consolidated, Inc. <sup>(a)</sup> | 1453232 |
| 15400 | Cognex Corp. <sup>(b)</sup> <sup>(d)</sup> | 837760 |
| 60777 | Cognizant Technology Solutions Corp. – <br>Class A <sup>(a) (b) (d)</sup> | 3915862 |
| 20787 | Cohen & Steers, Inc. <sup>(a)</sup> <sup>(d)</sup> | 1390027 |
| 137658 | Comcast Corp. – Class A <sup>(a)</sup> <sup>(b) (d)</sup> | 4261892 |
| 1080 | Comfort Systems USA, Inc. <sup>(a)</sup> | 1543720 |
| 307734 | Confluent, Inc. – Class A \* <sup>(a)</sup> <sup>(d)</sup> | 9438202 |
| 7393 | Consolidated Edison, Inc. <sup>(d)</sup> | 831860 |
| 15849 | Constellation Brands, Inc. – Class A <sup>(d)</sup> | 2501923 |
| 17500 | Cooper Cos., Inc. \* <sup>(b)</sup> | 1464225 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** | **United States — continued** |
| 3572 | Corebridge Financial, Inc. <sup>(a)</sup> | 92300 |
| 12681 | Corteva, Inc. <sup>(a)</sup> <sup>(b) (d)</sup> | 1016002 |
| 4871 | CorVel Corp. \* | 251246 |
| 2235 | Cummins, Inc. <sup>(d)</sup> | 1304949 |
| 50778 | CVS Health Corp. <sup>(a)</sup> | 4057162 |
| 2200 | Darden Restaurants, Inc. <sup>(d)</sup> | 470470 |
| 10857 | Deckers Outdoor Corp. \* <sup>(a)</sup> | 1273200 |
| 15112 | Dell Technologies, Inc. – Class C <sup>(d)</sup> | 2237785 |
| 25482 | Delta Air Lines, Inc. <sup>(a)</sup> <sup>(d)</sup> | 1674167 |
| 41356 | Devon Energy Corp. <sup>(a)</sup> <sup>(d)</sup> | 1800227 |
| 5204 | Dick's Sporting Goods, Inc. <sup>(d)</sup> | 1059691 |
| 28679 | Dolby Laboratories, Inc. – Class A <sup>(d)</sup> | 1909161 |
| 3930 | Dollar General Corp. <sup>(a)</sup> | 614023 |
| 5920 | Dover Corp. <sup>(a)</sup> <sup>(d)</sup> | 1334960 |
| 13340 | DR Horton, Inc. <sup>(d)</sup> | 2139603 |
| 8891 | Duke Energy Corp. <sup>(d)</sup> | 1163387 |
| 39148 | eBay, Inc. <sup>(d)</sup> | 3556987 |
| 12797 | Edison International <sup>(a)</sup> <sup>(d)</sup> | 956448 |
| 13346 | Edwards Lifesciences Corp. \* <sup>(a)</sup> <sup>(d)</sup> | 1154029 |
| 74777 | Electronic Arts, Inc. <sup>(a)</sup> | 14998023 |
| 15829 | Elevance Health, Inc. <sup>(a)</sup> <sup>(d)</sup> | 5065280 |
| 2861 | Eli Lilly & Co. <sup>(d)</sup> | 3009743 |
| 1748 | EMCOR Group, Inc. <sup>(a)</sup> | 1266636 |
| 12986 | Entegris, Inc. <sup>(d)</sup> | 1719996 |
| 27681 | EOG Resources, Inc. <sup>(a)</sup> <sup>(d)</sup> | 3434658 |
| 4849 | EPAM Systems, Inc. \* <sup>(d)</sup> | 683709 |
| 305984 | Essential Utilities, Inc. <sup>(a)</sup> | 12230180 |
| 4839 | Everest Group Ltd. <sup>(a)</sup> | 1623436 |
| 11875 | Evergy, Inc. <sup>(d)</sup> | 993463 |
| 159782 | Exact Sciences Corp. \* | 16518263 |
| 25217 | Exelon Corp. <sup>(d)</sup> | 1247485 |
| 3584 | Expedia Group, Inc. <sup>(a)</sup> | 773033 |
| 2960 | Expeditors International of Washington, Inc. <sup>(d)</sup> | 429289 |
| 2947 | Fabrinet \* <sup>(d)</sup> | 1607972 |
| 3852 | FedEx Corp. <sup>(a)</sup> | 1490724 |
| 1608 | Fiserv, Inc. \* <sup>(a)</sup> | 100162 |
| 32700 | Fluor Corp. \* <sup>(b)</sup> <sup>(d)</sup> | 1710537 |
| 203241 | Ford Motor Co. <sup>(a)</sup> <sup>(d)</sup> | 2863666 |
| 18537 | Fox Corp. – Class A <sup>(d)</sup> | 1044375 |
| 3402 | Fox Corp. – Class B <sup>(a)</sup> | 175985 |
| 12276 | FTI Consulting, Inc. \* <sup>(a)</sup> <sup>(d)</sup> | 2018420 |
| 25711 | Gaming & Leisure Properties, Inc. – (REIT) <sup>(a) (d)</sup> | 1257525 |
| 40895 | GE HealthCare Technologies, Inc. <sup>(a)</sup> (d) | 3446222 |
| 31099 | General Mills, Inc. <sup>(d)</sup> | 1406608 |
| 35366 | General Motors Co. <sup>(a)</sup> | 2783658 |
| 37700 | Gitlab, Inc. – Class A \* <sup>(b)</sup> <sup>(d)</sup> | 991510 |
| 4727 | Global Payments, Inc. <sup>(d)</sup> | 361426 |
| 20800 | GlobalFoundries, Inc. \* <sup>(a)</sup> <sup>(b) (d)</sup> | 989040 |
| 28865 | Globus Medical, Inc. – Class A \* <sup>(a)</sup> | 2755453 |
| 1279 | Goldman Sachs Group, Inc. <sup>(a)</sup> | 1099390 |
| 34328 | Halliburton Co. <sup>(d)</sup> | 1235808 |
| 12678 | Hartford Insurance Group, Inc. <sup>(d)</sup> | 1785443 |

---

5 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** | **United States — continued** |
| 97827 | Hewlett Packard Enterprise Co. <sup>(a)</sup> <sup>(d)</sup> | 2100346 |
| 8594 | Hilton Worldwide Holdings, Inc. <sup>(d)</sup> | 2679437 |
| 314738 | Hologic, Inc. \* <sup>(a)</sup> | 23718656 |
| 7251 | Houlihan Lokey, Inc. <sup>(a)</sup> (d) | 1187496 |
| 168159 | HP, Inc. <sup>(a)</sup> (d) | 3193339 |
| 2213 | Humana, Inc. <sup>(d)</sup> | 421665 |
| 6724 | Huntington Bancshares, Inc. <sup>(d)</sup> | 112963 |
| 1863 | IDEXX Laboratories, Inc. \* <sup>(a)</sup> | 1223488 |
| 36714 | Incyte Corp. \* <sup>(d)</sup> | 3718027 |
| 1236 | Installed Building Products, Inc. <sup>(d)</sup> | 405111 |
| 21206 | Intel Corp. \* <sup>(a)</sup> | 967206 |
| 4287 | Interactive Brokers Group, Inc. – Class A (a) | 305192 |
| 757 | International Business Machines Corp. <sup>(d)</sup> | 181839 |
| 28500 | International Paper Co. <sup>(a)</sup> (b) | 1241175 |
| 7295 | Intuitive Surgical, Inc. \* <sup>(a)</sup> (d) | 3673105 |
| 19928 | Jack Henry & Associates, Inc. <sup>(a)</sup> <sup>(d)</sup> | 3237503 |
| 10904 | Jacobs Solutions, Inc. <sup>(a)</sup> <sup>(b) (d)</sup> | 1503225 |
| 20988 | Janus Henderson Group PLC <sup>(a)</sup> | 1093475 |
| 27163 | Johnson & Johnson <sup>(a)</sup> (d) | 6748104 |
| 5571 | Kadant, Inc. <sup>(d)</sup> | 1889516 |
| 784174 | Kenvue, Inc. <sup>(a)</sup> | 14993407 |
| 39500 | Keurig Dr. Pepper, Inc. <sup>(a)</sup> (b) | 1196060 |
| 22671 | Kimberly-Clark Corp. <sup>(a)</sup> <sup>(b)</sup> | 2526456 |
| 55007 | Kimco Realty Corp. – (REIT) <sup>(a)</sup> | 1295415 |
| 1585 | KLA Corp. <sup>(a)</sup> | 2416412 |
| 132471 | Kraft Heinz Co. <sup>(a)</sup> <sup>(b)</sup> | 3260111 |
| 11401 | Kroger Co. <sup>(a)</sup> (d) | 778004 |
| 31879 | Lam Research Corp. <sup>(a)</sup> | 7456179 |
| 19400 | Lamb Weston Holdings, Inc. <sup>(b)</sup> <sup>(d)</sup> | 934886 |
| 4281 | Landstar System, Inc. <sup>(a)</sup> | 697589 |
| 20775 | Las Vegas Sands Corp. <sup>(a)</sup> | 1178358 |
| 6222 | Leidos Holdings, Inc. <sup>(a)</sup> <sup>(d)</sup> | 1089472 |
| 18234 | Lennar Corp. – Class A <sup>(a)</sup> <sup>(d)</sup> | 2085240 |
| 223025 | Liberty Broadband Corp. – Class C \* <sup>(a)</sup> | 12179395 |
| 33100 | LKQ Corp. <sup>(b)</sup> <sup>(d)</sup> | 1095941 |
| 2619 | LPL Financial Holdings, Inc. <sup>(d)</sup> | 786695 |
| 9515 | Lululemon Athletica, Inc. \* <sup>(d)</sup> | 1761893 |
| 44003 | LyondellBasell Industries NV – Class A <sup>(a) (d)</sup> | 2531053 |
| 1037 | M&T Bank Corp. <sup>(d)</sup> | 225008 |
| 19539 | Malibu Boats, Inc. – Class A \* <sup>(d)</sup> | 567803 |
| 12510 | Marzetti Co. <sup>(a)</sup> (d) | 2055893 |
| 3534 | Masco Corp. <sup>(a)</sup> | 253105 |
| 54271 | Masimo Corp. \* | 9516420 |
| 2518 | Mastercard, Inc. – Class A <sup>(a)</sup> | 1302335 |
| 56068 | Merck & Co., Inc. <sup>(a)</sup> <sup>(d)</sup> | 6942340 |
| 15195 | Meta Platforms, Inc. – Class A <sup>(a)</sup> (b) (d) | 9849095 |
| 24185 | Microsoft Corp. <sup>(a)</sup> <sup>(d)</sup> | 9498417 |
| 1074 | Monolithic Power Systems, Inc. <sup>(d)</sup> | 1227303 |
| 15152 | Monster Beverage Corp. \* <sup>(a)</sup> (d) | 1292466 |
| 6488 | Morgan Stanley <sup>(a)</sup> | 1080317 |
| 1560 | NetApp, Inc. <sup>(d)</sup> | 154487 |
| 31865 | Netflix, Inc. \* <sup>(a)</sup> <sup>(b) (d)</sup> | 3066688 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** | **United States — continued** |
| 8160 | Neurocrine Biosciences, Inc. \* <sup>(d)</sup> | 1079160 |
| 35403 | New York Times Co. – Class A <sup>(a)</sup> | 2824805 |
| 2593 | Nordson Corp. <sup>(a)</sup> | 760890 |
| 23542 | Norfolk Southern Corp. <sup>(a)</sup> | 7409609 |
| 1681 | Northrop Grumman Corp. <sup>(d)</sup> | 1217683 |
| 276351 | Northwestern Energy Group, Inc. <sup>(a)</sup> <sup>(d)</sup> | 19333516 |
| 19873 | Nucor Corp. <sup>(a)</sup> (d) | 3515136 |
| 20416 | Ollie's Bargain Outlet Holdings, Inc. \* <sup>(a)</sup> | 2186554 |
| 30106 | Omnicom Group, Inc. <sup>(d)</sup> | 2567741 |
| 36388 | ON Semiconductor Corp. \* <sup>(d)</sup> | 2419074 |
| 403967 | Onestream, Inc. \* <sup>(a)</sup> <sup>(d)</sup> | 9529582 |
| 694 | PACCAR, Inc. <sup>(a)</sup> | 87506 |
| 9168 | Paycom Software, Inc. <sup>(d)</sup> | 1153609 |
| 70427 | PayPal Holdings, Inc. <sup>(a)</sup> | 3254432 |
| 93500 | Penn Entertainment, Inc. \* <sup>(a)</sup> <sup>(b) (d)</sup> | 1462340 |
| 10592 | Pentair PLC <sup>(a)</sup> | 1050620 |
| 81868 | Pfizer, Inc. <sup>(a)</sup> | 2263650 |
| 168589 | Pinterest, Inc. – Class A \* <sup>(d)</sup> | 2887930 |
| 3169 | PPG Industries, Inc. <sup>(d)</sup> | 390643 |
| 2649 | Preformed Line Products Co. <sup>(d)</sup> | 671919 |
| 18371 | PriceSmart, Inc. <sup>(a)</sup> (d) | 2840524 |
| 13092 | Principal Financial Group, Inc. <sup>(a)</sup> | 1249239 |
| 5439 | Progressive Corp. <sup>(d)</sup> | 1162097 |
| 16222 | PulteGroup, Inc. <sup>(a)</sup> <sup>(d)</sup> | 2225658 |
| 13507 | Qnity Electronics, Inc. <sup>(d)</sup> | 1712147 |
| 18319 | QUALCOMM, Inc. <sup>(a)</sup> <sup>(d)</sup> | 2607893 |
| 7476 | Quest Diagnostics, Inc. <sup>(d)</sup> | 1584239 |
| 3928 | Raymond James Financial, Inc. <sup>(d)</sup> | 601298 |
| 4287 | RBC Bearings, Inc. \* <sup>(a)</sup> <sup>(d)</sup> | 2468969 |
| 4451 | Regeneron Pharmaceuticals, Inc. | 3479213 |
| 44887 | Regions Financial Corp. <sup>(d)</sup> | 1249205 |
| 6259 | Ross Stores, Inc. <sup>(a)</sup> | 1287101 |
| 18603 | Salesforce, Inc. <sup>(a)</sup> <sup>(d)</sup> | 3623678 |
| 35053 | Silicon Laboratories, Inc. \* <sup>(a)</sup> <sup>(d)</sup> | 7169390 |
| 43248 | Solventum Corp. \* <sup>(b)</sup> <sup>(d)</sup> | 3209002 |
| 17609 | State Street Corp. <sup>(a)</sup> <sup>(d)</sup> | 2264870 |
| 14450 | Steel Dynamics, Inc. <sup>(d)</sup> | 2790729 |
| 25166 | StepStone Group, Inc. – Class A <sup>(a)</sup> | 1085661 |
| 19741 | Super Micro Computer, Inc. \* <sup>(d)</sup> | 639411 |
| 53294 | Synchrony Financial <sup>(d)</sup> | 3683148 |
| 34937 | T. Rowe Price Group, Inc. <sup>(d)</sup> | 3306088 |
| 43077 | Target Corp. <sup>(a)</sup> (b) (d) | 4901732 |
| 4856 | TE Connectivity PLC <sup>(a)</sup> <sup>(d)</sup> | 1117608 |
| 800 | Teradyne, Inc. <sup>(a)</sup> (d) | 256024 |
| 25100 | Terex Corp. <sup>(b)</sup> (d) | 1726629 |
| 19577 | Texas Instruments, Inc. <sup>(d)</sup> | 4152477 |
| 34622 | Textron, Inc. <sup>(a)</sup> (d) | 3415460 |
| 9839 | Thermo Fisher Scientific, Inc. <sup>(d)</sup> | 5127201 |
| 15607 | TJX Cos., Inc. <sup>(a)</sup> (d) | 2523028 |
| 10115 | Tradeweb Markets, Inc. – Class A <sup>(a)</sup> | 1246724 |
| 670 | Travelers Cos., Inc. <sup>(a)</sup> <sup>(d)</sup> | 206789 |
| 40660 | Trex Co., Inc. \* | 1684137 |
| 18153 | Trimble, Inc. \* <sup>(a)</sup> <sup>(d)</sup> | 1213891 |
| 307877 | TXNM Energy, Inc. <sup>(a)</sup> | 18170901 |

---

See accompanying notes to the financial statements. 6

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** | **United States — continued** |
| 125598 | U.S. Bancorp <sup>(a)</sup> | 6865187 |
| 29016 | Uber Technologies, Inc. \* <sup>(d)</sup> | 2188387 |
| 1879 | Ulta Beauty, Inc. \* <sup>(a)</sup> | 1286720 |
| 27056 | United Airlines Holdings, Inc. \* <sup>(a) (d)</sup> | 2876053 |
| 23536 | United Parcel Service, Inc. – Class B <sup>(a)</sup> <sup>(d)</sup> | 2729235 |
| 364 | United Rentals, Inc. <sup>(d)</sup> | 305760 |
| 2474 | United Therapeutics Corp. \* <sup>(d)</sup> | 1246649 |
| 14503 | UnitedHealth Group, Inc. <sup>(a)</sup> <sup>(d)</sup> | 4253295 |
| 10921 | Universal Display Corp. <sup>(d)</sup> | 1165161 |
| 10490 | Universal Health Services, Inc. – Class B <sup>(d)</sup> | 2161989 |
| 6387 | Valero Energy Corp. <sup>(a)</sup> | 1307036 |
| 4505 | VeriSign, Inc. <sup>(a)</sup> <sup>(d)</sup> | 1026870 |
| 74080 | Verizon Communications, Inc. <sup>(a)</sup> <sup>(d)</sup> | 3714371 |
| 2930 | Vertiv Holdings Co. – Class A <sup>(a)</sup> | 746828 |
| 41752 | VICI Properties, Inc. – (REIT) <sup>(a) (d)</sup> | 1261328 |
| 10427 | Visa, Inc. – Class A <sup>(a)</sup> | 3338100 |
| 1047 | Walt Disney Co. <sup>(a)</sup> | 111024 |
| 874242 | Warner Bros Discovery, Inc. \* <sup>(a) (b)</sup> | 24627397 |
| 542 | Waters Corp. \* | 173089 |
| 227628 | Webster Financial Corp. <sup>(a)</sup> | 16418808 |
| 10597 | Wells Fargo & Co. <sup>(a)</sup> <sup>(d)</sup> | 863126 |
| 5225 | Williams-Sonoma, Inc. <sup>(d)</sup> | 1074521 |
| 3901 | Woodward, Inc. <sup>(a)</sup> <sup>(d)</sup> | 1508751 |
| 1080 | WW Grainger, Inc. <sup>(a)</sup> <sup>(d)</sup> | 1236308 |
| 14198 | XPEL, Inc. \* <sup>(d)</sup> | 605119 |
| 2943 | Yum! Brands, Inc. <sup>(d)</sup> | 494895 |
| 981 | Zebra Technologies Corp. – Class A \* <sup>(a)</sup> <sup>(d)</sup> | 219705 |
| 7223 | Zoetis, Inc. | 946935 |
| 38427 | Zoom Communications, Inc. \* <sup>(a)</sup> | 2841292 |
|  | Total United States | 705369977 |
|  | TOTAL COMMON STOCKS<br>(COST $983,463,092) | 1100796800 |
|  | **PREFERRED STOCKS <sup>(f)</sup> —0.6%** | **PREFERRED STOCKS <sup>(f)</sup> —0.6%** |
|  | **Brazil — 0.0%** | **Brazil — 0.0%** |
| 122200 | Cia Energetica de Minas Gerais | 287712 |
|  | **Germany — 0.5%** | **Germany — 0.5%** |
| 18959 | Bayerische Motoren Werke AG | 1978557 |
| 18063 | Volkswagen AG <sup>(a)</sup> | 2147703 |
|  | Total Germany | 4126260 |
|  | **South Korea — 0.1%** | **South Korea — 0.1%** |
| 492 | Hyundai Motor Co. <sup>(c)</sup> | 110640 |
| 542 | Hyundai Motor Co. <sup>(c)</sup> | 121190 |
| 2532 | Samsung Electronics Co. Ltd. | 254313 |
|  | Total South Korea | 486143 |
|  | TOTAL PREFERRED STOCKS<br>(COST $3,983,377) | 4900115 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares/** <br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†**  | **Description** | **Value ($)** |
|  |  | **RIGHTS/WARRANTS — 0.1%** | **RIGHTS/WARRANTS — 0.1%** |
|  |  | **Canada — 0.0%** | **Canada — 0.0%** |
|  | 176256 | Resolute Forest Products, Inc. \* <sup>(e)</sup> | 264384 |
|  |  | **United States — 0.1%** | **United States — 0.1%** |
|  | 13635 | ABIOMED, Inc. \* <sup>(e)</sup> | 21816 |
|  | 117606 | Akero Therapeutics, Inc. \* <sup>(e)</sup> | 58803 |
|  | 195149 | Bristol-Myers Squibb Co. \* <sup>(e)</sup> | 585447 |
|  | 38486 | Pershing Square Holdings Ltd. \* <sup>(e)</sup> | 11546 |
|  | 121981 | Walgreens Boots Alliance, Inc. \* <sup>(e)</sup> | 60990 |
|  |  | Total United States | 738602 |
|  |  | TOTAL RIGHTS/WARRANTS<br>(COST $689,714) | 1002986 |
|  |  | **INVESTMENT FUNDS — 1.6%** | **INVESTMENT FUNDS — 1.6%** |
|  |  | **United States — 1.6%** | **United States — 1.6%** |
|  | 9856086 | Altaba, Inc. <sup>(e)</sup> | 12812912 |
|  |  | TOTAL INVESTMENT FUNDS<br>(COST $12,090,464) | 12812912 |
|  |  | **DEBT OBLIGATIONS — 25.6%** | **DEBT OBLIGATIONS — 25.6%** |
|  |  | **Dominican Republic — 0.3%** | **Dominican Republic — 0.3%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  DOP | 100000000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 2076617 |
|  |  | **Kazakhstan — 0.1%** | **Kazakhstan — 0.1%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  KZT | 183000000 | Development Bank of Kazakhstan JSC, 144A, 18.40%, due 10/16/28 | 376605 |
|  |  | **Malaysia — 0.2%** | **Malaysia — 0.2%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  MYR | 7300000 | Malaysia Government Bonds, 3.90%, due 11/30/26 | 1889858 |
|  |  | **Paraguay — 0.0%** | **Paraguay — 0.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  PYG | 1660000000 | Paraguay Government International Bonds, 144A, 8.50%, due 04/04/38 | 257111 |
|  |  | **SupraNational — 0.0%** | **SupraNational — 0.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  NGN | 320000000 | Asian Development Bank, 20.00%, due 03/27/26 | 234780 |
|  |  | **Uganda — 0.0%** | **Uganda — 0.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  UGX | 660000000 | Republic of Uganda Government Bonds, 15.80%, due 06/23/39 | 186083 |

---

7 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†**  | **Description** | **Value ($)** |
|  |  | **United States — 24.9%** | **United States — 24.9%** |
|  |  | **U.S. Government — 22.4%** | **U.S. Government — 22.4%** |
|  | 4900000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.72%, due 01/31/27 <sup>(g)</sup> | 4901680 |
|  | 69845000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 04/30/27 <sup>(a) (g)</sup> | 69928161 |
|  | 62100000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 07/31/27 <sup>(a) (g)</sup> | 62174645 |
|  | 8700000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.81%, due 10/31/27 <sup>(a) (g)</sup> | 8714149 |
|  | 36650000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.72%, due 01/31/28 <sup>(g)</sup> | 36648335 |
|  |  | Total U.S. Government | 182366970 |
|  |  | **U.S. Government Agency — 2.5%** | **U.S. Government Agency — 2.5%** |
|  | 15000000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 03/01/40 | 15388380 |
|  | 3100000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 03/01/55 | 3179633 |
|  | 1500000 | Uniform Mortgage-Backed Security, TBA, 2.50%, due 03/01/56 | 1299438 |
|  |  | Total U.S. Government Agency | 19867451 |
|  |  | Total United States | 202234421 |
|  |  | **Uruguay — 0.1%** | **Uruguay — 0.1%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  UYU | 13000000 | Uruguay Government International Bonds, 8.25%, due 05/21/31 | 356854 |
|  UYU | 14000000 | Uruguay Government International Bonds, 8.00%, due 10/29/35 | 383948 |
|  |  | Total Uruguay | 740802 |
|  |  | TOTAL DEBT OBLIGATIONS<br>(COST $207,285,466) | 207996277 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares /** <br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†**  | **Description** | **Value ($)** |
|  |  | **SHORT-TERM INVESTMENTS — 18.2%** | **SHORT-TERM INVESTMENTS — 18.2%** |
|  |  | **Money Market Funds — 0.7%** | **Money Market Funds — 0.7%** |
|  | 5944401 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(h)</sup> | 5944401 |
|  |  | **Repurchase Agreements — 15.4%** | **Repurchase Agreements — 15.4%** |
|  | 125060250 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 02/27/26, maturing on 03/02/26 with a maturity value of $125,098,289 and an effective yield of 3.65%, collateralized by a U.S. Treasury Note with maturity date 03/31/29 and a market value of $127,775,225. | 125060250 |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.1%** | **Sovereign and Sovereign Agency Issuers — 2.1%** |
|  EGP | 58000000 | Egypt Treasury Bills, Zero Coupon, due 09/01/26 | 1075510 |
|  EGP | 34000000 | Egypt Treasury Bills, Zero Coupon, due 10/06/26 | 617559 |
|  EGP | 64000000 | Egypt Treasury Bills, Zero Coupon, due 10/20/26 | 1153815 |
|  JPY | 2000000000 | Japan Treasury Discount Bills, Zero Coupon, due 04/06/26 | 12798671 |
|  NGN | 600000000 | Nigeria OMO Bills, Zero Coupon, due 04/07/26 | 430656 |
|  NGN | 1500000000 | Nigeria OMO Bills, Zero Coupon, due 08/04/26 | 1013938 |
|  |  | Total Sovereign and Sovereign Agency Issuers | 17090149 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $148,008,046) | 148094800 |

---

#### PURCHASED OPTIONS — 0.0%

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Rate** | **Expiration<br>Date** | **Principal/** <br> **Notional** <br> **Amount** | **Floating** <br> **Rate Index** | **Pay/Receive<br>Floating Rate** | **Value ($)** |
|  **Options on Credit Default Swaps - Puts — 0.0%** | **Options on Credit Default Swaps - Puts — 0.0%** | **Options on Credit Default Swaps - Puts — 0.0%** |  |  |  |  |  |
|  CDX.NA.IG.45 | CITI | 0.50% | 03/18/26 | USD 30,000,000 | Fixed Spread | Pay | 88729 |
|  | TOTAL PURCHASED OPTIONS (COST $48,360) | TOTAL PURCHASED OPTIONS (COST $48,360) | TOTAL PURCHASED OPTIONS (COST $48,360) |  |  |  | 88729 |
|  | **TOTAL INVESTMENTS — 181.5%** | **TOTAL INVESTMENTS — 181.5%** | **TOTAL INVESTMENTS — 181.5%** |  |  |  |  |
|  | (Cost $1,355,568,519) | (Cost $1,355,568,519) | (Cost $1,355,568,519) | (Cost $1,355,568,519) |  |  | **1475692619** |

---

See accompanying notes to the financial statements. 8

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **SECURITIES SOLD SHORT — (86.4)%** | **SECURITIES SOLD SHORT — (86.4)%** |
|  | **Common Stocks — (82.8)%** |  |
|  | **Australia — (2.4)%** |  |
| (169018) | APA Group | (1106211) |
| (289) | Cochlear Ltd. | (40924) |
| (11909) | Commonwealth Bank of Australia | (1477567) |
| (38376) | GPT Group – (REIT) | (138153) |
| (27086) | Insurance Australia Group Ltd. | (128336) |
| (193788) | Lottery Corp. Ltd. | (760031) |
| (100854) | Lynas Rare Earths Ltd. \* | (1336743) |
| (6946) | Macquarie Group Ltd. | (1054127) |
| (5328) | National Australia Bank Ltd. | (185695) |
| (20417) | NEXTDC Ltd. \* | (201479) |
| (3012) | Northern Star Resources Ltd. | (66022) |
| (11216) | Pro Medicus Ltd. | (1035098) |
| (4195) | REA Group Ltd. | (496300) |
| (74097) | Scentre Group – (REIT) | (201414) |
| (27121) | SGH Ltd. | (899991) |
| (1030005) | Sigma Healthcare Ltd. | (2076143) |
| (431350) | South32 Ltd. | (1413052) |
| (140527) | Transurban Group | (1432631) |
| (45170) | Vicinity Ltd. – (REIT) | (78735) |
| (27193) | Washington H Soul Pattinson & Co. Ltd. | (739768) |
| (5183) | Westpac Banking Corp. | (156677) |
| (58019) | WiseTech Global Ltd. | (1964140) |
| (1891) | Woolworths Group Ltd. | (48478) |
| (45431) | Xero Ltd. \* | (2681831) |
|  | Total Australia | (19719546) |
|  | **Belgium — (0.4)%** |  |
| (10927) | Anheuser-Busch InBev SA | (888531) |
| (9696) | Elia Group SA | (1540537) |
| (2388) | Groupe Bruxelles Lambert NV | (239612) |
| (51) | Lotus Bakeries NV | (634296) |
| (5131) | Syensqo SA | (292547) |
|  | Total Belgium | (3595523) |
|  | **Brazil — (0.3)%** |  |
| (139741) | NU Holdings Ltd. – Class A \* | (2093320) |
|  | **Canada — (2.1)%** |  |
| (35300) | AltaGas Ltd. | (1199742) |
| (2700) | AtkinsRealis Group, Inc. | (187152) |
| (400) | Bombardier, Inc. – Class B \* | (82663) |
| (4000) | Brookfield Asset Management Ltd. – Class A | (187000) |
| (1200) | Brookfield Corp. | (52626) |
| (22828) | Brookfield Renewable Corp. | (975440) |
| (12630) | Cameco Corp. | (1495392) |
| (1900) | Dollarama, Inc. | (279724) |
| (23014) | Enbridge, Inc. | (1222964) |
| (3900) | Equinox Gold Corp. \* | (73194) |
| (5666) | Franco-Nevada Corp. | (1589936) |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Canada — continued** |  |
| (23167) | GFL Environmental, Inc. | (1023750) |
| (51000) | Keyera Corp. | (1946454) |
| (1500) | OR Royalties, Inc. | (71071) |
| (23227) | Pan American Silver Corp. | (1595695) |
| (29639) | Pembina Pipeline Corp. | (1303820) |
| (17118) | Restaurant Brands International, Inc. | (1227532) |
| (30500) | Saputo, Inc. | (973549) |
| (11500) | Tourmaline Oil Corp. | (539907) |
| (6633) | Wheaton Precious Metals Corp. | (1085490) |
|  | Total Canada | (17113101) |
|  | **Chile — (0.1)%** |  |
| (18888) | Latam Airlines Group SA ADR | (1060750) |
|  | **China — (0.3)%** |  |
| (10000) | Akeso, Inc. \* | (136236) |
| (7200) | BeOne Medicines Ltd. – Class H \* | (177742) |
| (28000) | Genscript Biotech Corp. \* | (42670) |
| (841) | H World Group Ltd. ADR | (46087) |
| (14000) | Innovent Biologics, Inc. \* | (152318) |
| (1300) | Legend Biotech Corp. ADR\* | (24700) |
| (214241) | NIO, Inc. \* | (1043354) |
| (25630) | NIO, Inc. – Class A \* | (126700) |
| (23919) | XPeng, Inc. \* | (420018) |
| (13000) | XPeng, Inc. – Class A \* | (113965) |
|  | Total China | (2283790) |
|  | **Denmark — (1.0)%** |  |
| (27266) | Coloplast AS – Class B | (2112645) |
| (531) | DSV AS | (137063) |
| (22260) | Novonesis Novozymes B – Class B | (1323885) |
| (65890) | Orsted AS \* | (1552287) |
| (103490) | Tryg AS | (2562586) |
| (1867) | Zealand Pharma AS \* | (108071) |
|  | Total Denmark | (7796537) |
|  | **Finland — (0.4)%** |  |
| (10616) | Kesko OYJ – Class B | (261599) |
| (62067) | Nordea Bank Abp | (1201029) |
| (51238) | Sampo OYJ – Class A | (567875) |
| (75468) | Stora Enso OYJ – Class R | (1023698) |
|  | Total Finland | (3054201) |
|  | **France — (0.8)%** |  |
| (14764) | Aeroports de Paris SA | (2060079) |
| (216) | Dassault Aviation SA | (86754) |
| (20180) | Edenred SE | (466420) |
| (919) | Gecina SA – (REIT) | (84845) |
| (73117) | Getlink SE | (1587536) |
| (773) | Hermes International SCA | (1857877) |
| (12760) | Renault SA | (482559) |

---

9 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **France — continued** |  |
| (1504) | Unibail-Rodamco-Westfield – (REIT) \* | (188432) |
|  | Total France | (6814502) |
|  | **Germany — (2.6)%** |  |
| (21757) | BASF SE | (1246244) |
| (24908) | Bayer AG (Registered) | (1232468) |
| (23577) | Commerzbank AG | (956510) |
| (3747) | CTS Eventim AG & Co. KGaA | (303432) |
| (60752) | Delivery Hero SE \* | (1397289) |
| (955) | Deutsche Boerse AG | (260995) |
| (113708) | Deutsche Lufthansa AG (Registered) | (1214566) |
| (74631) | Evonik Industries AG | (1297622) |
| (31684) | Hensoldt AG | (2779469) |
| (1613) | HOCHTIEF AG | (778049) |
| (8955) | LEG Immobilien SE | (749151) |
| (5509) | MTU Aero Engines AG | (2374583) |
| (158) | Rheinmetall AG | (312551) |
| (4791) | RWE AG | (308199) |
| (13742) | Siemens Energy AG | (2661518) |
| (10188) | Talanx AG | (1281451) |
| (45545) | Vonovia SE | (1544317) |
|  | Total Germany | (20698414) |
|  | **Hong Kong — (0.7)%** |  |
| (98600) | AIA Group Ltd. | (1087708) |
| (44500) | CK Infrastructure Holdings Ltd. | (377346) |
| (28000) | Galaxy Entertainment Group Ltd. | (148992) |
| (15000) | Henderson Land Development Co. Ltd. | (67804) |
| (28900) | Hongkong Land Holdings Ltd. | (250210) |
| (94200) | Link REIT | (465714) |
| (276000) | MTR Corp. Ltd. | (1314422) |
| (422400) | Sands China Ltd. | (954287) |
| (78000) | Swire Pacific Ltd. – Class A | (837872) |
| (114000) | Wharf Holdings Ltd. | (377205) |
|  | Total Hong Kong | (5881560) |
|  | **Israel — (0.5)%** |  |
| (2781) | Monday.com Ltd. \* | (202012) |
| (38143) | Teva Pharmaceutical Industries Ltd. ADR\* | (1291522) |
| (35785) | Wix.com Ltd. \* | (2521411) |
|  | Total Israel | (4014945) |
|  | **Italy — (1.3)%** |  |
| (79340) | Banca Monte dei Paschi di Siena SpA | (774278) |
| (10447) | Ferrari NV | (3947109) |
| (80557) | FinecoBank Banca Fineco SpA | (1895836) |
| (23368) | Generali | (995035) |
| (188672) | Infrastrutture Wireless Italiane SpA | (2001870) |
| (293617) | Nexi SpA | (1199293) |
|  | Total Italy | (10813421) |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Japan — (6.4)%** |  |
| (9500) | Advantest Corp. | (1645109) |
| (164700) | Aeon Co. Ltd. | (2344737) |
| (47900) | ANA Holdings, Inc. | (1044450) |
| (37300) | Asics Corp. | (1143085) |
| (45200) | Chiba Bank Ltd. | (672297) |
| (6000) | Disco Corp. | (2884832) |
| (27200) | East Japan Railway Co. | (671853) |
| (23300) | Eisai Co. Ltd. | (784430) |
| (7200) | Fujikura Ltd. | (1229418) |
| (2100) | Hikari Tsushin, Inc. | (593701) |
| (105300) | IHI Corp. | (2880757) |
| (151300) | Japan Exchange Group, Inc. | (2059031) |
| (70900) | Japan Post Bank Co. Ltd. | (1388013) |
| (12200) | Kawasaki Heavy Industries Ltd. | (1418595) |
| (15800) | KDDI Corp. | (271405) |
| (3400) | Keyence Corp. | (1432935) |
| (18000) | Kioxia Holdings Corp. \* | (2432599) |
| (35900) | Kobe Bussan Co. Ltd. | (854233) |
| (700) | Lasertec Corp. | (150922) |
| (7800) | Mitsubishi Heavy Industries Ltd. | (248648) |
| (13200) | Mizuho Financial Group, Inc. | (588904) |
| (163800) | MonotaRO Co. Ltd. | (2177732) |
| (481000) | Nissan Motor Co. Ltd. \* | (1325132) |
| (49200) | Nitori Holdings Co. Ltd. | (985597) |
| (2200) | Oracle Corp. Japan | (132808) |
| (228600) | Oriental Land Co. Ltd. | (4118531) |
| (576600) | Rakuten Group, Inc. \* | (3061079) |
| (50600) | Resona Holdings, Inc. | (617412) |
| (49000) | Sanrio Co. Ltd. | (1796513) |
| (7200) | Seibu Holdings, Inc. | (213740) |
| (5024) | Shimano, Inc. | (536341) |
| (124100) | Shiseido Co. Ltd. | (2620323) |
| (100) | SMC Corp. | (47835) |
| (2830300) | SoftBank Corp. | (3871291) |
| (42000) | SoftBank Group Corp. | (1075450) |
| (13800) | Tokyo Metro Co. Ltd. | (147682) |
| (43800) | Tokyu Corp. | (559725) |
| (55400) | Toyota Motor Corp. | (1342251) |
| (14500) | Zensho Holdings Co. Ltd. | (920414) |
|  | Total Japan | (52289810) |
|  | **Mexico — (0.0)%** |  |
| (511) | Grupo Aeroportuario del Pacifico SAB de CV ADR | (133248) |
|  | **Netherlands — (2.1)%** |  |
| (1277) | Adyen NV \* | (1499616) |
| (56031) | Aegon Ltd. | (426415) |
| (46633) | Akzo Nobel NV | (3285155) |
| (11803) | BE Semiconductor Industries NV | (2644905) |
| (149226) | CVC Capital Partners PLC | (2129219) |
| (2396) | DSM-Firmenich AG | (171121) |
| (11990) | Heineken NV | (1110500) |
| (73069) | InPost SA \* | (1311582) |

---

See accompanying notes to the financial statements. 10

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Netherlands — continued** |  |
| (32788) | Koninklijke Philips NV | (1050703) |
| (165710) | Universal Music Group NV | (3731355) |
|  | Total Netherlands | (17360571) |
|  | **New Zealand — (0.2)%** |  |
| (65669) | Auckland International Airport Ltd. | (361224) |
| (84740) | Contact Energy Ltd. | (472379) |
| (33483) | Infratil Ltd. | (225100) |
| (68214) | Meridian Energy Ltd. | (231269) |
|  | Total New Zealand | (1289972) |
|  | **Norway — (0.6)%** |  |
| (63736) | Kongsberg Gruppen ASA | (2584580) |
| (41982) | Salmar ASA | (2517856) |
|  | Total Norway | (5102436) |
|  | **Peru — (0.4)%** |  |
| (12785) | Southern Copper Corp. | (2791015) |
|  | **Portugal — (0.2)%** |  |
| (95176) | EDP Renovaveis SA | (1503606) |
|  | **Singapore — (1.0)%** |  |
| (89383) | CapitaLand Integrated Commercial Trust – (REIT) | (172928) |
| (594700) | CapitaLand Investment Ltd. | (1437124) |
| (465584) | Grab Holdings Ltd. – Class A \* | (1964764) |
| (158300) | Keppel Ltd. | (1635019) |
| (12922) | Sea Ltd. ADR\* | (1401391) |
| (225200) | Singapore Airlines Ltd. | (1277166) |
|  | Total Singapore | (7888392) |
|  | **South Africa — (0.0)%** |  |
| (16048) | Sibanye Stillwater Ltd. ADR\* | (284210) |
|  | **Spain — (1.6)%** |  |
| (295497) | Banco Santander SA ADR | (3652343) |
| (172234) | Banco Santander SA | (2172226) |
| (78303) | Cellnex Telecom SA \* | (2975962) |
| (53143) | Ferrovial SE | (3960681) |
| (33931) | Grifols SA | (425697) |
|  | Total Spain | (13186909) |
|  | **Sweden — (1.4)%** |  |
| (76019) | Beijer Ref AB | (1186073) |
| (86233) | EQT AB | (2657805) |
| (167912) | Fastighets AB Balder – B Shares \* | (1261743) |
| (40187) | Hexagon AB – B Shares | (457177) |
| (20087) | Holmen AB – Class B | (790687) |
| (2371) | Lifco AB – B Shares | (84125) |
| (89434) | Nibe Industrier AB – B Shares | (365434) |
| (1754) | Saab AB – Class B | (128072) |
| (4995) | Spotify Technology SA \* | (2572125) |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Sweden — continued** |  |
| (105330) | Svenska Cellulosa AB SCA – Class B | (1429943) |
|  | Total Sweden | (10933184) |
|  | **Switzerland — (1.5)%** |  |
| (3044) | Alcon AG | (263879) |
| (44512) | Avolta AG | (2926187) |
| (6881) | Banque Cantonale Vaudoise (Registered) | (1052695) |
| (293) | Barry Callebaut AG (Registered) | (550713) |
| (31) | Chocoladefabriken Lindt & Spruengli AG | (511799) |
| (5311) | Cie Financiere Richemont SA – Class A (Registered) | (1082688) |
| (726) | Galderma Group AG | (137004) |
| (333) | Helvetia Baloise Holding AG | (86473) |
| (187) | Lonza Group AG (Registered) | (130066) |
| (1552) | Partners Group Holding AG | (1724662) |
| (1975) | Straumann Holding AG (Registered) | (236458) |
| (3188) | Swatch Group AG – Class BR | (815623) |
| (46) | Swiss Life Holding AG (Registered) | (52677) |
| (7460) | Swiss Prime Site AG (Registered) | (1423515) |
| (7273) | Swiss Re AG | (1280333) |
| (276) | VAT Group AG | (194659) |
|  | Total Switzerland | (12469431) |
|  | **United Kingdom — (2.8)%** |  |
| (11843) | Antofagasta PLC | (680413) |
| (664) | Aon PLC – Class A | (222752) |
| (115084) | BP PLC | (745907) |
| (52326) | Entain PLC | (405419) |
| (217375) | Informa PLC | (2455092) |
| (16949) | InterContinental Hotels Group PLC | (2329136) |
| (25022) | Land Securities Group PLC – (REIT) | (217385) |
| (16365) | London Stock Exchange Group PLC | (1949783) |
| (101318) | Melrose Industries PLC | (770953) |
| (216957) | Phoenix Group Holdings PLC | (2240894) |
| (9456) | Reckitt Benckiser Group PLC | (833063) |
| (142485) | Rentokil Initial PLC <sup>(b)</sup> | (880320) |
| (127121) | Rolls-Royce Holdings PLC | (2285900) |
| (23253) | Segro PLC – (REIT) | (263232) |
| (65320) | Severn Trent PLC | (2883184) |
| (5448) | St. James's Place PLC | (98649) |
| (52203) | United Utilities Group PLC | (978514) |
| (16816) | Whitbread PLC | (588756) |
| (132567) | Wise PLC – Class A \* | (1536036) |
|  | Total United Kingdom | (22365388) |
|  | **United States — (51.7)%** |  |
| (7327) | 3M Co. | (1211300) |
| (14519) | AbbVie, Inc. | (3369570) |
| (3012) | AECOM | (295116) |
| (880) | AeroVironment, Inc. \* | (221980) |
| (67458) | Affirm Holdings, Inc. \* | (3169177) |
| (5300) | Agilent Technologies, Inc. | (643314) |
| (4316) | Air Products & Chemicals, Inc. <sup>(b)</sup> | (1189792) |

---

11 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| (4200) | Alexandria Real Estate Equities, Inc. – (REIT) | (226968) |
| (8535) | Alnylam Pharmaceuticals, Inc. \* | (2841472) |
| (14800) | American Healthcare REIT, Inc. | (773152) |
| (10096) | American International Group, Inc. | (812627) |
| (93325) | American Water Works Co., Inc. | (12695000) |
| (6400) | Americold Realty Trust, Inc. – (REIT) | (85696) |
| (4169) | Amrize Ltd. \* <sup>(c)</sup> | (270943) |
| (17037) | Amrize Ltd. \* <sup>(c)</sup> | (1092875) |
| (3444) | Analog Devices, Inc. | (1225341) |
| (9100) | Annaly Capital Management, Inc. – (REIT) | (211484) |
| (10100) | Antero Resources Corp. \* | (371781) |
| (6900) | Apollo Global Management, Inc. | (721740) |
| (13100) | Applied Digital Corp. \* | (357237) |
| (3686) | AppLovin Corp. – Class A \* | (1602562) |
| (9238) | ARES Management Corp. – Class A | (1034748) |
| (1300) | Arrowhead Pharmaceuticals, Inc. \* | (82251) |
| (15026) | Arthur J Gallagher & Co. | (3428933) |
| (8000) | AST SpaceMobile, Inc. \* | (633520) |
| (9397) | Astera Labs, Inc. \* | (1116646) |
| (45775) | AT&T, Inc. | (1282158) |
| (600) | ATI, Inc. \* | (98154) |
| (183200) | Aurora Innovation, Inc. \* | (857376) |
| (7231) | Axon Enterprise, Inc. \* | (3922094) |
| (1500) | Baker Hughes Co. | (97890) |
| (3800) | Bank of New York Mellon Corp. | (452580) |
| (59465) | Baxter International, Inc. | (1211302) |
| (4322) | Becton Dickinson & Co. <sup>(b)</sup> | (762747) |
| (661) | Bentley Systems, Inc. – Class B | (24160) |
| (4852) | Biogen, Inc. \* | (930711) |
| (270680) | Black Hills Corp. | (19938289) |
| (7379) | Blackstone, Inc. | (836557) |
| (11029) | Block, Inc. – Class A \* | (702547) |
| (23265) | Bloom Energy Corp. – Class A \* | (3621663) |
| (63400) | Blue Owl Capital, Inc. | (668870) |
| (22961) | Boeing Co. \* | (5224316) |
| (3700) | Bridgebio Pharma, Inc. \* | (245976) |
| (2400) | Bright Horizons Family Solutions, Inc. \* | (178848) |
| (12451) | Brown & Brown, Inc. | (894231) |
| (12029) | Burlington Stores, Inc. \* | (3691339) |
| (900) | BXP, Inc. – (REIT) | (51822) |
| (2300) | Camden Property Trust – (REIT) | (249182) |
| (2323) | Carlisle Cos., Inc. | (917051) |
| (4500) | Carlyle Group, Inc. | (233955) |
| (1100) | Carpenter Technology Corp. | (437877) |
| (12075) | Carvana Co. \* | (4034982) |
| (3500) | Casella Waste Systems, Inc. – Class A \* | (326060) |
| (5400) | Cava Group, Inc. \* | (445338) |
| (671) | Cencora, Inc. | (249706) |
| (4991) | Centene Corp. \* | (223996) |
| (52642) | Charter Communications, Inc. – Class A \* <sup>(b)</sup> | (12351392) |
| (5000) | Chewy, Inc. – Class A \* | (137100) |
| (623) | Ciena Corp. \* | (217240) |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| (10385) | Cintas Corp. | (2088735) |
| (9400) | Cleveland-Cliffs, Inc. \* | (100204) |
| (29296) | Cloudflare, Inc. – Class A \* | (5044478) |
| (803) | CME Group, Inc. | (256559) |
| (742940) | Coeur Mining, Inc. \* | (20170821) |
| (9500) | Coherent Corp. \* | (2459835) |
| (12421) | Coinbase Global, Inc. – Class A \* | (2184233) |
| (5330) | Constellation Energy Corp. | (1758260) |
| (6272) | Cooper Cos., Inc. \* <sup>(b)</sup> | (524778) |
| (5802) | CoreWeave, Inc. – Class A \* | (461607) |
| (2260) | Corpay, Inc. \* | (734726) |
| (240) | Costco Wholesale Corp. | (242590) |
| (11845) | Credo Technology Group Holding Ltd. \* | (1329838) |
| (4481) | Crown Castle, Inc. – (REIT) | (401229) |
| (2700) | Cytokinetics, Inc. \* | (167994) |
| (4898) | Danaher Corp. | (1031715) |
| (15662) | Dexcom, Inc. \* | (1150061) |
| (7112) | Diamondback Energy, Inc. | (1238057) |
| (18637) | Digital Realty Trust, Inc. – (REIT) | (3302476) |
| (7985) | Dollar Tree, Inc. \* | (1009943) |
| (18213) | Dominion Energy, Inc. | (1149969) |
| (11568) | DoorDash, Inc. – Class A \* | (2041405) |
| (41715) | Dow, Inc. | (1281902) |
| (128518) | DraftKings, Inc. – Class A \* | (3063869) |
| (5700) | DT Midstream, Inc. | (791388) |
| (22160) | DuPont de Nemours, Inc. <sup>(b)</sup> | (1108886) |
| (9900) | Dutch Bros, Inc. – Class A \* | (530739) |
| (30900) | D-Wave Quantum, Inc. \* | (580302) |
| (25407) | EchoStar Corp. – Class A \* | (2935271) |
| (5128) | Ecolab, Inc. | (1581219) |
| (52896) | EQT Corp. | (3248872) |
| (6161) | Equifax, Inc. | (1287403) |
| (284) | Equinix, Inc. – (REIT) | (276690) |
| (6372) | Equitable Holdings, Inc. | (256282) |
| (7900) | Erie Indemnity Co. – Class A | (2128576) |
| (11513) | Estee Lauder Cos., Inc. – Class A | (1260328) |
| (2267) | Fair Isaac Corp. \* | (3195019) |
| (70854) | Fastenal Co. | (3262118) |
| (89905) | Fidelity National Information Services, Inc. | (4581559) |
| (433) | First Citizens BancShares, Inc. – Class A | (821899) |
| (25587) | Fiserv, Inc. \* | (1593814) |
| (2200) | Flutter Entertainment PLC \* | (233508) |
| (5100) | FTAI Aviation Ltd. | (1559580) |
| (28300) | GameStop Corp. – Class A \* | (680049) |
| (3625) | Gartner, Inc. \* | (569850) |
| (1691) | GE Vernova, Inc. | (1477258) |
| (1300) | Glaukos Corp. \* | (156520) |
| (80) | Goldman Sachs Group, Inc. | (68766) |
| (3900) | Guardant Health, Inc. \* | (366210) |
| (9900) | Guidewire Software, Inc. \* | (1438668) |
| (11000) | Healthcare Realty Trust, Inc. – (REIT) | (202950) |
| (1900) | HealthEquity, Inc. \* | (145331) |
| (63069) | Healthpeak Properties, Inc. – (REIT) | (1115060) |
| (29000) | Hecla Mining Co. | (722390) |

---

See accompanying notes to the financial statements. 12

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| (3136) | Home Depot, Inc. | (1193938) |
| (10295) | HubSpot, Inc. \* | (2723130) |
| (22951) | Hyatt Hotels Corp. – Class A | (3706587) |
| (1140) | IDEX Corp. | (238796) |
| (11367) | Illumina, Inc. \* | (1528407) |
| (13459) | Ingersoll Rand, Inc. | (1267030) |
| (13942) | Insmed, Inc. \* | (2081959) |
| (12257) | Insulet Corp. \* | (3022699) |
| (42000) | Intel Corp. \* | (1915620) |
| (1900) | Interactive Brokers Group, Inc. – Class A | (135261) |
| (700) | Intercontinental Exchange, Inc. | (114891) |
| (37749) | International Flavors & Fragrances, Inc. | (3104100) |
| (28673) | International Paper Co. <sup>(b)</sup> | (1248709) |
| (2100) | Ionis Pharmaceuticals, Inc. \* | (170415) |
| (139071) | IonQ, Inc. \* | (5336154) |
| (6428) | IQVIA Holdings, Inc. \* | (1149391) |
| (2200) | Iron Mountain, Inc. – (REIT) | (238326) |
| (2266) | J.M. Smucker Co. | (262743) |
| (1500) | Jefferies Financial Group, Inc. | (66600) |
| (597) | Johnson Controls International PLC | (86147) |
| (23500) | Keurig Dr. Pepper, Inc. <sup>(b)</sup> | (711580) |
| (3000) | KeyCorp | (62220) |
| (114687) | Kimberly-Clark Corp. <sup>(b)</sup> | (12780719) |
| (27600) | Kimco Realty Corp. – (REIT) | (649980) |
| (29458) | KKR & Co., Inc. | (2582877) |
| (48077) | Kraft Heinz Co. <sup>(b)</sup> | (1183175) |
| (4400) | Kratos Defense & Security Solutions, Inc. \* | (379192) |
| (1108) | Labcorp Holdings, Inc. | (320345) |
| (40984) | Liberty Media Corp.-Liberty Formula One – <br>Class C \* | (3753725) |
| (9026) | Linde PLC | (4585930) |
| (30046) | Live Nation Entertainment, Inc. \* | (4871658) |
| (3500) | Lumentum Holdings, Inc. \* | (2453185) |
| (200) | Madrigal Pharmaceuticals, Inc. NULL\* | (86400) |
| (1218) | Marsh & McLennan Cos., Inc. | (227449) |
| (114) | Martin Marietta Materials, Inc. | (77129) |
| (42012) | Marvell Technology, Inc. | (3431960) |
| (1918) | Mastercard, Inc. – Class A | (992009) |
| (10700) | McCormick & Co., Inc. | (760128) |
| (2225) | McKesson Corp. | (2196898) |
| (1720) | MercadoLibre, Inc. \* | (3023038) |
| (16447) | Microchip Technology, Inc. | (1227604) |
| (8816) | MongoDB, Inc. \* | (2895792) |
| (1639) | Moody's Corp. | (782770) |
| (500) | Morgan Stanley | (83255) |
| (843) | Motorola Solutions, Inc. | (406545) |
| (16800) | MP Materials Corp. \* | (989016) |
| (4816) | MSCI, Inc. | (2753933) |
| (14796) | Natera, Inc. \* | (3078160) |
| (1200) | Newmont Corp. | (156000) |
| (17422) | NextEra Energy, Inc. | (1633661) |
| (10718) | NIKE, Inc. – Class B | (666445) |
| (7038) | NiSource, Inc. | (332897) |
| (47232) | Nutanix, Inc. – Class A \* | (1808041) |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| (8029) | Occidental Petroleum Corp. | (426179) |
| (17332) | Oklo, Inc. \* | (1091049) |
| (53924) | Okta, Inc. \* | (3909490) |
| (6548) | Old Dominion Freight Line, Inc. | (1329571) |
| (3400) | Omega Healthcare Investors, Inc. – (REIT) | (164118) |
| (46391) | ONEOK, Inc. | (3839783) |
| (16000) | Opendoor Technologies, Inc. \* | (86720) |
| (14008) | O'Reilly Automotive, Inc. \* | (1315071) |
| (44193) | Otis Worldwide Corp. | (4090504) |
| (19912) | Palantir Technologies, Inc. – Class A \* | (2731727) |
| (4233) | Palo Alto Networks, Inc. \* | (630378) |
| (13257) | Paychex, Inc. | (1241518) |
| (42200) | PG&E Corp. | (801800) |
| (2900) | Planet Fitness, Inc. – Class A \* | (238235) |
| (1600) | Public Service Enterprise Group, Inc. | (137712) |
| (5377) | Pure Storage, Inc. – Class A \* | (345311) |
| (16300) | QXO, Inc. \* | (390385) |
| (27811) | Realty Income Corp. – (REIT) | (1863337) |
| (2600) | Regency Centers Corp. – (REIT) | (205400) |
| (4400) | Reinsurance Group of America, Inc. – Class A | (949212) |
| (3812) | Republic Services, Inc. | (872948) |
| (3500) | Revolution Medicines, Inc. \* | (357070) |
| (16900) | Rigetti Computing, Inc. \* | (294398) |
| (10000) | Riot Platforms, Inc. \* | (162900) |
| (266336) | Rivian Automotive, Inc. – Class A \* | (4082931) |
| (40076) | Robinhood Markets, Inc. – Class A \* | (3039765) |
| (49019) | ROBLOX Corp. – Class A \* | (3365645) |
| (73534) | Rocket Cos., Inc. – Class A | (1337583) |
| (45391) | Rocket Lab Corp. \* | (3136518) |
| (5000) | Roku, Inc. \* | (492050) |
| (33745) | Rollins, Inc. | (2054733) |
| (500) | Royal Caribbean Cruises Ltd. | (155480) |
| (6963) | RTX Corp. | (1410843) |
| (20300) | Rubrik, Inc. – Class A \* | (1054788) |
| (7800) | Ryan Specialty Holdings, Inc. | (306930) |
| (2405) | S&P Global, Inc. | (1062721) |
| (92756) | Samsara, Inc. – Class A \* | (2680648) |
| (4834) | Seagate Technology Holdings PLC | (1971499) |
| (25445) | ServiceNow, Inc. \* | (2748314) |
| (1500) | Shift4 Payments, Inc. – Class A \* | (66105) |
| (207231) | Snap, Inc. – Class A \* | (1079674) |
| (22832) | Snowflake, Inc. \* | (3845137) |
| (114124) | SoFi Technologies, Inc. \* | (2026842) |
| (9400) | Southern Co. | (915372) |
| (24321) | Starbucks Corp. | (2383944) |
| (3400) | Starwood Property Trust, Inc. – (REIT) | (60554) |
| (1686) | STERIS PLC | (425462) |
| (14780) | Strategy, Inc. \* | (1914010) |
| (15076) | Sun Communities, Inc. – (REIT) | (2057271) |
| (8637) | Take-Two Interactive Software, Inc. \* | (1826553) |
| (16028) | Targa Resources Corp. | (3779402) |
| (7000) | TechnipFMC PLC | (464170) |
| (1500) | Tempus AI, Inc. \* | (79875) |

---

13 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### Consolidated Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| (7516) | Tesla, Inc. \* | (3025265) |
| (8777) | Texas Pacific Land Corp. | (4601693) |
| (6151) | T-Mobile U.S., Inc. | (1335321) |
| (21672) | Tractor Supply Co. | (1123476) |
| (7193) | Trade Desk, Inc. – Class A \* | (171337) |
| (798) | TransDigm Group, Inc. | (1039626) |
| (13428) | TransUnion | (1054769) |
| (1300) | Truist Financial Corp. | (64103) |
| (4500) | Twilio, Inc. – Class A \* | (544320) |
| (3501) | Tyler Technologies, Inc. \* | (1241770) |
| (41399) | UDR, Inc. – (REIT) | (1552463) |
| (24975) | Union Pacific Corp. | (6617876) |
| (19700) | Unity Software, Inc. \* | (359131) |
| (1200) | Upstart Holdings, Inc. \* | (32676) |
| (8400) | Uranium Energy Corp. \* | (128772) |
| (2400) | Varonis Systems, Inc. \* | (55440) |
| (2100) | Vaxcyte, Inc. \* | (129654) |
| (37604) | Ventas, Inc. – (REIT) | (3239961) |
| (1384) | Verisk Analytics, Inc. | (287277) |
| (484) | Vertex Pharmaceuticals, Inc. \* | (240466) |
| (22158) | Vistra Corp. | (3853055) |
| (7400) | Vornado Realty Trust – (REIT) | (204092) |
| (3200) | W.R. Berkley Corp. | (229440) |
| (15073) | Waste Connections, Inc. | (2594515) |
| (3521) | Waste Management, Inc. | (847998) |
| (585) | Waters Corp. \* | (186822) |
| (9504) | Watsco, Inc. | (3966304) |
| (12400) | Welltower, Inc. – (REIT) | (2568288) |
| (8789) | Western Digital Corp. | (2458283) |
| (50574) | Williams Cos., Inc. | (3778889) |
| (3558) | Willis Towers Watson PLC | (1085795) |
| (2415) | Workday, Inc. – Class A \* | (323030) |
| (48400) | Zillow Group, Inc. – Class C \* | (2159608) |
| (9982) | Zimmer Biomet Holdings, Inc. | (982628) |
| (21235) | Zscaler, Inc. \* | (3121333) |
|  | Total United States | (420614253) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $641,510,553) | (673152035) |
|  | **PREFERRED STOCKS <sup>(f)</sup> — (0.4)%** | **PREFERRED STOCKS <sup>(f)</sup> — (0.4)%** |
|  | **Germany — (0.4)%** |  |
| (7007) | Sartorius AG | (1983340) |
| (21432) | Dr. Ing hc F Porsche AG | (1044845) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $3,141,752) | (3028185) |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares /** <br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†** | **Description** | **Value ($)** |
|  | **RIGHTS/WARRANTS — (0.0)%** | **RIGHTS/WARRANTS — (0.0)%** |
|  | **United States — (0.0)%** |  |
| (1710) | GameStop Corp. \* | (7353) |
|  | TOTAL RIGHTS/WARRANTS<br>(PROCEEDS $0) | (7353) |
|  | **DEBT OBLIGATIONS — (3.2)%** | **DEBT OBLIGATIONS — (3.2)%** |
|  | **United States — (3.2)%** |  |
|  | **U.S. Government Agency — (3.2)%** |  |
| (15000000) | Uniform Mortgage-Backed Security, TBA, 2.50%, due 03/01/41 | (14313523) |
| (11500000) | Uniform Mortgage-Backed Security, TBA, 6.00%, due 03/01/55 | (11799009) |
|  | Total United States | (26112532) |
|  | TOTAL DEBT OBLIGATIONS<br>(PROCEEDS $25,895,351) | (26112532) |
|  | **TOTAL SECURITIES SOLD SHORT**<br>(PROCEEDS $670,547,656) | **(702300105)** |
|  | Other Assets and Liabilities (net) — 4.9% | 39707443 |
|  | **TOTAL NET ASSETS — 100.0%** | $**813099957** |

---

See accompanying notes to the financial statements. 14

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Consolidated Schedule of Investments — (Continued)

#### February 28, 2026
A summary of outstanding financial instruments at February 28, 2026 is as follows:

#### Forward Currency Contracts

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br> Date** | **Counter-<br>party** | **Currency** <br>**Sold** | **Currency** <br>**Sold** | **Currency** <br>**Purchased** | **Currency** <br>**Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
|  04/09/2026 | MSCI | CAD | 2080000 | USD | 1534623 | 7304 |
|  04/30/2026 | CITI | EUR | 53000 | USD | 63260 | 461 |
|  04/30/2026 | DB | EUR | 11316966 | USD | 13584665 | 175444 |
|  05/12/2026 | DB | EUR | 14640999 | USD | 17500740 | 143202 |
|  05/18/2026 | DB | EUR | 9130000 | USD | 10893045 | 66004 |
|  04/15/2026 | CITI | GBP | 80000 | USD | 109188 | 1363 |
|  04/30/2026 | JPM | GBP | 3752075 | USD | 5073522 | 16099 |
|  04/15/2026 | SSB | GBP | 1240000 | USD | 1676663 | 5366 |
|  05/12/2026 | MSCI | ILS | 9667605 | USD | 3138743 | 49768 |
|  03/18/2026 | CITI | INR | 203000000 | USD | 2237797 | 9646 |
|  04/06/2026 | SSB | JPY | 2000000000 | USD | 12885333 | 40824 |
|  04/30/2026 | SSB | JPY | 329889749 | USD | 2125987 | 3049 |
|  04/16/2026 | SSB | KRW | 830000000 | USD | 578828 | 1834 |
|  03/17/2026 | GS | NZD | 5210000 | USD | 3140875 | 14050 |
|  05/05/2026 | CITI | PEN | 560000 | USD | 166920 | 308 |
|  05/19/2026 | DB | PLN | 4900000 | USD | 1373727 | 2442 |
|  03/17/2026 | BOA | SEK | 18300000 | USD | 2050134 | 21522 |
|  03/17/2026 | MSCI | SEK | 15000000 | USD | 1666088 | 3291 |
|  04/20/2026 | CITI | SGD | 460000 | USD | 365484 | 584 |
|  04/20/2026 | MSCI | SGD | 250000 | USD | 198380 | 64 |
|  04/20/2026 | SSB | SGD | 530000 | USD | 421137 | 706 |
|  03/12/2026 | JPM | USD | 1514555 | AUD | 2150000 | 15454 |
|  05/11/2026 | MSCI | USD | 10536887 | AUD | 14938002 | 89725 |
|  04/30/2026 | SSB | USD | 1296595 | AUD | 1833255 | 7690 |
|  03/12/2026 | SSB | USD | 936406 | AUD | 1320000 | 2949 |
|  03/03/2026 | BCLY | USD | 10501257 | BRL | 57751334 | 763998 |
|  05/05/2026 | BCLY | USD | 10415322 | BRL | 54607535 | 83361 |
|  03/03/2026 | CITI | USD | 1943328 | BRL | 10450000 | 95100 |
|  03/03/2026 | GS | USD | 729141 | BRL | 3850000 | 21859 |
|  05/05/2026 | JPM | USD | 27213039 | BRL | 142446654 | 173333 |
|  03/03/2026 | MSCI | USD | 24148138 | BRL | 133140453 | 1822886 |
|  04/24/2026 | GS | USD | 1487463 | CAD | 2031713 | 5339 |
|  04/09/2026 | MSCI | USD | 7355290 | CAD | 10130000 | 83045 |
|  04/24/2026 | MSCI | USD | 18596729 | CAD | 25360354 | 36799 |
|  04/09/2026 | MSCI | USD | 767087 | CHF | 590312 | 3785 |
|  04/09/2026 | SSB | USD | 2613857 | CHF | 2017265 | 20432 |
|  04/15/2026 | CITI | USD | 241145 | CZK | 5000000 | 2767 |
|  04/15/2026 | JPM | USD | 4500874 | CZK | 93500000 | 60277 |
|  04/15/2026 | MSCI | USD | 463197 | CZK | 9600000 | 5114 |
|  04/30/2026 | BOA | USD | 990544 | EUR | 837024 | 1227 |
|  04/30/2026 | DB | USD | 251818 | EUR | 213000 | 561 |
|  04/30/2026 | GS | USD | 1429035 | EUR | 1207123 | 1259 |
|  05/18/2026 | MSCI | USD | 793600 | EUR | 670000 | 936 |
|  05/19/2026 | GS | USD | 1490887 | HUF | 479520539 | 6196 |
|  05/06/2026 | GS | USD | 4815316 | IDR | 80983900000 | 424 |
|  05/06/2026 | MSCI | USD | 759992 | IDR | 12800000000 | 1165 |
|  05/06/2026 | SSB | USD | 627353 | IDR | 10600000000 | 2980 |
|  04/16/2026 | CITI | USD | 108744 | KRW | 158830175 | 1671 |
|  03/09/2026 | CITI | USD | 2645068 | KRW | 3853785107 | 31835 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br> Date** | **Counter-<br>party** | **Currency** <br>**Sold** | **Currency** <br>**Sold** | **Currency** <br>**Purchased** | **Currency** <br>**Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
|  03/09/2026 | GS | USD | 5130704 | KRW | 7419613265 | 23084 |
|  03/09/2026 | JPM | USD | 7228026 | KRW | 10451219222 | 31566 |
|  04/16/2026 | SSB | USD | 464374 | KRW | 670000000 | 1392 |
|  04/15/2026 | BCLY | USD | 14546070 | MXN | 262118725 | 617369 |
|  03/03/2026 | JPM | USD | 10903710 | MXN | 202220756 | 838292 |
|  05/05/2026 | MSCI | USD | 5931160 | MXN | 102768869 | 3645 |
|  04/15/2026 | SSB | USD | 686983 | MXN | 12000000 | 7212 |
|  04/15/2026 | BCLY | USD | 1188168 | NOK | 11500000 | 21010 |
|  04/15/2026 | MSCI | USD | 17469954 | NOK | 175427768 | 975554 |
|  04/30/2026 | SSB | USD | 40363584 | NOK | 385663892 | 182994 |
|  05/05/2026 | CITI | USD | 428160 | PEN | 1440000 | 272 |
|  04/07/2026 | DB | USD | 287473 | PHP | 17000000 | 6941 |
|  04/07/2026 | GS | USD | 4474728 | PHP | 266300000 | 137184 |
|  04/07/2026 | MSCI | USD | 162113 | PHP | 9500000 | 2412 |
|  03/17/2026 | CITI | USD | 1903321 | SEK | 17200000 | 3353 |
|  03/23/2026 | GS | USD | 862923 | SEK | 7786975 | 561 |
|  03/17/2026 | JPM | USD | 1050658 | SEK | 9500000 | 2447 |
|  03/17/2026 | MSCI | USD | 1292356 | SEK | 11700000 | 4626 |
|  04/20/2026 | SSB | USD | 648404 | SGD | 830000 | 10005 |
|  04/22/2026 | CITI | USD | 1566946 | THB | 48700000 | 5656 |
|  04/30/2026 | BCLY | USD | 4718898 | TRY | 218500000 | 26221 |
|  04/30/2026 | DB | USD | 173550 | ZAR | 2800000 | 1567 |
|  04/30/2026 | MSCI | USD | 15289208 | ZAR | 245800000 | 83556 |
|  04/30/2026 | CITI | ZAR | 2800000 | USD | 175332 | 215 |
|  05/26/2026 | CITI | AUD | 6270831 | USD | 4417561 | (42584) |
|  03/12/2026 | GS | AUD | 1320000 | USD | 935138 | (4217) |
|  05/26/2026 | MSCI | AUD | 23084974 | USD | 16279622 | (139625) |
|  05/11/2026 | SSB | AUD | 14938002 | USD | 10477854 | (148759) |
|  03/12/2026 | SSB | AUD | 9210000 | USD | 6520202 | (33933) |
|  03/03/2026 | BCLY | BRL | 54607535 | USD | 10565042 | (86969) |
|  03/03/2026 | CITI | BRL | 1200000 | USD | 217184 | (16894) |
|  03/03/2026 | GS | BRL | 2350000 | USD | 434911 | (23491) |
|  03/03/2026 | JPM | BRL | 142446654 | USD | 27605941 | (180395) |
|  03/03/2026 | MSCI | BRL | 4587597 | USD | 844477 | (50402) |
|  04/09/2026 | CITI | CAD | 6090000 | USD | 4449238 | (22575) |
|  04/09/2026 | JPM | CAD | 1890000 | USD | 1382168 | (5636) |
|  04/15/2026 | SSB | CHF | 16767275 | USD | 21235830 | (674175) |
|  04/09/2026 | SSB | CHF | 54873906 | USD | 70994756 | (663540) |
|  04/15/2026 | MSCI | CZK | 55600000 | USD | 2680718 | (31581) |
|  04/30/2026 | BOA | EUR | 45877634 | USD | 54286297 | (73084) |
|  04/30/2026 | SSB | EUR | 258000 | USD | 305534 | (164) |
|  04/15/2026 | DB | GBP | 1030000 | USD | 1385458 | (2797) |
|  04/15/2026 | MSCI | GBP | 1660000 | USD | 2228128 | (9254) |
|  05/19/2026 | CITI | HUF | 180000000 | USD | 559441 | (2526) |
|  05/06/2026 | GS | IDR | 29385857000 | USD | 1747369 | (73) |
|  03/18/2026 | MSCI | INR | 22000000 | USD | 241350 | (125) |
|  03/09/2026 | JPM | KRW | 1626584287 | USD | 1124225 | (5628) |
|  04/16/2026 | MSCI | KRW | 1290000000 | USD | 885620 | (11155) |
|  04/16/2026 | SSB | KRW | 640000000 | USD | 438954 | (5957) |

---

15 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Consolidated Schedule of Investments — (Continued)

#### February 28, 2026

#### Forward Currency Contracts — continued

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br> Date** | **Counter-<br>party** | **Currency** <br>**Sold** | **Currency** <br>**Sold** | **Currency** <br>**Purchased** | **Currency** <br>**Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
|  04/15/2026 | CITI | MXN | 3600000 | USD | 208147 | (111) |
|  04/15/2026 | GS | MXN | 3600000 | USD | 208047 | (212) |
|  03/03/2026 | JPM | MXN | 21698412 | USD | 1225466 | (34458) |
|  03/03/2026 | MSCI | MXN | 139496498 | USD | 8084139 | (15762) |
|  03/03/2026 | SSB | MXN | 41025845 | USD | 2305698 | (76479) |
|  04/15/2026 | SSB | MXN | 17100000 | USD | 987499 | (1728) |
|  04/15/2026 | CITI | NOK | 17700000 | USD | 1829119 | (31963) |
|  04/15/2026 | MSCI | NOK | 28900000 | USD | 2893904 | (144812) |
|  03/17/2026 | BCLY | NZD | 2950000 | USD | 1764630 | (5837) |
|  04/30/2026 | BCLY | NZD | 6615314 | USD | 3959579 | (17166) |
|  05/05/2026 | CITI | PEN | 1600000 | USD | 475525 | (510) |
|  05/05/2026 | MSCI | PEN | 720000 | USD | 214002 | (213) |
|  04/07/2026 | GS | PHP | 55000000 | USD | 924183 | (28333) |
|  04/07/2026 | SSB | PHP | 13500000 | USD | 232981 | (818) |
|  05/19/2026 | GS | PLN | 650000 | USD | 181508 | (397) |
|  05/26/2026 | GS | RON | 16141896 | USD | 3708104 | (20294) |
|  03/23/2026 | SSB | SEK | 36900950 | USD | 4043238 | (48644) |
|  04/20/2026 | CITI | SGD | 1270000 | USD | 1003170 | (4275) |
|  04/20/2026 | DB | SGD | 250000 | USD | 198031 | (285) |
|  04/20/2026 | MSCI | SGD | 660000 | USD | 523512 | (43) |
|  04/20/2026 | SSB | SGD | 460000 | USD | 364600 | (301) |
|  04/22/2026 | CITI | THB | 15900000 | USD | 512616 | (820) |
|  05/05/2026 | SSB | TWD | 11400000 | USD | 361735 | (2246) |
|  05/11/2026 | CITI | USD | 662361 | CLP | 570000000 | (9376) |
|  05/11/2026 | DB | USD | 208621 | CLP | 180000000 | (2415) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br> Date** | **Counter-<br>party** | **Currency** <br>**Sold** | **Currency** <br>**Sold** | **Currency** <br>**Purchased** | **Currency** <br>**Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
|  05/11/2026 | MSCI | USD | 860767 | CLP | 734096500 | (19795) |
|  05/11/2026 | CITI | USD | 291788 | COP | 1086500000 | (7119) |
|  05/11/2026 | MSCI | USD | 16644618 | COP | 61953100000 | (412545) |
|  04/15/2026 | CITI | USD | 590483 | CZK | 12000000 | (5094) |
|  04/15/2026 | MSCI | USD | 1056277 | CZK | 21500000 | (7456) |
|  04/15/2026 | DB | USD | 1033688 | GBP | 750000 | (22823) |
|  04/30/2026 | JPM | USD | 1163497 | GBP | 859932 | (4395) |
|  04/15/2026 | MSCI | USD | 3384027 | GBP | 2490000 | (27956) |
|  05/06/2026 | GS | USD | 158903 | IDR | 2670500000 | (100) |
|  05/12/2026 | CITI | USD | 322740 | ILS | 1000000 | (3222) |
|  04/30/2026 | BOA | USD | 53186396 | JPY | 8236653756 | (181098) |
|  03/17/2026 | MSCI | USD | 26057854 | JPY | 3979915155 | (541931) |
|  04/16/2026 | SSB | USD | 448936 | KRW | 640000000 | (4025) |
|  03/17/2026 | BCLY | USD | 10713739 | NZD | 17660000 | (114944) |
|  05/05/2026 | MSCI | USD | 14562818 | PEN | 48860000 | (25896) |
|  03/23/2026 | MSCI | USD | 818435 | SEK | 7333539 | (5232) |
|  03/17/2026 | MSCI | USD | 2073620 | SEK | 18400000 | (33922) |
|  04/22/2026 | CITI | USD | 6641999 | THB | 205247749 | (14217) |
|  05/05/2026 | CITI | USD | 1807131 | TWD | 56356651 | (7766) |
|  04/30/2026 | CITI | ZAR | 3000000 | USD | 186067 | (1559) |
|  04/30/2026 | DB | ZAR | 2800000 | USD | 174788 | (329) |
|  03/27/2026 | SSB | ZAR | 45507763 | USD | 2785256 | (67739) |
|  |  |  |  |  |  | $2700432 |

---

See accompanying notes to the financial statements. 16

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Consolidated Schedule of Investments — (Continued)

#### February 28, 2026

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional**<br>**Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation**<br>**(Depreciation) ($)** |
| Buys |  |  |  |  |
| 49 | Australia Government Bond 10 Yr. | March 2026 | 3855751 | 48208 |
| 63 | Canadian Government Bond | June 2026 | 5673487 | 23844 |
| 726 | Corn<sup>(g)</sup> | May 2026 | 16280550 | 392200 |
| 332 | Cotton<sup>(g)</sup> | May 2026 | 10891260 | 307507 |
| 198 | Euro Bund | March 2026 | 30468197 | 383485 |
| 19 | Gold<sup>(g)</sup> | April 2026 | 9971010 | 593316 |
| 66 | Health Care Select Sector Futures | March 2026 | 10678140 | 347693 |
| 791 | IODEX Futures<sup>(g)</sup> | April 2026 | 7780276 | 127625 |
| 339 | Lean Hogs<sup>(g)</sup> | April 2026 | 12980310 | 505377 |
| 7 | Natural Gas<sup>(g)</sup> | April 2026 | 201670 | (25016) |
| 30 | Platinum<sup>(g)</sup> | April 2026 | 3560250 | 1003107 |
| 197 | S&P 500 E-Mini | March 2026 | 67856650 | (593844) |
| 20 | S&P/TSX 60 Index Futures | March 2026 | 5781313 | 168477 |
| 8 | Silver<sup>(g)</sup> | May 2026 | 3731640 | 420449 |
| 3 | SPI 200 Futures | March 2026 | 489437 | 101 |
| 697 | Sugar<sup>(g)</sup> | April 2026 | 10843090 | 132095 |
| 49 | TOPIX Index | March 2026 | 12326951 | 927515 |
| 16 | U.S. Treasury Note 2 Yr. (CBT) | June 2026 | 3348375 | 6626 |
| 36 | U.S. Treasury Note 5 Yr. (CBT) | June 2026 | 3965063 | 22641 |
| 22 | U.S. Treasury Ultra 10 Yr. (CBT) | June 2026 | 2568156 | 14657 |
| 5 | U.S. Ultra Bond (CBT) | June 2026 | 607969 | 5077 |
| 173 | UK Gilt Long Bond | June 2026 | 21840891 | 311095 |
| 22 | WTI Crude<sup>(g)</sup> | April 2026 | 1471580 | 53224 |
|  |  |  | $247172016 | $5175459 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional**<br>**Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation**<br>**(Depreciation) ($)** |
| Sales |  |  |  |  |
| 220 | CAC40 10 Euro | March 2026 | 22310518 | (645650) |
| 138 | CBOE Volatility Index<sup>(g)</sup> | March 2026 | 2847782 | (22792) |
| 73 | Cocoa<sup>(g)</sup> | May 2026 | 2108240 | 863573 |
| 180 | Coffee<sup>(g)</sup> | May 2026 | 18950625 | 844299 |
| 76 | Copper<sup>(g)</sup> | May 2026 | 11513050 | (146321) |
| 9 | DAX Index Futures | March 2026 | 6738754 | (88612) |
| 416 | E-mini Russell 2000 Index | March 2026 | 54801760 | (680224) |
| 37 | E-mini Technology Select Sector Futures | March 2026 | 10359630 | 416314 |
| 7 | FTSE 100 Index | March 2026 | 1029334 | (12253) |
| 208 | FTSE 100 Index | March 2026 | 23219730 | (537881) |
| 56 | FTSE Taiwan Index | March 2026 | 15639517 | (435285) |
| 136 | Hang Seng Index | March 2026 | 23053907 | 445815 |
| 169 | IFSC NIFTY 50 Index | March 2026 | 8561141 | 79818 |
| 179 | KOSPI 200 Index | March 2026 | 29173827 | (7279516) |
| 126 | Live Cattle Futures<sup>(g)</sup> | April 2026 | 11704140 | 209901 |
| 277 | MSCI Singapore | March 2026 | 10092114 | 105021 |
| 108 | NY Harbor ULSD Futures<sup>(g)</sup> | April 2026 | 11482430 | (949588) |
| 486 | OMX Stockholm 30 Index | March 2026 | 17326021 | (426258) |
| 9 | RBOB Gasoline<sup>(g)</sup> | April 2026 | 866754 | (51260) |
| 54 | Soybean<sup>(g)</sup> | May 2026 | 3161025 | (103636) |
| 44 | Soybean Meal<sup>(g)</sup> | May 2026 | 1410200 | (59795) |
| 560 | Soybean Oil<sup>(g)</sup> | May 2026 | 20781600 | (1447380) |
| 132 | Swiss Market New Index Futures | March 2026 | 23911621 | (865063) |
| 206 | WCE Canola Futures<sup>(g)</sup> | May 2026 | 2077141 | (38707) |
| 194 | Wheat<sup>(g)</sup> | May 2026 | 5737550 | (478817) |
|  |  |  | $338858411 | $(11304297) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

#### Written Options

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Value<br>($)** |
|  **Equity Options – Calls** |  |  |  |  |  |  |
|  Corteva, Inc.<sup>(b)</sup> | 60.00 | 03/20/26 | (9) | USD | (72108) | (18900) |
|  James Hardie Industries PLC<sup>(b)</sup> | 20.00 | 03/20/26 | (615) | USD | (1497525) | (307500) |
|  Kraft Heinz Co.<sup>(b)</sup> | 27.50 | 03/20/26 | (267) | USD | (657087) | (1068) |
|  Cognizant Technology Solutions Corp.<sup>(b)</sup> | 65.00 | 04/17/26 | (110) | USD | (708730) | (39050) |
|  Gitlab, Inc.<sup>(b)</sup> | 45.00 | 04/17/26 | (165) | USD | (433950) | (4125) |
|  GlobalFoundries, Inc.<sup>(b)</sup> | 35.00 | 04/17/26 | (208) | USD | (989040) | (272480) |
|  Solventum Corp.<sup>(b)</sup> | 70.00 | 04/17/26 | (101) | USD | (749420) | (69690) |
|  Cooper Cos., Inc.<sup>(b)</sup> | 70.00 | 05/15/26 | (99) | USD | (828333) | (173250) |
|  Cooper Cos., Inc.<sup>(b)</sup> | 75.00 | 05/15/26 | (76) | USD | (635892) | (98800) |
|  Rentokil Initial PLC<sup>(b)</sup> | 25.00 | 05/15/26 | (216) | USD | (675648) | (162000) |
|  Terex Corp.<sup>(b)</sup> | 47.00 | 05/15/26 | (121) | USD | (832359) | (275880) |
|  Terex Corp.<sup>(b)</sup> | 44.00 | 05/15/26 | (130) | USD | (894270) | (349700) |
|  Charter Communications, Inc.<sup>(b)</sup> | 230.00 | 06/18/26 | (44) | USD | (1032372) | (128480) |
|  International Paper Co.<sup>(b)</sup> | 42.50 | 06/18/26 | (285) | USD | (1241175) | (131100) |
|  Lamb Weston Holdings, Inc.<sup>(b)</sup> | 62.50 | 06/18/26 | (92) | USD | (443348) | (7820) |
|  Lamb Weston Holdings, Inc.<sup>(b)</sup> | 55.00 | 06/18/26 | (102) | USD | (491538) | (20910) |
|  Meta Platforms, Inc.<sup>(b)</sup> | 620.00 | 06/18/26 | (16) | USD | (1037088) | (113520) |

---

17 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Consolidated Schedule of Investments — (Continued)

#### February 28, 2026

#### Written Options — continued

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Value**<br>**($)** |
|  Netflix, Inc.<sup>(b)</sup> | 95.00 | 06/18/26 | (77) | USD | (741048) | (73150) |
|  Warner Bros Discovery, Inc.<sup>(b)</sup> | 29.00 | 06/18/26 | (3485) | USD | (9817245) | (167280) |
|  TFI International, Inc.<sup>(b)</sup> | 85.00 | 07/17/26 | (69) | USD | (826068) | (266340) |
|  Avantor, Inc.<sup>(b)</sup> | 9.00 | 08/21/26 | (510) | USD | (461550) | (102000) |
|  Cognex Corp.<sup>(b)</sup> | 35.00 | 08/21/26 | (154) | USD | (837760) | (340340) |
|  Gitlab, Inc.<sup>(b)</sup> | 25.00 | 08/21/26 | (212) | USD | (557560) | (165360) |
|  LKQ Corp.<sup>(b)</sup> | 32.50 | 08/21/26 | (331) | USD | (1095941) | (129090) |
|  Air Products & Chemicals, Inc.<sup>(b)</sup> | 280.00 | 09/18/26 | (16) | USD | (441072) | (37120) |
|  Becton Dickinson & Co.<sup>(b)</sup> | 200.00 | 09/18/26 | (40) | USD | (705920) | (130000) |
|  Cognizant Technology Solutions Corp.<sup>(b)</sup> | 62.50 | 09/18/26 | (66) | USD | (425238) | (65340) |
|  Comcast Corp.<sup>(b)</sup> | 29.00 | 09/18/26 | (206) | USD | (637776) | (83430) |
|  Comcast Corp.<sup>(b)</sup> | 31.00 | 09/18/26 | (94) | USD | (291024) | (26602) |
|  Fluor Corp.<sup>(b)</sup> | 42.50 | 09/18/26 | (265) | USD | (1386215) | (384250) |
|  Fluor Corp.<sup>(b)</sup> | 47.50 | 09/18/26 | (62) | USD | (324322) | (66960) |
|  Keurig Dr. Pepper, Inc.<sup>(b)</sup> | 28.00 | 09/18/26 | (395) | USD | (1196060) | (165900) |
|  Kimberly-Clark Corp.<sup>(b)</sup> | 100.00 | 09/18/26 | (57) | USD | (635208) | (83505) |
|  Kimberly-Clark Corp.<sup>(b)</sup> | 105.00 | 09/18/26 | (55) | USD | (612920) | (60720) |
|  Kraft Heinz Co.<sup>(b)</sup> | 25.00 | 09/18/26 | (204) | USD | (502044) | (35088) |
|  Meta Platforms, Inc.<sup>(b)</sup> | 630.00 | 09/18/26 | (8) | USD | (518544) | (69640) |
|  Netflix, Inc.<sup>(b)</sup> | 89.00 | 09/18/26 | (48) | USD | (461952) | (76560) |
|  Netflix, Inc.<sup>(b)</sup> | 84.00 | 09/18/26 | (36) | USD | (346464) | (69840) |
|  Penn Entertainment, Inc.<sup>(b)</sup> | 15.00 | 09/18/26 | (531) | USD | (830484) | (172575) |
|  Penn Entertainment, Inc.<sup>(b)</sup> | 12.00 | 09/18/26 | (404) | USD | (631856) | (202404) |
|  Target Corp.<sup>(b)</sup> | 105.00 | 09/18/26 | (104) | USD | (1183416) | (171600) |
|  Jacobs Solutions, Inc.<sup>(b)</sup> | 135.00 | 10/16/26 | (34) | USD | (468724) | (59500) |
|  Solventum Corp.<sup>(b)</sup> | 70.00 | 10/16/26 | (52) | USD | (385840) | (59800) |
|  |  |  | Total Equity Options – Calls | Total Equity Options – Calls | Total Equity Options – Calls | (5438667) |
|  **Index Options – Puts** |  |  |  |  |  |  |
|  S&P 500 Index | 6735.00 | 03/04/26 | (7) | USD | (4815216) | (9842) |
|  S&P 500 Index | 6730.00 | 03/04/26 | (7) | USD | (4815216) | (9590) |
|  S&P 500 Index | 6740.00 | 03/04/26 | (6) | USD | (4127328) | (9000) |
|  S&P 500 Index | 6720.00 | 03/04/26 | (7) | USD | (4815216) | (8750) |
|  S&P 500 Index | 6710.00 | 03/04/26 | (8) | USD | (5503104) | (9120) |
|  S&P 500 Index | 6725.00 | 03/04/26 | (7) | USD | (4815216) | (9037) |
|  S&P 500 Index | 6715.00 | 03/04/26 | (7) | USD | (4815216) | (8400) |
|  E-mini Russell 2000 Index | 2530.00 | 03/06/26 | (46) | USD | (12119620) | (47426) |
|  E-mini Russell 2000 Index | 2535.00 | 03/06/26 | (44) | USD | (11592680) | (52008) |
|  S&P 500 Index | 6640.00 | 03/06/26 | (5) | USD | (3439440) | (7100) |
|  S&P 500 Index | 6940.00 | 03/06/26 | (9) | USD | (6190992) | (81000) |
|  S&P 500 Index | 6650.00 | 03/06/26 | (5) | USD | (3439440) | (7400) |
|  S&P 500 Index | 6660.00 | 03/06/26 | (5) | USD | (3439440) | (8150) |
|  S&P 500 Index | 6645.00 | 03/06/26 | (5) | USD | (3439440) | (7350) |
|  S&P 500 Index | 6655.00 | 03/06/26 | (5) | USD | (3439440) | (7915) |
|  S&P 500 Index | 6635.00 | 03/06/26 | (5) | USD | (3439440) | (6935) |
|  S&P 500 Index | 6630.00 | 03/06/26 | (5) | USD | (3439440) | (6675) |
|  S&P 500 Index | 6920.00 | 03/13/26 | (9) | USD | (6190992) | (91080) |
|  S&P 500 Index | 6940.00 | 03/20/26 | (10) | USD | (6878880) | (127600) |
|  S&P 500 Index | 6940.00 | 03/27/26 | (10) | USD | (6878880) | (139800) |
|  S&P 500 Index | 6875.00 | 04/02/26 | (10) | USD | (6878880) | (125500) |
|  S&P 500 Index | 6910.00 | 04/10/26 | (10) | USD | (6878880) | (150500) |

---

See accompanying notes to the financial statements. 18

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Consolidated Schedule of Investments — (Continued)

#### February 28, 2026

#### Written Options — continued

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Value**<br>**($)** |
|  S&P 500 Index | 6875.00 | 04/17/26 | (10) | USD | (6878880) | (146000) |
|  |  |  | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | (1076178) |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Rate** | **Expiration<br>Date** | **Principal/** <br>**Notional** <br>**Amount** | **Floating** <br>**Rate Index** | **Pay/Receive<br>Floating Rate** | **Value**<br>**($)** |
|  **Written Options on Credit Default Swaps - Puts** | **Written Options on Credit Default Swaps - Puts** |  |  |  |  |  |  |
|  CDX.NA.IG.45 | CITI | 0.65% | 03/18/26 | USD (45000000) | Fixed Spread | Pay | (22173) |
|  |  |  |  | **TOTAL WRITTEN OPTIONS** | **TOTAL WRITTEN OPTIONS** | **TOTAL WRITTEN OPTIONS** |  |
|  |  |  |  | (Premiums $5,185,611) | (Premiums $5,185,611) | (Premiums $5,185,611) | $(6537018) |

---

#### Swap Contracts

#### Centrally Cleared Credit Default Swaps

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum**<br>**Potential**<br>**Amount of**<br>**Future**<br>**Payments by**<br>**the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  ITRAXX.EUR.42 | EUR | 60000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.00% | 0.44% | N/A | 12/20/2029 | Quarterly | (1121256) | (1444861) | (323605) |
|  CDX.NA.IG.45 | USD | 82819000 | 1.00% | 0.95% | N/A | 12/20/2035 | Quarterly | (496918) | (295084) | 201834 |
|  ITRAXX.EUR.44 | EUR | 67772000 | 1.00% | 0.97% | N/A | 12/20/2035 | Quarterly | (261830) | (230629) | 31201 |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.45 | USD | 5965740 | 5.00% | 3.32% | 5,965,740 USD | 12/20/2030 | Quarterly | 453255 | 403052 | (50203) |
|  CDX.NA.IG.45 | USD | 164520000 | 1.00% | 0.56% | 164,520,000 USD | 12/20/2030 | Quarterly | 3589642 | 3188727 | (400915) |
|  ITRAXX.EUR.44 | EUR | 135215000 | 1.00% | 0.55% | 135,215,000 EUR | 12/20/2030 | Quarterly | 3368039 | 3241783 | (126256) |
|  ITRAXX.XO.44 | EUR | 6560000 | 5.00% | 2.60% | 6,560,000 EUR | 12/20/2030 | Quarterly | 808006 | 782009 | (25997) |
|  |  |  |  |  |  |  |  | $6338938 | $5644997 | $(693941) |

---

#### OTC Credit Default Swaps

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-<br>party** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum**<br>**Potential**<br>**Amount of**<br>**Future**<br>**Payments by**<br>**the Fund**<br>**Under the**<br>**Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |  |
|  CMBX.NA.BBB-.18 | CGMI | USD | 13000000 | 3.00% | 5.76% | N/A | 12/17/2057 | Monthly | 1145626 | 1050563 | (95063) |
|  CMBX.NA.BBB-.18 | GS | USD | 6500000 | 3.00% | 5.76% | N/A | 12/17/2057 | Monthly | 418437 | 525281 | 106844 |
|  CMBX.NA.BBB-.18 | GS | USD | 10000000 | 3.00% | 5.76% | N/A | 12/17/2057 | Monthly | 775950 | 808125 | 32175 |
|  CMBX.NA.BBB-.18 | MSCI | USD | 6500000 | 3.00% | 5.76% | N/A | 12/17/2057 | Monthly | 455000 | 525281 | 70281 |
|  CMBX.NA.A.15 | CGMI | USD | 2222000 | 2.00% | 2.93% | N/A | 11/18/2064 | Monthly | 266640 | 91365 | (175275) |
|  CMBX.NA.A.15 | MSCI | USD | 2222500 | 2.00% | 2.93% | N/A | 11/18/2064 | Monthly | 134224 | 91385 | (42839) |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.43 | GS | USD | 3750000 | 5.00% | 1.06% | 3,750,000 USD | 12/20/2029 | Quarterly | 353771 | 530106 | 176335 |
|  CDX.NA.HY.43 | GS | USD | 3750000 | 5.00% | 2.73% | 3,750,000 USD | 12/20/2029 | Quarterly | (198229) | 300544 | 498773 |

---

19 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Consolidated Schedule of Investments — (Continued)

#### February 28, 2026

#### Swap Contracts — continued

#### OTC Credit Default Swaps — continued

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-<br>party** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum**<br>**Potential**<br>**Amount of**<br>**Future**<br>**Payments by**<br>**the Fund**<br>**Under the**<br>**Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  ITRAXX.EUR.42 | BOA | EUR | 100000000 | 1.00% | 0.21% | 100,000,000 EUR | 12/20/2029 | Quarterly | 3480792 | 3466572 | (14220) |
|  ITRAXX.EUR.44 | BOA | EUR | 50000000 | 1.00% | 0.28% | 50,000,000 EUR | 12/20/2030 | Quarterly | 2011826 | 1944293 | (67533) |
|  ITRAXX.XO.44 | BNP | EUR | 20000000 | 5.00% | 0.63% | 20,000,000 EUR | 12/20/2030 | Quarterly | 4655030 | 4533013 | (122017) |
|  CMBX.NA.BBB-.17 | CGMI | USD | 10000000 | 3.00% | 5.63% | 10,000,000 USD | 12/15/2056 | Monthly | (1362500) | (1341500) | 21000 |
|  CMBX.NA.BBB-.17 | GS | USD | 5000000 | 3.00% | 5.63% | 5,000,000 USD | 12/15/2056 | Monthly | (639062) | (670750) | (31688) |
|  CMBX.NA.BBB-.17 | MSCI | USD | 5000000 | 3.00% | 5.63% | 5,000,000 USD | 12/15/2056 | Monthly | (664062) | (670750) | (6688) |
|  CMBX.NA.AAA.10 | GS | USD | 4547289 | 0.50% | 0.21% | 4,547,289 USD | 11/17/2059 | Monthly | 41589 | 6641 | (34948) |
|  CMBX.NA.AAA.15 | CGMI | USD | 4438897 | 0.50% | 0.51% | 4,438,897 USD | 11/18/2064 | Monthly | (165619) | (1522) | 164097 |
|  CMBX.NA.AAA.15 | GS | USD | 1727624 | 0.50% | 0.51% | 1,727,625 USD | 11/18/2064 | Monthly | (26581) | (592) | 25989 |
|  CMBX.NA.AAA.15 | MSCI | USD | 4438897 | 0.50% | 0.51% | 4,438,897 USD | 11/18/2064 | Monthly | (64121) | (1521) | 62600 |
|  |  |  |  |  |  |  |  |  | $10618711 | $11186534 | $567823 |

---

---

| | |
|:---|:---|
| ^ | 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. <br>

<sup>(1)</sup> As of February 28, 2026, 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. 

<sup>(2)</sup> 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**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  4.09% | 3 Month AUD BBSW | AUD | 75700000 | 03/18/2028 | Quarterly | 36780 | 102846 | 66066 |
|  CAD-CORRA-OIS-COMPOUND | 2.56% | CAD | 68600000 | 03/18/2028 | Annually | 52180 | 270566 | 218386 |
|  CHF-SARON-OIS-COMPOUND | 0.08% | CHF | 85400000 | 03/18/2028 | Annually | 19208 | 402280 | 383072 |
|  2.08% | EUR-EuroSTR-COMPOUND | EUR | 23100000 | 03/18/2028 | Annually | (9535) | (100575) | (91040) |
|  3.53% | GBP-SONIA-COMPOUND | GBP | 73800000 | 03/18/2028 | Annually | (26351) | (357810) | (331459) |
|  3 Month NZD Bank Bill Rate | 3.14% | NZD | 75400000 | 03/18/2028 | Quarterly | (9483) | 148863 | 158346 |
|  2.03% | 3 Month SEK STIBOR | SEK | 71200000 | 03/18/2028 | Quarterly |  | (7770) | (7770) |
|  BRL-CDI | 12.95% | BRL | 23603804 | 01/02/2031 | At Maturity | 651 | 16000 | 15349 |
|  MXN-TIIE ON-OIS COMPOUND | 7.89% | MXN | 195900000 | 03/12/2031 | Monthly | 20427 | 347390 | 326963 |
|  1.63% | CNY-CNREPOFIX=CFXS-Reuters | CNY | 68700000 | 03/18/2031 | Quarterly | (2597) | (33934) | (31337) |
|  COP-IBR-OIS-COMPOUND | 10.30% | COP | 20900000000 | 03/18/2031 | Quarterly | (10326) | (266961) | (256635) |
|  CZK-PRIBOR-PRBO | 4.06% | CZK | 210200000 | 03/18/2031 | Semi-Annually | 27200 | 241028 | 213828 |
|  HKD-HIBOR-HKAB | 2.86% | HKD | 3200000 | 03/18/2031 | Quarterly | (2358) | 5698 | 8056 |
|  6.01% | HUF-BUBOR-REUTERS | HUF | 772000000 | 03/18/2031 | Semi-Annually | (3316) | (27202) | (23886) |

---

See accompanying notes to the financial statements. 20

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Consolidated Schedule of Investments — (Continued)

#### February 28, 2026

#### Swap Contracts — continued

#### Centrally Cleared Interest Rate Swaps — continued

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.74% | ILS-SHIR-OIS COMPOUND | ILS | 28200000 | 03/18/2031 | Annually | (55330) | (148632) | (93302) |
|  5.96% | INR-FBIL-MIBOR-OIS-COMPOUND | INR | 263300000 | 03/18/2031 | Semi-Annually | (3874) | 5775 | 9649 |
|  KRW-CD-KSDA-BLOOMBERG | 3.30% | KRW | 9100000000 | 03/18/2031 | Quarterly | 1520 | 24028 | 22508 |
|  MYR-KLIBOR-BNM | 3.46% | MYR | 38100000 | 03/18/2031 | Quarterly | 23011 | 21081 | (1930) |
|  3.93% | PLN-WIBOR-WIBO | PLN | 26500000 | 03/18/2031 | Semi-Annually | (5668) | (57896) | (52228) |
|  2.05% | SGD-SORA-COMPOUND | SGD | 8899000 | 03/18/2031 | Semi-Annually | (65135) | (160355) | (95220) |
|  1.45% | THB-THOR | THB | 199700000 | 03/18/2031 | Quarterly | (20895) | (69682) | (48787) |
|  TWD-REUTERS-6165 | 2.12% | TWD | 140500000 | 03/18/2031 | Quarterly | 15412 | 9540 | (5872) |
|  6.65% | ZAR-JIBAR-SAFEX | ZAR | 76200000 | 03/18/2031 | Quarterly | (14287) | (16667) | (2380) |
|  6 Month AUD BBSW | 4.83% | AUD | 9500000 | 03/18/2036 | Semi-Annually | (5185) | 64698 | 69883 |
|  6 Month AUD BBSW | 4.84% | AUD | 18100000 | 03/18/2036 | Semi-Annually | (5376) | 135730 | 141106 |
|  3.24% | CAD-CORRA-OIS-COMPOUND | CAD | 11600000 | 03/18/2036 | Annually | (26282) | (251755) | (225473) |
|  3.24% | CAD-CORRA-OIS-COMPOUND | CAD | 15400000 | 03/18/2036 | Annually | (58514) | (341120) | (282606) |
|  0.68% | CHF-SARON-OIS-COMPOUND | CHF | 17400000 | 03/18/2036 | Annually | (16514) | (580695) | (564181) |
|  0.68% | CHF-SARON-OIS-COMPOUND | CHF | 17500000 | 03/18/2036 | Annually | (21280) | (593151) | (571871) |
|  EUR-EuroSTR-COMPOUND | 2.74% | EUR | 5200000 | 03/18/2036 | Annually | 10905 | 156094 | 145189 |
|  2.53% | EUR-EuroSTR-COMPOUND | EUR | 2400000 | 03/18/2036 | Annually |  | (18745) | (18745) |
|  GBP-SONIA-COMPOUND | 4.06% | GBP | 20200000 | 03/18/2036 | Annually | (8706) | 384141 | 392847 |
|  GBP-SONIA-COMPOUND | 4.09% | GBP | 17300000 | 03/18/2036 | Annually | 43482 | 376964 | 333482 |
|  4.23% | 3 Month NZD Bank Bill Rate | NZD | 17600000 | 03/18/2036 | Quarterly | 3291 | (249699) | (252990) |
|  3 Month NZD Bank Bill Rate | 4.23% | NZD | 14900000 | 03/18/2036 | Quarterly | 25777 | 212144 | 186367 |
|  3 Month SEK STIBOR | 2.73% | SEK | 18000000 | 03/18/2036 | Quarterly |  | 10970 | 10970 |
|  3 Month SEK STIBOR | 2.78% | SEK | 16000000 | 03/18/2036 | Quarterly |  | 17650 | 17650 |
|  3.80% | USD-SOFR-OIS COMPOUND | USD | 15400000 | 03/18/2036 | Annually | 55777 | (334054) | (389831) |
|  |  |  |  |  |  | $(35391) | $(663217) | $(627826) |

---

#### OTC Total Return Swaps

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic**<br>**Payment**<br>**Frequency** | **Premiums<br>Paid/**<br>**(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/**<br>**(Depreciation) ($)** |
|  0.20% <sup>(g)</sup> | SGI CTA MF (Excess Return) | SOCG | USD | 20474319 | 04/02/2026 | Quarterly |  | 2269810 | 2269810 |
|  0.20% <sup>(g)</sup> | Total Return on BNP Paribas Cross<br>Asset Trend Index | BNP | USD | 18345641 | 04/02/2026 | Quarterly |  | 319863 | 319863 |
|  MSCI Daily Trust<br>Net Growth EAFE Index | 1 Day Overnight Federal Funds Effective Rate plus 0.23% | GS | USD | 435861 | 04/30/2026 | Monthly |  | (14024) | (14024) |
|  0.15% | SG US Strong Balance Sheet Hedged Index | SOCG | USD | 34044071 | 09/17/2026 | Quarterly |  | 36806 | 36806 |
|  0.20% <sup>(g)</sup> | Total Return on BNP Paribas Cross Asset Trend Index | BNP | USD | 20187120 | 01/07/2027 | Quarterly | 113 | 368562 | 368449 |
|  0.20% <sup>(g)</sup> | SGI CTA MF (Excess Return) | SOCG | USD | 18238241 | 01/07/2027 | Quarterly | 101 | 1881566 | 1881465 |
|  1 Day Overnight Federal<br>Funds Effective Rate plus 0.33% | MSCI Daily Total Return<br>Net Value EAFE Index | UBSA | USD | 21008595 | 02/01/2027 | Monthly |  | 1323323 | 1323323 |
|  MSCI Daily Trust Net<br>Growth EAFE Index | 1 Day Overnight Federal Funds<br>Effective Rate plus 0.34% | UBSA | USD | 21064676 | 02/01/2027 | Monthly |  | (792227) | (792227) |

---

21 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Consolidated Schedule of Investments — (Continued)

#### February 28, 2026

#### Swap Contracts — continued

#### OTC Total Return Swaps — continued

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic**<br>**Payment**<br>**Frequency** | **Premiums<br>Paid/**<br>**(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/**<br>**(Depreciation) ($)** |
|  Total Return on Equity Basket <sup>(i)</sup> | 1 Month Federal Funds Rate minus 0.40% | GS | USD | 6671928 | 06/18/2026 | Monthly |  | (111350) | (111350) |
|  Total Return on Equity Basket <sup>(i)</sup> | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 6547073 | 06/18/2026 | Monthly |  | (79765) | (79765) |
|  Total Return on Equity Basket <sup>(j)</sup> | 1 Month Federal Funds Rate minus 0.40% | GS | USD | 18509714 | 06/24/2026 | Monthly |  | (390640) | (390640) |
|  Total Return on Equity Basket <sup>(j)</sup> | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 17413563 | 06/18/2027 | Monthly |  | (354063) | (354063) |
|  Total Return on Equity Basket <sup>(j)</sup> | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 10357508 | 06/18/2027 | Monthly |  | (105464) | (105464) |
|  |  |  |  |  |  |  | $214 | $4352397 | $4352183 |

---

As of February 28, 2026, 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:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(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, written options, repurchase agreements and/or reverse repurchase agreements, if any (Note 4).

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

&nbsp;&nbsp;&nbsp;&nbsp;(c) Securities are traded on separate exchanges for the same entity.

&nbsp;&nbsp;&nbsp;&nbsp;(d) All or a portion of this security is out on loan (Note 2).

&nbsp;&nbsp;&nbsp;&nbsp;(e) Investment valued using significant unobservable inputs (Note 2).

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

&nbsp;&nbsp;&nbsp;&nbsp;(g) 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.

&nbsp;&nbsp;&nbsp;&nbsp;(h) The rate disclosed is the 7 day net yield as of February 28, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;(i) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket swap which has a notional amount of less than 1% of the Fund's total net assets.

See accompanying notes to the financial statements. 22

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Consolidated Schedule of Investments — (Continued)

#### February 28, 2026
&nbsp;&nbsp;&nbsp;&nbsp;(j) Periodic payments made/received are based on the total return of the referenced entity. The following table represents the individual long and/or short positions with in the custom equity basket swap as of February 28, 2026.

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
|  | **Custom equity basket swap with GS as the counterparty:** |  |  |
| (7526) | Aena SME SA | 1.3% | (237206) |
| (133546) | Allefro.eu.SA | 5.5% | (1039251) |
| (17687) | Antofagasta PLC | 5.4% | (1016167) |
| (24200) | AXIA Energia SA | 1.5% | (289229) |
| (2231) | Budimex SA | 2.7% | (503163) |
| (8993) | Capitec Bank Holdings Ltd. | 14.2% | (2679728) |
| (11988) | CD Projekt SA | 4.3% | (814116) |
| (37379) | Cellnex Telecom SA | 7.5% | (1420616) |
| (39132) | Clicks Group Ltd. | 4.1% | (782996) |
| (14000) | Delta Electronics (Thailand) Public Co. Ltd. NVDR | 0.7% | (125381) |
| (1512) | Doosan Co. Ltd. | 7.1% | (1345361) |
| (2261) | Doosan Enerbility Co. Ltd. | 0.9% | (167100) |
| (5186) | eMemory Technology, Inc. | 2.2% | (412434) |
| (12513) | Entain PLC | 0.5% | (96950) |
| (2049) | Fresnillo PLC | 0.6% | (116914) |
| (3085) | Grupo Aeroportuario del Pacífico | 0.5% | (80602) |
| (114) | HD Hyundai Electric Co. Ltd. | 0.4% | (83226) |
| (385) | Hermes International SCA | 4.9% | (925333) |
| (1490) | HLB, Inc. | 0.3% | (53563) |
| (2302) | HYBE Co. Ltd. | 3.3% | (618897) |
| (87) | Hyosung Heavy Industries Corp. | 0.9% | (170537) |
| (9012) | Hyundai Rotem Co. | 7.6% | (1440863) |
| (122) | Kakao Corp. | 0.0% | (5279) |
| (14000) | Kingdee International Software Group Co. Ltd. | 0.1% | (17965) |
| (152400) | Localiza Rent A Car ADR | 8.0% | (1508987) |
| (119) | LPP SA | 3.6% | (688601) |
| (832) | Phoenix Group Holdings PLC | 0.0% | (8594) |
| (18690) | Public Power Corp. | 2.2% | (418264) |
| (1531) | Samsung Biologics Co. Ltd. | 10.0% | (1888923) |
| 74749 | Turk Hava Yollari AO | (2.8%) | 523948 |
| (6094) | Yuhan Corp. | 2.5% | (466428) |
|  | TOTAL COMMON STOCKS |  | $(18898726) |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
|  | **Custom equity basket swap with MORD as the counterparty (Notional Amount of USD 17,413,563):** |  |  |
| (7966) | Antofagasta PLC | 2.5% | (457669) |
| (42163) | Aselsan Elektronik Sanayi ve Ticaret AS | 1.7% | (309239) |
| 940300 | Astra International Tbk PT | (2.1%) | 374144 |
| (1618) | Celltrion, Inc. | 1.5% | (267878) |
| (23024) | Doosan Enerbility Co. Ltd. | 9.6% | (1701595) |
| (821) | Ecopro Co. Ltd. | 0.6% | (105426) |
| (2000) | eMemory Technology, Inc. | 0.9% | (159057) |
| (15808) | Entain PLC | 0.7% | (122480) |
| (6168) | Fresnillo PLC | 2.0% | (351941) |
| (396441) | Hacı Ömer Sabancı Holding AS | 5.1% | (911226) |
| (118) | Hanwha Aerospace Co. Ltd. | 0.6% | (98091) |
| (8530) | HLB, Inc. | 1.7% | (306639) |
| (40500) | Hong Kong Exchange and Clearing Ltd. | 12.2% | (2163710) |
| (1261) | HYBE Co. Ltd. | 1.9% | (339022) |
| (705) | Hyundai Rotem Co. | 0.6% | (112717) |
| 137900 | Indofood Sukses Makmur Tbk | (0.3%) | 53026 |
| (29938) | Informa PLC | 1.9% | (338128) |
| (167500) | Innovent Biologics, Inc. | 10.3% | (1822379) |
| (424) | InterContinental Hotels Group PLC | 0.3% | (58266) |
| (1005000) | Kingdee International Software Group Co. Ltd. | 7.3% | (1289607) |
| (23513) | Korea Aerospace Industries Ltd. | 17.6% | (3124385) |
| (159438) | Salik Co. PJSC | 1.6% | (277931) |
| (834) | Samsung Biologics Co. Ltd. | 5.8% | (1028976) |
| (122777) | Samsung Heavy Industries Co. Ltd. | 13.9% | (2471281) |
| 85890 | Turk Hava Yollari AO | (3.4%) | 602040 |
| (112700) | Xpeng, Inc., Class A | 5.5% | (987987) |
|  | TOTAL COMMON STOCKS |  | $(17776420) |

---

23 See accompanying notes to the financial statements.

------

#### GMO Alternative Allocation Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Consolidated Schedule of Investments — (Continued)

#### February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
|  | **Custom equity basket swap with MORD as the counterparty (Notional Amount of USD 10,357,508):** |  |  |
| (2552) | Aeroports de Paris SA | 3.5% | (356091) |
| (8464) | Ashtead Group PLC | 5.8% | (606249) |
| (5887) | Azrieli Group Ltd. | 8.1% | (845979) |
| (44064) | Barratt Redrow PLC | 2.1% | (215731) |
| (22891) | BP PLC | 1.5% | (148366) |
| (20947) | Cellnex Telecom SA | 7.6% | (796106) |
| (3021) | Dassault Aviation SA | 11.6% | (1213351) |
| (9651) | Edenred SE | 2.1% | (223063) |
| (2831) | EssilorLuxottica SA | 7.2% | (749328) |
| (3850) | Ferrovial SE | 2.7% | (286936) |
| (6740) | Grifols SA | 0.8% | (84560) |
| (210) | Hermes International SCA | 4.8% | (504727) |
| (11246) | Informa PLC | 1.2% | (127015) |
| (1655) | InterContinental Hotels Group PLC | 2.2% | (227431) |
| 12578 | Israel Discount Bank Ltd. | (1.5%) | 152231 |
| (10019) | Land Securities Group PLC | 0.8% | (87042) |
| (1076) | London Stock Exchange Group PLC | 1.2% | (128198) |
| (50646) | Marks + Spencer Group PLC | 2.6% | (270758) |
| 453 | NICE Ltd. | (0.5%) | 51877 |
| 2174 | Nova Ltd. | (9.1%) | 954812 |
| (34288) | Phoenix Group Holdings PLC | 3.4% | (354152) |
| (4175) | Reckitt Benckiser Group PLC | 3.5% | (367813) |
| (16611) | Renault SA | 6.0% | (628196) |
| (28341) | Rentokil Initial PLC | 1.7% | (175100) |
| (53970) | Rolls-Royce Holdings PLC | 9.3% | (970493) |
| (6849) | Severn Trent PLC | 2.9% | (302311) |
| (297722) | Telefonica SA | 12.9% | (1351095) |
| (8639) | United Utilities Group PLC | 1.6% | (161933) |
| (3345) | Whitbread PLC | 1.1% | (117114) |
| (25818) | Wise PLC | 2.9% | (299150) |
|  | TOTAL COMMON STOCKS |  | $(10439368) |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

See accompanying notes to the financial statements. 24

------

#### GMO Benchmark-Free Allocation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 99.9%** |  |
|  | **United States — 99.9%** |  |
| 17585550 | GMO Alternative Allocation Fund, Class VI <sup>(a)</sup> | 335180576 |
| 894423 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 25401625 |
| 1464482 | GMO High Yield Fund, Class VI <sup>(a)</sup> | 25394118 |
| 126344709 | GMO Implementation Fund <sup>(a)</sup> | 2146596608 |
| 2100295 | GMO Opportunistic Income Fund, Class VI <sup>(a)</sup> | 51709256 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $2,120,082,425) | 2584282183 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 3335568 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 3335568 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $3,335,568) | 3335568 |
|  | **TOTAL INVESTMENTS — 100.0%**<br>(Cost $2,123,417,993) | **2587617751** |
|  | Other Assets and Liabilities (net) — (0.0%) | (498087) |
|  | **TOTAL NET ASSETS — 100.0%** | $**2587119664** |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

25 See accompanying notes to the financial statements.

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 59.4%** |  |
|  | **Australia — 1.1%** |  |
| 60270 | Accent Group Ltd. <sup>(a)</sup> | 49602 |
| 26903 | AMP Ltd. | 24853 |
| 127239 | Aurizon Holdings Ltd. | 375700 |
| 172990 | BHP Group Ltd. <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7019115 |
| 30252 | BlueScope Steel Ltd. | 602645 |
| 11005 | Brambles Ltd. <sup>(b)</sup> | 196264 |
| 4066 | Credit Corp. Group Ltd. <sup>(a)</sup> | 35184 |
| 239523 | Fortescue Ltd. | 3597927 |
| 7466 | GrainCorp Ltd. – Class A | 32720 |
| 95164 | Grange Resources Ltd. \* | 15591 |
| 57239 | Harvey Norman Holdings Ltd. | 234319 |
| 66963 | Helia Group Ltd. | 286894 |
| 40119 | HomeCo Daily Needs REIT | 37242 |
| 1129 | JB Hi-Fi Ltd. | 65995 |
| 2164 | Monadelphous Group Ltd. | 49938 |
| 28642 | Nine Entertainment Co. Holdings Ltd. <sup>(b)</sup> | 21499 |
| 19250 | NRW Holdings Ltd. | 89441 |
| 66852 | Perenti Ltd. | 111788 |
| 40531 | Perseus Mining Ltd. | 174221 |
| 120896 | Ramelius Resources Ltd. | 397186 |
| 3379 | Rio Tinto Ltd. <sup>(b)</sup> | 401696 |
| 6906 | Super Retail Group Ltd. | 76255 |
| 31998 | Woodside Energy Group Ltd. | 653303 |
|  | Total Australia | 14549378 |
|  | **Austria — 0.2%** |  |
| 12782 | OMV AG <sup>(a)</sup> | 828020 |
| 311 | Palfinger AG <sup>(a)</sup> | 14246 |
| 23736 | Raiffeisen Bank International AG | 1179202 |
| 8843 | UNIQA Insurance Group AG | 174771 |
| 2918 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 227617 |
| 6839 | voestalpine AG <sup>(a)</sup> | 391397 |
|  | Total Austria | 2815253 |
|  | **Belgium — 0.3%** |  |
| 28168 | Ageas SA | 2090815 |
| 6644 | Barco NV | 85104 |
| 4449 | Bekaert SA | 229616 |
| 716 | KBC Group NV | 96970 |
| 422 | Melexis NV <sup>(a)</sup> | 28299 |
| 72425 | Proximus SADP <sup>(a)</sup> | 597274 |
| 206 | Sofina SA <sup>(a)</sup> | 61191 |
| 12397 | Umicore SA | 264204 |
|  | Total Belgium | 3453473 |
|  | **Brazil — 0.3%** |  |
| 217100 | Banco Bradesco SA | 777943 |
| 4000 | Cia De Sanena Do Parana | 35190 |
| 110200 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 660147 |
| 18100 | Guararapes Confeccoes SA | 35413 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Brazil — continued** |  |
| 7500 | Neoenergia SA | 48088 |
| 8100 | Pagseguro Digital Ltd. – Class A | 85941 |
| 151400 | Vale SA Sponsored ADR <sup>(b)</sup> | 2601052 |
| 6326 | Vibra Energia SA | 36921 |
| 22800 | Vivara Participacoes SA | 138539 |
|  | Total Brazil | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4419234 |
|  | **Canada — 3.3%** |  |
| 11700 | Alimentation Couche-Tard, Inc. <sup>(b)</sup> | 710037 |
| 112700 | B2Gold Corp. <sup>(c)</sup> | 692369 |
| 7580 | B2Gold Corp. <sup>(a) (c)</sup> | 46693 |
| 10700 | Bank of Montreal <sup>(b)</sup> | 1539912 |
| 31200 | Bank of Nova Scotia <sup>(b) (c)</sup> | 2366904 |
| 18342 | Bank of Nova Scotia <sup>(a) (c)</sup> | 1389407 |
| 8300 | Barrick Mining Corp. <sup>(b) (c)</sup> | 421130 |
| 6501 | Barrick Mining Corp. <sup>(b) (c)</sup> | 329861 |
| 5000 | Canadian Imperial Bank of Commerce <sup>(b)</sup> | 505077 |
| 13665 | Canadian Tire Corp. Ltd. – Class A <sup>(b)</sup> | 1916737 |
| 6250 | Canfor Corp. \* | 63002 |
| 31871 | Centerra Gold, Inc. <sup>(c)</sup> | 670247 |
| 12000 | Centerra Gold, Inc. <sup>(c)</sup> | 252220 |
| 16600 | CGI, Inc. <sup>(b)</sup> | 1214044 |
| 2400 | Cogeco Communications, Inc. | 127315 |
| 2356 | Cogeco, Inc. | 127140 |
| 50500 | DPM Metals, Inc. | 2186525 |
| 2900 | DREAM Unlimited Corp. – Class A | 47240 |
| 7400 | Empire Co. Ltd. – Class A | 262463 |
| 300 | Fairfax Financial Holdings Ltd. <sup>(b)</sup> | 516348 |
| 3800 | Finning International, Inc. | 256184 |
| 3400 | iA Financial Corp., Inc. | 386674 |
| 26567 | IGM Financial, Inc. | 1321679 |
| 5783 | Interfor Corp. \* | 42226 |
| 5506 | International Petroleum Corp. \* | 126219 |
| 4400 | Linamar Corp. | 303247 |
| 57286 | Magna International, Inc. <sup>(c)</sup> | 3611882 |
| 5500 | Magna International, Inc. <sup>(a) (c)</sup> | 346802 |
| 49475 | Manulife Financial Corp. <sup>(b) (c)</sup> | 1758342 |
| 29500 | Manulife Financial Corp. <sup>(b) (c)</sup> | 1050412 |
| 21531 | Nutrien Ltd. <sup>(c)</sup> | 1616332 |
| 3400 | Nutrien Ltd. <sup>(b) (c)</sup> | 255714 |
| 53172 | Open Text Corp. <sup>(b) (c)</sup> | 1317070 |
| 31000 | Open Text Corp. <sup>(b) (c)</sup> | 767926 |
| 43800 | Parex Resources, Inc. | 685233 |
| 63024 | Power Corp. of Canada <sup>(b)</sup> | 3165870 |
| 800 | Precision Drilling Corp. \* | 69393 |
| 3100 | Russel Metals, Inc. | 109178 |
| 2145 | Spin Master Corp. | 30271 |
| 28500 | Sun Life Financial, Inc. <sup>(a) (b) (c)</sup> | 1867893 |
| 4900 | Sun Life Financial, Inc. <sup>(b) (c)</sup> | 321195 |
| 1700 | Suncor Energy, Inc. | 96027 |
| 4116 | Torex Gold Resources, Inc. | 250783 |
| 68200 | Toronto-Dominion Bank <sup>(c)</sup> | 6643756 |
| 5044 | Toronto-Dominion Bank <sup>(b) (c)</sup> | 491084 |

---

See accompanying notes to the financial statements. 26

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Canada — continued** |  |
| 8200 | Transcontinental, Inc. – Class A | 139828 |
| 1119 | Wajax Corp. | 25775 |
|  | Total Canada | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42441666 |
|  | **China — 1.9%** |  |
| 396000 | 361 Degrees International Ltd. | 285497 |
| 65000 | 3SBio, Inc. | 183233 |
| 884000 | AviChina Industry & Technology Co. Ltd. – Class H <sup>(a)</sup> | 480027 |
| 52091 | Bank of Communications Co. Ltd. – Class H | 45589 |
| 44500 | Beijing Enterprises Holdings Ltd. | 200135 |
| 906000 | Bosideng International Holdings Ltd. | 561638 |
| 1720000 | China Communications Services Corp. Ltd. – Class H | 976397 |
| 104500 | China Conch Venture Holdings Ltd. | 177192 |
| 376000 | China Construction Bank Corp. – Class H | 382540 |
| 106000 | China Foods Ltd. | 54514 |
| 1058000 | China Greenfresh Group Co. Ltd. <sup>(d)</sup> |  |
| 261000 | China Hongqiao Group Ltd. | 1177238 |
| 308000 | China Lesso Group Holdings Ltd. | 268780 |
| 115000 | China Medical System Holdings Ltd. | 213744 |
| 240000 | China National Building Material Co. Ltd. – Class H | 208089 |
| 218000 | China Nonferrous Mining Corp. Ltd. | 416685 |
| 340000 | China Overseas Land & Investment Ltd. | 621132 |
| 750000 | China Railway Group Ltd. – Class H | 496310 |
| 1342000 | China Reinsurance Group Corp. – Class H | 282516 |
| 134000 | China Sanjiang Fine Chemicals Co. Ltd. \* | 83386 |
| 13000 | China Shineway Pharmaceutical Group Ltd. | 15566 |
| 475000 | China Taiping Insurance Holdings Co. Ltd. | 1383166 |
| 548000 | CITIC Ltd. | 873577 |
| 734000 | Consun Pharmaceutical Group Ltd. | 1687564 |
| 1862000 | CSPC Pharmaceutical Group Ltd. | 2343899 |
| 141000 | ENN Energy Holdings Ltd. | 1237058 |
| 281000 | Fufeng Group Ltd. | 291843 |
| 11500 | Hengan International Group Co. Ltd. | 42784 |
| 34000 | Kunlun Energy Co. Ltd. | 36446 |
| 69700 | Legend Holdings Corp. – Class H \* | 81323 |
| 41500 | Longfor Group Holdings Ltd. <sup>(a)</sup> | 52543 |
| 263000 | Lonking Holdings Ltd. | 114789 |
| 202000 | Minth Group Ltd. | 1129133 |
| 106500 | Orient Overseas International Ltd. <sup>(a)</sup> | 2033972 |
| 106000 | PICC Property & Casualty Co. Ltd. – Class H | 218714 |
| 29407 | Qfin Holdings, Inc. <sup>(a)</sup> | 428166 |
| 82000 | Sany Heavy Equipment International Holdings Co. Ltd. | 164893 |
| 9000 | Shanghai Industrial Holdings Ltd. | 17646 |
| 1304000 | Sino Biopharmaceutical Ltd. | 1005557 |
| 348000 | Sinofert Holdings Ltd. | 82612 |
| 543000 | Sinopec Engineering Group Co. Ltd. – Class H | 549006 |
| 52000 | Skyworth Group Ltd. \* | 46559 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **China — continued** |  |
| 33000 | TCL Electronics Holdings Ltd. | 51647 |
| 18800 | Tencent Holdings Ltd. | 1236924 |
| 111100 | Vipshop Holdings Ltd. ADR <sup>(b)</sup> | 1935362 |
|  | Total China | 24175391 |
|  | **Colombia — 0.0%** |  |
| 3121 | Corp. Financiera Colombiana SA \* | 14307 |
| 2000 | Ecopetrol SA Sponsored ADR | 23780 |
|  | Total Colombia | 38087 |
|  | **Czech Republic — 0.0%** |  |
| 9 | Philip Morris CR AS | 8778 |
|  | **Denmark — 0.4%** |  |
| 216 | AP Moller - Maersk AS – Class A <sup>(b)</sup> | 529074 |
| 820 | AP Moller - Maersk AS – Class B <sup>(b)</sup> | 2035939 |
| 4745 | Genmab AS \* | 1397054 |
| 8541 | H Lundbeck AS | 52470 |
| 799 | Matas AS | 13957 |
| 2223 | Pandora AS | 175729 |
| 21948 | Rockwool AS – B Shares | 727741 |
| 2201 | Scandinavian Tobacco Group AS | 36065 |
|  | Total Denmark | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4968029 |
|  | **Egypt — 0.0%** |  |
| 40417 | Orascom Construction PLC | 419854 |
|  | **Finland — 0.3%** |  |
| 378191 | Nokia OYJ | 2902623 |
| 13744 | Valmet OYJ | 460207 |
|  | Total Finland | 3362830 |
|  | **France — 1.8%** |  |
| 641 | Amundi SA | 61147 |
| 10758 | Aperam SA | 564954 |
| 22277 | ArcelorMittal SA | 1459342 |
| 1270 | Arkema SA | 92488 |
| 6734 | AXA SA <sup>(b)</sup> | 329307 |
| 36791 | BNP Paribas SA | 4130954 |
| 2510 | Capgemini SE <sup>(b)</sup> | 317206 |
| 26509 | Carrefour SA | 502752 |
| 7920 | Cie de Saint-Gobain SA <sup>(b)</sup> | 802627 |
| 3255 | Cie Generale des Etablissements Michelin SCA <sup>(b)</sup> | 131636 |
| 5524 | Coface SA | 102180 |
| 11569 | Credit Agricole SA | 255593 |
| 8028 | Derichebourg SA <sup>(b)</sup> | 89055 |
| 5187 | Eiffage SA | 894459 |
| 8295 | Ipsen SA | 1619205 |
| 1802 | IPSOS SA <sup>(b)</sup> | 73041 |
| 7536 | Metropole Television SA <sup>(b)</sup> | 102978 |
| 6239 | Quadient SA | 99547 |
| 12461 | Rubis SCA <sup>(b)</sup> | 535970 |

---

27 See accompanying notes to the financial statements.

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **France — continued** |  |
| 42967 | Sanofi SA | 4202228 |
| 65 | Schneider Electric SE <sup>(b)</sup> | 21243 |
| 703 | Societe BIC SA <sup>(b)</sup> | 45205 |
| 2517 | Societe Generale SA | 218125 |
| 15188 | STMicroelectronics NV <sup>(a)</sup> | 506165 |
| 21156 | STMicroelectronics NV - NY Shares <sup>(a)</sup> | 711053 |
| 5052 | Teleperformance SE <sup>(b)</sup> | 305468 |
| 18268 | Television Francaise 1 SA <sup>(b)</sup> | 156425 |
| 57563 | TotalEnergies SE <sup>(b)</sup> | 4610889 |
| 46482 | Valeo SE | 670317 |
|  | Total France | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23611559 |
|  | **Germany — 1.3%** |  |
| 31849 | Bayer AG (Registered) | 1575915 |
| 23133 | Bayerische Motoren Werke AG <sup>(b)</sup> | 2424418 |
| 6411 | Continental AG | 552461 |
| 13911 | Daimler Truck Holding AG | 701867 |
| 67760 | Deutsche Bank AG (Registered) <sup>(b)</sup> | 2402305 |
| 37783 | Deutsche Post AG <sup>(b)</sup> | 2224857 |
| 49878 | Deutsche Telekom AG (Registered) <sup>(b)</sup> | 2003108 |
| 141 | Draegerwerk AG & Co. KGaA | 12545 |
| 2682 | DWS Group GmbH & Co. KGaA | 189050 |
| 26312 | E.ON SE <sup>(b)</sup> | 612038 |
| 5755 | Evonik Industries AG | 100063 |
| 13423 | Fresenius Medical Care AG | 625243 |
| 2496 | Henkel AG & Co. KGaA | 226058 |
| 340 | Hornbach Holding AG & Co. KGaA | 34390 |
| 2247 | Kloeckner & Co. SE | 29089 |
| 39743 | Mercedes-Benz Group AG <sup>(b)</sup> | 2749763 |
| 904 | RTL Group SA | 39532 |
| 1235 | Siemens AG (Registered) <sup>(b)</sup> | 357093 |
|  | Total Germany | 16859795 |
|  | **Greece — 0.0%** |  |
| 79621 | Eurobank SA | 368921 |
| 1081 | Motor Oil Hellas Corinth Refineries SA | 46925 |
| 16292 | National Bank of Greece SA | 265016 |
|  | Total Greece | 680862 |
|  | **Hong Kong — 1.1%** |  |
| 98500 | BOC Hong Kong Holdings Ltd. | 563396 |
| 50000 | Chow Sang Sang Holdings International Ltd. | 88884 |
| 234000 | CITIC Telecom International Holdings Ltd. | 78343 |
| 342000 | CK Asset Holdings Ltd. | 2169914 |
| 573000 | CK Hutchison Holdings Ltd. | 4717966 |
| 18800 | Dah Sing Financial Holdings Ltd. | 102049 |
| 66000 | E-Commodities Holdings Ltd. | 7157 |
| 110000 | First Pacific Co. Ltd. | 88842 |
| 104000 | Giordano International Ltd. | 20355 |
| 178000 | IGG, Inc. | 71622 |
| 13000 | Johnson Electric Holdings Ltd. | 51361 |
| 9000 | KLN Logistics Group Ltd. | 8141 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Hong Kong — continued** |  |
| 47800 | Luk Fook Holdings International Ltd. | 179720 |
| 201000 | PAX Global Technology Ltd. | 124739 |
| 58000 | Shun Tak Holdings Ltd. \* <sup>(a)</sup> | 5038 |
| 136000 | SITC International Holdings Co. Ltd. | 580136 |
| 32500 | SmarTone Telecommunications Holdings Ltd. | 21882 |
| 86000 | Sun Hung Kai Properties Ltd. <sup>(b)</sup> | 1598795 |
| 17000 | Techtronic Industries Co. Ltd. | 275327 |
| 22500 | Texhong International Group Ltd. | 19256 |
| 30000 | United Laboratories International Holdings Ltd. <sup>(a)</sup> | 49884 |
| 130000 | VSTECS Holdings Ltd. | 131687 |
| 28600 | VTech Holdings Ltd. | 235564 |
| 2115500 | WH Group Ltd. | 2659493 |
|  | Total Hong Kong | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13849551 |
|  | **Hungary — 0.4%** |  |
| 38325 | Magyar Telekom Telecommunications PLC | 259883 |
| 46742 | MOL Hungarian Oil & Gas PLC | 517388 |
| 27933 | OTP Bank Nyrt | 3443927 |
| 17461 | Richter Gedeon Nyrt | 655014 |
|  | Total Hungary | 4876212 |
|  | **India — 0.7%** |  |
| 78549 | Ashapura Minechem Ltd. | 469379 |
| 327052 | Bharat Petroleum Corp. Ltd. | 1383054 |
| 22795 | Cipla Ltd. | 337953 |
| 5692 | Dhampur Bio Organics Ltd. | 6401 |
| 13860 | Dr. Reddy's Laboratories Ltd. ADR <sup>(a)</sup> | 199307 |
| 7324 | Dr. Reddy's Laboratories Ltd. | 104225 |
| 197458 | Hindalco Industries Ltd. | 2011081 |
| 70868 | Hindustan Petroleum Corp. Ltd. | 341624 |
| 124252 | Indian Oil Corp. Ltd. | 255435 |
| 1227 | KRBL Ltd. | 4593 |
| 165810 | Manappuram Finance Ltd. | 514487 |
| 28549 | Muthoot Finance Ltd. | 1051606 |
| 670513 | NMDC Ltd. | 601166 |
| 489328 | Oil & Natural Gas Corp. Ltd. | 1504871 |
| 31270 | Power Finance Corp. Ltd. | 141855 |
| 56969 | Shriram Finance Ltd. | 677405 |
| 18897 | Siyaram Silk Mills Ltd. | 110498 |
|  | Total India | 9714940 |
|  | **Indonesia — 0.4%** |  |
| 1584300 | Aneka Tambang Tbk. PT | 411939 |
| 7791200 | Astra International Tbk. PT | 3100103 |
| 1849200 | Indofood Sukses Makmur Tbk. PT | 711062 |
| 3579400 | Perusahaan Gas Negara Persero Tbk. PT | 510026 |
| 85900 | Tempo Scan Pacific Tbk. PT | 13933 |
|  | Total Indonesia | 4747063 |
|  | **Ireland — 0.0%** |  |
| 27298 | AIB Group PLC | 283348 |

---

See accompanying notes to the financial statements. 28

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Ireland — continued** |  |
| 5457 | Bank of Ireland Group PLC | 106255 |
| 7850 | Origin Enterprises PLC | 39234 |
| 9611 | Permanent TSB Group Holdings PLC \* | 36155 |
|  | Total Ireland | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;464992 |
|  | **Israel — 0.7%** |  |
| 118811 | Bank Hapoalim BM | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2998566 |
| 72084 | Bank Leumi Le-Israel BM | 1745119 |
| 25456 | Bezeq The Israeli Telecommunication Corp. Ltd. | 67125 |
| 270 | Check Point Software Technologies Ltd. \* | 41059 |
| 1082 | Delek Group Ltd. | 331964 |
| 65897 | ICL Group Ltd. | 312320 |
| 79267 | Israel Discount Bank Ltd. – Class A | 959366 |
| 4093 | Mizrahi Tefahot Bank Ltd. | 306658 |
| 12779 | Nice Ltd. Sponsored ADR\* <sup>(b)</sup> | 1485559 |
| 252 | Nice Ltd. \* | 28858 |
| 81196 | Oil Refineries Ltd. | 26469 |
| 28664 | ZIM Integrated Shipping Services Ltd. | 826383 |
|  | Total Israel | 9129446 |
|  | **Italy — 1.0%** |  |
| 10516 | Banca IFIS SpA | 304998 |
| 72070 | Banco BPM SpA | 1061602 |
| 57848 | BPER Banca SpA | 814727 |
| 6353 | Buzzi SpA | 366272 |
| 9917 | Credito Emiliano SpA | 182249 |
| 5258 | d'Amico International Shipping SA | 48314 |
| 4144 | Esprinet SpA | 29617 |
| 18309 | Intesa Sanpaolo SpA <sup>(b)</sup> | 125628 |
| 48085 | Iren SpA <sup>(b)</sup> | 161168 |
| 17293 | Italgas SpA <sup>(b)</sup> | 222865 |
| 17891 | MFE-MediaForEurope NV – Class A <sup>(b)</sup> | 65326 |
| 231763 | Stellantis NV | 1880493 |
| 3190607 | Telecom Italia SpA \* | 2394103 |
| 28246 | Tenaris SA | 772073 |
| 16434 | Tenaris SA ADR | 894010 |
| 124195 | Unipol Assicurazioni SpA | 3089785 |
|  | Total Italy | 12413230 |
|  | **Japan — 15.9%** |  |
| 2000 | ADEKA Corp. | 61375 |
| 53200 | AGC, Inc. | 2359474 |
| 3600 | Ai Holdings Corp. | 67323 |
| 5100 | Aichi Corp. | 47833 |
| 23900 | Air Water, Inc. | 331869 |
| 4500 | Anritsu Corp. | 86626 |
| 2600 | AOKI Holdings, Inc. | 30135 |
| 3000 | Arata Corp. | 59146 |
| 66400 | Asahi Group Holdings Ltd. | 722939 |
| 40600 | Asahi Kasei Corp. | 478488 |
| 6500 | Asahi Yukizai Corp. <sup>(a)</sup> | 211105 |
| 2600 | ASKUL Corp. | 21676 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| 8800 | Axial Retailing, Inc. | 73493 |
| 7600 | Bandai Namco Holdings, Inc. | 206051 |
| 3600 | Bando Chemical Industries Ltd. | 55011 |
| 81800 | Brother Industries Ltd. | 1689663 |
| 900 | Buffalo, Inc. | 30380 |
| 8400 | Bunka Shutter Co. Ltd. | 115895 |
| 15200 | Canon Marketing Japan, Inc. | 680906 |
| 2700 | Canon, Inc. | 81599 |
| 1400 | Central Glass Co. Ltd. | 39531 |
| 1300 | Chiyoda Integre Co. Ltd. | 28422 |
| 73500 | Chubu Electric Power Co., Inc. <sup>(b)</sup> | 1241342 |
| 4100 | Citizen Watch Co. Ltd. | 50173 |
| 1000 | Create SD Holdings Co. Ltd. | 21765 |
| 126100 | Credit Saison Co. Ltd. | 3839558 |
| 49400 | Dai Nippon Printing Co. Ltd. <sup>(b)</sup> | 1026641 |
| 1100 | Dai Nippon Toryo Co. Ltd. | 10518 |
| 84100 | Daicel Corp. | 882821 |
| 6800 | Dai-Dan Co. Ltd. | 159118 |
| 2300 | Daido Steel Co. Ltd. | 35054 |
| 2400 | Daiichi Jitsugyo Co. Ltd. | 54852 |
| 1600 | Daikin Industries Ltd. | 203288 |
| 47400 | Daito Trust Construction Co. Ltd. | 1091516 |
| 53300 | Daiwa House Industry Co. Ltd. | 1923409 |
| 101910 | Daiwabo Holdings Co. Ltd. | 2085062 |
| 73200 | Denka Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1723234 |
| 29200 | Denso Corp. | 418959 |
| 1600 | Dowa Holdings Co. Ltd. | 118182 |
| 6000 | DTS Corp. <sup>(b)</sup> | 43868 |
| 4500 | Ebara Corp. | 158055 |
| 700 | Elecom Co. Ltd. | 8030 |
| 8400 | Electric Power Development Co. Ltd. <sup>(b)</sup> | 200611 |
| 46000 | EXEO Group, Inc. | 881443 |
| 700 | Ferrotec Corp. <sup>(a)</sup> | 28408 |
| 78700 | Fuji Corp. | 3059796 |
| 2900 | Fuji Electric Co. Ltd. | 257041 |
| 4300 | Fuji Seal International, Inc. | 79230 |
| 137000 | FUJIFILM Holdings Corp. | 2817269 |
| 100 | Fukuda Denshi Co. Ltd. | 6434 |
| 20500 | Glory Ltd. | 545625 |
| 149600 | H.U. Group Holdings, Inc. | 3217725 |
| 2300 | Hakuto Co. Ltd. | 65195 |
| 13700 | Haseko Corp. | 299305 |
| 30000 | Hitachi Construction Machinery Co. Ltd. | 1347869 |
| 65000 | Hogy Medical Co. Ltd. | 2793312 |
| 218400 | Honda Motor Co. Ltd. <sup>(b)</sup> | 2187809 |
| 40859 | Honda Motor Co. Ltd. Sponsored ADR <sup>(b)</sup> | 1232307 |
| 7500 | Horiba Ltd. | 1007275 |
| 3300 | Hosiden Corp. | 62015 |
| 46100 | IDOM, Inc. <sup>(a)</sup> | 453770 |
| 1700 | Inaba Denki Sangyo Co. Ltd. | 31254 |
| 38100 | Inabata & Co. Ltd. | 1062809 |
| 274300 | Inpex Corp. | 6696406 |
| 179500 | Isuzu Motors Ltd. | 3345513 |
| 28500 | ITOCHU Corp. <sup>(b)</sup> | 412647 |

---

29 See accompanying notes to the financial statements.

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| 12000 | Itochu Enex Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;160309 |
| 500 | Itochu-Shokuhin Co. Ltd. | 41999 |
| 36900 | Iwatani Corp. | 486406 |
| 1000 | Japan Lifeline Co. Ltd. | 10225 |
| 4300 | Japan Petroleum Exploration Co. Ltd. | 65822 |
| 57400 | Japan Post Holdings Co. Ltd. <sup>(b)</sup> | 747500 |
| 37300 | Japan Post Insurance Co. Ltd. | 1217505 |
| 62600 | Jeol Ltd. | 2751916 |
| 43900 | Kaga Electronics Co. Ltd. | 1223510 |
| 17700 | Kajima Corp. | 809429 |
| 2700 | Kamei Corp. | 58670 |
| 17200 | Kanadevia Corp. | 119610 |
| 6800 | Kandenko Co. Ltd. | 303821 |
| 20000 | Kaneka Corp. | 676007 |
| 315000 | Kanematsu Corp. | 4951848 |
| 43500 | Kawasaki Kisen Kaisha Ltd. <sup>(a)</sup> | 699340 |
| 36400 | KDDI Corp. | 625261 |
| 69300 | Kirin Holdings Co. Ltd. | 1202890 |
| 18700 | Kitz Corp. | 257852 |
| 21100 | Kobe Steel Ltd. | 307045 |
| 13900 | Kohnan Shoji Co. Ltd. | 385467 |
| 64800 | Komatsu Ltd. <sup>(b)</sup> | 3110423 |
| 7400 | Komeri Co. Ltd. | 173593 |
| 12800 | Kraftia Corp. | 865971 |
| 104100 | Kubota Corp. | 2116061 |
| 105700 | Kumiai Chemical Industry Co. Ltd. | 496963 |
| 38600 | Kyocera Corp. | 681739 |
| 42300 | Macnica Holdings, Inc. | 747592 |
| 29400 | Marubeni Corp. | 1125072 |
| 83800 | Maruha Nichiro Corp. | 850678 |
| 119500 | Maruichi Steel Tube Ltd. | 1243333 |
| 1000 | Maruzen Showa Unyu Co. Ltd. | 58699 |
| 2300 | Matsuda Sangyo Co. Ltd. <sup>(b)</sup> | 129022 |
| 150900 | Maxell Ltd. | 2209721 |
| 87200 | Mazda Motor Corp. <sup>(a)</sup> | 772168 |
| 26300 | MCJ Co. Ltd. | 385737 |
| 1000 | Medipal Holdings Corp. | 19597 |
| 6800 | Megmilk Snow Brand Co. Ltd. | 152530 |
| 129500 | Mitsubishi Electric Corp. <sup>(b)</sup> | 4929159 |
| 2200 | Mitsubishi Research Institute, Inc. <sup>(b)</sup> | 70875 |
| 78100 | Mitsui & Co. Ltd. <sup>(b)</sup> | 2927945 |
| 2400 | Mitsui DM Sugar Co. Ltd. | 54539 |
| 54200 | Mitsui OSK Lines Ltd. <sup>(a)</sup> | 2011069 |
| 111100 | Mizuno Corp. | 2885849 |
| 59900 | Morinaga & Co. Ltd. | 1108906 |
| 5300 | MS&AD Insurance Group Holdings, Inc. <sup>(b)</sup> | 147692 |
| 11900 | Murata Manufacturing Co. Ltd. | 311184 |
| 16300 | Musashi Seimitsu Industry Co. Ltd. | 325159 |
| 71600 | NEC Corp. <sup>(b)</sup> | 1984987 |
| 45800 | NGK Insulators Ltd. | 1341536 |
| 49500 | NH Foods Ltd. | 2269498 |
| 2500 | Nichias Corp. | 153856 |
| 2200 | Nichiha Corp. | 52302 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| 2400 | Nichireki Group Co. Ltd. | 37537 |
| 7900 | Nippn Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;145043 |
| 800 | Nippon Densetsu Kogyo Co. Ltd. | 27011 |
| 13100 | Nippon Kayaku Co. Ltd. | 168112 |
| 6100 | Nippon Light Metal Holdings Co. Ltd. | 121666 |
| 24600 | Nippon Shinyaku Co. Ltd. | 812069 |
| 2700 | Nippon Soda Co. Ltd. | 72327 |
| 2800 | Nippon Television Holdings, Inc. <sup>(b)</sup> | 60948 |
| 119200 | Nippon Yusen KK <sup>(a)</sup> | 4092887 |
| 578900 | Nissan Motor Co. Ltd. \* | 1594841 |
| 11900 | Niterra Co. Ltd. | 600082 |
| 6500 | Nittetsu Mining Co. Ltd. | 173948 |
| 7300 | Nitto Denko Corp. | 169290 |
| 135400 | Nojima Corp. | 1011178 |
| 36000 | Nomura Real Estate Holdings, Inc. | 267986 |
| 2300 | Noritake Co. Ltd. | 103032 |
| 5300 | NS United Kaiun Kaisha Ltd. | 259361 |
| 2441500 | NTT, Inc. <sup>(b)</sup> | 2388603 |
| 1100 | Obara Group, Inc. | 41440 |
| 169800 | Oisix ra daichi, Inc. | 1547771 |
| 53700 | Okamura Corp. <sup>(b)</sup> | 939588 |
| 18400 | Oki Electric Industry Co. Ltd. | 378971 |
| 84300 | Ono Pharmaceutical Co. Ltd. | 1449257 |
| 1300 | Open House Group Co. Ltd. | 96213 |
| 90900 | Optex Group Co. Ltd. | 1859561 |
| 32100 | ORIX Corp. <sup>(b)</sup> | 1126681 |
| 21700 | Osaka Gas Co. Ltd. <sup>(b)</sup> | 905845 |
| 2200 | Otsuka Holdings Co. Ltd. | 151603 |
| 900 | PALTAC Corp. | 29116 |
| 310100 | Panasonic Holdings Corp. | 5000689 |
| 185100 | Penta-Ocean Construction Co. Ltd. | 2515693 |
| 17400 | Persol Holdings Co. Ltd. <sup>(b)</sup> | 27805 |
| 1800 | Prima Meat Packers Ltd. | 33485 |
| 3900 | Raito Kogyo Co. Ltd. | 108794 |
| 77800 | Renesas Electronics Corp. | 1467215 |
| 10800 | Ricoh Co. Ltd. | 101467 |
| 42200 | Rohto Pharmaceutical Co. Ltd. | 661177 |
| 5700 | Sakai Moving Service Co. Ltd. | 106836 |
| 26300 | Sakata INX Corp. | 451071 |
| 26800 | San-Ai Obbli Co. Ltd. | 440488 |
| 20700 | Sankyo Co. Ltd. | 291809 |
| 41400 | Sankyu, Inc. | 2662959 |
| 1900 | SCREEN Holdings Co. Ltd. <sup>(a)</sup> | 276977 |
| 133800 | Sega Sammy Holdings, Inc. | 2239230 |
| 36700 | Seiko Epson Corp. | 496999 |
| 146300 | Sekisui Chemical Co. Ltd. | 2849033 |
| 73800 | Sekisui House Ltd. | 1802945 |
| 2900 | Sekisui Jushi Corp. | 46070 |
| 4200 | Shinagawa Refra Co. Ltd. | 67216 |
| 3600 | Shinnihon Corp. | 50702 |
| 183900 | Shionogi & Co. Ltd. | 4342300 |
| 96700 | Ship Healthcare Holdings, Inc. | 1704114 |
| 700 | Sinanen Holdings Co. Ltd. | 31881 |
| 5000 | Sinko Industries Ltd. | 45794 |

---

See accompanying notes to the financial statements. 30

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| 7700 | SMS Co. Ltd. <sup>(b)</sup> | 86404 |
| 27500 | Sojitz Corp. | 1244153 |
| 59800 | Stanley Electric Co. Ltd. | 1261046 |
| 22200 | Starts Corp., Inc. | 759258 |
| 107900 | Subaru Corp. | 2023891 |
| 98800 | SUMCO Corp. | 1149709 |
| 29400 | Sumitomo Corp. <sup>(b)</sup> | 1248417 |
| 56000 | Sumitomo Electric Industries Ltd. | 3700434 |
| 138300 | Sumitomo Forestry Co. Ltd. | 1495467 |
| 94000 | Sumitomo Mitsui Financial Group, Inc. | 3547144 |
| 71800 | Sumitomo Mitsui Trust Group, Inc. | 2503586 |
| 6700 | Sun Frontier Fudousan Co. Ltd. | 121520 |
| 30600 | Suntory Beverage & Food Ltd. | 962301 |
| 41800 | Suzuki Motor Corp. | 632157 |
| 88000 | T&D Holdings, Inc. | 2370055 |
| 16800 | TDK Corp. | 259533 |
| 40000 | THK Co. Ltd. | 1439981 |
| 1900 | Toa Corp. | 51344 |
| 3200 | Tokuyama Corp. | 91678 |
| 500 | Tokyo Electron Ltd. | 140687 |
| 19800 | Tokyo Gas Co. Ltd. <sup>(b)</sup> | 971967 |
| 69300 | Tokyo Steel Manufacturing Co. Ltd. | 718358 |
| 4900 | Tokyu Fudosan Holdings Corp. | 49284 |
| 172400 | Tosei Corp. | 1820478 |
| 62100 | Tosoh Corp. | 1085267 |
| 87000 | TOTO Ltd. | 3390437 |
| 71800 | Toyo Tire Corp. | 2212590 |
| 30600 | Toyoda Gosei Co. Ltd. | 994374 |
| 7100 | Toyota Boshoku Corp. | 145198 |
| 32200 | Toyota Motor Corp. <sup>(b)</sup> | 780153 |
| 83900 | Toyota Tsusho Corp. | 3750381 |
| 2500 | Tsubakimoto Chain Co. | 42796 |
| 11500 | Tsugami Corp. | 290280 |
| 100 | Tsumura & Co. | 2691 |
| 28100 | Unicharm Corp. | 192280 |
| 69100 | Valqua Ltd. | 2373940 |
| 3400 | Wacoal Holdings Corp. <sup>(a)</sup> | 98791 |
| 32700 | YAMABIKO Corp. | 803020 |
| 184200 | Yamaha Corp. | 1427495 |
| 123300 | Yamaha Motor Co. Ltd. <sup>(a)</sup> | 980478 |
| 5300 | Yamazen Corp. | 52076 |
| 7800 | Yellow Hat Ltd. | 87788 |
| 9600 | Yokogawa Bridge Holdings Corp. | 197265 |
| 8100 | Yokohama Rubber Co. Ltd. | 407428 |
| 6200 | Yuasa Trading Co. Ltd. | 256809 |
| 71000 | Zenkoku Hosho Co. Ltd. | 1462071 |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;205618516 |
|  | **Kuwait — 0.1%** |  |
| 239050 | A'ayan Leasing & Investment Co. KSCP | 175604 |
| 48653 | Agility Public Warehousing Co. KSCC | 21863 |
| 32068 | Combined Group Contracting Co. SAK | 101528 |
| 20889 | Mobile Telecommunications Co. KSCP | 36896 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Kuwait — continued** |  |
| 140 | National Bank of Kuwait SAKP | 430 |
| 3200 | National Mobile Telecommunications Co. KSC | 17043 |
| 359395 | Noor Financial Investment Co. KSC | 473559 |
|  | Total Kuwait | 826923 |
|  | **Mexico — 0.3%** |  |
| 202072 | Cemex SAB de CV Sponsored ADR | 2527921 |
| 13929 | El Puerto de Liverpool SAB de CV – Class C1 | 87090 |
| 367800 | Gentera SAB de CV | 1067607 |
| 11022 | Grupo Financiero Banorte SAB de CV – Class O | 125330 |
| 4200 | Grupo Mexico SAB de CV – Series B | 53228 |
| 815 | Unifin Financiera SAB de CV \* <sup>(d)</sup> |  |
|  | Total Mexico | 3861176 |
|  | **Netherlands — 1.3%** |  |
| 62148 | ABN AMRO Bank NV | 2081508 |
| 22952 | Aegon Ltd. | 174673 |
| 4782 | Akzo Nobel NV | 335930 |
| 2281 | ASML Holding NV—NY Shares (Registered) <sup>(a)</sup> | 3308727 |
| 11722 | DSM-Firmenich AG | 837182 |
| 18336 | EXOR NV | 1609151 |
| 58564 | ING Groep NV | 1689743 |
| 4101 | JDE Peet's NV | 153744 |
| 12392 | Koninklijke Ahold Delhaize NV <sup>(b)</sup> | 612335 |
| 22509 | Koninklijke BAM Groep NV | 254011 |
| 39729 | Magnum Ice Cream Co. NV \* | 630737 |
| 44497 | NN Group NV | 3649534 |
| 18401 | SBM Offshore NV | 710900 |
| 48462 | Signify NV <sup>(a)</sup> | 1129108 |
|  | Total Netherlands | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17177283 |
|  | **New Zealand — 0.0%** |  |
| 42555 | Meridian Energy Ltd. <sup>(b)</sup> | 144276 |
|  | **Norway — 0.7%** |  |
| 57100 | Aker Solutions ASA | 247643 |
| 3644 | BW LPG Ltd. | 66326 |
| 81031 | Elkem ASA | 260776 |
| 146232 | Equinor ASA | 4381719 |
| 17977 | Europris ASA | 171893 |
| 38535 | Hoegh Autoliners ASA | 536799 |
| 57117 | MPC Container Ships ASA | 133913 |
| 134966 | Norsk Hydro ASA | 1252272 |
| 18285 | Odfjell Drilling Ltd. | 205087 |
| 80012 | Orkla ASA | 1095368 |
| 1648 | Selvaag Bolig ASA | 6065 |
| 4613 | Stolt-Nielsen Ltd. | 163425 |
| 20284 | Storebrand ASA | 384518 |
| 30285 | Wallenius Wilhelmsen ASA | 421271 |

---

31 See accompanying notes to the financial statements.

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Norway — continued** |  |
| 3267 | Yara International ASA | 165383 |
|  | Total Norway | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9492458 |
|  | **Philippines — 0.0%** |  |
| 2790 | GT Capital Holdings, Inc. | 32416 |
| 426600 | LT Group, Inc. | 115560 |
| 583080 | Megaworld Corp. | 22852 |
| 19200 | Synergy Grid & Development Phils, Inc. | 6651 |
|  | Total Philippines | 177479 |
|  | **Poland — 0.2%** |  |
| 258 | KGHM Polska Miedz SA \* | 24330 |
| 54694 | ORLEN SA | 1761649 |
| 93044 | PGE Polska Grupa Energetyczna SA \* | 293846 |
|  | Total Poland | 2079825 |
|  | **Portugal — 0.1%** |  |
| 549001 | Banco Comercial Portugues SA – Class R | 576639 |
| 46932 | Navigator Co. SA <sup>(a)</sup> | 190708 |
| 7645 | NOS SGPS SA | 46539 |
| 39049 | REN - Redes Energeticas Nacionais SGPS SA | 177440 |
| 206269 | Sonae SGPS SA | 491207 |
|  | Total Portugal | 1482533 |
|  | **Qatar — 0.0%** |  |
| 14036 | Qatar National Bank QPSC | 74516 |
|  | **Russia — 0.0%** |  |
| 3038020 | Alrosa PJSC \* <sup>(d) (e)</sup> |  |
| 160792062 | Federal Grid Co-Rosseti PJSC \* <sup>(d) (e)</sup> |  |
| 180610 | Gazprom Neft PJSC \* <sup>(d) (e)</sup> |  |
| 2050858 | Gazprom PJSC \* <sup>(d) (e)</sup> |  |
| 455400 | GMK Norilskiy Nickel PAO \* <sup>(d) (e)</sup> |  |
| 6310100 | Inter RAO UES PJSC \* <sup>(d) (e)</sup> |  |
| 19776 | LSR Group PJSC \* <sup>(d) (e)</sup> |  |
| 1 | LSR Group PJSC GDR \* <sup>(d) (e)</sup> |  |
| 74944 | LUKOIL PJSC \* <sup>(d) (e)</sup> |  |
| 1863335 | Magnitogorsk Iron & Steel Works PJSC \* <sup>(d) (e)</sup> |  |
| 25400 | Mechel PJSC \* <sup>(d) (e)</sup> |  |
| 361420 | Moscow Exchange MICEX-RTS PJSC \* <sup>(d) (e)</sup> |  |
| 3294000 | Mosenergo PJSC \* <sup>(d) (e)</sup> |  |
| 75720 | Novatek PJSC \* <sup>(d) (e)</sup> |  |
| 1212010 | Novolipetsk Steel PJSC \* <sup>(d) (e)</sup> |  |
| 3466 | PhosAgro PJSC \* <sup>(d) (e)</sup> |  |
| 67 | PhosAgro PJSC GDR \* <sup>(d) (e)</sup> |  |
| 102150 | Polyus PJSC \* <sup>(d) (e)</sup> |  |
| 1 | Polyus PJSC GDR \* <sup>(d) (e)</sup> |  |
| 24471200 | RusHydro PJSC \* <sup>(d) (e)</sup> |  |
| 3677652 | Sberbank of Russia PJSC \* <sup>(d) (e)</sup> |  |
| 425 | Severstal PAO \* <sup>(d) (e)</sup> |  |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Russia — continued** |  |
| 91185 | Severstal PAO GDR (Registered) \* <sup>(d) (e)</sup> |  |
| 11580 | SFI PJSC \* <sup>(d) (e)</sup> |  |
| 5940620 | Surgutneftegas PAO \* <sup>(d) (e)</sup> |  |
| 332388 | Tatneft PJSC \* <sup>(d) (e)</sup> |  |
| 1300440 | Unipro PAO \* <sup>(d) (e)</sup> |  |
| 50950 | United Co. RUSAL International PJSC \* <sup>(d) (e)</sup> |  |
|  | Total Russia |  |
|  | **Saudi Arabia — 0.3%** |  |
| 11400 | Banque Saudi Fransi | 60211 |
| 5854 | Etihad Etisalat Co. | 100204 |
| 56131 | Riyad Bank | 414195 |
| 2067 | SABIC Agri-Nutrients Co. | 68129 |
| 11977 | Saudi Awwal Bank | 109043 |
| 182592 | Saudi National Bank | 2023095 |
| 53085 | Saudi Telecom Co. | 591368 |
|  | Total Saudi Arabia | 3366245 |
|  | **Singapore — 0.5%** |  |
| 29900 | Bumitama Agri Ltd. | 31174 |
| 171800 | ComfortDelGro Corp. Ltd. | 210323 |
| 1400 | DBS Group Holdings Ltd. | 63063 |
| 35500 | First Real Estate Investment Trust – (REIT) | 7309 |
| 84500 | First Resources Ltd. | 157897 |
| 320400 | Golden Agri-Resources Ltd. | 72112 |
| 77000 | Oversea-Chinese Banking Corp. Ltd. | 1303085 |
| 7800 | Sheng Siong Group Ltd. | 16210 |
| 74700 | StarHub Ltd. <sup>(a)</sup> | 60779 |
| 11300 | United Overseas Bank Ltd. | 329705 |
| 21100 | UOL Group Ltd. | 188036 |
| 18500 | Venture Corp. Ltd. | 228432 |
| 11000 | Wilmar International Ltd. | 30581 |
| 219000 | Yangzijiang Financial Holding Ltd. | 53489 |
| 52300 | Yangzijiang Maritime Development Ltd. \* | 25763 |
| 1125799 | Yangzijiang Shipbuilding Holdings Ltd. | 3847947 |
| 98000 | Yanlord Land Group Ltd. \* | 59930 |
|  | Total Singapore | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6685835 |
|  | **South Africa — 0.0%** |  |
| 4719 | Ninety One Ltd. | 16140 |
| 79552 | Old Mutual Ltd. | 82339 |
|  | Total South Africa | 98479 |
|  | **South Korea — 3.0%** |  |
| 10584 | Doosan Bobcat, Inc. | 477262 |
| 480 | GS Holdings Corp. | 22941 |
| 14660 | Hana Financial Group, Inc. | 1240048 |
| 9696 | Hankook Tire & Technology Co. Ltd. | 491124 |
| 25725 | HMM Co. Ltd. | 381297 |
| 14806 | Hyundai Glovis Co. Ltd. | 2981190 |
| 19063 | Hyundai Mobis Co. Ltd. | 6852242 |
| 2673 | Hyundai Motor Co. | 1253167 |

---

See accompanying notes to the financial statements. 32

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **South Korea — continued** |  |
| 1293 | KB Financial Group, Inc. | 142706 |
| 42935 | Kia Corp. | 6130584 |
| 4926 | KT&G Corp. | 558149 |
| 6639 | LG Corp. | 496790 |
| 25705 | LG Electronics, Inc. | 2600452 |
| 1734 | LX Holdings Corp. | 10960 |
| 3552 | POSCO Holdings, Inc. Sponsored ADR | 247184 |
| 2349 | ROKIT Healthcare, Inc. \* | 111154 |
| 24998 | Samsung E&A Co. Ltd. | 632027 |
| 58414 | Samsung Electronics Co. Ltd. | 8742897 |
| 26 | Samsung Electronics Co. Ltd. GDR (Registered) <sup>(b)</sup> | 94305 |
| 17761 | Shinhan Financial Group Co. Ltd. | 1194542 |
| 356 | SK Hynix, Inc. | 263224 |
| 2971 | SK Square Co. Ltd. \* | 1333438 |
| 84000 | Woori Financial Group, Inc. | 2102066 |
|  | Total South Korea | 38359749 |
|  | **Spain — 1.4%** |  |
| 44527 | Acerinox SA <sup>(a)</sup> | 708125 |
| 16744 | Atresmedia Corp. de Medios de Comunicacion SA <sup>(b)</sup> | 102416 |
| 300957 | Banco Bilbao Vizcaya Argentaria SA | 6970646 |
| 309813 | Banco Santander SA | 3907381 |
| 29458 | Bankinter SA | 488807 |
| 23982 | CaixaBank SA <sup>(b)</sup> | 295585 |
| 2144 | CIE Automotive SA | 80346 |
| 12075 | Indra Sistemas SA <sup>(b)</sup> | 892179 |
| 335339 | Mapfre SA <sup>(a)</sup> | 1558685 |
| 29927 | Prosegur Cia de Seguridad SA <sup>(b)</sup> | 102710 |
| 124056 | Repsol SA | 2807458 |
| 302591 | Unicaja Banco SA <sup>(a)</sup> | 957551 |
|  | Total Spain | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18871889 |
|  | **Sweden — 0.7%** |  |
| 11423 | AcadeMedia AB <sup>(b)</sup> | 126230 |
| 8256 | Boliden AB \* | 654434 |
| 12702 | Essity AB – Class B | 403472 |
| 24565 | Husqvarna AB – Class B <sup>(a)</sup> | 118124 |
| 44557 | Investor AB – B Shares <sup>(b)</sup> | 1858541 |
| 2858 | Securitas AB – B Shares <sup>(b)</sup> | 50860 |
| 12243 | Skanska AB – B Shares | 375332 |
| 21042 | SKF AB – B Shares | 601479 |
| 8383 | SSAB AB – A Shares | 74826 |
| 20650 | SSAB AB – B Shares | 182333 |
| 9976 | Svenska Cellulosa AB SCA – Class B <sup>(a)</sup> | 135432 |
| 7899 | Swedbank AB – A Shares | 303425 |
| 223957 | Telefonaktiebolaget LM Ericsson – B Shares | 2588939 |
| 33932 | Volvo AB – B Shares <sup>(b)</sup> | 1320240 |
|  | Total Sweden | 8793667 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Switzerland — 1.0%** |  |
| 20896 | ABB Ltd. (Registered) <sup>(b)</sup> | 1946174 |
| 12881 | Adecco Group AG (Registered) <sup>(b)</sup> | 362131 |
| 393 | Bobst Group SA (Registered) | 23513 |
| 707 | Implenia AG (Registered) | 66259 |
| 4741 | Logitech International SA (Registered) | 434955 |
| 2012 | Mobilezone Holding AG (Registered) | 40539 |
| 20586 | Nestle SA (Registered) <sup>(b)</sup> | 2249235 |
| 12640 | Novartis AG (Registered) | 2125312 |
| 9257 | Novartis AG Sponsored ADR | 1560915 |
| 7268 | Roche Holding AG | 3458851 |
| 674 | Roche Holding AG – Class BR | 334075 |
| 6200 | Sandoz Group AG ADR | 545724 |
| 65 | Sandoz Group AG | 5726 |
| 171 | Swisscom AG (Registered) <sup>(b)</sup> | 160398 |
|  | Total Switzerland | 13313807 |
|  | **Taiwan — 2.9%** |  |
| 41000 | Ardentec Corp. | 204843 |
| 121000 | ASE Technology Holding Co. Ltd. | 1457998 |
| 27000 | Asustek Computer, Inc. | 456248 |
| 19 | Bizlink Holding, Inc. | 840 |
| 146000 | Compal Electronics, Inc. | 146470 |
| 65000 | Compeq Manufacturing Co. Ltd. | 420285 |
| 687200 | Evergreen Marine Corp. Taiwan Ltd. | 4312690 |
| 95000 | Greatek Electronics, Inc. | 289357 |
| 108000 | Hannstar Board Corp. | 320147 |
| 224318 | Hon Hai Precision Industry Co. Ltd. | 1715761 |
| 41000 | Lite-On Technology Corp. | 223796 |
| 19000 | Longwell Co. | 135683 |
| 5000 | MediaTek, Inc. | 307998 |
| 18000 | Pegatron Corp. | 42130 |
| 12000 | Phison Electronics Corp. | 708926 |
| 2047000 | Pou Chen Corp. | 2025890 |
| 113000 | Powertech Technology, Inc. | 917646 |
| 86000 | Realtek Semiconductor Corp. | 1316225 |
| 311000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 19405828 |
| 8000 | TCI Co. Ltd. | 33582 |
| 76000 | Tripod Technology Corp. | 938772 |
| 10000 | TTY Biopharm Co. Ltd. | 26895 |
| 378000 | United Microelectronics Corp. | 782028 |
| 75000 | Wan Hai Lines Ltd. | 183311 |
| 210000 | Yang Ming Marine Transport Corp. | 384635 |
| 68000 | YungShin Global Holding Corp. | 118958 |
| 178000 | Zhen Ding Technology Holding Ltd. | 1176823 |
|  | Total Taiwan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38053765 |
|  | **Thailand — 1.0%** |  |
| 358300 | 3BB Internet Infrastructure Fund – Class F | 77169 |
| 111400 | AP Thailand PCL NVDR | 32960 |
| 32600 | Bangkok Bank PCL NVDR | 186058 |
| 16600 | Bangkok Life Assurance PCL NVDR | 11429 |
| 34300 | GFPT PCL NVDR | 10758 |

---

33 See accompanying notes to the financial statements.

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Thailand — continued** |  |
| 540200 | Kasikornbank PCL NVDR | 3492070 |
| 4191400 | Krung Thai Bank PCL NVDR | 4615517 |
| 74000 | Mega Lifesciences PCL NVDR | 90533 |
| 441200 | PTT Exploration & Production PCL NVDR | 1951519 |
| 754800 | PTT PCL NVDR | 898319 |
| 60600 | Regional Container Lines PCL NVDR | 59911 |
| 377200 | SCB X PCL NVDR | 1800999 |
| 71500 | Thaifoods Group PCL NVDR | 14943 |
| 39400 | TOA Paint Thailand PCL NVDR | 20056 |
|  | Total Thailand | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13262241 |
|  | **Turkey — 0.1%** |  |
| 3772 | Dogus Otomotiv Servis ve Ticaret AS | 18757 |
| 26881 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 27808 |
| 137744 | Turk Hava Yollari AO | 965507 |
|  | Total Turkey | 1012072 |
|  | **United Arab Emirates — 0.1%** |  |
| 1436 | Emaar Development PJSC | 7565 |
| 104700 | Emirates NBD Bank PJSC | 940762 |
| 81705 | First Abu Dhabi Bank PJSC | 436299 |
|  | Total United Arab Emirates | 1384626 |
|  | **United Kingdom — 2.8%** |  |
| 80446 | 3i Group PLC <sup>(b)</sup> | 3593996 |
| 54388 | Aberdeen Group PLC | 161160 |
| 11654 | Associated British Foods PLC | 310373 |
| 1775 | Berkeley Group Holdings PLC | 103215 |
| 19454 | British American Tobacco PLC Sponsored<br>ADR <sup>(a) (b)</sup> | 1218793 |
| 1802678 | BT Group PLC | 5254082 |
| 2851 | Coca-Cola HBC AG – Class DI | 185062 |
| 5230 | DCC PLC | 364699 |
| 19709 | Drax Group PLC <sup>(b)</sup> | 235487 |
| 23265 | Evraz PLC \* <sup>(d) (e)</sup> |  |
| 21033 | Ferrexpo PLC \* | 15907 |
| 1604 | Galliford Try Holdings PLC | 11861 |
| 6800 | Global Ship Lease, Inc. – Class A | 279344 |
| 113522 | GSK PLC Sponsored ADR | 6712556 |
| 19945 | GSK PLC <sup>(b)</sup> | 592632 |
| 48065 | HSBC Holdings PLC <sup>(b)</sup> | 898384 |
| 20304 | IG Group Holdings PLC | 356141 |
| 23831 | Imperial Brands PLC | 1067363 |
| 17373 | International Personal Finance PLC | 58022 |
| 202384 | ITV PLC <sup>(b)</sup> | 216640 |
| 40223 | J Sainsbury PLC | 189030 |
| 71873 | JD Sports Fashion PLC | 79177 |
| 21470 | Jupiter Fund Management PLC | 54231 |
| 6333 | Keller Group PLC | 172589 |
| 283917 | Kingfisher PLC <sup>(b)</sup> | 1428111 |
| 4859 | Lion Finance Group PLC | 758699 |
| 6754 | Morgan Advanced Materials PLC | 21948 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United Kingdom — continued** |  |
| 5953 | Morgan Sindall Group PLC | 397291 |
| 40739 | OSB Group PLC | 334718 |
| 20286 | Paragon Banking Group PLC | 233585 |
| 11290 | Plus500 Ltd. | 607958 |
| 49533 | Rio Tinto PLC Sponsored ADR <sup>(a) (b)</sup> | 4920608 |
| 2887 | Rio Tinto PLC <sup>(b)</sup> | 286014 |
| 55836 | Schroders PLC | 439675 |
| 5064 | Shell PLC ADR <sup>(b)</sup> | 422895 |
| 2147 | TBC Bank Group PLC | 138860 |
| 7576 | Vesuvius PLC | 50991 |
| 243296 | Vodafone Group PLC Sponsored ADR | 3737027 |
| 129011 | Vodafone Group PLC <sup>(b)</sup> | 198655 |
| 35451 | Zigup PLC | 196182 |
|  | Total United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36303961 |
|  | **United States — 11.7%** |  |
| 2837 | Academy Sports & Outdoors, Inc. | 170589 |
| 5429 | Adobe, Inc. \* <sup>(b)</sup> | 1424624 |
| 4005 | Aflac, Inc. <sup>(a)</sup> | 452285 |
| 562 | Akamai Technologies, Inc. \* <sup>(a) (b)</sup> | 55295 |
| 9144 | Albertsons Cos., Inc. – Class A <sup>(a)</sup> | 163678 |
| 9562 | Allstate Corp. <sup>(a) (b)</sup> | 2051240 |
| 6043 | Alphabet, Inc. – Class A <sup>(b)</sup> | 1883966 |
| 3408 | Altria Group, Inc. <sup>(b)</sup> | 235288 |
| 1141 | Amazon.com, Inc. \* <sup>(a) (b)</sup> | 239610 |
| 819 | American Express Co. <sup>(a)</sup> | 252989 |
| 1583 | American International Group, Inc. <sup>(a)</sup> | 127416 |
| 102 | Ameriprise Financial, Inc. <sup>(a)</sup> | 47952 |
| 7848 | Annaly Capital Management, Inc. – (REIT) | 182388 |
| 8923 | APA Corp. <sup>(a)</sup> | 270992 |
| 1601 | Aptiv PLC \* | 117738 |
| 8459 | Arch Capital Group Ltd. \* <sup>(a) (b)</sup> | 847169 |
| 3494 | Archer-Daniels-Midland Co. | 241226 |
| 1113 | Arrow Electronics, Inc. \* | 169354 |
| 37944 | AT&T, Inc. <sup>(a)</sup> | 1062811 |
| 885 | AutoNation, Inc. \* <sup>(a)</sup> | 172717 |
| 6160 | Avnet, Inc. <sup>(a)</sup> | 405574 |
| 57200 | Bank of America Corp. <sup>(b)</sup> | 2850276 |
| 1428 | Bank of New York Mellon Corp. <sup>(b)</sup> | 170075 |
| 3980 | Bath & Body Works, Inc. <sup>(a)</sup> | 90585 |
| 22439 | Best Buy Co., Inc. <sup>(b)</sup> | 1390545 |
| 2096 | Block, Inc. – Class A \* <sup>(b)</sup> | 133515 |
| 5472 | Blue Owl Capital Corp. <sup>(a)</sup> | 61779 |
| 2602 | BorgWarner, Inc. <sup>(a)</sup> | 149797 |
| 2162 | Bread Financial Holdings, Inc. | 153199 |
| 46772 | Bristol-Myers Squibb Co. <sup>(b)</sup> | 2917170 |
| 11962 | Builders FirstSource, Inc. \* <sup>(a)</sup> | 1247517 |
| 2363 | Bunge Global SA <sup>(a)</sup> | 285096 |
| 9885 | Capital One Financial Corp. <sup>(b)</sup> | 1933901 |
| 2076 | Carrier Global Corp. <sup>(a)</sup> | 133694 |
| 3512 | CF Industries Holdings, Inc. | 349584 |
| 8181 | Chevron Corp. <sup>(a)</sup> | 1527884 |
| 1631 | Chubb Ltd. <sup>(a) (b)</sup> | 555943 |

---

See accompanying notes to the financial statements. 34

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| 8381 | Cigna Group <sup>(b)</sup> | 2428981 |
| 13278 | Cisco Systems, Inc. <sup>(a)</sup> | 1055070 |
| 23961 | Citigroup, Inc. <sup>(a)</sup> | 2640263 |
| 95289 | CNH Industrial NV <sup>(a)</sup> | 1172055 |
| 25559 | Cognizant Technology Solutions Corp. – Class A <sup>(b)</sup> | 1646766 |
| 1672 | Colgate-Palmolive Co. <sup>(b)</sup> | 165762 |
| 88267 | Comcast Corp. – Class A <sup>(a)</sup> | 2732746 |
| 1640 | Commercial Metals Co. | 120212 |
| 1845 | Concentrix Corp. <sup>(a)</sup> | 60516 |
| 5969 | ConocoPhillips <sup>(a)</sup> | 677243 |
| 1980 | Corebridge Financial, Inc. | 51163 |
| 585 | Covista, Inc. \* <sup>(b)</sup> | 57330 |
| 2967 | Crocs, Inc. \* | 269137 |
| 46 | Cummins, Inc. <sup>(a)</sup> | 26858 |
| 34698 | CVS Health Corp. <sup>(b)</sup> | 2772370 |
| 7581 | Deckers Outdoor Corp. \* | 889024 |
| 7450 | Dell Technologies, Inc. – Class C <sup>(a)</sup> | 1103196 |
| 18626 | Delta Air Lines, Inc. <sup>(b)</sup> | 1223728 |
| 26545 | Devon Energy Corp. <sup>(a)</sup> | 1155504 |
| 1104 | Dollar General Corp. | 172489 |
| 11905 | DR Horton, Inc. <sup>(a)</sup> | 1909443 |
| 3778 | Dropbox, Inc. – Class A \* <sup>(b)</sup> | 94412 |
| 22955 | eBay, Inc. <sup>(a)</sup> | 2085691 |
| 6282 | Edison International <sup>(b)</sup> | 469517 |
| 5471 | Elevance Health, Inc. <sup>(b)</sup> | 1750720 |
| 1304 | Enova International, Inc. \* <sup>(a)</sup> | 181321 |
| 19355 | EOG Resources, Inc. <sup>(a)</sup> | 2401568 |
| 3194 | Everest Group Ltd. | 1071555 |
| 2434 | Expedia Group, Inc. <sup>(b)</sup> | 524989 |
| 17164 | Exxon Mobil Corp. <sup>(b)</sup> | 2617510 |
| 1440 | Federated Hermes, Inc. <sup>(a)</sup> | 80654 |
| 2461 | FedEx Corp. <sup>(b)</sup> | 952407 |
| 942 | Fidelity National Financial, Inc. | 49813 |
| 1778 | Fifth Third Bancorp <sup>(a)</sup> | 87958 |
| 1087 | Fiserv, Inc. \* <sup>(b)</sup> | 67709 |
| 174884 | Ford Motor Co. <sup>(a)</sup> | 2464116 |
| 4145 | Fortune Brands Innovations, Inc. <sup>(a)</sup> | 225239 |
| 2774 | Fox Corp. – Class A <sup>(a)</sup> | 156287 |
| 3717 | Fox Corp. – Class B <sup>(a) (b)</sup> | 192280 |
| 10612 | Franklin Resources, Inc. <sup>(a)</sup> | 281642 |
| 3127 | Gap, Inc. <sup>(b)</sup> | 87681 |
| 19065 | GE HealthCare Technologies, Inc. <sup>(a) (b)</sup> | 1606608 |
| 28260 | General Mills, Inc. <sup>(a)</sup> | 1278200 |
| 32688 | General Motors Co. | 2572872 |
| 2552 | Genpact Ltd. <sup>(b)</sup> | 101365 |
| 3421 | Gilead Sciences, Inc. <sup>(a)</sup> | 509558 |
| 465 | Goldman Sachs Group, Inc. <sup>(b)</sup> | 399700 |
| 293 | Group 1 Automotive, Inc. <sup>(a)</sup> | 95442 |
| 11270 | H&R Block, Inc. <sup>(a)</sup> | 345087 |
| 3798 | Halliburton Co. <sup>(a)</sup> | 136728 |
| 6812 | Hartford Insurance Group, Inc. <sup>(a) (b)</sup> | 959334 |
| 82131 | Hewlett Packard Enterprise Co. <sup>(a)</sup> | 1763353 |
| 1139 | Honeywell International, Inc. <sup>(b)</sup> | 277449 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| 83107 | HP, Inc. | 1578202 |
| 2333 | Humana, Inc. <sup>(a)</sup> | 444530 |
| 7938 | Huntington Bancshares, Inc. <sup>(a)</sup> | 133358 |
| 17923 | Incyte Corp. \* <sup>(a)</sup> | 1815062 |
| 14306 | Intel Corp. \* | 652497 |
| 2639 | Invesco Ltd. | 69300 |
| 4202 | Janus Henderson Group PLC | 218924 |
| 9777 | Johnson & Johnson <sup>(b)</sup> | 2428900 |
| 3587 | JPMorgan Chase & Co. <sup>(a)</sup> | 1077176 |
| 4561 | KB Home <sup>(a)</sup> | 289988 |
| 13118 | Kenvue, Inc. | 250816 |
| 6050 | Keurig Dr. Pepper, Inc. | 183194 |
| 2965 | Kimberly-Clark Corp. | 330420 |
| 5103 | Kinder Morgan, Inc. <sup>(a)</sup> | 169777 |
| 59132 | Kraft Heinz Co. | 1455239 |
| 6625 | Kroger Co. | 452090 |
| 2860 | Lear Corp. <sup>(a)</sup> | 375375 |
| 13891 | Lennar Corp. – Class A | 1588575 |
| 1469 | Lincoln National Corp. <sup>(a)</sup> | 50387 |
| 3279 | LKQ Corp. <sup>(a)</sup> | 108568 |
| 6655 | Lululemon Athletica, Inc. \* <sup>(a)</sup> | 1232306 |
| 29478 | LyondellBasell Industries NV – Class A <sup>(a)</sup> | 1695575 |
| 1881 | M&T Bank Corp. <sup>(a)</sup> | 408139 |
| 346 | M/I Homes, Inc. \* | 49187 |
| 13363 | Macy's, Inc. <sup>(a)</sup> | 264320 |
| 905 | Marathon Petroleum Corp. <sup>(a)</sup> | 179380 |
| 9156 | Match Group, Inc. <sup>(a) (b)</sup> | 289330 |
| 1927 | Mattel, Inc. \* | 32663 |
| 1102 | Medtronic PLC <sup>(a)</sup> | 107621 |
| 29863 | Merck & Co., Inc. <sup>(a) (b)</sup> | 3697637 |
| 1950 | Meritage Homes Corp. | 147069 |
| 1703 | Meta Platforms, Inc. – Class A <sup>(a) (b)</sup> | 1103851 |
| 2864 | MetLife, Inc. <sup>(a) (b)</sup> | 206408 |
| 10068 | MGIC Investment Corp. | 267104 |
| 5567 | Mondelez International, Inc. – Class A <sup>(a)</sup> | 342816 |
| 5928 | Mosaic Co. <sup>(a)</sup> | 165036 |
| 2298 | NetApp, Inc. <sup>(a)</sup> | 227571 |
| 50 | NewMarket Corp. <sup>(a)</sup> | 31300 |
| 1169 | NIKE, Inc. – Class B <sup>(a)</sup> | 72688 |
| 1770 | Northrop Grumman Corp. <sup>(a)</sup> | 1282153 |
| 10665 | Nucor Corp. <sup>(a) (b)</sup> | 1886425 |
| 1158 | NXP Semiconductors NV <sup>(a)</sup> | 262878 |
| 23487 | Omnicom Group, Inc. <sup>(b)</sup> | 2003206 |
| 25554 | ON Semiconductor Corp. \* <sup>(a)</sup> | 1698830 |
| 23295 | Organon & Co. <sup>(a)</sup> | 169821 |
| 1971 | Oshkosh Corp. <sup>(a)</sup> | 335109 |
| 1159 | PACCAR, Inc. <sup>(b)</sup> | 146138 |
| 8730 | Paramount Skydance Corp. – Class B <sup>(b)</sup> | 117942 |
| 46559 | PayPal Holdings, Inc. <sup>(b)</sup> | 2151491 |
| 3948 | PepsiCo, Inc. <sup>(b)</sup> | 670134 |
| 2808 | Perdoceo Education Corp. <sup>(b)</sup> | 93647 |
| 108567 | Pfizer, Inc. <sup>(b)</sup> | 3001878 |
| 74337 | Pinterest, Inc. – Class A \* <sup>(a)</sup> | 1273393 |
| 3515 | PNC Financial Services Group, Inc. | 746410 |

---

35 See accompanying notes to the financial statements.

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| 1499 | PPG Industries, Inc. <sup>(a)</sup> | 184782 |
| 8810 | Procter & Gamble Co. <sup>(b)</sup> | 1473032 |
| 3345 | Progressive Corp. <sup>(a)</sup> | 714693 |
| 362 | Prudential Financial, Inc. <sup>(a)</sup> | 35614 |
| 12507 | PulteGroup, Inc. <sup>(a)</sup> | 1715960 |
| 2569 | PVH Corp. <sup>(a)</sup> | 176233 |
| 3437 | Qnity Electronics, Inc. <sup>(a)</sup> | 435674 |
| 19158 | QUALCOMM, Inc. <sup>(a) (b)</sup> | 2727333 |
| 9356 | Radian Group, Inc. <sup>(a)</sup> | 322969 |
| 2803 | Regeneron Pharmaceuticals, Inc. | 2191021 |
| 7420 | Regions Financial Corp. <sup>(a)</sup> | 206499 |
| 405 | ResMed, Inc. <sup>(a)</sup> | 103785 |
| 1528 | Signet Jewelers Ltd. <sup>(a)</sup> | 146978 |
| 3181 | Sixth Street Specialty Lending, Inc. | 55095 |
| 7056 | Skyworks Solutions, Inc. | 420396 |
| 4668 | SLB Ltd. <sup>(a)</sup> | 239655 |
| 5315 | SLM Corp. <sup>(a)</sup> | 99603 |
| 152 | Snap-on, Inc. | 58553 |
| 17819 | Solventum Corp. \* | 1322170 |
| 9146 | State Street Corp. <sup>(b)</sup> | 1176359 |
| 5316 | Steel Dynamics, Inc. <sup>(a)</sup> | 1026679 |
| 13424 | Super Micro Computer, Inc. \* <sup>(a)</sup> | 434803 |
| 28371 | Synchrony Financial <sup>(b)</sup> | 1960720 |
| 823 | Sysco Corp. <sup>(b)</sup> | 75025 |
| 17828 | T. Rowe Price Group, Inc. <sup>(a)</sup> | 1687064 |
| 21821 | Target Corp. | 2483012 |
| 999 | Terex Corp. <sup>(a)</sup> | 68721 |
| 16175 | Textron, Inc. | 1595664 |
| 807 | Timken Co. <sup>(a)</sup> | 87463 |
| 334 | Toll Brothers, Inc. <sup>(a)</sup> | 52518 |
| 884 | Toro Co. | 87392 |
| 1352 | Travelers Cos., Inc. <sup>(a)</sup> | 417281 |
| 2663 | Tri Pointe Homes, Inc. \* | 123297 |
| 9263 | Truist Financial Corp. | 456759 |
| 998 | Tyson Foods, Inc. – Class A | 64860 |
| 39834 | U.S. Bancorp <sup>(a)</sup> | 2177326 |
| 12276 | United Airlines Holdings, Inc. \* <sup>(a)</sup> | 1304939 |
| 21295 | United Parcel Service, Inc. – Class B <sup>(b)</sup> | 2469368 |
| 325 | United Rentals, Inc. <sup>(a)</sup> | 273000 |
| 3490 | UnitedHealth Group, Inc. <sup>(a)</sup> | 1023512 |
| 3852 | Universal Health Services, Inc. – Class B | 793897 |
| 67049 | Verizon Communications, Inc. <sup>(a) (b)</sup> | 3361837 |
| 5999 | VICI Properties, Inc. – (REIT) <sup>(a)</sup> | 181230 |
| 1794 | Vontier Corp. <sup>(a)</sup> | 73410 |
| 2438 | Walt Disney Co. <sup>(a)</sup> | 258526 |
| 2361 | Wells Fargo & Co. <sup>(a)</sup> | 192303 |
| 23716 | Western Union Co. <sup>(a)</sup> | 228385 |
| 2322 | YETI Holdings, Inc. \* <sup>(a)</sup> | 101495 |
| 776 | Zebra Technologies Corp. – Class A \* | 173793 |
| 19961 | Zoom Communications, Inc. \* <sup>(a) (b)</sup> | 1475916 |
|  | Total United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;151292515 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Vietnam — 0.1%** |  |
| 60060 | An Binh CJSB \* | 32054 |
| 2200 | Binh Minh Plastics JSC | 13388 |
| 13869 | Masan Consumer Corp. | 75083 |
| 122200 | Quang Ngai Sugar JSC | 232248 |
| 857000 | Saigon - Hanoi Commercial Joint Stock Bank | 524828 |
| 19400 | Saigon Beer Alcohol Beverage Corp. | 36051 |
| 70600 | Vietnam Dairy Products JSC | 184869 |
| 94400 | Vietnam Engine & Agricultural Machinery Corp. | 127945 |
|  | Total Vietnam | 1226466 |
|  | TOTAL COMMON STOCKS<br>(COST $668,635,228) | 769959925 |
|  | **PREFERRED STOCKS <sup>(f)</sup> — 1.0%** |  |
|  | **Brazil — 0.4%** |  |
| 442900 | Banco Bradesco SA ADR | 1811461 |
| 124100 | Bradespar SA | 601074 |
| 917103 | Cia Energetica de Minas Gerais | 2159258 |
| 46163 | Cyrela Brazil Realty SA Empreendimentos e Participacoes \* | 262489 |
| 43600 | Gerdau SA | 178516 |
|  | Total Brazil | 5012798 |
|  | **Colombia — 0.1%** |  |
| 14771 | Grupo Cibest SA ADR | 1002655 |
| 3308 | Grupo de Inversiones Suramericana SA | 40557 |
|  | Total Colombia | 1043212 |
|  | **Germany — 0.3%** |  |
| 7312 | Bayerische Motoren Werke AG | 763079 |
| 981 | Draegerwerk AG & Co. KGaA | 103985 |
| 8335 | Henkel AG & Co. KGaA | 817568 |
| 23172 | Volkswagen AG <sup>(b)</sup> | 2755165 |
|  | Total Germany | 4439797 |
|  | **Russia — 0.0%** |  |
| 12924 | Bashneft PJSC \* <sup>(d) (e)</sup> |  |
| 56000 | Nizhnekamskneftekhim PJSC \* <sup>(d) (e)</sup> |  |
| 20810 | Sberbank of Russia PJSC \* <sup>(d) (e)</sup> |  |
| 9254300 | Surgutneftegas PAO \* <sup>(d) (e)</sup> |  |
| 16100 | Transneft PJSC \* <sup>(d) (e)</sup> |  |
|  | Total Russia |  |
|  | **South Korea — 0.2%** |  |
| 18916 | Samsung Electronics Co. Ltd. | 1899913 |
| 51 | Samsung Electronics Co. Ltd. GDR (Registered) <sup>(b)</sup> | 125715 |
|  | Total South Korea | 2025628 |
|  | TOTAL PREFERRED STOCKS<br>(COST $15,516,412) | 12521435 |

---

See accompanying notes to the financial statements. 36

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares /** <br> **Par Value†** | **Description** | **Value ($)** |
|  | **RIGHTS/WARRANTS — 0.0%** |  |
|  | **Canada — 0.0%** |  |
| 7900 | Resolute Forest Products, Inc. \* <sup>(g)</sup> | 11850 |
|  | **Sweden — 0.0%** |  |
| SEK 11,423 | AcadeMedia AB \* | 710 |
|  | **United States — 0.0%** |  |
| 90581 | Walgreens Boots Alliance, Inc. \* <sup>(g)</sup> | 45291 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $57,949) | 57851 |
|  | **INVESTMENT FUNDS — 19.5%** |  |
|  | **United States — 19.5%** |  |
| 8595545 | GMO Alternative Allocation Fund, Class VI <sup>(h)</sup> | 163831085 |
| 470008 | GMO Climate Change Fund, Class III <sup>(h)</sup> | 13348240 |
| 714036 | GMO High Yield Fund, Class VI <sup>(h)</sup> | 12381385 |
| 956814 | GMO Opportunistic Income Fund, Class VI <sup>(h)</sup> | 23556751 |
| 1512338 | GMO Resources Fund, Class VI <sup>(h)</sup> | 39653495 |
| 27058 | GMO U.S. Treasury Fund, Class VI <sup>(h) (i)</sup> | 135562 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $238,620,283) | 252906518 |
|  | **DEBT OBLIGATIONS — 17.5%** |  |
|  | **Dominican Republic — 0.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.1%** |  |
| DOP 64,000,000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1329035 |
|  | **Malaysia — 0.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.1%** |  |
| MYR 3,800,000 | Malaysia Government Bonds, 3.90%, due 11/30/26 | 983761 |
|  | **Paraguay — 0.0%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.0%** |  |
| PYG 860,000,000 | Paraguay Government International Bonds, 144A, 8.50%, due 04/04/38 | 133202 |
|  | **Uganda — 0.0%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.0%** |  |
| UGX 340,000,000 | Republic of Uganda Government Bonds, 15.80%, due 06/23/39 | 95861 |
|  | **United States — 17.3%** |  |
|  | **U.S. Government — 17.3%** |  |
| 35265000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 04/30/27 <sup>(b)</sup> | 35306988 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares /** <br> **Par Value†** | **Description** | **Value ($)** |
|  | **United States — continued** |  |
|  | **U.S. Government — continued** |  |
| 55000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 07/31/27 <sup>(b)</sup> | 55066111 |
| 53800000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.81%, due 10/31/27 <sup>(b)</sup> | 53887495 |
| 79560000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.72%, due 01/31/28 | 79556386 |
|  | Total U.S. Government | 223816980 |
|  | Total United States | 223816980 |
|  | **Uruguay — 0.0%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
| UYU 12,500,000 | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 370726 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $226,439,451) | 226729565 |
|  | **SHORT-TERM INVESTMENTS — 15.8%** | **SHORT-TERM INVESTMENTS — 15.8%** |
|  | **Money Market Funds — 0.9%** |  |
| 11057641 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(j)</sup> | 11057641 |
|  | **Repurchase Agreements — 14.7%** |  |
| 189999862 | Nomura Securities International, Inc. Repurchase Agreement, dated 02/27/26, maturing on 03/02/26 with a maturity value of $190,057,337 and an effective yield of 3.63%, collateralized by a U.S. Treasury Note with maturity date 07/31/27 and a market value of $194,006,724. | 189999862 |
|  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
| EGP 82,000,000 | Egypt Treasury Bills, Zero Coupon, due 10/20/26 | 1478326 |
| NGN 930,000,000 | Nigeria OMO Bills, Zero Coupon, due 05/05/26 | 658374 |
| NGN 1,330,000,000 | Nigeria OMO Bills, Zero Coupon, due 07/07/26 | 911612 |
|  | Total Sovereign and Sovereign Agency Issuers | 3048312 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $204,018,902) | 204105815 |
|  | **TOTAL INVESTMENTS — 113.2%**<br> (Cost $1,353,288,225) | **1466281109** |

---

37 See accompanying notes to the financial statements.

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **SECURITIES SOLD SHORT — (13.5)%** | **SECURITIES SOLD SHORT — (13.5)%** |
|  | **Common Stocks — (13.4)%** |  |
|  | **Australia — (0.4)%** |  |
| (183) | Cochlear Ltd. | (25914) |
| (123123) | Lottery Corp. Ltd. | (482885) |
| (74625) | Lynas Rare Earths Ltd. \* | (989097) |
| (7727) | Pro Medicus Ltd. | (713107) |
| (3319) | REA Group Ltd. | (392663) |
| (319615) | Sigma Healthcare Ltd. | (644236) |
| (27810) | WiseTech Global Ltd. | (941463) |
| (21858) | Xero Ltd. \* | (1290296) |
|  | Total Australia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5479661) |
|  | **Belgium — (0.0)%** |  |
| (35) | Lotus Bakeries NV | (435301) |
|  | **Brazil — (0.1)%** |  |
| (90291) | NU Holdings Ltd. – Class A \* | (1352559) |
|  | **Canada — (0.7)%** |  |
| (24400) | AltaGas Ltd. | (829283) |
| (16214) | Brookfield Renewable Corp. | (692824) |
| (8551) | Cameco Corp. | (1012438) |
| (1300) | Dollarama, Inc. | (191390) |
| (15045) | Enbridge, Inc. | (799491) |
| (3783) | Franco-Nevada Corp. | (1061548) |
| (15087) | GFL Environmental, Inc. | (666695) |
| (11600) | Keyera Corp. | (442723) |
| (16202) | Pan American Silver Corp. | (1113078) |
| (21126) | Pembina Pipeline Corp. | (929333) |
| (12066) | Restaurant Brands International, Inc. | (865253) |
| (4680) | Wheaton Precious Metals Corp. | (765882) |
|  | Total Canada | (9369938) |
|  | **Chile — (0.1)%** |  |
| (13417) | Latam Airlines Group SA ADR | (753499) |
|  | **China — (0.1)%** |  |
| (581) | H World Group Ltd. ADR | (31839) |
| (147601) | NIO, Inc. \* | (718817) |
| (14634) | XPeng, Inc. \* | (256973) |
|  | Total China | (1007629) |
|  | **Denmark — (0.2)%** |  |
| (15857) | Coloplast AS – Class B | (1228644) |
| (397) | DSV AS | (102474) |
| (1595) | Novonesis Novozymes B – Class B | (94861) |
| (37892) | Tryg AS | (938269) |
|  | Total Denmark | (2364248) |
|  | **France — (0.3)%** |  |
| (6412) | Aeroports de Paris SA | (894692) |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **France — continued** |  |
| (46810) | Getlink SE | (1016351) |
| (562) | Hermes International SCA | (1350746) |
|  | Total France | (3261789) |
|  | **Germany — (0.4)%** |  |
| (2550) | CTS Eventim AG & Co. KGaA | (206499) |
| (33111) | Delivery Hero SE \* | (761549) |
| (12823) | Hensoldt AG | (1124894) |
| (1131) | HOCHTIEF AG | (545551) |
| (2759) | MTU Aero Engines AG | (1189231) |
| (95) | Rheinmetall AG | (187926) |
| (681) | RWE AG | (43808) |
| (4315) | Siemens Energy AG | (835719) |
| (7285) | Talanx AG | (916311) |
|  | Total Germany | (5811488) |
|  | **Israel — (0.1)%** |  |
| (15589) | Wix.com Ltd. \* | (1098401) |
|  | **Italy — (0.3)%** |  |
| (5555) | Ferrari NV <sup>(c)</sup> | (2098803) |
| (280) | Ferrari NV <sup>(c)</sup> | (106378) |
| (54812) | FinecoBank Banca Fineco SpA | (1289950) |
| (96071) | Infrastrutture Wireless Italiane SpA | (1019344) |
|  | Total Italy | (4514475) |
|  | **Japan — (1.4)%** |  |
| (6400) | Advantest Corp. | (1108284) |
| (62400) | Aeon Co. Ltd. | (888352) |
| (2300) | ANA Holdings, Inc. | (50151) |
| (25200) | Asics Corp. | (772272) |
| (4200) | Disco Corp. | (2019383) |
| (300) | East Japan Railway Co. | (7410) |
| (5100) | Fujikura Ltd. | (870838) |
| (35500) | IHI Corp. | (971195) |
| (97200) | Japan Exchange Group, Inc. | (1322788) |
| (5600) | Kioxia Holdings Corp. \* | (756808) |
| (21700) | Kobe Bussan Co. Ltd. | (516347) |
| (500) | Lasertec Corp. | (107801) |
| (51200) | MonotaRO Co. Ltd. | (680708) |
| (109900) | Oriental Land Co. Ltd. | (1979994) |
| (240900) | Rakuten Group, Inc. \* | (1278901) |
| (28400) | Sanrio Co. Ltd. | (1041244) |
| (32900) | Shiseido Co. Ltd. | (694671) |
| (1344400) | SoftBank Corp. | (1838874) |
| (10100) | Zensho Holdings Co. Ltd. | (641116) |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(17547137) |
|  | **Mexico — (0.0)%** |  |
| (357) | Grupo Aeroportuario del Pacifico SAB de CV ADR | (93091) |

---

See accompanying notes to the financial statements. 38

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **Netherlands — (0.4)%** |  |
| (253) | Adyen NV \* | (297105) |
| (8289) | BE Semiconductor Industries NV | (1857462) |
| (55281) | CVC Capital Partners PLC | (788772) |
| (31495) | InPost SA \* | (565332) |
| (83421) | Universal Music Group NV | (1878422) |
|  | Total Netherlands | (5387093) |
|  | **Norway — (0.2)%** |  |
| (43428) | Kongsberg Gruppen ASA | (1761064) |
| (14786) | Salmar ASA | (886785) |
|  | Total Norway | (2647849) |
|  | **Peru — (0.2)%** |  |
| (8829) | Southern Copper Corp. | (1927362) |
|  | **Singapore — (0.1)%** |  |
| (16400) | CapitaLand Investment Ltd. | (39631) |
| (320762) | Grab Holdings Ltd. – Class A \* | (1353616) |
|  | Total Singapore | (1393247) |
|  | **South Africa — (0.0)%** |  |
| (11081) | Sibanye Stillwater Ltd. ADR\* | (196244) |
|  | **Spain — (0.2)%** |  |
| (36934) | Cellnex Telecom SA \* | (1403703) |
| (23680) | Ferrovial SE | (1764841) |
|  | Total Spain | (3168544) |
|  | **Sweden — (0.3)%** |  |
| (46058) | EQT AB | (1419563) |
| (1741) | Saab AB – Class B | (127123) |
| (3449) | Spotify Technology SA \* | (1776028) |
|  | Total Sweden | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3322714) |
|  | **Switzerland — (0.2)%** |  |
| (17063) | Avolta AG | (1121710) |
| (24) | Chocoladefabriken Lindt & Spruengli AG | (396231) |
| (1070) | Partners Group Holding AG | (1189039) |
| (191) | VAT Group AG | (134709) |
|  | Total Switzerland | (2841689) |
|  | **United Kingdom — (0.7)%** |  |
| (10402) | Antofagasta PLC | (597624) |
| (37884) | Entain PLC | (293523) |
| (105568) | Informa PLC | (1192314) |
| (11355) | InterContinental Hotels Group PLC | (1560407) |
| (8755) | London Stock Exchange Group PLC | (1043101) |
| (95687) | Phoenix Group Holdings PLC | (988327) |
| (54961) | Rolls-Royce Holdings PLC | (988313) |
| (28844) | Severn Trent PLC | (1273156) |
| (83352) | Wise PLC – Class A \* | (965788) |
|  | Total United Kingdom | (8902553) |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — (7.0)%** |  |
| (6468) | AbbVie, Inc. | (1501093) |
| (25557) | Affirm Holdings, Inc. \* | (1200668) |
| (4045) | Alnylam Pharmaceuticals, Inc. \* | (1346661) |
| (2378) | Analog Devices, Inc. | (846069) |
| (2236) | AppLovin Corp. – Class A \* | (972146) |
| (7838) | Arthur J Gallagher & Co. | (1788632) |
| (1589) | Astera Labs, Inc. \* | (188821) |
| (3303) | Axon Enterprise, Inc. \* | (1791547) |
| (5974) | Bloom Energy Corp. – Class A \* | (929973) |
| (7044) | Boeing Co. \* | (1602721) |
| (6210) | Burlington Stores, Inc. \* | (1905663) |
| (3573) | Carvana Co. \* | (1193954) |
| (208) | Ciena Corp. \* | (72530) |
| (7635) | Cintas Corp. | (1535628) |
| (8415) | Cloudflare, Inc. – Class A \* | (1448979) |
| (389) | Corning, Inc. | (58498) |
| (6760) | Credo Technology Group Holding Ltd. \* | (758945) |
| (7988) | DoorDash, Inc. – Class A \* | (1409642) |
| (73004) | DraftKings, Inc. – Class A \* | (1740415) |
| (7749) | EchoStar Corp. – Class A \* | (895242) |
| (3541) | Ecolab, Inc. | (1091867) |
| (22278) | EQT Corp. | (1368315) |
| (4576) | Equitable Holdings, Inc. | (184047) |
| (2508) | Erie Indemnity Co. – Class A | (675755) |
| (1231) | Fair Isaac Corp. \* | (1734922) |
| (32477) | Fastenal Co. | (1495241) |
| (37423) | Fidelity National Information Services, Inc. | (1907076) |
| (6911) | HubSpot, Inc. \* | (1828029) |
| (9658) | Hyatt Hotels Corp. – Class A | (1559767) |
| (6025) | Insulet Corp. \* | (1485825) |
| (41656) | IonQ, Inc. \* | (1598341) |
| (16142) | Liberty Media Corp.-Liberty Formula One – Class C \* | (1478446) |
| (4336) | Linde PLC | (2203035) |
| (13784) | Live Nation Entertainment, Inc. \* | (2234938) |
| (1187) | Mastercard, Inc. – Class A | (613928) |
| (1508) | McKesson Corp. | (1488954) |
| (747) | MercadoLibre, Inc. \* | (1312912) |
| (62) | Microchip Technology, Inc. | (4628) |
| (4233) | MongoDB, Inc. \* | (1390413) |
| (1132) | Moody's Corp. | (540632) |
| (582) | Motorola Solutions, Inc. | (280675) |
| (3326) | MSCI, Inc. | (1901907) |
| (7179) | Natera, Inc. \* | (1493519) |
| (334) | Newmont Corp. | (43420) |
| (5192) | NiSource, Inc. | (245582) |
| (9605) | Oklo, Inc. \* | (604635) |
| (22446) | Okta, Inc. \* | (1627335) |
| (21961) | ONEOK, Inc. | (1817712) |
| (10147) | O'Reilly Automotive, Inc. \* | (952600) |
| (21629) | Otis Worldwide Corp. | (2001980) |
| (9472) | Palantir Technologies, Inc. – Class A \* | (1299464) |
| (4682) | Paychex, Inc. | (438469) |
| (94670) | Rivian Automotive, Inc. – Class A \* | (1451291) |

---

39 See accompanying notes to the financial statements.

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| (8514) | Robinhood Markets, Inc. – Class A \* | (645787) |
| (22266) | ROBLOX Corp. – Class A \* | (1528784) |
| (18982) | Rocket Lab Corp. \* | (1311656) |
| (22157) | Rollins, Inc. | (1349140) |
| (290) | S&P Global, Inc. | (128145) |
| (49046) | Samsara, Inc. – Class A \* | (1417429) |
| (1206) | Seagate Technology Holdings PLC | (491855) |
| (13089) | ServiceNow, Inc. \* | (1413743) |
| (8496) | Snowflake, Inc. \* | (1430811) |
| (37495) | SoFi Technologies, Inc. \* | (665911) |
| (7752) | Starbucks Corp. | (759851) |
| (595) | STERIS PLC | (150148) |
| (3459) | Tesla, Inc. \* | (1392282) |
| (6122) | Texas Pacific Land Corp. | (3209703) |
| (570) | TransDigm Group, Inc. | (742590) |
| (2456) | Tyler Technologies, Inc. \* | (871119) |
| (9649) | Vistra Corp. | (1677865) |
| (5169) | Waste Connections, Inc. | (889740) |
| (4547) | Watsco, Inc. | (1897599) |
| (3017) | Western Digital Corp. | (843855) |
| (22289) | Williams Cos., Inc. | (1665434) |
| (26515) | Zillow Group, Inc. – Class C \* | (1183099) |
| (8711) | Zscaler, Inc. \* | (1280430) |
|  | Total United States | (90490463) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $140,525,739) | (173366974) |
|  | **PREFERRED STOCKS <sup>(f)</sup> — (0.1)%** | **PREFERRED STOCKS <sup>(f)</sup> — (0.1)%** |
|  | **Germany — (0.1)%** |  |
| (4171) | Sartorius AG | (1180606) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $1,323,273) | (1180606) |
|  | **TOTAL SECURITIES SOLD SHORT** (PROCEEDS $141,849,012) | **(174547580)** |
|  | Other Assets and Liabilities (net) — 0.3% | 3708822 |
|  | **TOTAL NET ASSETS — 100.0%** | $**1295442351** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer**<br> **Description** | **Acquisition<br>Date** | **Acquisition<br> Cost**  | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>February 28,<br>2026** |
|  Alrosa PJSC | 12/06/17 | $4239436 | 0.0% | $— |
|  Bashneft PJSC | 06/11/20 | 245233 | 0.0% |  |
|  Evraz PLC | 10/25/21 | 197469 | 0.0% |  |
|  Federal Grid Co-Rosseti PJSC | 08/12/19 | 462175 | 0.0% |  |
|  Gazprom Neft PJSC | 08/12/19 | 1228645 | 0.0% |  |

---

See accompanying notes to the financial statements. 40

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer**<br> **Description — (continued)** | **Acquisition<br>Date** | **Acquisition<br> Cost**  | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>February 28,<br>2026** |
|  Gazprom PJSC | 08/10/20 | $7398324 | 0.0% | $— |
|  GMK Norilskiy Nickel PAO | 06/11/20 | 1319027 | 0.0% |  |
|  Inter RAO UES PJSC | 06/05/20 | 453917 | 0.0% |  |
|  LSR Group PJSC | 08/12/19 | 175128 | 0.0% |  |
|  LSR Group PJSC GDR | 05/06/21 | 2 | 0.0% |  |
|  LUKOIL PJSC | 07/13/20 | 6946911 | 0.0% |  |
|  Magnitogorsk Iron & Steel Works PJSC | 09/08/17 | 1550653 | 0.0% |  |
|  Mechel PJSC | 11/12/21 | 47412 | 0.0% |  |
|  Moscow Exchange MICEX-RTS PJSC | 07/02/20 | 707707 | 0.0% |  |
|  Mosenergo PJSC | 11/22/21 | 96796 | 0.0% |  |
|  Nizhnekamskneftekhim PJSC | 03/24/20 | 55853 | 0.0% |  |
|  Novatek PJSC | 10/21/21 | 777645 | 0.0% |  |
|  Novolipetsk Steel PJSC | 11/07/19 | 3077372 | 0.0% |  |
|  PhosAgro PJSC | 12/03/20 | 212444 | 0.0% |  |
|  PhosAgro PJSC GDR | 12/03/20 | 1365 | 0.0% |  |
|  Polyus PJSC | 07/22/20 | 2148976 | 0.0% |  |
|  Polyus PJSC GDR | 02/24/23 | 0 | 0.0% |  |
|  RusHydro PJSC | 01/13/21 | 263311 | 0.0% |  |
|  Sberbank of Russia PJSC | 09/09/20 | 12774954 | 0.0% |  |
|  Sberbank of Russia PJSC | 01/10/22 | 77024 | 0.0% |  |
|  Severstal PAO | 02/02/21 | 7249 | 0.0% |  |
|  Severstal PAO GDR (Registered) | 03/16/20 | 1679360 | 0.0% |  |
|  SFI PJSC | 03/16/20 | 68731 | 0.0% |  |
|  Surgutneftegas PAO | 12/18/19 | 3244318 | 0.0% |  |
|  Surgutneftegas PAO | 03/16/20 | 4726538 | 0.0% |  |
|  Tatneft PJSC | 03/16/20 | 2263701 | 0.0% |  |
|  Transneft PJSC | 05/29/20 | 320452 | 0.0% |  |
|  Unipro PAO | 01/13/21 | 50836 | 0.0% |  |
|  United Co. RUSAL International PJSC | 11/12/21 | 51607 | 0.0% |  |
|  |  |  |  | $— |

---

41 See accompanying notes to the financial statements.

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### February 28, 2026
A summary of outstanding financial instruments at February 28, 2026 is as follows:

#### Forward Currency Contracts

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br> Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
|  03/03/2026 | CITI | USD | 345105 | BRL | 1800000 | 6012 |
|  05/05/2026 | JPM | USD | 6342535 | BRL | 33200000 | 40399 |
|  03/03/2026 | MSCI | USD | 5615667 | BRL | 31400000 | 509370 |
|  04/15/2026 | JPM | USD | 2339492 | CZK | 48600000 | 31331 |
|  05/06/2026 | GS | USD | 2378535 | IDR | 40000300000 | 99 |
|  04/15/2026 | BCLY | USD | 5682606 | MXN | 102400000 | 241183 |
|  04/07/2026 | GS | USD | 2318860 | PHP | 138000000 | 71090 |
|  04/07/2026 | MSCI | USD | 97268 | PHP | 5700000 | 1447 |
|  04/22/2026 | CITI | USD | 70790 | THB | 2200000 | 252 |
|  04/30/2026 | BCLY | USD | 2457637 | TRY | 113800000 | 13734 |
|  04/30/2026 | MSCI | USD | 5884292 | ZAR | 94600000 | 32157 |
|  03/03/2026 | JPM | BRL | 33200000 | USD | 6434109 | (42045) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br> Date** | **Counter-<br>party** | **Currency** <br>**Sold** | **Currency** <br>**Sold** | **Currency** <br>**Purchased** | **Currency** <br>**Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
|  03/03/2026 | MSCI | BRL | 31400000 | USD | 6097679 | (27357) |
|  04/15/2026 | SSB | MXN | 9000000 | USD | 519736 | (909) |
|  05/05/2026 | CITI | PEN | 800000 | USD | 237763 | (255) |
|  05/11/2026 | CITI | USD | 151843 | COP | 565400000 | (3705) |
|  05/11/2026 | MSCI | USD | 6269240 | COP | 23334800000 | (155386) |
|  04/15/2026 | MSCI | USD | 555159 | CZK | 11300000 | (3919) |
|  05/06/2026 | GS | USD | 82709 | IDR | 1390000000 | (52) |
|  05/05/2026 | MSCI | USD | 5662987 | PEN | 19000000 | (10070) |
|  04/22/2026 | CITI | USD | 3384949 | THB | 104600000 | (7245) |
|  |  |  |  |  |  | $696131 |

---

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 766 | U.S. Treasury Note 10 Yr. (CBT) | June 2026 | 87180375 | 382861 |
| 375 | U.S. Treasury Note 2 Yr. (CBT) | June 2026 | 78477539 | 154857 |
| 1410 | U.S. Treasury Note 5 Yr. (CBT) | June 2026 | 155298281 | 885109 |
| 494 | U.S. Treasury Ultra 10 Yr. (CBT) | June 2026 | 57666781 | 328471 |
| 49 | U.S. Ultra Bond (CBT) | June 2026 | 5958094 | 49687 |
|  |  |  | $384581070 | $1800985 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Sales |  |  |  |  |
| 56 | MSCI EAFE Index | March 2026 | 8862280 | (604151) |
| 32 | MSCI Emerging Market | March 2026 | 2565920 | (100620) |
| 8 | TOPIX Index | March 2026 | 2012563 | (70117) |
|  |  |  | $13440763 | $(774888) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

See accompanying notes to the financial statements. 42

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Schedule of Investments — (Continued)

#### February 28, 2026

#### Swap Contracts

#### Centrally Cleared Credit Default Swaps

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.S45 | USD 10,890,000 | 5.00% | 3.32% | N/A | 12/20/2030 | Quarterly | $(835296) | $(735739) | $99557 |

---

---

| | |
|:---|:---|
| ^ | 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. <br>

<sup>(1)</sup> As of February 28, 2026, 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. 

<sup>(2)</sup> 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**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Total Return on Equity Basket <sup>(k)</sup> | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 11329599 | 06/18/2027 | Monthly | – | (166738) | (166738) |
|  Total Return on Equity Basket <sup>(l)</sup> | 1 Month Federal Funds Rate minus 0.40% | GS | USD | 13058434 | 06/24/2026 | Monthly | – | (291367) | (291367) |
|  |  |  |  |  |  |  | $– | $(458105) | $(458105) |

---

As of February 28, 2026, 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:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of this security is out on loan (Note 2).

&nbsp;&nbsp;&nbsp;&nbsp;(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, written options, repurchase agreements and/or reverse repurchase agreements, if any (Note 4).

&nbsp;&nbsp;&nbsp;&nbsp;(c) Securities are traded on separate exchanges for the same entity.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(e) The security is restricted as to resale.

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

&nbsp;&nbsp;&nbsp;&nbsp;(g) Investment valued using significant unobservable inputs (Note 2).

&nbsp;&nbsp;&nbsp;&nbsp;(h) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(i) All or a portion of this security is purchased with collateral from securities loaned.

&nbsp;&nbsp;&nbsp;&nbsp;(j) The rate disclosed is the 7 day net yield as of February 28, 2026.

&nbsp;&nbsp;&nbsp;&nbsp;(k) 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.

43 See accompanying notes to the financial statements.

------

#### GMO Benchmark-Free Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### February 28, 2026
&nbsp;&nbsp;&nbsp;&nbsp;(l) Periodic payments made/received are based on the total return of the referenced entity. The following table represents the individual long and/or short positions with in the custom equity basket swap as of February 28, 2026.

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **%of<br>Equity<br>Basket** | **Value ($)** |
|  | **Custom equity basket swap with GS as the counterparty:** |  |  |
| (656) | ACS Actividades de Construccion y Servicios | 0.6% | (84647) |
|  | SA |  |  |
| (5250) | Aena SME SA | 1.2% | (165471) |
| (94389) | Allefro.eu.SA | 5.5% | (734533) |
| (15754) | Antofagasta PLC | 6.8% | (905110) |
| (16900) | AXIA Energia SA | 1.5% | (201982) |
| (1590) | Budimex SA | 2.7% | (358597) |
| (6249) | Capitec Bank Holdings Ltd. | 14.0% | (1862073) |
| (8278) | CD Projekt SA | 4.2% | (562166) |
| (22435) | Cellnex Telecom SA | 6.4% | (852658) |
| (361) | Celltrion, Inc. | 0.4% | (59768) |
| (25110) | Clicks Group Ltd. | 3.8% | (502428) |
| (17900) | Delta Electronics (Thailand) Public Co. Ltd. | 1.2% | (160309) |
|  | NVDR |  |  |
| (1097) | Doosan Co. Ltd. | 7.3% | (976099) |
| (5010) | Doosan Enerbility Co. Ltd. | 2.8% | (370265) |
| (4593) | eMemory Technology, Inc. | 2.7% | (365274) |
| (27893) | Entain PLC | 1.6% | (216113) |
| (2143) | Fresnillo PLC | 0.9% | (122278) |
| (57) | Hanwha Aerospace Co. Ltd. | 0.4% | (47383) |
| (116) | HD Hyundai Electric Co. Ltd. | 0.6% | (84686) |
| (238) | Hermes International SCA | 4.3% | (572024) |
| (960) | HLB, Inc. | 0.3% | (34510) |
| (1474) | HYBE Co. Ltd. | 3.0% | (396288) |
| (73) | Hyosung Heavy Industries Corp. | 1.1% | (143094) |
| (6214) | Hyundai Rotem Co. | 7.4% | (993511) |
| (733) | Kakao Corp. | 0.2% | (31717) |
| (103700) | Localiza Rent A Car ADR | 7.7% | (1026785) |
| (78) | LPP SA | 3.4% | (451352) |
| (12877) | Public Power Corp. | 2.2% | (288175) |
| (610) | Samsung Biologics Co. Ltd. | 5.6% | (752608) |
| (2349) | Shoprite Holdings Ltd | 0.3% | (39078) |
| 15462 | Turk Hava Yollari AO | (0.8%) | 108380 |
| (1240) | Yuhan Corp. | 0.7% | (94908) |
|  | TOTAL COMMON STOCKS |  | $(13347510) |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

See accompanying notes to the financial statements. 44

------

#### GMO Global Asset Allocation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 99.6%** |  |
|  | **United States — 99.6%** | **United States — 99.6%** |
| 4692137 | GMO Alternative Allocation Fund, Class VI <sup>(a)</sup> | 89432129 |
| 4206093 | GMO Asset Allocation Bond Fund, Class VI <sup>(a)</sup> | 81219648 |
| 169802 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 4822362 |
| 390464 | GMO Domestic Resilience ETF <sup>(a)</sup> | 11616304 |
| 206806 | GMO Emerging Country Debt Fund, Class VI <sup>(a)</sup> | 4899224 |
| 1114164 | GMO Emerging Markets ex-China Fund, Class VI <sup>(a)</sup> | 18907370 |
| 1056415 | GMO Emerging Markets Fund, Class VI <sup>(a)</sup> | 36055458 |
| 2277265 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 87697483 |
| 2236154 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 41435931 |
| 1259632 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 37234732 |
| 688767 | GMO Opportunistic Income Fund, Class VI <sup>(a)</sup> | 16957442 |
| 461751 | GMO Quality Fund, Class VI <sup>(a)</sup> | 16239777 |
| 216925 | GMO Resources Fund, Class VI <sup>(a)</sup> | 5687782 |
| 431551 | GMO Small Cap Quality Fund, Class VI <sup>(a)</sup> | 11142652 |
| 2969980 | GMO U.S. Equity Fund, Class VI <sup>(a)</sup> | 43599310 |
| 1722715 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(a)</sup> | 39725801 |
| 445735 | GMO U.S. Small Cap Value Fund, Class VI <sup>(a)</sup> | 11098794 |
| 3045199 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 15256448 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $492,453,818) | 573028647 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 912014 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 912014 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $912,014) | 912014 |
|  | **TOTAL INVESTMENTS — 99.7%**<br> (Cost $493,365,832) | **573940661** |
|  | Other Assets and Liabilities (net) — 0.3% | 1449236 |
|  | **TOTAL NET ASSETS — 100.0%** | $**575389897** |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

45 See accompanying notes to the financial statements.

------

#### GMO Global Developed Equity Allocation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 99.9%** |  |
|  | **United States — 99.9%** |  |
| 34007 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 965786 |
| 73066 | GMO Domestic Resilience ETF <sup>(a)</sup> | 2173713 |
| 124661 | GMO Emerging Markets ex-China Fund, Class VI <sup>(a)</sup> | 2115502 |
| 715583 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 27557087 |
| 613661 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 11371140 |
| 211712 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 6258195 |
| 415347 | GMO Quality Fund, Class VI <sup>(a)</sup> | 14607773 |
| 82992 | GMO Resources Fund, Class VI <sup>(a)</sup> | 2176060 |
| 147983 | GMO Small Cap Quality Fund, Class VI <sup>(a)</sup> | 3820928 |
| 777401 | GMO U.S. Equity Fund, Class VI <sup>(a)</sup> | 11412243 |
| 635831 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(a)</sup> | 14662261 |
| 111997 | GMO U.S. Small Cap Value Fund, Class VI <sup>(a)</sup> | 2788737 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $75,838,823) | 99909425 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 84708 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 84708 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $84,708) | 84708 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $75,923,531) | **99994133** |
|  | Other Assets and Liabilities (net) — (0.0%) | (48471) |
|  | **TOTAL NET ASSETS — 100.0%** | $**99945662** |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

See accompanying notes to the financial statements. 46

------

#### GMO Global Equity Allocation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 99.9%** |  |
|  | **United States — 99.9%** |  |
| 246082 | GMO Climate Change Fund, Class III <sup>(a)</sup> | 6988718 |
| 479019 | GMO Domestic Resilience ETF <sup>(a)</sup> | 14250815 |
| 950935 | GMO Emerging Markets ex-China Fund, Class VI <sup>(a)</sup> | 16137376 |
| 2165416 | GMO Emerging Markets Fund, Class VI <sup>(a)</sup> | 73905644 |
| 4347637 | GMO International Equity Fund, |  |
|  | Class IV <sup>(a)</sup> | 167427492 |
| 4118866 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 76322592 |
| 1489132 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 44018733 |
| 2128830 | GMO Quality Fund, Class VI <sup>(a)</sup> | 74870936 |
| 580775 | GMO Resources Fund, Class VI <sup>(a)</sup> | 15227924 |
| 1027358 | GMO Small Cap Quality Fund, Class VI <sup>(a)</sup> | 26526390 |
| 4317712 | GMO U.S. Equity Fund, Class VI <sup>(a)</sup> | 63384019 |
| 3605920 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(a)</sup> | 83152507 |
| 776802 | GMO U.S. Small Cap Value Fund, Class VI <sup>(a)</sup> | 19342372 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $528,654,561) | 681555518 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 553049 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 553049 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $553,049) | 553049 |
|  | TOTAL INVESTMENTS — 100.0%<br>(Cost $529,207,610) | **682108567** |
|  | Other Assets and Liabilities (net) — (0.0%) | (134456) |
|  | **TOTAL NET ASSETS — 100.0%** | $**681974111** |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

47 See accompanying notes to the financial statements.

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 75.3%** | **COMMON STOCKS — 75.3%** |
|  | **Argentina — 0.2%** | **Argentina — 0.2%** |
| 41100 | Vista Energy SAB de CV ADR\* | 2373114 |
| 54066 | YPF SA Sponsored ADR\* | 1913396 |
|  | Total Argentina | 4286510 |
|  | **Australia — 1.4%** | **Australia — 1.4%** |
| 141472 | Accent Group Ltd. <sup>(a)</sup> | 116431 |
| 32460 | AMP Ltd. | 29986 |
| 242166 | Aurizon Holdings Ltd. | 715047 |
| 371782 | BHP Group Ltd. | 15085153 |
| 65447 | BlueScope Steel Ltd. | 1303758 |
| 22731 | Brambles Ltd. <sup>(b)</sup> | 405387 |
| 6592 | Credit Corp. Group Ltd. <sup>(a)</sup> | 57042 |
| 501256 | Fortescue Ltd. | 7529476 |
| 350881 | Grange Resources Ltd. \* | 57485 |
| 125873 | Harvey Norman Holdings Ltd. | 515286 |
| 157176 | Helia Group Ltd. | 673399 |
| 49194 | HomeCo Daily Needs REIT | 45667 |
| 1819 | JB Hi-Fi Ltd. | 106329 |
| 9606 | Monadelphous Group Ltd. | 221676 |
| 31796 | Nine Entertainment Co. Holdings Ltd. <sup>(b)</sup> | 23867 |
| 47744 | NRW Holdings Ltd. | 221831 |
| 24744 | Paladin Energy Ltd. \* | 235778 |
| 122235 | Perenti Ltd. | 204397 |
| 77138 | Perseus Mining Ltd. | 331574 |
| 258525 | Ramelius Resources Ltd. | 849346 |
| 6418 | Rio Tinto Ltd. | 762972 |
| 34044 | Santos Ltd. | 164063 |
| 69907 | Southern Cross Media Group Ltd. | 30349 |
| 28106 | Super Retail Group Ltd. | 310344 |
| 60967 | Woodside Energy Group Ltd. | 1244762 |
|  | Total Australia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31241405 |
|  | **Austria — 0.3%** | **Austria — 0.3%** |
| 26109 | OMV AG | 1691346 |
| 50158 | Raiffeisen Bank International AG | 2491845 |
| 18603 | UNIQA Insurance Group AG | 367665 |
| 5783 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 451098 |
| 14951 | voestalpine AG <sup>(a)</sup> | 855647 |
|  | Total Austria | 5857601 |
|  | **Belgium — 0.3%** | **Belgium — 0.3%** |
| 59891 | Ageas SA | 4445507 |
| 8313 | Barco NV | 106483 |
| 10272 | Bekaert SA | 530145 |
| 7054 | Econocom Group SA NV | 12931 |
| 1202 | KBC Group NV | 162790 |
| 1487 | Melexis NV <sup>(a)</sup> | 99717 |
| 152692 | Proximus SADP | 1259219 |
| 432 | Sofina SA <sup>(a)</sup> | 128322 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Belgium — continued** |  |
| 27149 | Umicore SA | 578597 |
|  | Total Belgium | 7323711 |
|  | **Brazil — 0.5%** | **Brazil — 0.5%** |
| 222200 | Banco Bradesco SA | 796218 |
| 8200 | Cia De Sanena Do Parana | 72139 |
| 228000 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 1365821 |
| 39200 | Guararapes Confeccoes SA | 76695 |
| 183069 | Klabin SA | 734204 |
| 16900 | Neoenergia SA | 108359 |
| 17500 | Pagseguro Digital Ltd. – Class A <sup>(a)</sup> | 185675 |
| 63700 | Petroreconcavo SA | 153084 |
| 44000 | PRIO SA \* | 467680 |
| 106126 | Sao Martinho SA | 371798 |
| 40200 | Suzano SA | 454813 |
| 324100 | Vale SA Sponsored ADR <sup>(a)</sup> <sup>(b)</sup> | 5568038 |
| 73900 | Vale SA | 1275321 |
| 8933 | Vibra Energia SA | 52136 |
| 44300 | Vivara Participacoes SA | 269179 |
|  | Total Brazil | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11951160 |
|  | **Canada — 4.2%** | **Canada — 4.2%** |
| 24800 | Alimentation Couche-Tard, Inc. <sup>(b)</sup> | 1505036 |
| 58000 | Anaergia, Inc. \* <sup>(a)</sup> | 93545 |
| 11600 | ARC Resources Ltd. | 215153 |
| 247000 | B2Gold Corp. | 1517437 |
| 23200 | Bank of Montreal <sup>(b)</sup> | 3338875 |
| 70100 | Bank of Nova Scotia <sup>(b)</sup> (c) | 5317949 |
| 37167 | Bank of Nova Scotia <sup>(a) (c)</sup> | 2815400 |
| 30795 | Barrick Mining Corp. <sup>(b)</sup> | 1562538 |
| 10700 | Canadian Imperial Bank of Commerce <sup>(b)</sup> | 1080864 |
| 27700 | Canadian Tire Corp. Ltd. – Class A <sup>(b)</sup> | 3885371 |
| 6078 | Canfor Corp. \* | 61268 |
| 98500 | Capstone Copper Corp. \* | 1018903 |
| 72656 | Centerra Gold, Inc. <sup>(c)</sup> | 1527956 |
| 19200 | Centerra Gold, Inc. <sup>(c)</sup> | 403551 |
| 37600 | CGI, Inc. <sup>(b)</sup> | 2749882 |
| 3400 | Cogeco Communications, Inc. | 180363 |
| 4787 | Cogeco, Inc. | 258327 |
| 108980 | DPM Metals, Inc. | 4718565 |
| 16700 | Empire Co. Ltd. – Class A | 592314 |
| 13000 | Enerflex Ltd. | 291727 |
| 400 | Fairfax Financial Holdings Ltd. | 688465 |
| 7800 | Finning International, Inc. | 525852 |
| 40100 | First Quantum Minerals Ltd. \* | 1200604 |
| 7900 | iA Financial Corp., Inc. | 898447 |
| 55342 | IGM Financial, Inc. | 2753204 |
| 10963 | Interfor Corp. \* | 80049 |
| 11554 | International Petroleum Corp. \* | 264864 |
| 89100 | Ivanhoe Mines Ltd. – Class A \* <sup>(a)</sup> | 1018995 |
| 110972 | Largo, Inc. \* <sup>(a)</sup> | 188743 |
| 10700 | Linamar Corp. | 737441 |

---

See accompanying notes to the financial statements. 48

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Canada — continued** |  |
| 119371 | Magna International, Inc. <sup>(c)</sup> | 7526342 |
| 12600 | Magna International, Inc. <sup>(a) (c)</sup> | 794491 |
| 102800 | Manulife Financial Corp. <sup>(c)</sup> | 3660420 |
| 68240 | Manulife Financial Corp. <sup>(c)</sup> | 2425250 |
| 147600 | NexGen Energy Ltd. \* <sup>(a)</sup> | 1882805 |
| 44884 | Nutrien Ltd. <sup>(c)</sup> | 3369442 |
| 7300 | Nutrien Ltd. <sup>(c)</sup> | 549032 |
| 110843 | Open Text Corp. <sup>(b)</sup> <sup>(c)</sup> | 2745581 |
| 66800 | Open Text Corp. <sup>(b)</sup> <sup>(c)</sup> | 1654758 |
| 105000 | Parex Resources, Inc. | 1642682 |
| 134856 | Power Corp. of Canada | 6774189 |
| 4000 | Precision Drilling Corp. \* | 346967 |
| 7100 | Russel Metals, Inc. | 250052 |
| 64900 | Sun Life Financial, Inc. <sup>(a)</sup> <sup>(c)</sup> | 4253554 |
| 9308 | Sun Life Financial, Inc. <sup>(c)</sup> | 610139 |
| 5800 | Suncor Energy, Inc. <sup>(a)</sup> | 327620 |
| 53100 | Tamarack Valley Energy Ltd. | 396678 |
| 8588 | Torex Gold Resources, Inc. | 523257 |
| 144300 | Toronto-Dominion Bank <sup>(c)</sup> | 14057098 |
| 12431 | Toronto-Dominion Bank <sup>(a)</sup> <sup>(b) (c)</sup> | 1210282 |
| 18000 | Transcontinental, Inc. – Class A | 306939 |
| 2643 | Wajax Corp. | 60880 |
| 50400 | Whitecap Resources, Inc. | 503243 |
|  | Total Canada | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97363389 |
|  | **China — 2.3%** | **China — 2.3%** |
| 878000 | 361 Degrees International Ltd. | 632997 |
| 125500 | 3SBio, Inc. | 353780 |
| 1661000 | AviChina Industry & Technology Co. Ltd. – Class H <sup>(a)</sup> | 901951 |
| 232871 | Bank of Communications Co. Ltd. – Class H | 203802 |
| 91000 | Beijing Enterprises Holdings Ltd. | 409266 |
| 1938000 | Bosideng International Holdings Ltd. | 1201385 |
| 3810000 | China Communications Services Corp. Ltd. – Class H | 2162833 |
| 190000 | China Conch Venture Holdings Ltd. | 322167 |
| 686000 | China Construction Bank Corp. – Class H | 697932 |
| 188000 | China Foods Ltd. | 96685 |
| 3659000 | China Greenfresh Group Co. Ltd. <sup>(d)</sup> |  |
| 584000 | China Hongqiao Group Ltd. | 2634119 |
| 753000 | China Lesso Group Holdings Ltd. | 657115 |
| 303000 | China Medical System Holdings Ltd. | 563169 |
| 534000 | China National Building Material Co. Ltd. – Class H | 462998 |
| 436000 | China Nonferrous Mining Corp. Ltd. | 833370 |
| 705500 | China Overseas Land & Investment Ltd. | 1288848 |
| 1658000 | China Railway Group Ltd. – Class H | 1097177 |
| 2587000 | China Reinsurance Group Corp. – Class H | 544612 |
| 292000 | China Sanjiang Fine Chemicals Co. Ltd. \* | 181706 |
| 28000 | China Shineway Pharmaceutical Group Ltd. | 33527 |
| 1058400 | China Taiping Insurance Holdings Co. Ltd. | 3081985 |
| 1188158 | CITIC Ltd. | 1894066 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **China — continued** |  |
| 1469000 | Consun Pharmaceutical Group Ltd. | 3377427 |
| 3934000 | CSPC Pharmaceutical Group Ltd. | 4952148 |
| 317400 | ENN Energy Holdings Ltd. | 2784697 |
| 602000 | Fufeng Group Ltd. | 625229 |
| 97900 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 462969 |
| 25500 | Hengan International Group Co. Ltd. | 94868 |
| 3000 | Kingboard Holdings Ltd. | 15492 |
| 58000 | Kunlun Energy Co. Ltd. | 62173 |
| 239000 | Legend Holdings Corp. – Class H \* | 278854 |
| 96000 | Longfor Group Holdings Ltd. | 121546 |
| 543000 | Lonking Holdings Ltd. | 236997 |
| 420000 | Minth Group Ltd. | 2347702 |
| 234500 | Orient Overseas International Ltd. <sup>(a)</sup> | 4478559 |
| 240000 | PICC Property & Casualty Co. Ltd. – Class H | 495203 |
| 62796 | Qfin Holdings, Inc. <sup>(a)</sup> | 914310 |
| 153000 | Sany Heavy Equipment International Holdings Co. Ltd. | 307666 |
| 13000 | Shanghai Industrial Holdings Ltd. | 25489 |
| 2583000 | Sino Biopharmaceutical Ltd. | 1991835 |
| 766000 | Sinofert Holdings Ltd. | 181841 |
| 1125500 | Sinopec Engineering Group Co. Ltd. – Class H | 1137949 |
| 11200 | Sinopharm Group Co. Ltd. – Class H | 30196 |
| 638000 | Skyworth Group Ltd. \* | 571244 |
| 70000 | TCL Electronics Holdings Ltd. | 109554 |
| 40600 | Tencent Holdings Ltd. | 2671229 |
| 8000 | Tianneng Power International Ltd. | 7615 |
| 235600 | Vipshop Holdings Ltd. ADR <sup>(b)</sup> | 4104152 |
| 94100 | Western Mining Co. Ltd. – Class A | 475117 |
| 120000 | Yankuang Energy Group Co. Ltd. – Class H | 214464 |
|  | Total China | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53332015 |
|  | **Colombia — 0.0%** |  |
| 4461 | Corp. Financiera Colombiana SA \* | 20450 |
| 4400 | Ecopetrol SA Sponsored ADR | 52316 |
|  | Total Colombia | 72766 |
|  | **Denmark — 0.5%** |  |
| 446 | AP Moller - Maersk AS – Class A <sup>(b)</sup> | 1092439 |
| 1878 | AP Moller - Maersk AS – Class B <sup>(b)</sup> | 4662797 |
| 10012 | Genmab AS \* | 2947798 |
| 35952 | H Lundbeck AS | 220863 |
| 3998 | Matas AS | 69840 |
| 4747 | Pandora AS | 375252 |
| 46868 | Rockwool AS – B Shares | 1554027 |
| 41286 | Vestas Wind Systems AS <sup>(b)</sup> | 1055447 |
|  | Total Denmark | 11978463 |
|  | **Egypt — 0.0%** |  |
| 78936 | Orascom Construction PLC | 819992 |

---

49 See accompanying notes to the financial statements.

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Finland — 0.4%** |  |
| 14217 | Kemira OYJ | 344520 |
| 66788 | Neste OYJ | 1668955 |
| 848615 | Nokia OYJ <sup>(b)</sup> | 6513135 |
| 2141 | Sanoma OYJ <sup>(b)</sup> | 23128 |
| 26112 | Valmet OYJ | 874340 |
|  | Total Finland | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9424078 |
|  | **France — 2.3%** |  |
| 1254 | Amundi SA | 119623 |
| 21518 | Aperam SA | 1130013 |
| 46752 | ArcelorMittal SA | 3062672 |
| 868 | Arkema SA | 63212 |
| 16893 | AXA SA <sup>(b)</sup> | 826103 |
| 80783 | BNP Paribas SA | 9070448 |
| 6075 | Capgemini SE <sup>(b)</sup> | 767739 |
| 56812 | Carrefour SA | 1077458 |
| 17543 | Cie de Saint-Gobain SA <sup>(b)</sup> | 1777838 |
| 5888 | Cie Generale des Etablissements Michelin SCA <sup>(b)</sup> | 238118 |
| 12940 | Coface SA | 239359 |
| 23915 | Credit Agricole SA | 528353 |
| 15907 | Derichebourg SA <sup>(b)</sup> | 176458 |
| 10452 | Eiffage SA | 1802368 |
| 17929 | Ipsen SA | 3499786 |
| 2021 | IPSOS SA <sup>(b)</sup> | 81918 |
| 1650 | Mersen SA | 54114 |
| 14110 | Metropole Television SA <sup>(b)</sup> | 192810 |
| 14281 | Quadient SA | 227863 |
| 26007 | Rubis SCA | 1118607 |
| 93940 | Sanofi SA | 9187454 |
| 222 | Schneider Electric SE <sup>(b)</sup> | 72552 |
| 1026 | Societe BIC SA <sup>(b)</sup> | 65975 |
| 5403 | Societe Generale SA | 468227 |
| 31351 | STMicroelectronics NV <sup>(a)</sup> | 1044823 |
| 47793 | STMicroelectronics NV - NY Shares <sup>(a)</sup> | 1606323 |
| 4807 | Technip Energies NV | 208282 |
| 11374 | Teleperformance SE <sup>(b)</sup> | 687727 |
| 25802 | Television Francaise 1 SA <sup>(b)</sup> | 220937 |
| 116753 | TotalEnergies SE <sup>(c)</sup> | 9352103 |
| 1951 | TotalEnergies SE <sup>(c)</sup> | 156703 |
| 105960 | Valeo SE | 1528050 |
| 3436 | Vallourec SACA | 80391 |
| 19987 | Veolia Environnement SA <sup>(b)</sup> | 846384 |
|  | Total France | 51580791 |
|  | **Germany — 1.6%** |  |
| 66605 | Bayer AG (Registered) | 3295670 |
| 48567 | Bayerische Motoren Werke AG <sup>(b)</sup> | 5089988 |
| 11405 | Continental AG | 982814 |
| 31490 | Daimler Truck Holding AG | 1588800 |
| 143563 | Deutsche Bank AG (Registered) <sup>(b)</sup> | 5089760 |
| 80368 | Deutsche Post AG <sup>(b)</sup> | 4732480 |
| 107348 | Deutsche Telekom AG (Registered) <sup>(b)</sup> | 4311111 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Germany — continued** |  |
| 278 | Draegerwerk AG & Co. KGaA | 24735 |
| 5560 | DWS Group GmbH & Co. KGaA | 391915 |
| 57801 | E.ON SE <sup>(b)</sup> | 1344497 |
| 12998 | Evonik Industries AG | 225999 |
| 32369 | Fresenius Medical Care AG | 1507748 |
| 5589 | Henkel AG & Co. KGaA | 506184 |
| 502 | Hornbach Holding AG & Co. KGaA | 50775 |
| 5952 | Kloeckner & Co. SE | 77054 |
| 86188 | Mercedes-Benz Group AG <sup>(b)</sup> | 5963229 |
| 2366 | RTL Group SA | 103466 |
| 2498 | Siemens AG (Registered) <sup>(b)</sup> | 722281 |
| 792 | Wuestenrot & Wuerttembergische AG | 15473 |
|  | Total Germany | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36023979 |
|  | **Greece — 0.1%** |  |
| 172001 | Eurobank SA | 796960 |
| 2300 | Motor Oil Hellas Corinth Refineries SA | 99840 |
| 33753 | National Bank of Greece SA | 549049 |
|  | Total Greece | 1445849 |
|  | **Hong Kong — 1.3%** |  |
| 197000 | BOC Hong Kong Holdings Ltd. | 1126792 |
| 114000 | Chow Sang Sang Holdings International Ltd. | 202655 |
| 833000 | CITIC Telecom International Holdings Ltd. | 278889 |
| 758500 | CK Asset Holdings Ltd. | 4812513 |
| 1259500 | CK Hutchison Holdings Ltd. | 10370468 |
| 74000 | Dah Sing Banking Group Ltd. | 123766 |
| 44800 | Dah Sing Financial Holdings Ltd. | 243180 |
| 500000 | E-Commodities Holdings Ltd. | 54223 |
| 284000 | First Pacific Co. Ltd. | 229375 |
| 230000 | Giordano International Ltd. | 45015 |
| 491000 | IGG, Inc. | 197564 |
| 24500 | Johnson Electric Holdings Ltd. | 96796 |
| 24000 | KLN Logistics Group Ltd. | 21710 |
| 79000 | Luk Fook Holdings International Ltd. | 297027 |
| 443000 | Pacific Basin Shipping Ltd. | 195830 |
| 428000 | PAX Global Technology Ltd. | 265613 |
| 306000 | SITC International Holdings Co. Ltd. | 1305306 |
| 39500 | SmarTone Telecommunications Holdings Ltd. | 26595 |
| 172500 | Sun Hung Kai Properties Ltd. <sup>(b)</sup> | 3206885 |
| 40000 | Techtronic Industries Co. Ltd. | 647827 |
| 105500 | Texhong International Group Ltd. | 90290 |
| 2490000 | United Energy Group Ltd. | 207774 |
| 36000 | United Laboratories International Holdings Ltd. <sup>(a)</sup> | 59861 |
| 260000 | VSTECS Holdings Ltd. | 263374 |
| 74200 | VTech Holdings Ltd. | 611150 |
| 4646500 | WH Group Ltd. | 5841330 |
|  | Total Hong Kong | 30821808 |

---

See accompanying notes to the financial statements. 50

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Hungary — 0.5%** |  |
| 118549 | Magyar Telekom Telecommunications PLC | 803885 |
| 97647 | MOL Hungarian Oil & Gas PLC | 1080857 |
| 60540 | OTP Bank Nyrt | 7464122 |
| 35873 | Richter Gedeon Nyrt | 1345702 |
|  | Total Hungary | 10694566 |
|  | **India — 0.9%** |  |
| 181935 | Ashapura Minechem Ltd. | 1087174 |
| 699295 | Bharat Petroleum Corp. Ltd. | 2957214 |
| 49953 | Cipla Ltd. | 740590 |
| 13297 | Dhampur Bio Organics Ltd. | 14954 |
| 45455 | Dr. Reddy's Laboratories Ltd. ADR <sup>(a)</sup> | 653643 |
| 7292 | Dr. Reddy's Laboratories Ltd. | 103769 |
| 416283 | Hindalco Industries Ltd. | 4239782 |
| 155638 | Hindustan Petroleum Corp. Ltd. | 750264 |
| 265852 | Indian Oil Corp. Ltd. | 546535 |
| 1906 | KRBL Ltd. | 7135 |
| 341080 | Manappuram Finance Ltd. | 1058327 |
| 57984 | Muthoot Finance Ltd. | 2135847 |
| 1394687 | NMDC Ltd. | 1250444 |
| 1055241 | Oil & Natural Gas Corp. Ltd. | 3245271 |
| 70055 | Power Finance Corp. Ltd. | 317801 |
| 7721 | Rajesh Exports Ltd. \* | 12207 |
| 134671 | Shriram Finance Ltd. | 1601342 |
| 39625 | Siyaram Silk Mills Ltd. | 231702 |
|  | Total India | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20954001 |
|  | **Indonesia — 0.5%** |  |
| 3676500 | Aneka Tambang Tbk. PT | 955939 |
| 17079300 | Astra International Tbk. PT | 6795821 |
| 3978600 | Indofood Sukses Makmur Tbk. PT | 1529867 |
| 7547700 | Perusahaan Gas Negara Persero Tbk. PT | 1075465 |
| 204500 | Tempo Scan Pacific Tbk. PT | 33170 |
| 44100 | United Tractors Tbk. PT | 75113 |
|  | Total Indonesia | 10465375 |
|  | **Ireland — 0.0%** |  |
| 55171 | AIB Group PLC | 572664 |
| 12408 | Bank of Ireland Group PLC | 241600 |
| 16726 | Origin Enterprises PLC | 83597 |
| 24839 | Permanent TSB Group Holdings PLC \* | 93440 |
|  | Total Ireland | 991301 |
|  | **Israel — 0.8%** |  |
| 254049 | Bank Hapoalim BM | 6411719 |
| 150845 | Bank Leumi Le-Israel BM | 3651884 |
| 39327 | Bezeq The Israeli Telecommunication Corp. Ltd. | 103702 |
| 1086 | Check Point Software Technologies Ltd. \* | 165148 |
| 2317 | Delek Group Ltd. | 710869 |
| 140302 | ICL Group Ltd. | 664963 |
| 159311 | Israel Discount Bank Ltd. – Class A | 1928136 |
| 8107 | Mizrahi Tefahot Bank Ltd. | 607396 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Israel — continued** |  |
| 26933 | Nice Ltd. Sponsored ADR\* <sup>(a)</sup> <sup>(b)</sup> | 3130961 |
| 577 | Nice Ltd. \* | 66077 |
| 272772 | Oil Refineries Ltd. | 88921 |
| 58740 | ZIM Integrated Shipping Services Ltd. | 1693474 |
|  | Total Israel | 19223250 |
|  | **Italy — 1.2%** |  |
| 13609 | Arnoldo Mondadori Editore SpA <sup>(b)</sup> | 33165 |
| 24781 | Banca IFIS SpA | 718729 |
| 154967 | Banco BPM SpA | 2282687 |
| 121505 | BPER Banca SpA | 1711268 |
| 13067 | Buzzi SpA | 753357 |
| 25026 | Credito Emiliano SpA | 459913 |
| 11087 | d'Amico International Shipping SA | 101875 |
| 10553 | Esprinet SpA | 75422 |
| 37413 | Intesa Sanpaolo SpA <sup>(b)</sup> | 256711 |
| 91568 | Iren SpA <sup>(b)</sup> | 306911 |
| 37583 | Italgas SpA <sup>(b)</sup> | 484355 |
| 38506 | MFE-MediaForEurope NV – Class A <sup>(b)</sup> | 140599 |
| 24676 | OVS SpA | 144372 |
| 67921 | Saipem SpA <sup>(a)</sup> | 285579 |
| 495418 | Stellantis NV | 4019753 |
| 6810674 | Telecom Italia SpA\* | 5110456 |
| 66703 | Tenaris SA | 1823253 |
| 40874 | Tenaris SA ADR | 2223546 |
| 271877 | Unipol Assicurazioni SpA | 6763890 |
|  | Total Italy | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27695841 |
|  | **Japan — 19.3%** |  |
| 3400 | ADEKA Corp. | 104337 |
| 113000 | AGC, Inc. | 5011666 |
| 7600 | Ai Holdings Corp. | 142127 |
| 1200 | Aica Kogyo Co. Ltd. | 30534 |
| 12000 | Aichi Corp. | 112548 |
| 31200 | Air Water, Inc. | 433234 |
| 7600 | Anritsu Corp. | 146302 |
| 4300 | AOKI Holdings, Inc. | 49839 |
| 12500 | Arata Corp. | 246444 |
| 2400 | Artience Co. Ltd. | 67597 |
| 140000 | Asahi Group Holdings Ltd. | 1524269 |
| 87500 | Asahi Kasei Corp. | 1031225 |
| 17200 | Asahi Yukizai Corp. | 558616 |
| 6900 | ASKUL Corp. | 57525 |
| 16900 | Axial Retailing, Inc. | 141140 |
| 18100 | Bandai Namco Holdings, Inc. | 490726 |
| 8000 | Bando Chemical Industries Ltd. | 122246 |
| 1100 | Bridgestone Corp. | 26554 |
| 176800 | Brother Industries Ltd. | 3651987 |
| 1600 | Buffalo, Inc. | 54010 |
| 25700 | Bunka Shutter Co. Ltd. | 354584 |
| 28800 | Canon Marketing Japan, Inc. | 1290138 |
| 4200 | Canon, Inc. <sup>(b)</sup> | 126932 |
| 3700 | Central Glass Co. Ltd. | 104475 |

---

51 See accompanying notes to the financial statements.

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| 2900 | Chiyoda Integre Co. Ltd. | 63403 |
| 147600 | Chubu Electric Power Co., Inc. <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2492817 |
| 8200 | Citizen Watch Co. Ltd. | 100346 |
| 1900 | Create SD Holdings Co. Ltd. | 41353 |
| 265000 | Credit Saison Co. Ltd. | 8068857 |
| 98200 | Dai Nippon Printing Co. Ltd. <sup>(b)</sup> | 2040813 |
| 12300 | Dai Nippon Toryo Co. Ltd. | 117609 |
| 179900 | Daicel Corp. | 1888461 |
| 16900 | Dai-Dan Co. Ltd. | 395456 |
| 14300 | Daido Steel Co. Ltd. | 217943 |
| 5300 | Daiichi Jitsugyo Co. Ltd. | 121132 |
| 3400 | Daikin Industries Ltd. | 431987 |
| 103800 | Daito Trust Construction Co. Ltd. | 2390281 |
| 116200 | Daiwa House Industry Co. Ltd. | 4193248 |
| 229400 | Daiwabo Holdings Co. Ltd. | 4693487 |
| 168700 | Denka Co. Ltd. | 3971443 |
| 61600 | Denso Corp. | 883832 |
| 3400 | Dowa Holdings Co. Ltd. | 251137 |
| 8400 | Ebara Corp. | 295036 |
| 20200 | Electric Power Development Co. Ltd. <sup>(b)</sup> | 482422 |
| 90800 | EXEO Group, Inc. | 1739893 |
| 400 | Ferrotec Corp. <sup>(a)</sup> | 16233 |
| 161800 | Fuji Corp. | 6290660 |
| 5300 | Fuji Electric Co. Ltd. | 469764 |
| 13400 | Fuji Seal International, Inc. | 246902 |
| 294400 | FUJIFILM Holdings Corp. <sup>(b)</sup> | 6054044 |
| 700 | Fukuda Denshi Co. Ltd. | 45036 |
| 1900 | G-7 Holdings, Inc. | 18388 |
| 42600 | Glory Ltd. | 1133836 |
| 315300 | H.U. Group Holdings, Inc. | 6781742 |
| 7100 | Hakuto Co. Ltd. | 201254 |
| 700 | Halows Co. Ltd. | 22004 |
| 27700 | Haseko Corp. | 605164 |
| 65700 | Hitachi Construction Machinery Co. Ltd. | 2951833 |
| 137400 | Hogy Medical Co. Ltd. | 5904632 |
| 496600 | Honda Motor Co. Ltd. <sup>(b)</sup> | 4974661 |
| 82587 | Honda Motor Co. Ltd. Sponsored ADR | 2490824 |
| 15500 | Horiba Ltd. | 2081703 |
| 10600 | Hosiden Corp. | 199199 |
| 74800 | IDOM, Inc. <sup>(a)</sup> | 736269 |
| 3400 | Inaba Denki Sangyo Co. Ltd. | 62509 |
| 80700 | Inabata & Co. Ltd. | 2251147 |
| 580900 | Inpex Corp. | 14181343 |
| 418100 | Isuzu Motors Ltd. | 7792530 |
| 61400 | ITOCHU Corp. <sup>(b)</sup> | 889000 |
| 23200 | Itochu Enex Co. Ltd. | 309930 |
| 1300 | Itochu-Shokuhin Co. Ltd. | 109197 |
| 91600 | Iwatani Corp. | 1207446 |
| 3400 | Japan Lifeline Co. Ltd. | 34765 |
| 28700 | Japan Petroleum Exploration Co. Ltd. | 439325 |
| 130600 | Japan Post Holdings Co. Ltd. | 1700757 |
| 79000 | Japan Post Insurance Co. Ltd. | 2578629 |
| 138100 | Jeol Ltd. | 6070920 |
| 95200 | Kaga Electronics Co. Ltd. | 2653261 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| 36200 | Kajima Corp. | 1655442 |
| 7600 | Kamei Corp. | 165145 |
| 37000 | Kanadevia Corp. | 257300 |
| 13500 | Kandenko Co. Ltd. | 603175 |
| 39700 | Kaneka Corp. | 1341873 |
| 693700 | Kanematsu Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10905070 |
| 98700 | Kawasaki Kisen Kaisha Ltd. <sup>(a)</sup> | 1586778 |
| 78100 | KDDI Corp. <sup>(b)</sup> | 1341563 |
| 3000 | KH Neochem Co. Ltd. | 59787 |
| 152200 | Kirin Holdings Co. Ltd. | 2641845 |
| 42000 | Kitz Corp. | 579133 |
| 35400 | Kobe Steel Ltd. | 515138 |
| 40800 | Kohnan Shoji Co. Ltd. <sup>(a)</sup> | 1131443 |
| 132800 | Komatsu Ltd. | 6374447 |
| 8845 | Komeri Co. Ltd. | 207490 |
| 100 | Konishi Co. Ltd. | 886 |
| 27500 | Kraftia Corp. | 1860486 |
| 220500 | Kubota Corp. | 4482146 |
| 241500 | Kumiai Chemical Industry Co. Ltd. | 1135444 |
| 79200 | Kyocera Corp. <sup>(b)</sup> | 1398802 |
| 1300 | Kyoei Steel Ltd. | 22086 |
| 1400 | Life Corp. | 24338 |
| 96900 | Macnica Holdings, Inc. | 1712569 |
| 62100 | Marubeni Corp. | 2376428 |
| 180700 | Maruha Nichiro Corp. | 1834338 |
| 244700 | Maruichi Steel Tube Ltd. | 2545972 |
| 4900 | Maruzen Showa Unyu Co. Ltd. | 287624 |
| 2700 | Matsuda Sangyo Co. Ltd. <sup>(b)</sup> | 151460 |
| 330200 | Maxell Ltd. | 4835322 |
| 123000 | Mazda Motor Corp. <sup>(a)</sup> | 1089182 |
| 76600 | MCJ Co. Ltd. | 1123478 |
| 15200 | Megmilk Snow Brand Co. Ltd. | 340949 |
| 286000 | Mitsubishi Electric Corp. <sup>(b)</sup> | 10886018 |
| 8400 | Mitsubishi Materials Corp. | 322324 |
| 3500 | Mitsubishi Research Institute, Inc. <sup>(b)</sup> | 112756 |
| 166500 | Mitsui & Co. Ltd. <sup>(b)</sup> | 6242034 |
| 109100 | Mitsui OSK Lines Ltd. <sup>(a)</sup> | 4048112 |
| 238800 | Mizuno Corp. | 6202887 |
| 3100 | Modec, Inc. | 266456 |
| 133900 | Morinaga & Co. Ltd. | 2478839 |
| 5700 | Morita Holdings Corp. | 109049 |
| 12000 | MS&AD Insurance Group Holdings, Inc. | 334397 |
| 26400 | Murata Manufacturing Co. Ltd. | 690358 |
| 35000 | Musashi Seimitsu Industry Co. Ltd. | 698194 |
| 152200 | NEC Corp. <sup>(b)</sup> | 4219483 |
| 89900 | NGK Insulators Ltd. | 2633277 |
| 108500 | NH Foods Ltd. | 4974557 |
| 4000 | Nichias Corp. | 246170 |
| 6600 | Nichiha Corp. | 156907 |
| 6100 | Nichireki Group Co. Ltd. | 95406 |
| 29100 | Nippn Corp. | 534271 |
| 23300 | Nippon Kayaku Co. Ltd. | 299009 |
| 10900 | Nippon Light Metal Holdings Co. Ltd. | 217403 |
| 53100 | Nippon Shinyaku Co. Ltd. | 1752880 |

---

See accompanying notes to the financial statements. 52

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| 4300 | Nippon Television Holdings, Inc. <sup>(b)</sup> | 93599 |
| 255900 | Nippon Yusen KK <sup>(a)</sup> | 8786658 |
| 1232800 | Nissan Motor Co. Ltd. \* | 3396304 |
| 5800 | Nisshin Oillio Group Ltd. | 226654 |
| 25600 | Niterra Co. Ltd. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1290932 |
| 800 | Nitta Corp. | 24258 |
| 15200 | Nittetsu Mining Co. Ltd. | 406770 |
| 13500 | Nitto Denko Corp. | 313071 |
| 361400 | Nojima Corp. | 2698964 |
| 94400 | Nomura Real Estate Holdings, Inc. | 702718 |
| 4100 | Noritake Co. Ltd. | 183665 |
| 3500 | Noritsu Koki Co. Ltd. | 50741 |
| 13300 | NS United Kaiun Kaisha Ltd. | 650849 |
| 5266700 | NTT, Inc. <sup>(b)</sup> | 5152592 |
| 3000 | Obara Group, Inc. | 113019 |
| 382900 | Oisix ra daichi, Inc. | 3490233 |
| 117100 | Okamura Corp. <sup>(b)</sup> | 2048897 |
| 44600 | Oki Electric Industry Co. Ltd. | 918593 |
| 183700 | Ono Pharmaceutical Co. Ltd. | 3158108 |
| 1800 | Open House Group Co. Ltd. | 133219 |
| 198800 | Optex Group Co. Ltd. | 4066894 |
| 68700 | ORIX Corp. | 2411308 |
| 44700 | Osaka Gas Co. Ltd. <sup>(b)</sup> | 1865957 |
| 4900 | Otsuka Holdings Co. Ltd. | 337660 |
| 500 | PALTAC Corp. | 16175 |
| 654600 | Panasonic Holdings Corp. <sup>(b)</sup> | 10556115 |
| 397700 | Penta-Ocean Construction Co. Ltd. | 5405139 |
| 100 | Persol Holdings Co. Ltd. <sup>(b)</sup> | 160 |
| 7600 | Raito Kogyo Co. Ltd. | 212010 |
| 172000 | Renesas Electronics Corp. | 3243714 |
| 23200 | Ricoh Co. Ltd. | 217965 |
| 79900 | Rohto Pharmaceutical Co. Ltd. | 1251850 |
| 400 | RS Technologies Co. Ltd. | 10579 |
| 16200 | Sakai Moving Service Co. Ltd. | 303639 |
| 70100 | Sakata INX Corp. | 1202283 |
| 65700 | San-Ai Obbli Co. Ltd. | 1079854 |
| 44600 | Sankyo Co. Ltd. | 628728 |
| 91200 | Sankyu, Inc. | 5866227 |
| 3700 | SCREEN Holdings Co. Ltd. <sup>(a)</sup> | 539376 |
| 287600 | Sega Sammy Holdings, Inc. | 4813172 |
| 59400 | Seiko Epson Corp. | 804407 |
| 310500 | Sekisui Chemical Co. Ltd. | 6046648 |
| 158200 | Sekisui House Ltd. | 3864849 |
| 5000 | Sekisui Jushi Corp. | 79432 |
| 2000 | Shibuya Corp. | 47663 |
| 35800 | Shinagawa Refra Co. Ltd. | 572939 |
| 5900 | Shin-Etsu Polymer Co. Ltd. | 84300 |
| 34300 | Shinnihon Corp. | 483076 |
| 400200 | Shionogi & Co. Ltd. | 9449638 |
| 205800 | Ship Healthcare Holdings, Inc. | 3626749 |
| 2800 | Showa Sangyo Co. Ltd. | 61386 |
| 1600 | Sinanen Holdings Co. Ltd. | 72871 |
| 13800 | SMS Co. Ltd. <sup>(b)</sup> | 154855 |
| 56900 | Sojitz Corp. | 2574265 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| 135100 | Stanley Electric Co. Ltd. <sup>(a)</sup> | 2848953 |
| 48000 | Starts Corp., Inc. | 1641640 |
| 229900 | Subaru Corp. | 4312257 |
| 200000 | SUMCO Corp. | 2327345 |
| 63400 | Sumitomo Corp. <sup>(b)</sup> | 2692164 |
| 117800 | Sumitomo Electric Industries Ltd. | 7784127 |
| 289600 | Sumitomo Forestry Co. Ltd. <sup>(a)</sup> | 3131507 |
| 202000 | Sumitomo Mitsui Financial Group, Inc. | 7622586 |
| 148500 | Sumitomo Mitsui Trust Group, Inc. | 5178029 |
| 2400 | Sun Frontier Fudousan Co. Ltd. | 43529 |
| 65600 | Suntory Beverage & Food Ltd. | 2062971 |
| 91400 | Suzuki Motor Corp. | 1382276 |
| 175000 | T&D Holdings, Inc. | 4713177 |
| 32600 | TDK Corp. <sup>(b)</sup> | 503618 |
| 90100 | THK Co. Ltd. | 3243557 |
| 2500 | Toa Corp. | 67558 |
| 1000 | Token Corp. | 96171 |
| 9200 | Tokuyama Corp. | 263573 |
| 1200 | Tokyo Electron Ltd. <sup>(b)</sup> | 337649 |
| 41400 | Tokyo Gas Co. Ltd. <sup>(b)</sup> | 2032295 |
| 151700 | Tokyo Steel Manufacturing Co. Ltd. | 1572509 |
| 368100 | Tosei Corp. | 3886996 |
| 122700 | Tosoh Corp. | 2144320 |
| 187100 | TOTO Ltd. | 7291387 |
| 4600 | Towa Pharmaceutical Co. Ltd. | 130545 |
| 160300 | Toyo Tire Corp. | 4939808 |
| 64700 | Toyoda Gosei Co. Ltd. | 2102483 |
| 10900 | Toyota Boshoku Corp. | 222910 |
| 69200 | Toyota Motor Corp. <sup>(b)</sup> | 1676602 |
| 178600 | Toyota Tsusho Corp. | 7983528 |
| 200 | TRE Holdings Corp. <sup>(b)</sup> | 2298 |
| 6100 | Tsubakimoto Chain Co. | 104423 |
| 11900 | Tsugami Corp. | 300377 |
| 700 | Tsumura & Co. | 18834 |
| 5500 | Unicharm Corp. | 37635 |
| 5500 | Unipres Corp. | 51942 |
| 145900 | Valqua Ltd. <sup>(a)</sup> | 5012415 |
| 4100 | Wacoal Holdings Corp. <sup>(a)</sup> | 119130 |
| 3000 | Warabeya Nichiyo Holdings Co. Ltd. <sup>(a)</sup> | 66046 |
| 84700 | YAMABIKO Corp. | 2079994 |
| 396100 | Yamaha Corp. | 3069657 |
| 255800 | Yamaha Motor Co. Ltd. <sup>(a)</sup> | 2034113 |
| 23300 | Yamazen Corp. | 228939 |
| 18300 | Yellow Hat Ltd. | 205964 |
| 20400 | Yokogawa Bridge Holdings Corp. | 419188 |
| 16600 | Yokohama Rubber Co. Ltd. | 834975 |
| 14800 | Yuasa Trading Co. Ltd. | 613028 |
| 152600 | Zenkoku Hosho Co. Ltd. | 3142424 |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;442742023 |
|  | **Kuwait — 0.1%** |  |
| 501909 | A'ayan Leasing & Investment Co. KSCP | 368698 |
| 104928 | Agility Public Warehousing Co. KSCC | 47151 |

---

53 See accompanying notes to the financial statements.

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Kuwait — continued** |  |
| 64027 | Combined Group Contracting Co. SAK | 202711 |
| 45535 | Mobile Telecommunications Co. KSCP | 80429 |
| 6968 | National Mobile Telecommunications Co. KSC | 37111 |
| 777121 | Noor Financial Investment Co. KSC | 1023978 |
|  | Total Kuwait | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1760078 |
|  | **Mexico — 0.4%** |  |
| 439059 | Cemex SAB de CV Sponsored ADR | 5492628 |
| 27674 | El Puerto de Liverpool SAB de CV – Class C1 | 173031 |
| 726487 | Gentera SAB de CV | 2108761 |
| 23370 | Grupo Financiero Banorte SAB de CV – Class O | 265738 |
| 8900 | Grupo Mexico SAB de CV – Series B | 112793 |
| 19685 | Unifin Financiera SAB de CV \* <sup>(d)</sup> |  |
|  | Total Mexico | 8152951 |
|  | **Netherlands — 1.6%** |  |
| 135480 | ABN AMRO Bank NV | 4537598 |
| 42596 | Aegon Ltd. | 324170 |
| 9677 | Akzo Nobel NV | 679798 |
| 4867 | ASML Holding NV - NY Shares (Registered) <sup>(a)</sup> <sup>(b)</sup> | 7059876 |
| 9661 | Brunel International NV <sup>(a)</sup> | 79210 |
| 25475 | DSM-Firmenich AG | 1819417 |
| 39856 | EXOR NV | 3497727 |
| 128420 | ING Groep NV | 3705294 |
| 10372 | JDE Peet's NV | 388841 |
| 26669 | Koninklijke Ahold Delhaize NV <sup>(b)</sup> | 1317816 |
| 44909 | Koninklijke BAM Groep NV | 506791 |
| 84838 | Magnum Ice Cream Co. NV \* | 1346886 |
| 96968 | NN Group NV | 7953077 |
| 47612 | SBM Offshore NV | 1839431 |
| 107060 | Signify NV | 2494372 |
|  | Total Netherlands | 37550304 |
|  | **New Zealand — 0.0%** |  |
| 106452 | Meridian Energy Ltd. <sup>(b)</sup> | 360909 |
|  | **Norway — 1.0%** |  |
| 12491 | Aker BP ASA | 379509 |
| 115758 | Aker Solutions ASA | 502042 |
| 37938 | Austevoll Seafood ASA | 391893 |
| 14135 | Bakkafrost P/F | 677794 |
| 4703 | BW LPG Ltd. | 85601 |
| 21862 | DOF Group ASA | 290889 |
| 239989 | Elkem ASA | 772338 |
| 313973 | Equinor ASA | 9407938 |
| 35434 | Europris ASA | 338813 |
| 90051 | Hoegh Autoliners ASA | 1254426 |
| 96598 | MPC Container Ships ASA | 226478 |
| 292778 | Norsk Hydro ASA | 2716519 |
| 39167 | Odfjell Drilling Ltd. | 439301 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Norway — continued** |  |
| 162733 | Orkla ASA | 2227823 |
| 10505 | Stolt-Nielsen Ltd. | 372161 |
| 39400 | Storebrand ASA | 746895 |
| 17810 | TGS ASA | 212923 |
| 38094 | Var Energi ASA | 143818 |
| 68707 | Wallenius Wilhelmsen ASA | 955730 |
| 6193 | Yara International ASA | 313503 |
|  | Total Norway | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22456394 |
|  | **Pakistan — 0.0%** |  |
| 192017 | Oil & Gas Development Co. Ltd. | 196048 |
|  | **Philippines — 0.0%** |  |
| 6050 | GT Capital Holdings, Inc. | 70293 |
| 1293100 | LT Group, Inc. | 350282 |
| 1816024 | Megaworld Corp. | 71173 |
| 28500 | Puregold Price Club, Inc. | 20751 |
| 32700 | Robinsons Retail Holdings, Inc. | 21616 |
|  | Total Philippines | 534115 |
|  | **Poland — 0.2%** |  |
| 394 | KGHM Polska Miedz SA \* | 37155 |
| 116970 | ORLEN SA | 3767509 |
| 184913 | PGE Polska Grupa Energetyczna SA \* | 583981 |
|  | Total Poland | 4388645 |
|  | **Portugal — 0.1%** |  |
| 1148134 | Banco Comercial Portugues SA – Class R | 1205935 |
| 87776 | Navigator Co. SA <sup>(a)</sup> | 356677 |
| 8133 | NOS SGPS SA | 49509 |
| 100510 | REN - Redes Energeticas Nacionais SGPS SA | 456722 |
| 440677 | Sonae SGPS SA | 1049424 |
|  | Total Portugal | 3118267 |
|  | **Qatar — 0.0%** |  |
| 26329 | Qatar National Bank QPSC | 139779 |
|  | **Russia — 0.0%** |  |
| 10221010 | Alrosa PJSC \* <sup>(d) (e)</sup> |  |
| 376870000 | Federal Grid Co-Rosseti PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 415363 | Gazprom Neft PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 4924596 | Gazprom PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 1279700 | GMK Norilskiy Nickel PAO \* <sup>(d) (e)</sup> |  |
| 18204300 | Inter RAO UES PJSC \* <sup>(d) (e)</sup> |  |
| 88304 | LSR Group PJSC \* <sup>(d) (e)</sup> |  |
| 4 | LSR Group PJSC GDR \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 192855 | LUKOIL PJSC \* <sup>(d) (e)</sup> |  |
| 5760219 | Magnitogorsk Iron & Steel Works PJSC \* <sup>(d) (e)</sup> |  |
| 71800 | Mechel PJSC \* <sup>(d) (e)</sup> |  |
| 1472470 | Moscow Exchange MICEX-RTS PJSC \* <sup>(d) (e)</sup> |  |

---

See accompanying notes to the financial statements. 54

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Russia — continued** |  |
| 7545000 | Mosenergo PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 191960 | Novatek PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 3493400 | Novolipetsk Steel PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 6115 | PhosAgro PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 118 | PhosAgro PJSC GDR \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 255520 | Polyus PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 1 | Polyus PJSC GDR \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 49974140 | RusHydro PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 8073970 | Sberbank of Russia PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 7395 | Severstal PAO \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 261549 | Severstal PAO GDR (Registered) \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 29090 | SFI PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 27770670 | Surgutneftegas PAO \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 986916 | Tatneft PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 725480 | Unipro PAO \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 55470 | United Co. RUSAL International PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 150462 | VTB Bank PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
|  | Total Russia |  |
|  | **Saudi Arabia — 0.3%** |  |
| 25273 | Banque Saudi Fransi | 133483 |
| 12324 | Etihad Etisalat Co. | 210953 |
| 115025 | Riyad Bank | 848779 |
| 9070 | SABIC Agri-Nutrients Co. | 298951 |
| 27433 | Saudi Awwal Bank | 249760 |
| 386025 | Saudi National Bank | 4277105 |
| 112910 | Saudi Telecom Co. | 1257819 |
|  | Total Saudi Arabia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7276850 |
|  | **Singapore — 0.6%** |  |
| 92400 | Bumitama Agri Ltd. | 96336 |
| 378800 | ComfortDelGro Corp. Ltd. | 463739 |
| 2900 | DBS Group Holdings Ltd. | 130631 |
| 122400 | First Real Estate Investment Trust – (REIT) | 25200 |
| 188800 | First Resources Ltd. | 352792 |
| 767400 | Golden Agri-Resources Ltd. | 172719 |
| 178000 | Oversea-Chinese Banking Corp. Ltd. | 3012325 |
| 55900 | Sheng Siong Group Ltd. | 116175 |
| 106800 | StarHub Ltd. <sup>(a)</sup> | 86897 |
| 24800 | United Overseas Bank Ltd. | 723601 |
| 37600 | UOL Group Ltd. | 335078 |
| 42200 | Venture Corp. Ltd. | 521072 |
| 24400 | Wilmar International Ltd. | 67834 |
| 431700 | Yangzijiang Financial Holding Ltd. | 105438 |
| 8800 | Yangzijiang Maritime Development Ltd. \* | 4335 |
| 2434177 | Yangzijiang Shipbuilding Holdings Ltd. | 8319944 |
|  | Total Singapore | 14534116 |
|  | **South Africa — 0.0%** |  |
| 7696 | Exxaro Resources Ltd. | 95762 |
| 10305 | Ninety One Ltd. | 35246 |
| 189595 | Old Mutual Ltd. | 196237 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **South Africa — continued** |  |
| 2594 | Valterra Platinum Ltd. | 304567 |
|  | Total South Africa | 631812 |
|  | **South Korea — 3.6%** |  |
| 21985 | Doosan Bobcat, Inc. | 991364 |
| 1131 | GS Holdings Corp. | 54054 |
| 31644 | Hana Financial Group, Inc. | 2676677 |
| 23202 | Hankook Tire & Technology Co. Ltd. | 1175232 |
| 53911 | HMM Co. Ltd. | 799072 |
| 31667 | Hyundai Glovis Co. Ltd. | 6376154 |
| 41219 | Hyundai Mobis Co. Ltd. | 14816271 |
| 5362 | Hyundai Motor Co. | 2513836 |
| 3025 | KB Financial Group, Inc. | 333864 |
| 92974 | Kia Corp. | 13275532 |
| 10896 | KT&G Corp. | 1234590 |
| 13999 | LG Corp. | 1047532 |
| 55780 | LG Electronics, Inc. | 5642996 |
| 7908 | POSCO Holdings, Inc. Sponsored ADR | 550318 |
| 5302 | ROKIT Healthcare, Inc. \* | 250890 |
| 53889 | Samsung E&A Co. Ltd. | 1362481 |
| 127101 | Samsung Electronics Co. Ltd. | 19023367 |
| 246 | Samsung Electronics Co. Ltd. GDR (Registered) <sup>(b)</sup> | 892268 |
| 37414 | Shinhan Financial Group Co. Ltd. | 2516334 |
| 769 | SK Hynix, Inc. | 568592 |
| 5836 | SK Square Co. Ltd. \* | 2619300 |
| 179187 | Woori Financial Group, Inc. | 4484082 |
|  | Total South Korea | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;83204806 |
|  | **Spain — 1.8%** |  |
| 97291 | Acerinox SA | 1547246 |
| 32149 | Atresmedia Corp. de Medios de Comunicacion SA <sup>(a)</sup> <sup>(b)</sup> | 196642 |
| 641042 | Banco Bilbao Vizcaya Argentaria SA | 14847559 |
| 673104 | Banco Santander SA | 8489231 |
| 61238 | Bankinter SA | 1016143 |
| 58685 | CaixaBank SA <sup>(b)</sup> | 723308 |
| 6091 | CIE Automotive SA | 228260 |
| 1514 | Faes Farma SA | 9330 |
| 9668 | Iberdrola SA <sup>(b)</sup> | 228196 |
| 25903 | Indra Sistemas SA <sup>(b)</sup> | 1913880 |
| 719069 | Mapfre SA <sup>(a)</sup> | 3342295 |
| 47480 | Prosegur Cia de Seguridad SA <sup>(b)</sup> | 162953 |
| 264117 | Repsol SA | 5977118 |
| 649259 | Unicaja Banco SA | 2054585 |
|  | Total Spain | 40736746 |
|  | **Sweden — 0.8%** |  |
| 32673 | AcadeMedia AB <sup>(b)</sup> | 361053 |
| 17707 | Boliden AB \* | 1403593 |
| 26960 | Essity AB – Class B | 856370 |
| 54347 | Husqvarna AB – Class B | 261334 |
| 92242 | Investor AB – B Shares <sup>(b)</sup> | 3847557 |

---

55 See accompanying notes to the financial statements.

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Sweden — continued** |  |
| 15590 | Peab AB – Class B | 183110 |
| 6101 | Securitas AB – B Shares <sup>(b)</sup> | 108571 |
| 25804 | Skanska AB – B Shares | 791070 |
| 40201 | SKF AB – B Shares | 1149134 |
| 57257 | SSAB AB – B Shares | 505561 |
| 21151 | Svenska Cellulosa AB SCA – Class B <sup>(a)</sup> | 287143 |
| 17003 | Swedbank AB – A Shares | 653137 |
| 482563 | Telefonaktiebolaget LM Ericsson – B Shares <sup>(b)</sup> | 5578419 |
| 73032 | Volvo AB – B Shares <sup>(a)</sup> <sup>(b)</sup> | 2841558 |
|  | Total Sweden | 18827610 |
|  | **Switzerland — 1.3%** |  |
| 45617 | ABB Ltd. (Registered) <sup>(b)</sup> | 4248594 |
| 27869 | Adecco Group AG (Registered) <sup>(b)</sup> | 783497 |
| 1156 | Implenia AG (Registered) | 108338 |
| 11564 | Logitech International SA (Registered) | 1060919 |
| 4895 | Mobilezone Holding AG (Registered) | 98628 |
| 44306 | Nestle SA (Registered) <sup>(b)</sup> | 4840891 |
| 28098 | Novartis AG (Registered) | 4724447 |
| 19980 | Novartis AG Sponsored ADR | 3369027 |
| 15152 | Roche Holding AG | 7210858 |
| 1976 | Roche Holding AG – Class BR | 979425 |
| 15780 | Sandoz Group AG ADR | 1388956 |
| 392 | Swisscom AG (Registered) <sup>(b)</sup> | 367696 |
|  | Total Switzerland | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29181276 |
|  | **Taiwan — 3.6%** |  |
| 90000 | Ardentec Corp. | 449655 |
| 255000 | ASE Technology Holding Co. Ltd. | 3072641 |
| 66000 | Asustek Computer, Inc. | 1115274 |
| 511000 | Compal Electronics, Inc. | 512643 |
| 133000 | Compeq Manufacturing Co. Ltd. | 859968 |
| 1513000 | Evergreen Marine Corp. Taiwan Ltd. | 9495197 |
| 214000 | Greatek Electronics, Inc. | 651815 |
| 236000 | Hannstar Board Corp. | 699581 |
| 513406 | Hon Hai Precision Industry Co. Ltd. | 3926934 |
| 86000 | Lite-On Technology Corp. | 469427 |
| 39000 | Longwell Co. | 278508 |
| 9000 | MediaTek, Inc. | 554396 |
| 87000 | Pegatron Corp. | 203629 |
| 25000 | Phison Electronics Corp. | 1476929 |
| 4468566 | Pou Chen Corp. | 4422483 |
| 239000 | Powertech Technology, Inc. | 1940862 |
| 189000 | Realtek Semiconductor Corp. | 2892635 |
| 670000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 41806775 |
| 17000 | TCI Co. Ltd. | 71361 |
| 147000 | Tripod Technology Corp. | 1815782 |
| 19000 | TTY Biopharm Co. Ltd. | 51100 |
| 832000 | United Microelectronics Corp. | 1721288 |
| 89000 | Wan Hai Lines Ltd. | 217529 |
| 628000 | Yang Ming Marine Transport Corp. | 1150242 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Taiwan — continued** |  |
| 112000 | YungShin Global Holding Corp. | 195931 |
| 370000 | Zhen Ding Technology Holding Ltd. | 2446206 |
|  | Total Taiwan | 82498791 |
|  | **Thailand — 1.3%** |  |
| 692400 | 3BB Internet Infrastructure Fund – Class F | 149125 |
| 242100 | AP Thailand PCL NVDR | 71630 |
| 70700 | Bangkok Bank PCL NVDR | 403507 |
| 35900 | Bangkok Life Assurance PCL NVDR | 24716 |
| 52700 | Digital Telecommunications Infrastructure Fund – Class F | 16277 |
| 72900 | GFPT PCL NVDR | 22864 |
| 1145900 | Kasikornbank PCL NVDR | 7407558 |
| 9048100 | Krung Thai Bank PCL NVDR | 9963653 |
| 180600 | Mega Lifesciences PCL NVDR | 220950 |
| 953800 | PTT Exploration & Production PCL NVDR | 4218855 |
| 1820500 | PTT PCL NVDR | 2166653 |
| 134700 | Regional Container Lines PCL NVDR | 133169 |
| 787300 | SCB X PCL NVDR | 3759085 |
| 20000 | Thai Vegetable Oil PCL NVDR | 15889 |
| 155400 | Thaifoods Group PCL NVDR | 32478 |
| 84200 | TOA Paint Thailand PCL NVDR | 42861 |
|  | Total Thailand | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28649270 |
|  | **Turkey — 0.1%** |  |
| 6947 | Dogus Otomotiv Servis ve Ticaret AS | 34546 |
| 49273 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 50972 |
| 289329 | Turk Hava Yollari AO | 2028031 |
|  | Total Turkey | 2113549 |
|  | **Ukraine — 0.0%** |  |
| 36516 | Kernel Holding SA \* | 215077 |
|  | **United Arab Emirates — 0.1%** |  |
| 230415 | Emirates NBD Bank PJSC | 2070351 |
| 169788 | First Abu Dhabi Bank PJSC | 906656 |
|  | Total United Arab Emirates | 2977007 |
|  | **United Kingdom — 4.2%** |  |
| 175993 | 3i Group PLC <sup>(b)</sup> | 7862643 |
| 141026 | Aberdeen Group PLC | 417881 |
| 44236 | Anglo American PLC | 2207048 |
| 28822 | Associated British Foods PLC | 767597 |
| 3391 | Berkeley Group Holdings PLC | 197184 |
| 520397 | BP PLC | 3372907 |
| 42720 | British American Tobacco PLC Sponsored ADR <sup>(b)</sup> | 2676408 |
| 3914691 | BT Group PLC | 11409751 |
| 5991 | Coca-Cola HBC AG – Class DI | 388884 |
| 12620 | DCC PLC | 880018 |
| 43481 | Drax Group PLC <sup>(b)</sup> | 519519 |
| 30601 | Evraz PLC \* <sup>(d)</sup> <sup>(e)</sup> |  |

---

See accompanying notes to the financial statements. 56

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **United Kingdom — continued** |  |
| 45792 | Ferrexpo PLC \* | 34633 |
| 513104 | Glencore PLC \* <sup>(b)</sup> | 3707492 |
| 13300 | Global Ship Lease, Inc. – Class A | 546364 |
| 213266 | GSK PLC Sponsored ADR <sup>(a)</sup> | 12610419 |
| 104467 | GSK PLC | 3104058 |
| 12278 | Halfords Group PLC | 24553 |
| 228899 | Harbour Energy PLC | 785108 |
| 100259 | HSBC Holdings PLC <sup>(b)</sup> | 1873942 |
| 41104 | IG Group Holdings PLC | 720982 |
| 50314 | Imperial Brands PLC | 2253507 |
| 27836 | International Personal Finance PLC | 92967 |
| 413488 | ITV PLC <sup>(b)</sup> | 442614 |
| 71359 | J Sainsbury PLC | 335355 |
| 119176 | JD Sports Fashion PLC | 131287 |
| 77153 | Jupiter Fund Management PLC | 194881 |
| 11440 | Keller Group PLC | 311767 |
| 621503 | Kingfisher PLC <sup>(b)</sup> | 3126178 |
| 68000 | Lifezone Metals Ltd. \* | 316200 |
| 12776 | Lion Finance Group PLC | 1994882 |
| 18107 | Morgan Sindall Group PLC | 1208424 |
| 88656 | OSB Group PLC | 728412 |
| 34541 | Paragon Banking Group PLC | 397726 |
| 23724 | Plus500 Ltd. | 1277519 |
| 109006 | Rio Tinto PLC Sponsored ADR | 10828656 |
| 45925 | Rio Tinto PLC | 4549777 |
| 111010 | Schroders PLC | 874137 |
| 52224 | Shell PLC | 2187291 |
| 9655 | Shell PLC ADR <sup>(b)</sup> | 806289 |
| 5359 | TBC Bank Group PLC | 346601 |
| 28127 | Vesuvius PLC | 189312 |
| 525404 | Vodafone Group PLC Sponsored ADR | 8070205 |
| 287560 | Vodafone Group PLC <sup>(b)</sup> | 442793 |
| 80576 | Zigup PLC | 445900 |
|  | Total United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95660071 |
|  | **United States — 15.5%** |  |
| 1226 | Abercrombie & Fitch Co. – Class A \* | 119903 |
| 7780 | Academy Sports & Outdoors, Inc. <sup>(a)</sup> | 467811 |
| 11593 | Adobe, Inc. \* <sup>(b)</sup> | 3042119 |
| 3400 | Advanced Drainage Systems, Inc. | 582556 |
| 23298 | Aemetis, Inc. \* | 33083 |
| 8060 | Aflac, Inc. <sup>(a)</sup> | 910216 |
| 7000 | AGCO Corp. <sup>(a)</sup> | 955500 |
| 1725 | Akamai Technologies, Inc. \* <sup>(a)</sup> | 169723 |
| 17600 | Albemarle Corp. <sup>(a)</sup> | 3144592 |
| 19546 | Albertsons Cos., Inc. – Class A <sup>(a)</sup> | 349873 |
| 20426 | Allstate Corp. <sup>(a)</sup> | 4381786 |
| 12918 | Alphabet, Inc. – Class A <sup>(b)</sup> | 4027316 |
| 7306 | Altria Group, Inc. <sup>(b)</sup> | 504406 |
| 2436 | Amazon.com, Inc. \* <sup>(a)</sup> | 511560 |
| 37393 | Ameresco, Inc. – Class A \* <sup>(a)</sup> | 1138991 |
| 1828 | American Express Co. <sup>(a)</sup> <sup>(b)</sup> | 564669 |
| 3098 | American International Group, Inc. <sup>(a)</sup> | 249358 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| 243 | Ameriprise Financial, Inc. <sup>(a)</sup> | 114239 |
| 10797 | Annaly Capital Management, Inc. – (REIT) | 250922 |
| 24975 | APA Corp. <sup>(a)</sup> | 758491 |
| 2998 | Aptiv PLC \* | 220473 |
| 18531 | Arch Capital Group Ltd. \* <sup>(a)</sup> | 1855880 |
| 6683 | Archer-Daniels-Midland Co. | 461394 |
| 146490 | Array Technologies, Inc. \* <sup>(a)</sup> | 1110394 |
| 2494 | Arrow Electronics, Inc. \* | 379487 |
| 81349 | AT&T, Inc. <sup>(a)</sup> | 2278586 |
| 1837 | AutoNation, Inc. \* <sup>(a)</sup> | 358509 |
| 13167 | Avnet, Inc. <sup>(a)</sup> | 866915 |
| 123579 | Bank of America Corp. <sup>(b)</sup> | 6157942 |
| 3195 | Bank of New York Mellon Corp. <sup>(b)</sup> | 380525 |
| 7962 | Bath & Body Works, Inc. <sup>(a)</sup> | 181215 |
| 45171 | Best Buy Co., Inc. <sup>(a) (b)</sup> | 2799247 |
| 3982 | Block, Inc. – Class A \* | 253653 |
| 12458 | Blue Owl Capital Corp. <sup>(a)</sup> | 140651 |
| 6164 | BorgWarner, Inc. <sup>(a)</sup> | 354861 |
| 4621 | Bread Financial Holdings, Inc. | 327444 |
| 95940 | Bristol-Myers Squibb Co. <sup>(b)</sup> | 5983778 |
| 25477 | Builders FirstSource, Inc. \* <sup>(a)</sup> | 2656996 |
| 5242 | Bunge Global SA <sup>(a)</sup> | 632447 |
| 46300 | California Resources Corp. | 2724292 |
| 21188 | Capital One Financial Corp. <sup>(b)</sup> | 4145220 |
| 4242 | Carrier Global Corp. <sup>(a)</sup> | 273185 |
| 4756 | CF Industries Holdings, Inc. | 473412 |
| 17529 | Chevron Corp. <sup>(a)</sup> | 3273716 |
| 1600 | Chord Energy Corp. <sup>(a)</sup> | 173392 |
| 3485 | Chubb Ltd. <sup>(b)</sup> | 1187897 |
| 18590 | Cigna Group <sup>(a)</sup> <sup>(b)</sup> | 5387754 |
| 28163 | Cisco Systems, Inc. <sup>(a)</sup> | 2237832 |
| 51524 | Citigroup, Inc. <sup>(a)</sup> | 5677430 |
| 162741 | Clean Energy Fuels Corp. \* <sup>(a)</sup> | 367795 |
| 218741 | CNH Industrial NV <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2690514 |
| 55938 | Cognizant Technology Solutions Corp. – <br>Class A <sup>(a) (b)</sup> | 3604085 |
| 3584 | Colgate-Palmolive Co. <sup>(b)</sup> | 355318 |
| 195721 | Comcast Corp. – Class A <sup>(a)</sup> <sup>(b)</sup> | 6059522 |
| 3506 | Commercial Metals Co. | 256990 |
| 3855 | Concentrix Corp. <sup>(a)</sup> | 126444 |
| 35059 | ConocoPhillips <sup>(a)</sup> | 3977794 |
| 3553 | Corebridge Financial, Inc. | 91810 |
| 10200 | Corteva, Inc. <sup>(a)</sup> | 817224 |
| 1254 | Covista, Inc. \* <sup>(b)</sup> | 122892 |
| 17100 | Crescent Energy Co. – Class A <sup>(a)</sup> | 199386 |
| 6343 | Crocs, Inc. \* | 575374 |
| 48 | Cummins, Inc. <sup>(a)</sup> | 28026 |
| 73180 | CVS Health Corp. <sup>(b)</sup> | 5847082 |
| 82100 | Darling Ingredients, Inc. \* | 4364436 |
| 14419 | Deckers Outdoor Corp. \* | 1690916 |
| 320 | Deere & Co. <sup>(a)</sup> | 201507 |
| 16152 | Dell Technologies, Inc. – Class C <sup>(a)</sup> | 2391788 |
| 38140 | Delta Air Lines, Inc. <sup>(a)</sup> <sup>(b)</sup> | 2505798 |
| 60576 | Devon Energy Corp. <sup>(a)</sup> | 2636873 |

---

57 See accompanying notes to the financial statements.

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| 2446 | Dollar General Corp. | 382163 |
| 25473 | DR Horton, Inc. <sup>(a)</sup> <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4085614 |
| 8099 | Dropbox, Inc. – Class A \* <sup>(b)</sup> | 202394 |
| 49747 | eBay, Inc. <sup>(a)</sup> | 4520012 |
| 14343 | Edison International <sup>(a)</sup> <sup>(b)</sup> | 1071996 |
| 11396 | Elevance Health, Inc. <sup>(a)</sup> <sup>(b)</sup> | 3646720 |
| 2873 | Enova International, Inc. \* <sup>(a)</sup> | 399491 |
| 41788 | EOG Resources, Inc. <sup>(a)</sup> | 5185055 |
| 6694 | Everest Group Ltd. | 2245770 |
| 9100 | Expand Energy Corp. | 982072 |
| 4673 | Expedia Group, Inc. <sup>(b)</sup> | 1007919 |
| 36798 | Exxon Mobil Corp. <sup>(a)</sup> <sup>(b)</sup> | 5611695 |
| 3328 | Federated Hermes, Inc. <sup>(a)</sup> | 186401 |
| 5272 | FedEx Corp. <sup>(a)</sup> <sup>(b)</sup> | 2040264 |
| 2019 | Fidelity National Financial, Inc. | 106765 |
| 5127 | Fifth Third Bancorp <sup>(a)</sup> | 253633 |
| 1600 | First Solar, Inc. \* | 315520 |
| 2321 | Fiserv, Inc. \* | 144575 |
| 368892 | Ford Motor Co. <sup>(a)</sup> | 5197688 |
| 8887 | Fortune Brands Innovations, Inc. <sup>(a)</sup> | 482920 |
| 5213 | Fox Corp. – Class A <sup>(a)</sup> | 293700 |
| 10660 | Fox Corp. – Class B <sup>(b)</sup> | 551442 |
| 22685 | Franklin Resources, Inc. <sup>(a)</sup> | 602060 |
| 20500 | Freeport-McMoRan, Inc. | 1395640 |
| 6685 | Gap, Inc. <sup>(b)</sup> | 187447 |
| 42394 | GE HealthCare Technologies, Inc. <sup>(a)</sup> | 3572542 |
| 58410 | General Mills, Inc. <sup>(a)</sup> | 2641884 |
| 72002 | General Motors Co. | 5667277 |
| 5423 | Genpact Ltd. <sup>(b)</sup> | 215402 |
| 7334 | Gilead Sciences, Inc. <sup>(a)</sup> | 1092399 |
| 994 | Goldman Sachs Group, Inc. <sup>(b)</sup> | 854413 |
| 83414 | Green Plains, Inc. \* | 1145274 |
| 626 | Group 1 Automotive, Inc. <sup>(a)</sup> | 203913 |
| 3600 | Gulfport Energy Corp. \* | 751176 |
| 24534 | H&R Block, Inc. <sup>(a)</sup> | 751231 |
| 8036 | Halliburton Co. <sup>(a)</sup> | 289296 |
| 15142 | Hartford Insurance Group, Inc. <sup>(a)</sup> | 2132448 |
| 9800 | Helmerich & Payne, Inc. <sup>(a)</sup> | 345156 |
| 182338 | Hewlett Packard Enterprise Co. <sup>(a)</sup> | 3914797 |
| 2442 | Honeywell International, Inc. <sup>(b)</sup> | 594847 |
| 178858 | HP, Inc. <sup>(a)</sup> | 3396513 |
| 4629 | Humana, Inc. <sup>(a)</sup> | 882010 |
| 16115 | Huntington Bancshares, Inc. <sup>(a)</sup> | 270732 |
| 38379 | Incyte Corp. \* <sup>(a)</sup> | 3886641 |
| 31589 | Intel Corp. \* | 1440774 |
| 5861 | Invesco Ltd. | 153910 |
| 7896 | Janus Henderson Group PLC | 411382 |
| 21201 | Johnson & Johnson <sup>(a) (b)</sup> | 5266964 |
| 7669 | JPMorgan Chase & Co. <sup>(a)</sup> <sup>(b)</sup> | 2303001 |
| 9098 | KB Home <sup>(a)</sup> | 578451 |
| 30917 | Kenvue, Inc. | 591133 |
| 12905 | Keurig Dr. Pepper, Inc. | 390763 |
| 5769 | Kimberly-Clark Corp. | 642897 |
| 8027 | Kinder Morgan, Inc. <sup>(a)</sup> | 267058 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| 1620976 | Kosmos Energy Ltd. \* <sup>(a)</sup> | 3776874 |
| 128143 | Kraft Heinz Co. <sup>(a)</sup> | 3153599 |
| 13547 | Kroger Co. | 924447 |
| 6459 | Lear Corp. | 847744 |
| 30995 | Lennar Corp. – Class A <sup>(a)</sup> <sup>(b)</sup> | 3544588 |
| 9600 | Liberty Energy, Inc. <sup>(a)</sup> | 269664 |
| 3139 | Lincoln National Corp. <sup>(a)</sup> | 107668 |
| 6644 | LKQ Corp. <sup>(a)</sup> | 219983 |
| 14074 | Lululemon Athletica, Inc. \* <sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2606083 |
| 63309 | LyondellBasell Industries NV – Class A <sup>(a)</sup> | 3641534 |
| 4021 | M&T Bank Corp. <sup>(a)</sup> | 872477 |
| 805 | M/I Homes, Inc. \* <sup>(a)</sup> | 114439 |
| 28649 | Macy's, Inc. <sup>(a)</sup> | 566677 |
| 1826 | Marathon Petroleum Corp. <sup>(a)</sup> | 361931 |
| 3500 | Matador Resources Co. <sup>(a)</sup> | 179900 |
| 18183 | Match Group, Inc. <sup>(a)</sup> <sup>(b)</sup> | 574583 |
| 4120 | Mattel, Inc. \* | 69834 |
| 2264 | Medtronic PLC <sup>(a)</sup> | 221102 |
| 63703 | Merck & Co., Inc. <sup>(a) (b)</sup> | 7887705 |
| 4199 | Meritage Homes Corp. | 316689 |
| 3651 | Meta Platforms, Inc. – Class A <sup>(a)</sup> <sup>(b)</sup> | 2366505 |
| 6043 | MetLife, Inc. <sup>(a)</sup> | 435519 |
| 21585 | MGIC Investment Corp. | 572650 |
| 11654 | Mondelez International, Inc. – Class A <sup>(a)</sup> | 717653 |
| 12673 | Mosaic Co. <sup>(a)</sup> | 352816 |
| 4915 | NetApp, Inc. <sup>(a)</sup> | 486732 |
| 190 | NewMarket Corp. <sup>(a)</sup> | 118942 |
| 4600 | Nextpower, Inc. – Class A \* <sup>(a)</sup> | 483460 |
| 2591 | NIKE, Inc. – Class B <sup>(a)</sup> | 161108 |
| 3785 | Northrop Grumman Corp. <sup>(a)</sup> | 2741778 |
| 22827 | Nucor Corp. <sup>(a)</sup> | 4037640 |
| 2475 | NXP Semiconductors NV <sup>(a)</sup> | 561850 |
| 50160 | Omnicom Group, Inc. <sup>(a)</sup> <sup>(b)</sup> | 4278146 |
| 56627 | ON Semiconductor Corp. \* <sup>(a)</sup> | 3764563 |
| 49468 | Organon & Co. <sup>(a)</sup> | 360622 |
| 4393 | Oshkosh Corp. <sup>(a)</sup> | 746898 |
| 3700 | Ovintiv, Inc. <sup>(a)</sup> | 187183 |
| 2336 | PACCAR, Inc. <sup>(b)</sup> | 294546 |
| 18716 | Paramount Skydance Corp. – Class B <sup>(b)</sup> | 252853 |
| 100277 | PayPal Holdings, Inc. <sup>(a)</sup> | 4633800 |
| 5600 | Peabody Energy Corp. <sup>(a)</sup> | 176624 |
| 8463 | PepsiCo, Inc. <sup>(b)</sup> | 1436510 |
| 6714 | Perdoceo Education Corp. <sup>(b)</sup> | 223912 |
| 10500 | Permian Resources Corp. | 192045 |
| 232587 | Pfizer, Inc. <sup>(a) (b)</sup> | 6431031 |
| 158741 | Pinterest, Inc. – Class A \* <sup>(a)</sup> | 2719233 |
| 7955 | PNC Financial Services Group, Inc. | 1689244 |
| 3213 | PPG Industries, Inc. <sup>(a)</sup> | 396067 |
| 18887 | Procter & Gamble Co. <sup>(b)</sup> | 3157906 |
| 7414 | Progressive Corp. <sup>(a)</sup> | 1584075 |
| 28051 | PulteGroup, Inc. <sup>(a)</sup> <sup>(b)</sup> | 3848597 |
| 5030 | PVH Corp. <sup>(a)</sup> | 345058 |
| 7386 | Qnity Electronics, Inc. <sup>(a)</sup> | 936249 |
| 40982 | QUALCOMM, Inc. <sup>(a)</sup> | 5834198 |

---

See accompanying notes to the financial statements. 58

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| 19999 | Radian Group, Inc. | 690365 |
| 6546 | Rayonier, Inc. – (REIT) <sup>(a)</sup> | 140674 |
| 6397 | Regeneron Pharmaceuticals, Inc. | 5000343 |
| 15532 | Regions Financial Corp. <sup>(a)</sup> | 432256 |
| 868 | ResMed, Inc. <sup>(a)</sup> | 222434 |
| 3790 | Signet Jewelers Ltd. <sup>(a)</sup> | 364560 |
| 7210 | Sixth Street Specialty Lending, Inc. <sup>(a)</sup> | 124877 |
| 15127 | Skyworks Solutions, Inc. | 901267 |
| 9979 | SLB Ltd. <sup>(a)</sup> | 512322 |
| 13204 | SLM Corp. <sup>(a)</sup> | 247443 |
| 325 | Snap-on, Inc. | 125197 |
| 45400 | SolarEdge Technologies, Inc. \* <sup>(a)</sup> | 1607160 |
| 36227 | Solventum Corp. \* <sup>(a)</sup> | 2688043 |
| 19006 | State Street Corp. <sup>(a)</sup> <sup>(b)</sup> | 2444552 |
| 11278 | Steel Dynamics, Inc. <sup>(a)</sup> | 2178120 |
| 83001 | Sunrun, Inc. \* <sup>(a)</sup> | 1099763 |
| 33877 | Super Micro Computer, Inc. \* <sup>(a)</sup> | 1097276 |
| 60544 | Synchrony Financial <sup>(a)</sup> | 4184196 |
| 1161 | Sysco Corp. <sup>(b)</sup> | 105837 |
| 37095 | T. Rowe Price Group, Inc. <sup>(a)</sup> | 3510300 |
| 46705 | Target Corp. | 5314562 |
| 2136 | Terex Corp. <sup>(a)</sup> | 146935 |
| 34625 | Textron, Inc. | 3415756 |
| 1803 | Timken Co. <sup>(a)</sup> | 195409 |
| 633 | Toll Brothers, Inc. <sup>(a)</sup> | 99533 |
| 1164 | Toro Co. | 115073 |
| 2899 | Travelers Cos., Inc. <sup>(a)</sup> | 894747 |
| 6002 | Tri Pointe Homes, Inc. \* | 277893 |
| 160204 | TRU Taj LLC/TRU Taj Finance, Inc. \* <sup>(d)</sup> |  |
| 19802 | Truist Financial Corp. <sup>(a)</sup> | 976437 |
| 2213 | Tyson Foods, Inc. – Class A <sup>(a)</sup> | 143823 |
| 84489 | U.S. Bancorp <sup>(a)</sup> | 4618169 |
| 27875 | United Airlines Holdings, Inc. \* <sup>(b)</sup> | 2963113 |
| 45499 | United Parcel Service, Inc. – Class B <sup>(a)</sup> <sup>(b)</sup> | 5276064 |
| 456 | United Rentals, Inc. <sup>(a)</sup> | 383040 |
| 7466 | UnitedHealth Group, Inc. <sup>(a)</sup> | 2189554 |
| 7337 | Universal Health Services, Inc. – Class B | 1512156 |
| 660 | Valmont Industries, Inc. <sup>(a)</sup> | 303554 |
| 140299 | Verizon Communications, Inc. <sup>(a)</sup> <sup>(b)</sup> | 7034592 |
| 12242 | VICI Properties, Inc. – (REIT) <sup>(a)</sup> | 369831 |
| 3811 | Vontier Corp. <sup>(a)</sup> | 155946 |
| 3816 | Walt Disney Co. <sup>(a)</sup> | 404649 |
| 5048 | Wells Fargo & Co. <sup>(a)</sup> | 411160 |
| 50697 | Western Union Co. <sup>(a)</sup> | 488212 |
| 14100 | Weyerhaeuser Co. – (REIT) <sup>(a)</sup> | 345873 |
| 4932 | YETI Holdings, Inc. \* <sup>(a)</sup> | 215578 |
| 1781 | Zebra Technologies Corp. – Class A \* | 398873 |
| 40933 | Zoom Communications, Inc. \* <sup>(a)</sup> <sup>(b)</sup> | 3026586 |
|  | Total United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;356034092 |
|  | **Vietnam — 0.1%** |  |
| 171860 | An Binh CJSB \* | 91720 |
| 3400 | Binh Minh Plastics JSC | 20691 |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Vietnam — continued** |  |
| 32062 | Masan Consumer Corp. | 173574 |
| 237100 | Quang Ngai Sugar JSC | 450622 |
| 1941200 | Saigon - Hanoi Commercial Joint Stock Bank | 1188794 |
| 44900 | Saigon Beer Alcohol Beverage Corp. | 83439 |
| 150200 | Vietnam Dairy Products JSC | 393305 |
| 181000 | Vietnam Engine & Agricultural Machinery Corp. | 245318 |
| 19200 | Vietnam Prosperity JSC Bank | 21342 |
|  | Total Vietnam | 2668805 |
|  | TOTAL COMMON STOCKS<br>(COST $1,584,103,510) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1730157242 |
|  | **PREFERRED STOCKS <sup>(f)</sup> —1.5%** |  |
|  | **Brazil — 0.7%** |  |
| 1136800 | Banco Bradesco SA ADR | 4649512 |
| 847300 | Bradespar SA | 4103864 |
| 1955550 | Cia Energetica de Minas Gerais | 4604211 |
| 103531 | Cyrela Brazil Realty SA Empreendimentos e Participacoes \* | 588692 |
| 95400 | Gerdau SA | 390607 |
| 385900 | Petroleo Brasileiro SA - Petrobras | 2960587 |
|  | Total Brazil | 17297473 |
|  | **Chile — 0.1%** |  |
| 31400 | Sociedad Quimica y Minera de Chile SA Sponsored ADR\* | 2395820 |
|  | **Colombia — 0.1%** |  |
| 31463 | Grupo Cibest SA ADR | 2135708 |
| 5393 | Grupo de Inversiones Suramericana SA | 66119 |
|  | Total Colombia | 2201827 |
|  | **Germany — 0.4%** |  |
| 16387 | Bayerische Motoren Werke AG | 1710144 |
| 18219 | Henkel AG & Co. KGaA | 1787075 |
| 50107 | Volkswagen AG <sup>(b)</sup> | 5957754 |
|  | Total Germany | 9454973 |
|  | **Russia — 0.0%** |  |
| 15222 | Bashneft PJSC \* <sup>(d) (e)</sup> |  |
| 79750 | Nizhnekamskneftekhim PJSC \* <sup>(d) (e)</sup> |  |
| 49530 | Sberbank of Russia PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 20862000 | Surgutneftegas PAO \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 12313 | Tatneft PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
| 33700 | Transneft PJSC \* <sup>(d)</sup> <sup>(e)</sup> |  |
|  | Total Russia |  |
|  | **South Korea — 0.2%** |  |
| 33261 | Samsung Electronics Co. Ltd. | 3340718 |

---

59 See accompanying notes to the financial statements.

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | | |
|:---|:---|:---|:---|
| | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares /** <br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†**  | **Description** | **Value ($)** |
|  |  | **South Korea — continued** | **South Korea — continued** |
|  | 114 | Samsung Electronics Co. Ltd. GDR (Registered) <sup>(b)</sup> | 281010 |
|  |  | Total South Korea | 3621728 |
|  |  | **United States — 0.0%** | **United States — 0.0%** |
|  | 1288200 | NII Holdings, Inc. <sup>(g)</sup> | 450870 |
|  |  | TOTAL PREFERRED STOCKS<br>(COST $45,965,827) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35422691 |
|  |  | **RIGHTS/WARRANTS — 0.1%** | **RIGHTS/WARRANTS — 0.1%** |
|  |  | **Canada — 0.1%** | **Canada — 0.1%** |
|  | 724783 | Resolute Forest Products, Inc. \* <sup>(g)</sup> | 1087175 |
|  |  | **Sweden — 0.0%** | **Sweden — 0.0%** |
|  SEK | 32673 | AcadeMedia AB \* | 2030 |
|  |  | **United States — 0.0%** | **United States — 0.0%** |
|  | 197320 | Walgreens Boots Alliance, Inc. \* <sup>(g)</sup> | 98660 |
|  |  | TOTAL RIGHTS/WARRANTS<br>(COST $1,130,791) | 1187865 |
|  |  | **INVESTMENT FUNDS — 0.0%** | **INVESTMENT FUNDS — 0.0%** |
|  |  | **United States — 0.0%** | **United States — 0.0%** |
|  | 87316 | GMO U.S. Treasury Fund, Class VI <sup>(h) (i)</sup> | 437452 |
|  |  | TOTAL INVESTMENT FUNDS<br>(COST $437,490) | 437452 |
|  |  | **DEBT OBLIGATIONS — 22.1%** | **DEBT OBLIGATIONS — 22.1%** |
|  |  | **Dominican Republic — 0.1%** | **Dominican Republic — 0.1%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  DOP | 143000000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 2969563 |
|  |  | **Malaysia — 0.1%** | **Malaysia — 0.1%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  MYR | 8500000 | Malaysia Government Bonds, 3.90%, due 11/30/26 | 2200519 |
|  |  | **Paraguay — 0.0%** | **Paraguay — 0.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  PYG | 1930000000 | Paraguay Government International Bonds, 144A, 8.50%, due 04/04/38 | 298931 |
|  |  | **Uganda — 0.0%** | **Uganda — 0.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  UGX | 750000000 | Republic of Uganda Government Bonds, 15.80%, due 06/23/39 | 211458 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value† /** <br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  |  | **United States — 21.8%** | **United States — 21.8%** |
|  |  | **U.S. Government — 21.8%** | **U.S. Government — 21.8%** |
|  | 91705000 | U.S. Treasury Floating Rate Notes, |  |
|  |  | Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 04/30/27 <sup>(b)</sup> | 91814189 |
|  | 100000000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 07/31/27 <sup>(b)</sup> | 100120202 |
|  | 152900000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.81%, due 10/31/27 | 153148661 |
|  | 155290000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.72%, due 01/31/28 <sup>(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155282945 |
|  |  | Total U.S. Government | 500365997 |
|  |  | Total United States | 500365997 |
|  |  | **Uruguay — 0.1%** | **Uruguay — 0.1%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  UYU | 28000000 | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 830425 |
|  |  | TOTAL DEBT OBLIGATIONS<br>(COST $506,243,860) | 506876893 |
|  |  | **SHORT-TERM INVESTMENTS — 16.8%** | **SHORT-TERM INVESTMENTS — 16.8%** |
|  |  | **Money Market Funds — 0.6%** | **Money Market Funds — 0.6%** |
|  | 14943229 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(j)</sup> | 14943229 |
|  |  | **Repurchase Agreements — 15.9%** | **Repurchase Agreements — 15.9%** |
|  | 164999698 | Nomura Securities International, Inc. Repurchase Agreement, dated 02/27/26, maturing on 03/02/26 with a maturity value of $165,049,611 and an effective yield of 3.63%, collateralized by a U.S. Treasury Note with maturity date 07/31/27 and a market value of $168,479,338. | 164999698 |
|  | 200000826 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 02/27/26, maturing on 03/02/26 with a maturity value of $200,061,659 and an effective yield of 3.65%, collateralized by a U.S. Treasury Note with maturity date 03/31/29 and a market value of $204,342,711. | 200000826 |
|  |  | Total Repurchase Agreements | 365000524 |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  EGP | 183000000 | Egypt Treasury Bills, Zero Coupon, due 10/20/26 | 3299190 |
|  NGN | 2100000000 | Nigeria OMO Bills, Zero Coupon, due 05/05/26 | 1486652 |

---

See accompanying notes to the financial statements. 60

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | | |
|:---|:---|:---|:---|
| | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value† /** <br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  |  | **Sovereign and Sovereign Agency Issuers — continued** | **Sovereign and Sovereign Agency Issuers — continued** |
|  NGN | 2960000000 | Nigeria OMO Bills, Zero Coupon, due 07/07/26 | 2028851 |
|  |  | Total Sovereign and Sovereign Agency Issuers | 6814693 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $386,563,733) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;386758446 |
|  |  | **TOTAL INVESTMENTS — 115.8**% |  |
|  |  | (Cost $2,524,445,211) | **2660840589** |
|  |  | **SECURITIES SOLD SHORT — (16.2)%** | **SECURITIES SOLD SHORT — (16.2)%** |
|  |  | **Common Stocks — (16.1)%** | **Common Stocks — (16.1)%** |
|  |  | **Australia — (0.5)%** | **Australia — (0.5)%** |
|  | (1095) | Cochlear Ltd. | (155057) |
|  | (258589) | Lottery Corp. Ltd. | (1014179) |
|  | (148062) | Lynas Rare Earths Ltd. \* | (1962449) |
|  | (17226) | Pro Medicus Ltd. | (1589747) |
|  | (5935) | REA Group Ltd. | (702155) |
|  | (622660) | Sigma Healthcare Ltd. | (1255073) |
|  | (57818) | WiseTech Global Ltd. | (1957336) |
|  | (45969) | Xero Ltd. \* | (2713589) |
|  |  | Total Australia | (11349585) |
|  |  | **Belgium — (0.0)%** | **Belgium — (0.0)%** |
|  | (71) | Lotus Bakeries NV | (883039) |
|  |  | **Brazil — (0.1)%** | **Brazil — (0.1)%** |
|  | (188982) | NU Holdings Ltd. – Class A \* | (2830950) |
|  |  | **Canada — (0.9)%** | **Canada — (0.9)%** |
|  | (51400) | AltaGas Ltd. | (1746933) |
|  | (35059) | Brookfield Renewable Corp. | (1498071) |
|  | (18252) | Cameco Corp. | (2161037) |
|  | (3036) | Descartes Systems Group, Inc. \* | (201135) |
|  | (2000) | Dollarama, Inc. | (294447) |
|  | (34251) | Enbridge, Inc. | (1820098) |
|  | (7847) | Franco-Nevada Corp. | (2201947) |
|  | (33633) | GFL Environmental, Inc. | (1486242) |
|  | (21600) | Keyera Corp. | (824380) |
|  | (36204) | Pan American Silver Corp. | (2487215) |
|  | (44258) | Pembina Pipeline Corp. | (1946909) |
|  | (25228) | Restaurant Brands International, Inc. | (1809100) |
|  | (9775) | Wheaton Precious Metals Corp. | (1599679) |
|  |  | Total Canada | (20077193) |
|  |  | **Chile — (0.1)%** | **Chile — (0.1)%** |
|  | (27471) | Latam Airlines Group SA ADR | (1542771) |
|  |  | **China — (0.1)%** | **China — (0.1)%** |
|  | (1240) | H World Group Ltd. ADR | (67952) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **China — continued** |  |
| (329035) | NIO, Inc. \* | (1602400) |
| (35380) | XPeng, Inc. \* | (621273) |
|  | Total China | (2291625) |
|  | **Denmark — (0.2)%** |  |
| (33844) | Coloplast AS – Class B | (2622327) |
| (963) | DSV AS | (248571) |
| (3543) | Novonesis Novozymes B – Class B | (210715) |
| (80571) | Tryg AS | (1995073) |
|  | Total Denmark | (5076686) |
|  | **France — (0.3)%** |  |
| (13475) | Aeroports de Paris SA | (1880220) |
| (100458) | Getlink SE | (2181171) |
| (1080) | Hermes International SCA | (2595741) |
|  | Total France | (6657132) |
|  | **Germany — (0.6)%** |  |
| (5342) | CTS Eventim AG & Co. KGaA | (432596) |
| (68547) | Delivery Hero SE \* | (1576573) |
| (27370) | Hensoldt AG | (2401025) |
| (2209) | HOCHTIEF AG | (1065536) |
| (6045) | MTU Aero Engines AG | (2605618) |
| (179) | Rheinmetall AG | (354093) |
| (1994) | RWE AG | (128271) |
| (9210) | Siemens Energy AG | (1783771) |
| (16241) | Talanx AG | (2042801) |
|  | Total Germany | (12390284) |
|  | **Israel — (0.1)%** |  |
| (34794) | Wix.com Ltd. \* | (2451585) |
|  | **Italy — (0.4)%** |  |
| (11535) | Ferrari NV <sup>(c)</sup> | (4358180) |
| (689) | Ferrari NV <sup>(c)</sup> | (261765) |
| (117153) | FinecoBank Banca Fineco SpA | (2757089) |
| (199966) | Infrastrutture Wireless Italiane SpA | (2121703) |
|  | Total Italy | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(9498737) |
|  | **Japan — (1.6)%** |  |
| (13600) | Advantest Corp. | (2355104) |
| (139500) | Aeon Co. Ltd. | (1985979) |
| (1700) | ANA Holdings, Inc. | (37068) |
| (49000) | Asics Corp. | (1501640) |
| (8900) | Disco Corp. | (4279168) |
| (10500) | Fujikura Ltd. | (1792902) |
| (69000) | IHI Corp. | (1887676) |
| (212800) | Japan Exchange Group, Inc. | (2895981) |
| (11900) | Kioxia Holdings Corp. \* | (1608218) |
| (40000) | Kobe Bussan Co. Ltd. | (951792) |
| (2200) | Lasertec Corp. | (474326) |
| (97800) | MonotaRO Co. Ltd. | (1300258) |

---

61 See accompanying notes to the financial statements.

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Japan — continued** |  |
| (247100) | Oriental Land Co. Ltd. | (4451833) |
| (500700) | Rakuten Group, Inc. \* | (2658138) |
| (59000) | Sanrio Co. Ltd. | (2163148) |
| (61400) | Shiseido Co. Ltd. | (1296437) |
| (2885500) | SoftBank Corp. | (3946794) |
| (20200) | Zensho Holdings Co. Ltd. | (1282231) |
|  | Total Japan | (36868693) |
|  | **Mexico — (0.0)%** |  |
| (797) | Grupo Aeroportuario del Pacifico SAB de CV ADR | (207826) |
|  | **Netherlands — (0.5)%** |  |
| (566) | Adyen NV \* | (664669) |
| (17395) | BE Semiconductor Industries NV | (3898003) |
| (113467) | CVC Capital Partners PLC | (1618995) |
| (64813) | InPost SA \* | (1163387) |
| (178611) | Universal Music Group NV | (4021852) |
|  | Total Netherlands | (11366906) |
|  | **Norway — (0.3)%** |  |
| (92690) | Kongsberg Gruppen ASA | (3758703) |
| (31558) | Salmar ASA | (1892680) |
|  | Total Norway | (5651383) |
|  | **Peru — (0.2)%** |  |
| (18854) | Southern Copper Corp. | (4115845) |
|  | **Singapore — (0.1)%** |  |
| (35000) | CapitaLand Investment Ltd. | (84579) |
| (681302) | Grab Holdings Ltd. – Class A \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2875095) |
|  | Total Singapore | (2959674) |
|  | **South Africa — (0.0)%** |  |
| (23651) | Sibanye Stillwater Ltd. ADR\* | (418859) |
|  | **Spain — (0.3)%** |  |
| (73741) | Cellnex Telecom SA \* | (2802580) |
| (51653) | Ferrovial SE | (3849633) |
|  | Total Spain | (6652213) |
|  | **Sweden — (0.3)%** |  |
| (95177) | EQT AB | (2933470) |
| (2585) | Saab AB – Class B | (188749) |
| (7361) | Spotify Technology SA \* | (3790473) |
|  | Total Sweden | (6912692) |
|  | **Switzerland — (0.3)%** |  |
| (34117) | Avolta AG | (2242827) |
| (46) | Chocoladefabriken Lindt & Spruengli AG | (759443) |
| (2288) | Partners Group Holding AG | (2542543) |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **Switzerland — continued** |  |
| (407) | VAT Group AG | (287051) |
|  | Total Switzerland | (5831864) |
|  | **United Kingdom — (0.8)%** |  |
| (21826) | Antofagasta PLC | (1253964) |
| (83212) | Entain PLC | (644722) |
| (236054) | Informa PLC | (2666058) |
| (24767) | InterContinental Hotels Group PLC | (3403487) |
| (18443) | London Stock Exchange Group PLC | (2197363) |
| (204525) | Phoenix Group Holdings PLC | (2112487) |
| (117311) | Rolls-Royce Holdings PLC | (2109496) |
| (62296) | Severn Trent PLC | (2749707) |
| (183222) | Wise PLC – Class A \* | (2122968) |
|  | Total United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(19260252) |
|  | **United States — (8.4)%** |  |
| (13976) | AbbVie, Inc. | (3243550) |
| (53741) | Affirm Holdings, Inc. \* | (2524752) |
| (8634) | Alnylam Pharmaceuticals, Inc. \* | (2874431) |
| (5075) | Analog Devices, Inc. | (1805634) |
| (4985) | AppLovin Corp. – Class A \* | (2167329) |
| (16677) | Arthur J Gallagher & Co. | (3805691) |
| (3392) | Astera Labs, Inc. \* | (403071) |
| (7050) | Axon Enterprise, Inc. \* | (3823920) |
| (13359) | Bloom Energy Corp. – Class A \* | (2079596) |
| (15197) | Boeing Co. \* | (3457773) |
| (13395) | Burlington Stores, Inc. \* | (4110524) |
| (7965) | Carvana Co. \* | (2661584) |
| (823) | Ciena Corp. \* | (286980) |
| (15897) | Cintas Corp. | (3197364) |
| (18759) | Cloudflare, Inc. – Class A \* | (3230112) |
| (3152) | Corning, Inc. | (473998) |
| (15069) | Credo Technology Group Holding Ltd. \* | (1691797) |
| (15986) | DoorDash, Inc. – Class A \* | (2821049) |
| (153232) | DraftKings, Inc. – Class A \* | (3653051) |
| (17316) | EchoStar Corp. – Class A \* | (2000518) |
| (7558) | Ecolab, Inc. | (2330509) |
| (47329) | EQT Corp. | (2906947) |
| (9392) | Equitable Holdings, Inc. | (377746) |
| (5307) | Erie Indemnity Co. – Class A | (1429918) |
| (2512) | Fair Isaac Corp. \* | (3540312) |
| (65162) | Fastenal Co. | (3000059) |
| (77583) | Fidelity National Information Services, Inc. | (3953630) |
| (15406) | HubSpot, Inc. \* | (4075041) |
| (20900) | Hyatt Hotels Corp. – Class A | (3375350) |
| (12460) | Insulet Corp. \* | (3072761) |
| (88583) | IonQ, Inc. \* | (3398930) |
| (35983) | Liberty Media Corp.-Liberty Formula One – Class C \* | (3295683) |
| (8972) | Linde PLC | (4558494) |
| (29269) | Live Nation Entertainment, Inc. \* | (4745676) |
| (2533) | Mastercard, Inc. – Class A | (1310093) |
| (3152) | McKesson Corp. | (3112190) |

---

See accompanying notes to the financial statements. 62

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)
**Schedule of Investments — (Continued)**

#### (showing percentage of total net assets)
**February 28, 2026**

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **United States — continued** |  |
| (1595) | MercadoLibre, Inc. \* | (2803340) |
| (1773) | Microchip Technology, Inc. | (132337) |
| (9034) | MongoDB, Inc. \* | (2967398) |
| (2297) | Moody's Corp. | (1097024) |
| (1242) | Motorola Solutions, Inc. | (598967) |
| (7098) | MSCI, Inc. | (4058849) |
| (15322) | Natera, Inc. \* | (3187589) |
| (1295) | NextEra Energy, Inc. | (121432) |
| (11833) | NiSource, Inc. | (559701) |
| (21412) | Oklo, Inc. \* | (1347885) |
| (50036) | Okta, Inc. \* | (3627610) |
| (45414) | ONEOK, Inc. | (3758917) |
| (19826) | O'Reilly Automotive, Inc. \* | (1861265) |
| (46188) | Otis Worldwide Corp. | (4275161) |
| (19814) | Palantir Technologies, Inc. – Class A \* | (2718283) |
| (9994) | Paychex, Inc. | (935938) |
| (210743) | Rivian Automotive, Inc. – Class A \* | (3230690) |
| (16224) | Robinhood Markets, Inc. – Class A \* | (1230590) |
| (49636) | ROBLOX Corp. – Class A \* | (3408008) |
| (40516) | Rocket Lab Corp. \* | (2799656) |
| (50339) | Rollins, Inc. | (3065142) |
| (684) | S&P Global, Inc. | (302246) |
| (99999) | Samsara, Inc. – Class A \* | (2889971) |
| (2573) | Seagate Technology Holdings PLC | (1049372) |
| (25467) | ServiceNow, Inc. \* | (2750691) |
| (18940) | Snowflake, Inc. \* | (3189685) |
| (83586) | SoFi Technologies, Inc. \* | (1484487) |
| (15967) | Starbucks Corp. | (1565085) |
| (1327) | STERIS PLC | (334869) |
| (7530) | Tesla, Inc. \* | (3030900) |
| (13032) | Texas Pacific Land Corp. | (6832547) |
| (1127) | TransDigm Group, Inc. | (1468244) |
| (4985) | Tyler Technologies, Inc. \* | (1768130) |
| (19548) | Vistra Corp. | (3399202) |
| (10555) | Waste Connections, Inc. | (1816832) |
| (9669) | Watsco, Inc. | (4035164) |
| (6321) | Western Digital Corp. | (1767984) |
| (49839) | Williams Cos., Inc. | (3723970) |
| (56594) | Zillow Group, Inc. – Class C \* | (2525224) |
| (18592) | Zscaler, Inc. \* | (2732838) |
|  | Total United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(193249286) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $295,048,077) | (368545080) |

---

---

| | | |
|:---|:---|:---|
| **<br> Shares** | **Description** | **Value ($)** |
|  | **PREFERRED STOCKS <sup>(f)</sup> — (0.1)%** | **PREFERRED STOCKS <sup>(f)</sup> — (0.1)%** |
|  | **Germany — (0.1)%** |  |
| (9297) | Sartorius AG | (2631527) |
|  | TOTAL PREFERRED STOCKS<br> (PROCEEDS $2,724,568) | (2631527) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $297,772,645) | **(371176607)** |
|  | Other Assets and Liabilities (net) — 0.4% | 8122796 |
|  | **TOTAL NET ASSETS — 100.0%** | $**2297786778** |

---

63 See accompanying notes to the financial statements.

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### February 28, 2026
Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer**<br> **Description** | **Acquisition<br>Date** | **Acquisition<br> Cost**  | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>February 28,<br>2026** |
|  Alrosa PJSC | 12/06/17 | $15372968 | 0.0% | $— |
|  Bashneft PJSC | 03/29/18 | 444288 | 0.0% |  |
|  Evraz PLC | 10/21/21 | 259269 | 0.0% |  |
|  Federal Grid Co-Rosseti PJSC | 10/08/19 | 1057715 | 0.0% |  |
|  Gazprom Neft PJSC | 10/12/21 | 2944094 | 0.0% |  |
|  Gazprom PJSC | 08/10/20 | 17682067 | 0.0% |  |
|  GMK Norilskiy Nickel PAO | 02/11/20 | 4352696 | 0.0% |  |
|  Inter RAO UES PJSC | 01/13/20 | 1798790 | 0.0% |  |
|  LSR Group PJSC | 11/30/18 | 882290 | 0.0% |  |
|  LSR Group PJSC GDR | 09/07/20 | 8 | 0.0% |  |
|  LUKOIL PJSC | 01/09/20 | 18997557 | 0.0% |  |
|  Magnitogorsk Iron & Steel Works PJSC | 10/11/17 | 4815566 | 0.0% |  |
|  Mechel PJSC | 11/12/21 | 133558 | 0.0% |  |
|  Moscow Exchange MICEX-RTS PJSC | 10/20/17 | 3091486 | 0.0% |  |
|  Mosenergo PJSC | 11/19/21 | 224074 | 0.0% |  |
|  Nizhnekamskneftekhim PJSC | 03/24/20 | 79541 | 0.0% |  |
|  Novatek PJSC | 10/21/21 | 2148138 | 0.0% |  |
|  Novolipetsk Steel PJSC | 02/13/18 | 9617214 | 0.0% |  |
|  PhosAgro PJSC | 08/15/22 | 434931 | 0.0% |  |
|  PhosAgro PJSC GDR | 10/15/21 | 2792 | 0.0% |  |
|  Polyus PJSC | 07/27/20 | 5699094 | 0.0% |  |
|  Polyus PJSC GDR | 02/24/23 | 0 | 0.0% |  |
|  RusHydro PJSC | 05/06/21 | 538627 | 0.0% |  |
|  Sberbank of Russia PJSC | 07/10/19 | 29636901 | 0.0% |  |
|  Sberbank of Russia PJSC | 01/10/22 | 183324 | 0.0% |  |
|  Severstal PAO | 02/02/21 | 126124 | 0.0% |  |
|  Severstal PAO GDR (Registered) | 10/23/17 | 5003828 | 0.0% |  |
|  SFI PJSC | 09/11/18 | 318293 | 0.0% |  |
|  Surgutneftegas PAO | 07/20/17 | 12778800 | 0.0% |  |
|  Surgutneftegas PAO | 11/02/18 | 12687089 | 0.0% |  |
|  Tatneft PJSC | 11/02/18 | 8698468 | 0.0% |  |
|  Tatneft PJSC | 12/15/21 | 71966 | 0.0% |  |
|  Transneft PJSC | 08/12/21 | 683438 | 0.0% |  |
|  Unipro PAO | 12/18/19 | 32903 | 0.0% |  |
|  United Co. RUSAL International PJSC | 11/12/21 | 56186 | 0.0% |  |
|  VTB Bank PJSC | 01/09/20 | 587690 | 0.0% |  |
|  |  |  |  | $— |

---

See accompanying notes to the financial statements. 64

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### February 28, 2026
A summary of outstanding financial instruments at February 28, 2026 is as follows:

#### Forward Currency Contracts

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
| 03/03/2026 | CITI | USD | 747728 | BRL | 3900000 | 13025 |
| 05/05/2026 | JPM | USD | 14156080 | BRL | 74100000 | 90167 |
| 03/03/2026 | MSCI | USD | 12554771 | BRL | 70200000 | 1138783 |
| 04/15/2026 | JPM | USD | 5222939 | CZK | 108500000 | 69947 |
| 05/06/2026 | GS | USD | 5313774 | IDR | 89362800000 | 221 |
| 04/15/2026 | BCLY | USD | 12691524 | MXN | 228700000 | 538658 |
| 04/07/2026 | GS | USD | 5180468 | PHP | 308300000 | 158820 |
| 04/07/2026 | MSCI | USD | 216720 | PHP | 12700000 | 3225 |
| 04/22/2026 | CITI | USD | 157668 | THB | 4900000 | 561 |
| 04/30/2026 | BCLY | USD | 5489728 | TRY | 254200000 | 30680 |
| 04/30/2026 | MSCI | USD | 13143244 | ZAR | 211300000 | 71827 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation)($)** |
| 03/03/2026 | JPM | BRL | 74100000 | USD | 14360465 | (93841) |
| 04/15/2026 | SSB | MXN | 20000000 | USD | 1154969 | (2021) |
| 05/05/2026 | CITI | PEN | 1900000 | USD | 564686 | (605) |
| 05/11/2026 | CITI | USD | 339323 | COP | 1263500000 | (8279) |
| 05/11/2026 | MSCI | USD | 14005819 | COP | 52131200000 | (347141) |
| 04/15/2026 | MSCI | USD | 1247881 | CZK | 25400000 | (8809) |
| 05/06/2026 | GS | USD | 184810 | IDR | 3105900000 | (116) |
| 05/05/2026 | MSCI | USD | 12667207 | PEN | 42500000 | (22525) |
| 04/22/2026 | CITI | USD | 7562740 | THB | 233700000 | (16188) |
|  |  |  |  |  |  | $1616389 |

---

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 1759 | U.S. Treasury Note 10 Yr. (CBT) | June 2026 | 200196187 | 879182 |
| 902 | U.S. Treasury Note 2 Yr. (CBT) | June 2026 | 188764641 | 372483 |
| 3257 | U.S. Treasury Note 5 Yr. (CBT) | June 2026 | 358728016 | 2044539 |
| 1124 | U.S. Treasury Ultra 10 Yr. (CBT) | June 2026 | 131209438 | 747370 |
| 111 | U.S. Ultra Bond (CBT) | June 2026 | 13496906 | 112556 |
|  |  |  | $892395188 | $4156130 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Sales |  |  |  |  |
| 109 | MSCI EAFE Index | March 2026 | 17249795 | (783245) |
| 110 | MSCI Emerging Market | March 2026 | 8820350 | (388389) |
| 6 | S&P 500 E-Mini | March 2026 | 2066700 | 28413 |
| 44 | TOPIX Index | March 2026 | 11069098 | (350502) |
|  |  |  | $39205943 | $(1493723) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

65 See accompanying notes to the financial statements.

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### February 28, 2026

#### Swap Contracts

#### Centrally Cleared Credit Default Swaps

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.S45 | USD 24,750,000 | 5.00% | 3.32% | N/A | 12/20/2030 | Quarterly | $(1898399) | $(1672135) | $226264 |

---

---

| | |
|:---|:---|
| ^ | 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.

<sup>(1)</sup> As of February 28, 2026, 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. 

<sup>(2)</sup> 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<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Total Return on Equity Basket <sup>(k)</sup>  | 1 Month Federal Funds Rate minus 0.40% | GS | USD 28,150,958 | 06/24/2026 | Monthly | – | &nbsp;&nbsp;&nbsp;&nbsp;(618367) | &nbsp;&nbsp;&nbsp;&nbsp;(618367) |
|  Total Return on Equity Basket <sup>(k)</sup>  | 1 Month Federal Funds Rate minus 0.40% | MORD | USD 23,946,508 | 06/18/2027 | Monthly | – | &nbsp;&nbsp;&nbsp;&nbsp;(443923) | &nbsp;&nbsp;&nbsp;&nbsp;(443923) |
|  |  |  |  |  |  | $– | $(1062290) | $(1062290) |

---

As of February 28, 2026, 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:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

\* Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(a) All or a portion of this security is out on loan (Note 2).

&nbsp;&nbsp;&nbsp;&nbsp;(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, written options, repurchase agreements and/or reverse repurchase agreements, if any (Note 4).

&nbsp;&nbsp;&nbsp;&nbsp;(c) Securities are traded on separate exchanges for the same entity.

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

&nbsp;&nbsp;&nbsp;&nbsp;(e) The security is restricted as to resale.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(g) Investment valued using significant unobservable inputs (Note 2).

&nbsp;&nbsp;&nbsp;&nbsp;(h) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(i) All or a portion of this security is purchased with collateral from securities loaned.

&nbsp;&nbsp;&nbsp;&nbsp;(j) The rate disclosed is the 7 day net yield as of February 28, 2026.

See accompanying notes to the financial statements. 66

------

#### GMO Implementation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### February 28, 2026
&nbsp;&nbsp;&nbsp;&nbsp;(k) Periodic payments made/received are based on the total return of the referenced entity. The following table represents the individual long and/or short positions with in the custom equity basket swap as of February 28, 2026.

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **%of<br>Equity<br>Basket** | **Value ($)** |
|  | **Custom equity basket swap with GS as the counterparty:** |  |  |
| (7) | ACS Actividades de Construccion y Servicios SA | 0.0% | (903) |
| (11731) | Aena SME SA | 1.3% | (369740) |
| (194218) | Allefro.eu.SA | 5.3% | (1511399) |
| (36619) | Antofagasta PLC | 7.3% | (2103862) |
| (33900) | AXIA Energia SA | 1.4% | (405160) |
| (3336) | Budimex SA | 2.6% | (752377) |
| (13253) | Capitec Bank Holdings Ltd. | 13.7% | (3949120) |
| (17668) | CD Projekt SA | 4.2% | (1199850) |
| (58137) | Cellnex Telecom SA | 7.7% | (2209538) |
| (1038) | Celltrion, Inc. | 0.6% | (171853) |
| (52321) | Clicks Group Ltd. | 3.6% | (1046896) |
| (40000) | Delta Electronics (Thailand) Public Co. Ltd. NVDR | 1.2% | (358233) |
| (8000) | Delta Electronics, Inc. | 1.3% | (360751) |
| (2527) | Doosan Co. Ltd. | 7.8% | (2248497) |
| (3820) | Doosan Enerbility Co. Ltd. | 1.0% | (282318) |
| (11778) | eMemory Technology, Inc. | 3.3% | (936685) |
| (32712) | Entain PLC | 0.9% | (253451) |
| (4922) | Fresnillo PLC | 1.0% | (280846) |
| (4130) | Grupo Aeroportuario del Pacífico | 0.3% | (107905) |
| (165) | HD Hyundai Electric Co. Ltd. | 0.4% | (120459) |
| (624) | Hermes International SCA | 5.2% | (1499761) |
| (2015) | HLB, Inc. | 0.3% | (72436) |
| (3318) | HYBE Co. Ltd. | 3.1% | (892051) |
| (74) | Hyosung Heavy Industries Corp. | 0.5% | (145054) |
| (10066) | Hyundai Rotem Co. | 5.6% | (1609379) |
| (978) | InterContinental Hotels Group PLC | 0.5% | (134397) |
| (130000) | Kingdee International Software Group Co. Ltd. | 0.5% | (166815) |
| (221600) | Localiza Rent A Car ADR | 7.6% | (2194171) |
| (178) | LPP SA | 3.6% | (1030008) |
| (28705) | Public Power Corp. | 2.2% | (642390) |
| (1343) | Samsung Biologics Co. Ltd. | 5.8% | (1656971) |
| (2135) | Shoprite Holdings Ltd. | 0.1% | (35517) |
| 34155 | Turk Hava Yollari AO | (0.8%) | 239407 |
| (3378) | Yuhan Corp. | 0.9% | (258548) |
|  | TOTAL COMMON STOCKS |  | $(28767934) |

---

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **%of<br>Equity<br>Basket** | **Value ($)** |
|  | **Custom equity basket swap with MORD as the counterparty:** |  |  |
| (62140) | Aselsan Elektronik Sanayi ve Ticaret AS | 1.9% | (455758) |
| (1424) | Celltrion, Inc. | 1.0% | (235760) |
| (3000) | Delta Electronics, Inc. | 0.6% | (135281) |
| (33966) | Doosan Enerbility Co. Ltd. | 10.3% | (2510267) |
| (1210) | Ecopro Co. Ltd. | 0.6% | (155378) |
| (645807) | Hacı Ömer Sabancı Holding AS | 6.1% | (1484397) |
| (12880) | HLB, Inc. | 1.9% | (463014) |
| (58200) | Hong Kong Exchange and Clearing Ltd. | 12.7% | (3109331) |
| (1962) | HYBE Co. Ltd. | 2.2% | (527488) |
| (4016) | Hyundai Rotem Co. | 2.6% | (642089) |
| (246000) | Innovent Biologics, Inc. | 11.0% | (2676449) |
| (1361000) | Kingdee International Software Group Co. Ltd. | 7.1% | (1746422) |
| (34654) | Korea Aerospace Industries Ltd. | 18.9% | (4604790) |
| 256920 | Nokia OYJ | (8.1%) | 1971865 |
| (248510) | Salik Co. PJSC | 1.8% | (433201) |
| (2311) | Samsung Biologics Co. Ltd. | 11.7% | (2851274) |
| (176941) | Samsung Heavy Industries Co. Ltd. | 14.5% | (3561506) |
| 149956 | Turk Hava Yollari AO | (4.3%) | 1051106 |
| (160600) | Xpeng, Inc., Class A | 5.8% | (1407904) |
| (5554) | Yuhan Corp. | 1.7% | (425097) |
|  | TOTAL COMMON STOCKS |  | $(24402435) |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

67 See accompanying notes to the financial statements.

------

#### GMO International Developed Equity Allocation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 100.0%** |  |
|  | **United States — 100.0%** |  |
| 3864450 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 148819968 |
| 2635882 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 48842884 |
| 518876 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(a)</sup> | 15337975 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $148,336,669) | 213000827 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** | **Money Market Funds — 0.1%** |
| 252753 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 252753 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $252,753) | 252753 |
|  | **TOTAL INVESTMENTS — 100.1%**<br> (Cost $148,589,422) | **213253580** |
|  | Other Assets and Liabilities (net) — (0.1%) | (181193) |
|  | **TOTAL NET ASSETS — 100.0%** | $**213072387** |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

See accompanying notes to the financial statements. 68

------

#### GMO International Equity Allocation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 99.8%** |  |
|  | **United States — 99.8%** |  |
| 3242373 | GMO Emerging Markets Fund, Class VI <sup>(a)</sup> | 110662187 |
| 4323081 | GMO International Equity Fund, Class IV <sup>(a)</sup> | 166481847 |
| 3576348 | GMO International Opportunistic Value Fund, Class IV <sup>(a)</sup> | 66269736 |
| 889544 | GMO-Usonian Japan Value Creation Fund,<br>Class VI <sup>(a)</sup> | 26294916 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $272,555,208) | 369708686 |
|  | **SHORT-TERM INVESTMENTS — 0.2%** | **SHORT-TERM INVESTMENTS — 0.2%** |
|  | **Money Market Funds — 0.2%** | **Money Market Funds — 0.2%** |
| 627684 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 627684 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $627,684) | 627684 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $273,182,892) | **370336370** |
|  | Other Assets and Liabilities (net) — 0.0% | 16905 |
|  | **TOTAL NET ASSETS — 100.0%** | $**370353275** |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

69 See accompanying notes to the financial statements.

------

#### GMO MAC Implementation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Par Value† /<br> Shares** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 124.4%** |  |
|  | **United States — 124.4%** |  |
|  | **U.S. Government — 98.6%** |  |
| 405000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 04/30/27 <sup>(a)</sup> | 405482 |
| 16447000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 07/31/27 <sup>(a)</sup> | 16466770 |
| 6203000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.81%, due 10/31/27 | 6213088 |
|  | Total U.S. Government | 23085340 |
|  | **U.S. Government Agency — 25.8%** |  |
| 4200000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 03/01/55 | 4307891 |
| 2000000 | Uniform Mortgage-Backed Security, TBA, 2.50%, due 03/01/56 | 1732584 |
|  | Total U.S. Government Agency | 6040475 |
|  | Total United States | 29125815 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $29,042,156) | 29125815 |
|  | SHORT-TERM INVESTMENTS — 0.8% | SHORT-TERM INVESTMENTS — 0.8% |
|  | **Money Market Funds — 0.8%** | **Money Market Funds — 0.8%** |
| 192030 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 192030 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $192,030) | 192030 |
|  | **TOTAL INVESTMENTS — 125.2**%<br>(Cost $29,234,186) | **29317845** |
|  | Other Assets and Liabilities (net) — (25.2)% | (5903789) |
|  | **TOTAL NET ASSETS — 100.0%** | $**23414056** |

---

See accompanying notes to the financial statements. 70

------

#### GMO MAC Implementation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### February 28, 2026
A summary of outstanding financial instruments at February 28, 2026 is as follows:

#### Forward Currency Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Settlement**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date** | **Counter-** <br> **party** | **Currency<br>Sold** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation**<br>**(Depreciation) ($)** |
|  04/30/2026 | CITI | EUR 77,000 | USD 91,906 | 627 |
|  04/30/2026 | DB | EUR 384,650 | USD 461,726 | 5749 |
|  |  |  |  | $6376 |

---

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of**<br> **Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation**<br>**(Depreciation) ($)** |
|  Buys |  |  |  |  |
| 53 | U.S. Treasury Note 10 Yr. (CBT) | June 2026 | 6032063 | 26490 |
| 66 | U.S. Treasury Note 2 Yr. (CBT) | June 2026 | 13812047 | 27255 |
| 100 | U.S. Treasury Note 5 Yr. (CBT) | June 2026 | 11014063 | 62774 |
| 54 | U.S. Treasury Ultra 10 Yr. (CBT) | June 2026 | 6303655 | 35906 |
|  |  |  | $37161828 | $152425 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of**<br> **Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation**<br>**(Depreciation) ($)** |
| Sales |  |  |  |  |
| 2 | U.S. Ultra Bond (CBT) | June 2026 | $243188 | $(2253) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

#### Swap Contracts

#### Centrally Cleared Credit Default Swaps

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value<br>($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |
|  CDX.EM.S44 | USD 14,338,000 | 1.00% | 1.35% | N/A | 12/20/2030 | Quarterly | 250311 | 213765 | (36546) |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.45 | USD 2,223,540 | 5.00% | 3.32% | 2,223,540 USD | 12/20/2030 | Quarterly | 152424 | 150225 | (2199) |

---

71 See accompanying notes to the financial statements.

------

#### GMO MAC Implementation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### February 28, 2026

#### Swap Contracts — continued

#### Centrally Cleared Credit Default Swaps — continued

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional<br>Amount** | **Annual**<br>**Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  ITRAXX.XO.44 | EUR 4,122,000 | 5.00% | 2.60% | 4,122,000 EUR | 12/20/2030 | Quarterly | 506571 | 491244 | (15327) |
|  |  |  |  |  |  |  | $909306 | $855234 | $(54072) |

---

---

| | |
|:---|:---|
| ^ | 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. <br>

(1) As of February 28, 2026, 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. <br>

(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 February 28, 2026, 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:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

&nbsp;&nbsp;&nbsp;&nbsp;(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, written options, repurchase agreements and/or reverse repurchase agreements, if any (Note 4).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

See accompanying notes to the financial statements. 72

------

#### GMO Multi-Asset Credit Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 102.5%** | **INVESTMENT FUNDS — 102.5%** |
|  | **United States — 102.5%** |  |
| 1014040 | GMO Emerging Country Debt Fund, Class VI <sup>(a)</sup> | 24022615 |
| 1689292 | GMO High Yield Fund, Class VI <sup>(a)</sup> | 29292320 |
| 2146314 | GMO MAC Implementation Fund <sup>(a)</sup> | 23416290 |
| 3567379 | GMO Opportunistic Income Fund, Class VI <sup>(a)</sup> | 87828875 |
| 750879 | GMO Systematic Investment Grade Credit ETF <sup>(a)</sup> | 19496573 |
| 1395953 | GMO U.S. Treasury Fund, Class VI <sup>(a)</sup> | 6993722 |
| 190739 | GMO Ultra-Short Income ETF <sup>(a)</sup> | 9582003 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $198,923,409) | 200632398 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 201454 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(b)</sup> | 201454 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $201,454) | 201454 |
|  | **TOTAL INVESTMENTS — 102.6%**<br> (Cost $199,124,863) | **200833852** |
|  | Other Assets and Liabilities (net) — (2.6%) | (5085117) |
|  | **TOTAL NET ASSETS — 100.0%** | $**195748735** |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;(a) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;(b) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

73 See accompanying notes to the financial statements.

------

#### GMO Strategic Opportunities Allocation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments

#### (showing percentage of total net assets)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| **Shares /**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Par Value†** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 0.0%** | **COMMON STOCKS — 0.0%** |
|  | **Russia — 0.0%** |  |
| 2505 | LUKOIL PJSC \* <sup>(a)</sup> (b) |  |
| 5410 | Novatek PJSC \* <sup>(a)</sup> (b) |  |
|  | Total Russia |  |
|  | TOTAL COMMON STOCKS<br> (COST $221,439) |  |
|  | **INVESTMENT FUNDS — 98.6%** | **INVESTMENT FUNDS — 98.6%** |
|  | **United States — 98.6%** |  |
| 678289 | GMO Alternative Allocation Fund, Class VI <sup>(c)</sup> | 12928190 |
| 350358 | GMO Asset Allocation Bond Fund, Class VI <sup>(c)</sup> | 6765416 |
| 29213 | GMO Climate Change Fund, Class III <sup>(c)</sup> | 829634 |
| 57490 | GMO Domestic Resilience ETF <sup>(c)</sup> | 1710328 |
| 32491 | GMO Emerging Country Debt Fund, Class VI <sup>(c)</sup> | 769702 |
| 101700 | GMO Emerging Markets ex-China Fund, Class VI <sup>(c)</sup> | 1725840 |
| 124033 | GMO Emerging Markets Fund, Class VI <sup>(c)</sup> | 4233253 |
| 327842 | GMO International Equity Fund, Class IV <sup>(c)</sup> | 12625200 |
| 318580 | GMO International Opportunistic Value Fund, Class IV <sup>(c)</sup> | 5903294 |
| 182472 | GMO-Usonian Japan Value Creation Fund, Class VI <sup>(c)</sup> | 5393878 |
| 66904 | GMO Quality Fund, Class VI <sup>(c)</sup> | 2352997 |
| 33574 | GMO Resources Fund, Class VI <sup>(c)</sup> | 880319 |
| 61761 | GMO Small Cap Quality Fund, Class VI <sup>(c)</sup> | 1594672 |
| 373686 | GMO U.S. Equity Fund, Class VI <sup>(c)</sup> | 5485709 |
| 242733 | GMO U.S. Opportunistic Value Fund, Class VI <sup>(c)</sup> | 5597428 |
| 302222 | GMO U.S. Treasury Fund, Class VI <sup>(c)</sup> | 1514131 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $55,728,371) | &nbsp;&nbsp;&nbsp;&nbsp;70309991 |
|  | **DEBT OBLIGATIONS — 0.3%** | **DEBT OBLIGATIONS — 0.3%** |
|  | **United States — 0.3%** |  |
|  | **U.S. Government — 0.3%** |  |
| 100000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.15%, 3.77%, due 04/30/26 | 100017 |
| 100000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.78%, due 07/31/27 | 100120 |
|  | Total U.S. Government | 200137 |
|  | Total United States | 200137 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $199,998) | 200137 |

---

---

| | | |
|:---|:---|:---|
| **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shares**  | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 1.2%** | **SHORT-TERM INVESTMENTS — 1.2%** |
|  | **Money Market Funds — 1.2%** |  |
| 820615 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.61% <sup>(d)</sup> | 820615 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $820,615) | 820615 |
|  | **TOTAL INVESTMENTS — 100.1**%<br>(Cost $56,970,423) | **71330743** |
|  | Other Assets and Liabilities (net) — (0.1)% | (41200) |
|  | **TOTAL NET ASSETS — 100.0%** | $**71289543** |

---

See accompanying notes to the financial statements. 74

------

#### GMO Strategic Opportunities Allocation Fund

#### (A Series of GMO Trust)

#### Schedule of Investments — (Continued)

#### February 28, 2026
Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer**<br> **Description** | **Acquisition<br>Date** | **Acquisition<br>Cost** | **Value as a**<br>**Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>February 28,<br>2026** |
|  LUKOIL PJSC | 04/03/20 | $175270 | 0.0% | $— |
|  Novatek PJSC | 02/24/22 | 46169 | 0.0% |  |
|  |  |  |  | $— |

---

#### Notes to Schedule of Investments:
&nbsp;&nbsp;&nbsp;&nbsp;† Denominated in U.S. Dollar, unless otherwise indicated.

\* Non-income producing security.

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

&nbsp;&nbsp;&nbsp;&nbsp;(b) The security is restricted as to resale.

&nbsp;&nbsp;&nbsp;&nbsp;(c) Affiliated company (Note 10).

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(d) The rate disclosed is the 7 day net yield as of February 28, 2026.

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 76.

75 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### February 28, 2026

#### Portfolio Abbreviations:
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration,

normally to qualified institutional investors.

ADR - American Depositary Receipt

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

BNM - Bank Negara Malaysia

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

BUBOR - Budapest Interbank Offered Rate

CD - Certificate of Deposit

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

ETF - Exchange-Traded Fund

EuroSTR - Euro Short-Term Rate

FBIL - Financial Benchmarks India PVT. LTD.

GDR - Global Depositary Receipt

HIBOR - Hong Kong Interbank Offered Rate

HKAB - Hong Kong Association of Banks

IBR - Indicador Bancario de Referencia

JSC - Joint-Stock Company

KLIBOR - Kuala Lumpur Interbank Offered Rate

KRW CD - South Korean Won Certificate of Deposit

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

OMO - Open Market Operations

PJSC - Private Joint-Stock Company

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

PRIBOR - Prague Interbank Offered Rate

QPSC - Qatar Private Stock Company

RBOB - Reformulated Blendstock for Oxygenate Blending

Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except

pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

REIT - Real Estate Investment Trust

SAFEX - South African Futures Exchange

SARON - Swiss Average Rate Overnight

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

SHIR - Shekel Overnight Interest Rate

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

SORA - Singapore Overnight Rate Average

TBA - To Be Announced - Delayed Delivery Security

THOR - Thai Overnight Repurchase Rate

TIIE - The Interbank Equilibrium Interest Rate denominated in Mexican Peso

WIBOR - Warsaw Interbank Offered Rate

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

The rates shown on variable rate notes are the current interest rates at February 28, 2026, which are subject to change based on the terms of the security.

---

| | |
|:---|:---|
| **Counterparty Abbreviations:** |  |
| BCLY - Barclays Bank PLC | MORD - Morgan Stanley Capital |
| BNP - BNP Paribas | Services LLC |
| BOA - Bank of America, N.A. | MSCI - Morgan Stanley & Co. |
| CGMI - Citigroup Global Markets Inc. | International PLC |
| CITI - Citibank N.A. | SOCG - Société Générale |
| DB - Deutsche Bank AG | SSB - State Street Bank and Trust Company |
| GS - Goldman Sachs International | UBSA - UBS AG |
| JPM - JPMorgan Chase Bank, N.A. |  |

---

---

| | |
|:---|:---|
| **Currency Abbreviations:** |  |
| AUD - Australian Dollar | MXN - Mexican Peso |
| BRL - Brazilian Real | MYR - Malaysian Ringgit |
| CAD - Canadian Dollar | NGN - Nigerian Naira |
| CHF - Swiss Franc | NOK - Norwegian Krone |
| CLP - Chilean Peso | NZD - New Zealand Dollar |
| CNY - China Yuan Renminbi | PEN - Peruvian Sol |
| COP - Colombian Peso | PHP - Philippines Peso |
| CZK - Czech Republic Koruna | PLN - Polish Zloty |
| DOP - Dominican Republic Peso | PYG - Paraguayan Guarani |
| EGP - Egyptian Pound | RON - Romanian New Leu |
| EUR - Euro | SEK - Swedish Krona |
| GBP - British Pound | SGD - Singapore Dollar |
| HKD - Hong Kong Dollar | THB - Thai Baht |
| HUF - Hungarian Forint | TRY - Turkish Lira |
| IDR - Indonesian Rupiah | TWD - Taiwan New Dollar |
| ILS - Israeli Shekel | UGX - Ugandan Shilling |
| INR - Indian Rupee | USD - United States Dollar |
| JPY - Japanese Yen | UYU - Uruguay Peso |
| KRW - South Korean Won | ZAR - South African Rand |
| KZT - Kazakhstani Tenge |  |

---

See accompanying notes to the financial statements. 76

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Alternative<br>Allocation **Fund**<sup>π</sup> | Benchmark-<br>Free<br>Allocation **Fund** | Benchmark-<br>Free **Fund** | Global<br>Asset<br>Allocation **Fund** |
|  **Assets:** | **Assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers, at value (Notes 2 and 10)<sup>(a)</sup>  | $— | $2584282183 | $252906518 | $573028647 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(b)(c)</sup>  | 1350632369 | 3335568 | 1023374729 | 912014 |
| &nbsp;&nbsp;&nbsp;&nbsp; Repurchase agreements, at value (Note 2)<sup>(d)</sup>  | 125060250 |  | 189999862 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign currency, at value (Note 2)<sup>(e)</sup>  | 1501242 |  | 213580 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash | 2777933 | 28 |  | 124 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for investments sold | 57036908 |  | 25700867 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | 78500 | 1523871 |  | 2452829 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for closed swap contracts (Note 4) | 499926 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 1729148 | 8559 | 2150403 | 37873 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividend withholding tax receivable | 290386 |  | 378749 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign capital gains tax refund receivable (Note 2) |  |  | 99100 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; EU tax reclaims receivable (Note 2) |  |  | 746072 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on open forward currency contracts (Note 4) | 6892632 |  | 947074 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for variation margin on open cleared swap contracts (Note 4) |  |  | 53788 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due from broker (Note 2) | 714729 |  | 38326 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for variation margin on open futures contracts (Note 4) | 2530203 |  | 1224546 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for open OTC swap contracts (Note 4) | 20073099 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest receivable for open OTC swap contracts (Note 4) | 705347 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 91758 | 235693 | 53617 | 9346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total assets | 1570614430 | 2589385902 | 1497887231 | 576440833 |
|  **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold short, at value (Note 2)<sup>(f)</sup>  | 702300105 |  | 174547580 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due to custodian |  |  | 378840 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due to broker (Note 2) | 526998 |  | 1534 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for cash collateral from securities loaned (Note 2) |  |  | 135575 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for investments purchased | 36683943 |  | 25428053 | 36612 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares repurchased | 14102 | 371977 |  | 890477 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued foreign capital gains tax payable (Note 2) | 426 |  | 379467 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to affiliate for (Note 5): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fee | 448338 | 1267697 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee | 49051 | 260353 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for variation margin on open futures contracts (Note 4) | 367628 |  | 27592 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for variation margin on open cleared swap contracts (Note 4) | 82998 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for closed swap contracts (Note 4) | 87472 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on open forward currency contracts (Note 4) | 4192200 |  | 250943 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest payable for open OTC swap contracts (Note 4) | 105369 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for open OTC swap contracts (Note 4) | 4534168 |  | 458105 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to Trustees and related expenses | 7742 | 25111 | 12338 | 4370 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and dividend payable for short sales | 641858 |  | 127113 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Written options outstanding, at value (Note 4)<sup>(g)</sup>  | 6537018 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued expenses | 935057 | 341100 | 697740 | 119477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total liabilities | 757514473 | 2266238 | 202444880 | 1050936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commitments and contingent liabilities (Note 5) |  |  |  |  |
|  **Net assets** | $**813099957** | $**2587119664** | $**1295442351** | $**575389897** |
|  <sup>(a)</sup> Cost of investments – affiliated issuers: | $— | $2120082425 | $238620283 | $492453818 |
|  <sup>(b)</sup> Cost of investments – unaffiliated issuers: | $1230508269 | $3335568 | $924668080 | $912014 |
|  <sup>(c)</sup> Includes securities on loan at value (Note 2): | $216055568 | $— | $77972887 | $— |
|  <sup>(d)</sup> Cost of investments – repurchase agreements: | $125060250 | $— | $189999862 | $— |
|  <sup>(e)</sup> Cost of foreign currency: | $1376403 | $— | $215163 | $— |
|  <sup>(f)</sup> Proceeds from securities sold short: | $670547656 | $— | $141849012 | $— |
|  <sup>(g)</sup> Premiums on written options: | $5185611 | $— | $— | $— |

---

77 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Alternative<br>Allocation **Fund**<sup>π</sup> | Benchmark-<br>Free<br>Allocation<br>Fund | Benchmark-<br>Free<br>Fund | Global<br>Asset<br>Allocation<br>Fund |
|  **Net assets consist of:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $751207432 | $2374768729 | $1320014894 | $713550191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | 61892525 | 212350935 | (24572543) | (138160294) |
|  | $**813099957** | $**2587119664** | $**1295442351** | $**575389897** |
|  **Net assets attributable to:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $— | $730989989 | $1295442351 | $549995815 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $— | $850699689 | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $691873217 | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $— | $429054179 | $— | $8497317 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $121226740 | $576375807 | $— | $16896765 |
|  **Shares outstanding:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III |  | 21994870 | 53984783 | 13462132 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV |  | 25590480 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | 36307387 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  | 12928954 |  | 208121 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | 6413579 | 17374906 |  | 413616 |
|  **Net asset value per share:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $— | $33.23 | $24.00 | $40.86 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $— | $33.24 | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class VI | $19.06 | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $— | $33.19 | $— | $40.83 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $18.90 | $33.17 | $— | $40.85 |

---

---

| | |
|:---|:---|
| π | GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.  |

---

See accompanying notes to the financial statements. 78

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Global**<br>**Developed**<br>**Equity**<br>**Allocation**<br>**Fund** |<br>**Global**<br>**Equity**<br>**Allocation**<br>**Fund** |<br><br>**Implementation**<br>**Fund** | **International**<br>**Developed**<br>**Equity**<br>**Allocation**<br>**Fund** |
|  **Assets:** | **Assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers, at value (Notes 2 and 10)<sup>(a)</sup>  | $99909425 | $681555518 | $437452 | $213000827 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(b)(c)</sup>  | 84708 | 553049 | 2295402613 | 252753 |
| &nbsp;&nbsp;&nbsp;&nbsp; Repurchase agreements, at value (Note 2)<sup>(d)</sup>  |  |  | 365000524 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign currency, at value (Note 2)<sup>(e)</sup>  |  |  | 424084 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for investments sold |  |  | 71034043 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold |  | 368 |  | 33557 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 263 | 1459 | 5000493 | 763 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividend withholding tax receivable |  |  | 959962 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign capital gains tax refund receivable (Note 2) |  |  | 80638 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; EU tax reclaims receivable (Note 2) |  |  | 123183 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on open forward currency contracts (Note 4) |  |  | 2115914 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for variation margin on open cleared swap contracts (Note 4) |  |  | 122244 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due from broker (Note 2) |  |  | 1151730 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for variation margin on open futures contracts (Note 4) |  |  | 2824359 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 1593 | 6391 | 52174 | 1325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total assets | 99995989 | 682116785 | 2744729413 | 213289225 |
|  **Liabilities:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold short, at value (Note 2)<sup>(f)</sup>  |  |  | 371176607 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due to custodian |  |  | 923812 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due to broker (Note 2) |  |  | 3549 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for cash collateral from securities loaned (Note 2) |  |  | 598326 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for investments purchased |  |  | 70466234 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares repurchased |  |  |  | 122710 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued foreign capital gains tax payable (Note 2) |  |  | 813057 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for variation margin on open futures contracts (Note 4) |  |  | 165617 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on open forward currency contracts (Note 4) |  |  | 499525 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for open OTC swap contracts (Note 4) |  |  | 1062290 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to Trustees and related expenses | 842 | 6280 | 21941 | 3099 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and dividend payable for short sales |  |  | 150176 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued expenses | 49485 | 136394 | 1061501 | 91029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total liabilities | 50327 | 142674 | 446942635 | 216838 |
|  **Net assets** | $**99945662** | $**681974111** | $**2297786778** | $**213072387** |
|  <sup>(a)</sup> Cost of investments – affiliated issuers: | $75838823 | $528654561 | $437490 | $148336669 |
|  <sup>(b)</sup> Cost of investments – unaffiliated issuers: | $84708 | $553049 | $2159007197 | $252753 |
|  <sup>(c)</sup> Includes securities on loan at value (Note 2): | $— | $— | $216810662 | $— |
|  <sup>(d)</sup> Cost of investments – repurchase agreements: | $— | $— | $365000524 | $— |
|  <sup>(e)</sup> Cost of foreign currency: | $— | $— | $355912 | $— |
|  <sup>(f)</sup> Proceeds from securities sold short: | $— | $— | $297772645 | $— |

---

79 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Global**<br>**Developed**<br>**Equity**<br>**Allocation**<br>**Fund** |<br>**Global**<br>**Equity**<br>**Allocation**<br>**Fund** |<br><br>**Implementation**<br>**Fund** | **International**<br>**Developed**<br>**Equity**<br>**Allocation**<br>**Fund** |
|  **Net assets consist of:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $139509337 | $637082342 | $2651505963 | $292626182 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | (39563675) | 44891769 | (353719185) | (79553795) |
|  | $**99945662** | $**681974111** | $**2297786778** | $**213072387** |
|  **Net assets attributable to:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Core Class | $— | $— | $2297786778 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $99945662 | $614874215 | $— | $2893403 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $— | $64557823 | $— | $210178984 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $— | $2542073 | $— | $— |
|  **Shares outstanding:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Core Class |  |  | 135230885 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | 2943741 | 15970424 |  | 110706 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  | 1677035 |  | 8042983 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I |  | 66044 |  |  |
|  **Net asset value per share:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Core Class | $— | $— | $16.99 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $33.95 | $38.50 | $— | $26.14 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $— | $38.50 | $— | $26.13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $— | $38.49 | $— | $— |

---

See accompanying notes to the financial statements. 80

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **International**<br>**Equity**<br>**Allocation**<br>**Fund** |<br>**MAC**<br>**Implementation**<br>**Fund** |<br>**Multi-Asset**<br>**Credit**<br>**Fund** | **Strategic**<br>**Opportunities**<br>**Allocation**<br>**Fund** |
|  **Assets:** | **Assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers, at value (Notes 2 and 10)<sup>(a)</sup>  | $369708686 | $— | $200632398 | $70309991 |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(b)</sup>  | 627684 | 29317845 | 201454 | 1020752 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign currency, at value (Note 2)<sup>(c)</sup>  |  |  |  | 9977 |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash |  | 2 | 16 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | 99427 |  | 85900 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for closed swap contracts (Note 4) |  | 414611 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends and interest receivable | 1901 | 71513 | 20359 | 6863 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividend withholding tax receivable |  |  |  | 13906 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on open forward currency contracts (Note 4) |  | 6376 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for variation margin on open futures contracts (Note 4) |  | 116504 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Receivable for expenses reimbursed and/or waived by GMO (Note 5) | 5458 | 11336 | 93871 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total assets | 370443156 | 29938187 | 201033998 | 71361493 |
|  **Liabilities:** | **Liabilities:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Due to broker (Note 2) |  | 60703 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for investments purchased |  | 5986586 | 5090581 | 3996 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for Fund shares repurchased |  |  | 5287 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for recoupment of past waived and/or reimbursed fees (Note 5) |  |  |  | 8692 |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to affiliate for (Note 5): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fee |  |  | 51995 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee |  |  | 28441 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for variation margin on open cleared swap contracts (Note 4) |  | 276 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable for closed swap contracts (Note 4) |  | 352871 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Payable to Trustees and related expenses | 3612 | 165 | 546 | 1303 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accrued expenses | 86269 | 123530 | 108413 | 57959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total liabilities | 89881 | 6524131 | 5285263 | 71950 |
|  **Net assets** | $**370353275** | $**23414056** | $**195748735** | $**71289543** |
|  <sup>(a)</sup> Cost of investments – affiliated issuers: | $272555208 | $— | $198923409 | $55728371 |
|  <sup>(b)</sup> Cost of investments – unaffiliated issuers: | $627684 | $29234186 | $201454 | $1242052 |
|  <sup>(c)</sup> Cost of foreign currency: | $— | $— | $— | $9792 |

---

81 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Assets and Liabilities — February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **International**<br>**Equity**<br>**Allocation**<br>**Fund** |<br>**MAC**<br>**Implementation**<br>**Fund** |<br>**Multi-Asset**<br>**Credit**<br>**Fund** | **Strategic**<br>**Opportunities**<br>**Allocation**<br>**Fund** |
|  **Net assets consist of:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Paid-in capital | $418575407 | $22684019 | $193589758 | $55131985 |
| &nbsp;&nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | (48222132) | 730037 | 2158977 | 16157558 |
|  | $**370353275** | $**23414056** | $**195748735** | $**71289543** |
|  **Net assets attributable to:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Core Class | $— | $23414056 | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $44266696 | $— | $— | $71289543 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $— | $— | $16645671 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $326086579 | $— | $2098320 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $— | $— | $177004744 | $— |
|  **Shares outstanding:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Core Class |  | 2146314 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | 1034936 |  |  | 3624526 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  | 785264 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | 7627207 |  | 99010 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I |  |  | 8353142 |  |
|  **Net asset value per share:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Core Class | $— | $10.91 | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class III | $42.77 | $— | $— | $19.67 |
| &nbsp;&nbsp;&nbsp;&nbsp; Class IV | $— | $— | $21.20 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class R6 | $42.75 | $— | $21.19 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Class I | $— | $— | $21.19 | $— |

---

See accompanying notes to the financial statements. 82

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Operations — Year Ended February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Alternative<br>Allocation **Fund**<sup>π</sup> | Benchmark-<br>Free<br>Allocation<br>Fund | Benchmark-<br>Free<br>Fund | Global<br>Asset<br>Allocation<br>Fund |
|  **Investment income:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)<sup>(a)</sup>  | $22820042 | $101850 | $25270872 | $281787 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from affiliated issuers (Note 10) | 901912 | 97289120 | 8237913 | 17264629 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | 12548610 | 1523 | 15964048 | 2649 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income from affiliated issuers (net) |  |  | 45346 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income (net) |  |  | 51999 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other income (Note 2) | 4353 |  | 288471 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investment income | 36274917 | 97392493 | 49858649 | 17549065 |
|  **Expenses:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Management fee (Note 5) | 5247825 | 15279627 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class III (Note 5) |  | 1115830 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class IV (Note 5) |  | 753511 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class VI (Note 5) | 335832 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class R6 (Note 5) | 20 \* | 556099 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class I (Note 5) | 238190 | 723873 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax fees | 185892 | 47846 | 163458 | 50468 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian, fund accounting, administration and transfer agent fees | 825122 | 622309 | 587821 | 120750 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividend expense on short sales | 10376646 |  | 2087820 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Legal fees | 54973 | 81517 | 38606 | 13625 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 27071 | 33331 | 1819 | 26851 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and related expenses (Note 5) | 50804 | 160092 | 81012 | 28951 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest expense and borrowing costs for investments sold short (Note 2) | 3339696 |  | 876518 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 137252 | 21590 | 171201 | 4299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 20819323 | 19395625 | 4008255 | 244944 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO (Note 5) | (807433) | (253018) | (746492) | (196652) |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred management fees waived or borne by GMO (Note 5) | (17641) | (3037016) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred shareholder service fees waived or borne by GMO (Note 5) |  | (301042) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 19994249 | 15804549 | 3261763 | 48292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | 16280668 | 81587944 | 46596886 | 17500773 |
|  **Realized and unrealized gain (loss):** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(b)</sup>  | 104205078 |  | 106839318 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers |  | 64377072 | (600262) | (10292370) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities sold short | (59780059) |  | (21439043) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Realized gain distributions from affiliated issuers (Note 10) |  | 17772660 | 8987226 | 20881597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (23241218) |  | 5230454 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written options | (3833848) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts | (7879082) |  | (10256433) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts | 16876522 |  | 838176 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions | 452302 |  | 18086 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 26799695 | 82149732 | 89617522 | 10589227 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(c)</sup>  | 107427334 |  | 144003538 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers |  | 477419349 | 35911219 | 93822262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities sold short | (29011525) |  | 6343680 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (8944569) |  | (307212) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written options | (455806) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts | 3041523 |  | (369345) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts | 2324381 |  | 696131 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions | 212912 |  | 192387 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 74594250 | 477419349 | 186470398 | 93822262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 101393945 | 559569081 | 276087920 | 104411489 |
|  **Net increase (decrease) in net assets resulting from operations** | $**117674613** | $**641157025** | $**322684806** | $**121912262** |
|  <sup>(a)</sup> Withholding tax: | $1204086 | $— | $2096719 | $— |
|  <sup>(b)</sup> Foreign capital gains tax (benefit) on net realized gain (loss): | $(33) | $— | $12780 | $— |

---

83 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Operations — Year Ended February 28, 2026 — (Continued)

---

| | | | |
|:---|:---|:---|:---|
|  | Alternative<br>Allocation **Fund**<sup>π</sup> | Benchmark-<br>Free<br>Fund | Global<br>Asset<br>Allocation<br>Fund |
|  <sup>(c)</sup> Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation): | $– $– $| 379247 | $— |

---

\* Class R6 liquidated on February 27, 2026.

---

| | |
|:---|:---|
| π | GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.  |

---

See accompanying notes to the financial statements. 84

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Operations — Year Ended February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Global<br>Developed<br>Equity<br>Allocation **Fund** | Global Equity<br>Allocation **Fund** | Implementation **Fund<sup>b</sup>** | International<br>Developed<br>Equity<br>Allocation **Fund** |
|  **Investment income:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from affiliated issuers (Note 10) | $2908432 | $21196102 | $— | $12016718 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)<sup>(a)</sup>  | 3382 | 16187 | 55120337 | 9556 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | 96 | 288 | 34397198 | 157 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income from affiliated issuers (net) |  |  | 83768 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income (net) |  |  | 122713 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Other income (Note 2) |  |  | 338181 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investment income | 2911910 | 21212577 | 90062197 | 12026431 |
|  **Expenses:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax fees | 36212 | 42928 | 283613 | 42004 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian, fund accounting, administration and transfer agent fees | 31559 | 112248 | 731202 | 70127 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividend expense on short sales |  |  | 4440020 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Legal fees | 2817 | 21034 | 80895 | 10411 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 2248 | 21616 | 447 | 20632 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and related expenses (Note 5) | 5780 | 40429 | 138079 | 18523 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest expense and borrowing costs for investments sold short (Note 2) |  |  | 1830936 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 372 | 9032 | 223882 | 16792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 78988 | 247287 | 7729074 | 178489 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO (Note 5) | (72611) | (197970) | (739152) | (154858) |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred management fees waived or borne by GMO (Note 5) |  |  | (6676) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 6377 | 49317 | 6983246 | 23631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | 2905533 | 21163260 | 83078951 | 12002800 |
|  **Realized and unrealized gain (loss):** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(b)</sup>  |  |  | 226198409 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | 1802740 | 742742 | (1039) | 56828105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities sold short |  |  | (46699864) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Realized gain distributions from affiliated issuers (Note 10) | 6271555 | 38773662 |  | 7840570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  |  | 11927729 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts |  |  | (23815201) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts |  |  | 1923874 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions |  |  | (534223) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 8074295 | 39516404 | 168999685 | 64668675 \* |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(c)</sup>  |  |  | 356107796 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | 15920696 | 134741902 | 172 | 24917005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in securities sold short |  |  | 16723482 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  |  | (419095) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts |  |  | (974676) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts |  |  | 1616389 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions |  |  | 501143 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 15920696 | 134741902 | 373555211 | 24917005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 23994991 | 174258306 | 542554896 | 89585680 |
|  **Net increase (decrease) in net assets resulting from operations** | $**26900524** | $**195421566** | $**625633847** | $**101588480** |
|  <sup>(a)</sup> Withholding tax: | $— | $— | $4588616 | $— |
|  <sup>(b)</sup> Foreign capital gains tax (benefit) on net realized gain (loss): | $— | $— | $56132 | $— |
|  <sup>(c)</sup> Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation): | $— | $— | $812573 | $— |

---

\* For the details related to in-kind redemption realized gain (loss) please refer to Note 6.

---

| | |
|:---|:---|
| b | GMO Implementation SPC Ltd. was a 100% owned subsidiary of Implementation Fund through August 28, 2025. As such, the amounts presented for Implementation Fund are consolidated with its subsidiary through August 28, 2025 (Note 2).  |

---

85 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Operations — Year Ended February 28, 2026 — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **International**<br>**Equity**<br>**Allocation**<br>**Fund** |<br>**MAC**<br>**Implementation**<br>**Fund\*** |<br>**Multi-Asset**<br>**Credit**<br>**Fund\*** | **Strategic**<br>**Opportunities**<br>**Allocation**<br>**Fund** |
|  **Investment income:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from affiliated issuers (Note 10) | $19547904 | $— | $4384900 | $2521843 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers | 16629 | 6265 | 20314 | 11995 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest | 189 | 422840 | 6245 | 7479 |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income from affiliated issuers (net) |  |  | 72 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Securities lending income (net) |  |  | 82 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total investment income | 19564722 | 429105 | 4411613 | 2541317 |
|  **Expenses:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Management fee (Note 5) |  |  | 253437 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class IV (Note 5) |  |  | 9189 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class R6 (Note 5) |  |  | 1280 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee – Class I (Note 5) |  |  | 125163 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Organizational expenses |  | 47646 | 51348 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Audit and tax fees | 41212 | 96831 | 29003 | 55800 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian, fund accounting, administration and transfer agent fees | 74489 | 42654 | 129809 | 59172 |
| &nbsp;&nbsp;&nbsp;&nbsp; Legal fees | 11209 | 10827 | 6131 | 4236 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 14013 | 1500 | 56231 | 2261 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' fees and related expenses (Note 5) | 23664 | 582 | 3147 | 7706 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 1035 | 5171 | 5298 | 6923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total expenses | 165622 | 205211 | 670036 | 136098 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO (Note 5) | (139920) | (204447) | (213141) | (113724) |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred management fees waived or borne by GMO (Note 5) |  |  | (212711) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred shareholder service fees waived or borne by GMO (Note 5) |  |  | (27472) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net expenses | 25702 | 764 | 216712 | 22374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | 19539020 | 428341 | 4194901 | 2518943 |
|  **Realized and unrealized gain (loss):** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(a)</sup>  |  | 65476 |  | 34846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | 26780223 |  | 278852 | 9310230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Realized gain distributions from affiliated issuers (Note 10) | 10389092 |  | 109912 | 4707762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  | 409026 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts |  | 132841 |  | (99072) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts |  | (7133) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions |  | (474) |  | 3870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 37169315 | 599736 | 388764 | 13957636 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers |  | 83659 |  | (14085) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | 99962929 |  | 1708989 | 7561937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  | 150172 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts |  | (54072) |  | 10736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts |  | 6376 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions |  | 149 |  | 5397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 99962929 | 186284 | 1708989 | 7563985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 137132244 | 786020 | 2097753 | 21521621 |
|  **Net increase (decrease) in net assets resulting from operations** | $**156671264** | $**1214361** | $**6292654** | $**24040564** |
|  <sup>(a)</sup> Foreign capital gains tax (benefit) on net realized gain (loss): | $— | $— | $— | $(33) |

---

\* Period from May 21, 2025 (commencement of operations) through February 28, 2026.

\*\* Period from October 21, 2025 (commencement of operations) through February 28, 2026.

\*\*\* Period from September 04, 2025 (commencement of operations) through February 28, 2026.

See accompanying notes to the financial statements. 86

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Alternative<br>Allocation **Fund<sup>π</sup>** | Alternative<br>Allocation **Fund<sup>π</sup>** | Benchmark-<br>Free<br>Allocation **Fund** | Benchmark-<br>Free<br>Allocation **Fund** |
|  | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $16280668 | $3802798 | $81587944 | $114808781 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 26799695 | (7304941) | 82149732 | 74823014 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 74594250 | 13693922 | 477419349 | (6073812) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 117674613 | 10191779 | 641157025 | 183557983 |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III |  |  | (27927120) | (42903798) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  | (32090160) | (36014354) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | (52704777) | (1552680) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (743) | (265) | (17041978) | (15264211) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (9258385) | (3921079) | (20710763) | (20613274) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (61963905) | (5474024) | (97770021) | (114795637) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III |  |  | (320941758) | (216310006) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV |  |  | (33429550) | (201237737) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class VI | 42937095 | 545718782 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class MF |  |  |  | (799411269)\*\* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (9147) | 2916 | 22238824 | 13607541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | 6209171 | (30937331) | 33797353 | 59501200 |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | 49137119 | 514784367 | (298335131) | (1143850271) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 104847827 | 519502122 | 245051873 | (1075087925) |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 708252130 | 188750008 | 2342067791 | 3417155716 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $813099957 | $708252130 | $2587119664 | $2342067791 |

---

\* Class R6 liquidated on February 27, 2026.

\*\* Class MF liquidated on March 12, 2024.

---

| | |
|:---|:---|
| π | GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.  |

---

87 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Benchmark-**<br>**Free**<br>**Fund** | **Benchmark-**<br>**Free**<br>**Fund** | **Global**<br>**Asset**<br>**Allocation**<br>**Fund** | **Global**<br>**Asset**<br>**Allocation**<br>**Fund** |
|  | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $46596886 | $45611603 | $17500773 | $13331010 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 89617522 | 80140084 | 10589227 | 5676788 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 186470398 | (42626231) | 93822262 | 8427584 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 322684806 | 83125456 | 121912262 | 27435382 |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (58706146) | (56278876) | (22348421) | (16603775) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  |  | (369761) | (367015) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I |  |  | (668852) | (612096) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (58706146) | (56278876) | (23387034) | (17582886) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (115207280) | 28302450 | 100195372 | 13056649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  |  | (1131771) | (1690115) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I |  |  | (623652) | 1810084 |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | (115207280) | 28302450 | 98439949 | 13176618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 148771380 | 55149030 | 196965177 | 23029114 |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 1146670971 | 1091521941 | 378424720 | 355395606 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $1295442351 | $1146670971 | $575389897 | $378424720 |

---

See accompanying notes to the financial statements. 88

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Global**<br>**Developed**<br>**Equity**<br>**Allocation**<br>**Fund** | **Global**<br>**Developed**<br>**Equity**<br>**Allocation**<br>**Fund** | **Global**<br>**Equity**<br>**Allocation**<br>**Fund** | **Global**<br>**Equity**<br>**Allocation**<br>**Fund** |
|  | **Year Ended** | **Year Ended** | **Year Ended** | **Year Ended** |
|  | **February 28,** | **February 28,** | **February 28,** | **February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $2905533 | $2103828 | $21163260 | $19149524 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 8074295 | 3547180 | 39516404 | 13195351 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 15920696 | 2953542 | 134741902 | 36250420 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 26900524 | 8604550 | 195421566 | 68595295 |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (3902627) | (3774722) | (24878094) | (27561704) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  |  | (2599835) | (2319408) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I |  |  | (100258) | (244789) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (3902627) | (3774722) | (27578187) | (30125901) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (2307264) | 3770078 | (68724964) | (186173650) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  |  | 3441348 | 2446299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I |  |  | (3249391) | (7393214) |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | (2307264) | 3770078 | (68533007) | (191120565) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 20690633 | 8599906 | 99310372 | (152651171) |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 79255029 | 70655123 | 582663739 | 735314910 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $99945662 | $79255029 | $681974111 | $582663739 |

---

89 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Implementation **Fund<sup>b</sup>** | Implementation **Fund<sup>b</sup>** | International<br>Developed<br>Equity<br>Allocation **Fund** | International<br>Developed<br>Equity<br>Allocation **Fund** |
|  | **Year Ended** | **Year Ended** | **Year Ended** | **Year Ended** |
|  | **February 28,** | **February 28,** | **February 28,** | **February 28,** |
|  | **2026** | **2025** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |  |
|  Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $83078951 | $89112656 | $12002800 | $12373383 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 168999685 | 149961659 | 64668675 | 1006045 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 373555211 | (48201259) | 24917005 | 32528215 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 625633847 | 190873056 | 101588480 | 45907643 |
|  Distributions to shareholders: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Core Class | (89749077) | (129012841) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III |  |  | (344364) | (8022571) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  |  | (14413167) | (6273861) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (89749077) | (129012841) | (14757531) | (14296432) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Core Class | (229591746) | (1299792491) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III |  |  | (203793237) | (101009333) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 |  |  | 12650486 | 121279340 |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | (229591746) | (1299792491) | (191142751) | 20270007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 306293024 | (1237932276) | (104311802) | 51881218 |
|  **Net assets:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 1991493754 | 3229426030 | 317384189 | 265502971 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $2297786778 | $1991493754 | $213072387 | $317384189 |

---

---

| | |
|:---|:---|
| b | GMO Implementation SPC Ltd. was a 100% owned subsidiary of Implementation Fund through August 28, 2025. As such, the amounts presented for Implementation Fund are consolidated with its subsidiary through August 28, 2025 (Note 2).  |

---

See accompanying notes to the financial statements. 90

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **International**<br>**Equity**<br>**Allocation**<br>**Fund** | **International**<br>**Equity**<br>**Allocation**<br>**Fund** | **MAC<br>Implementation<br>Fund** |
|  | **Year Ended** | **Year Ended** | |
|  | **February 28,** | **February 28,** | **Period from<br>May 21, 2025<br>(commencement<br>of operations)<br>through**<br>**February 28,** |
|  | **2026** | **2025** | **2026** |
|  **Increase (decrease) in net assets:** |  |  |  |
|  Operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $19539020 | $13865215 | $428341 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 37169315 | (5875559) | 599736 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 99962929 | 29249493 | 186284 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 156671264 | 37239149 | 1214361 |
|  Distributions to shareholders: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Core Class |  |  | (484324) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (6158178) | (5473723) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (16816012) | (13183121) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (22974190) | (18656844) | (484324) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Core Class |  |  | 22684019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III | (87633702) | 6864271 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | 3162968 | (9846349) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | (84470734) | (2982078) | 22684019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 49226340 | 15600227 | 23414056 |
|  **Net assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period | 321126935 | 305526708 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $370353275 | $321126935 | $23414056 |

---

91 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Changes in Net Assets — (Continued)

---

| | | | |
|:---|:---|:---|:---|
|  | **Multi-Asset<br>Credit**<br>**Fund** | **Strategic**<br>**Opportunities**<br>**Allocation Fund** | **Strategic**<br>**Opportunities**<br>**Allocation Fund** |
|  | | **Year Ended**<br>**February 28,** | **Year Ended**<br>**February 28,** |
|  | **Period from<br>May 21, 2025<br>(commencement<br>of operations)<br>through<br>February 28,**<br>**2026** | **2026** | **2025** |
|  **Increase (decrease) in net assets:** |  |  |  |
|  Operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) | $4194901 | $2518943 | $7282046 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 388764 | 13957636 | 6332485 |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | 1708989 | 7563985 | 827899 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets from operations | 6292654 | 24040564 | 14442430 |
|  Distributions to shareholders: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III |  | (10806011) | (10037862) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV | (293746) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | (53348) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | (3786583) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (4133677) | (10806011) | (10037862) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net share transactions (Note 9): |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class III |  | (113312875) | (51070491) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class IV | 15940363 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class R6 | 2096205 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Class I | 175553190 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in net assets resulting from net share transactions | 193589758 | (113312875) | (51070491) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total increase (decrease) in net assets | 195748735 | (100078322) | (46665923) |
|  **Net assets:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Beginning of period |  | 171367865 | 218033788 |
| &nbsp;&nbsp;&nbsp;&nbsp; End of period | $195748735 | $71289543 | $171367865 |

---

\* Period from October 21, 2025 (commencement of operations) through February 28, 2026.

\*\* Period from September 04, 2025 (commencement of operations) through February 28, 2026.

See accompanying notes to the financial statements. 92

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Statements of Cash Flows — Year Ended February 28, 2026

---

| | | | |
|:---|:---|:---|:---|
|  | Alternative<br>Allocation **Fund**<sup>π</sup> | Benchmark-<br>Free **Fund** | Implementation **Fund<sup>b</sup>** |
|  **Cash flows from operating activities:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net increase (decrease) in net assets resulting from operations | $117674613 | $322684806 | $625633847 |
|  **Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized (appreciation) depreciation | (74594250) | (186470398) | (373555211) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized (gain) loss | (26799695) | (89617522) | (168999685) |
| &nbsp;&nbsp;&nbsp;&nbsp; Cost of purchase of investments held long | (3879973063) | (1064011245) | (2205757062) |
| &nbsp;&nbsp;&nbsp;&nbsp; Cost of purchase of investments held short | (1355122624) | (113840007) | (249384174) |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from investments held long | 3981542974 | 1228085556 | 2734640517 |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from securities sold short | 1366560885 | 120927104 | 255982985 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net accretion of discount and amortization of premium | 1678323 | (127608) | 945256 |
| &nbsp;&nbsp;&nbsp;&nbsp; Short-term investments, net | (70674462) | (43438889) | (304683533) |
| &nbsp;&nbsp;&nbsp;&nbsp; Realized gain distributions from affiliated issuers |  | 8987226 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash flows related to derivative transactions: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (34884480) | 4568528 | 10798349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written option contracts | (2775426) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap contracts | (15376656) | (10045185) | (23377439) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward currency contracts | 16876522 | 838176 | 1923874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions | 665214 | 210473 | (33080) |
| &nbsp;&nbsp;&nbsp;&nbsp; Change in assets and liabilities: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) decrease in due from broker | 1247952 | (18749) | 4402745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) decrease in dividends and interest receivable | 140237 | (108706) | 414947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) decrease in dividend withholding tax receivable | (254049) | (31652) | (9597) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) decrease in receivable for expenses reimbursed and/or waived by GMO | (89385) | (45543) | (51150) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) decrease in interest receivable for open OTC swap contracts | (383136) | 13632 | 34181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) decrease in receivable for closed swap contracts | (200195) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) decrease in foreign capital gains tax refund receivable |  | (18233) | (64778) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) decrease in receivable from liquidated underlying funds | 437802 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Increase) decrease in EU tax reclaims receivable |  | 314134 | (123183) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in payable to affiliate for: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Management fee | 51853 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shareholder service fee | 4419 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in due to custodian | (8321663) | 54687 | 923812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in due to broker | 169423 | 1534 | (32659) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in interest and dividend payable for short sales | (208412) | 49303 | (22923) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in payable for closed swap contracts | 53002 | (27959) | (51827) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in payable to Trustees and related expenses | 6957 | 7811 | 10770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in interest payable for open OTC swap contracts^ | 29242 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in accrued foreign capital gains tax payable | 426 | 220 | 484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in payable for cash collateral from securities loaned |  | (5069006) | (3623447) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Increase (decrease) in accrued expenses | 368417 | 72179 | (67127) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net cash provided by (used in) operating activities | 17850765 | 173944667 | 305874892 |
|  **Cash flows from financing activities:** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Proceeds from shares sold | 104204961 | 8046898 | 127029292 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares repurchased | (110469615) | (179757994) | (447050449) |
| &nbsp;&nbsp;&nbsp;&nbsp; Cash distributions paid | (7441654) | (2202330) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net cash provided by (used in) financing activities | (13706308) | (173913426) | (320021157) |
|  Net increase (decrease) in cash | 4144457 | 31241 | (14146265) |
|  Cash, beginning of period | 134718 | 182339 | 14570349 |
|  Cash, end of period | $4279175 | $213580 | $424084 |
|  **Supplemental disclosure of cash flow information:** |  |  |  |
|  Cash paid during the period for: |  |  |  |
|  ^ Interest on swap contracts | $6994894 | $1356419 | $1726645 |

---

---

| | |
|:---|:---|
| π | GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.  |

---

---

| | |
|:---|:---|
| b | GMO Implementation SPC Ltd. was a 100% owned subsidiary of Implementation Fund through August 28, 2025. As such, the amounts presented for Implementation Fund are consolidated with its subsidiary through August 28, 2025 (Note 2).  |

---

93 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights

#### (For a share outstanding throughout each period)
**ALTERNATIVE ALLOCATION FUND**<sup>π</sup>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** | **Class VI Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.73 | $18.40 | $18.49 | $18.08 | $18.99 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.42 | 0.27 | 0.58 <sup>(b)</sup> | 0.26 | 0.05 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 2.52 | (0.36)<sup>(c)</sup> | 0.28 | 0.32 | (0.23) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 2.94 | (0.09) | 0.86 | 0.58 | (0.18) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.52) | (0.50) | (0.95) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (1.09) | (0.08) |  | (0.17) | (0.73) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.61) | (0.58) | (0.95) | (0.17) | (0.73) |
|  **Net asset value, end of period** | $19.06 | $17.73 | $18.40 | $18.49 | $18.08 |
|  **Total Return<sup>(d)</sup>**  | 17.31% | (0.43)% | 4.68 %<sup>(e)</sup> | 3.25% | (0.99)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $691873 | $601324 | $45347 | $49257 | $130896 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(f)</sup>  | 0.83% | 0.84% | 0.82% | 0.81% | 0.80% |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(g)</sup>  | 1.91% | 1.66% | 0.85% | 0.61% | 0.51% |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(f)</sup>  | 2.74% | 2.50% | 1.67% | 1.42% | 1.31% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 2.31% | 1.47% | 3.15 %<sup>(b)</sup> | 1.44% | 0.29% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(h)</sup>  | 789% | 1129% | 514% | 337% | 572% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets:<sup>(i)</sup>  | 0.11% | 0.18% | 0.34% | 0.35% | 0.17% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 29, <br>2024 |
| $115562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.90% |

---

<sup>(c)</sup> The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund. 

<sup>(d)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(e)</sup> EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 29, <br>2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;0.24% |

---

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(h)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 764% | 1,119% | N/A | N/A | 572% |

---

<sup>(i)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

---

| | |
|:---|:---|
| π | GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.  |

---

See accompanying notes to the financial statements. 94

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)
**ALTERNATIVE ALLOCATION FUND (continued)**<sup>π</sup>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.60 | $18.26 | $18.37 | $18.01 | $18.96 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.36 | 0.33 | 0.53 <sup>(b)</sup> | 0.23 | 0.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 2.50 | (0.46)<sup>(c)</sup> | 0.27 | 0.30 | (0.23) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 2.86 | (0.13) | 0.80 | 0.53 | (0.22) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.47) | (0.45) | (0.91) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (1.09) | (0.08) |  | (0.17) | (0.73) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.56) | (0.53) | (0.91) | (0.17) | (0.73) |
|  **Net asset value, end of period** | $18.90 | $17.60 | $18.26 | $18.37 | $18.01 |
|  **Total Return<sup>(d)</sup>**  | 16.93% | (0.69)% | 4.38 %<sup>(e)</sup> | 2.98% | (1.21)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $121227 | $106920 | $143397 | $146410 | $148247 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(f)</sup>  | 1.11% | 1.11% | 1.10% | 1.08% | 1.07% |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(g)</sup>  | 1.91% | 1.14% | 0.85% | 0.60% | 0.50% |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(f)</sup>  | 3.02% | 2.25% | 1.95% | 1.68% | 1.57% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 2.02% | 1.86% | 2.87 %<sup>(b)</sup> | 1.31% | 0.06% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(h)</sup>  | 789% | 1129% | 514% | 337% | 572% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets:<sup>(i)</sup>  | 0.13% | 0.32% | 0.35% | 0.37% | 0.19% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 29,<br> 2024 |
| $352330 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.62% |

---

<sup>(c)</sup> The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain (loss) on investments due to the timing of purchases and redemptions of the Fund shares in relation to fluctuating market values of the investments of the Fund. 

<sup>(d)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(e)</sup> EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 29,<br> 2024 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.24% |

---

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(h)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 764% | 1,119% | N/A | N/A | 572% |

---

<sup>(i)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

---

| | |
|:---|:---|
| π | GMO Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative Allocation Fund. As such, the amounts presented for Alternative Allocation Fund are consolidated with its subsidiary.  |

---

95 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### BENCHMARK-FREE ALLOCATION FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $26.52 | $26.01 | $24.89 | $25.56 | $25.97 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.92 | 1.19 | 1.21 | 0.73 | 0.57 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 7.05 | 0.64 | 1.37 | (0.63) | (0.35) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 7.97 | 1.83 | 2.58 | 0.10 | 0.22 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.26) | (1.32) | (1.46) | (0.77) | (0.63) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.26) | (1.32) | (1.46) | (0.77) | (0.63) |
|  **Net asset value, end of period** | $33.23 | $26.52 | $26.01 | $24.89 | $25.56 |
|  **Total Return<sup>(b)</sup>**  | 30.55% | 7.22 %<sup>(c)</sup> | 10.46% | 0.50% | 0.86% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $730990 | $881639 | $1072341 | $1546717 | $1726440 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.66% | 0.77% | 0.75% | 0.74% | 0.75% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.17% | 4.46% | 4.77% | 3.00% | 2.15% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 11% | 24% | 15% | 19% | 7% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets:<sup>(e)</sup>  | 0.15% | 0.05% | 0.06% | 0.08% | 0.06% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 2.52% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 96

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### BENCHMARK-FREE ALLOCATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** | **Class IV Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $26.53 | $26.02 | $24.89 | $25.56 | $25.96 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.04 | 1.25 | 1.36 | 0.80 | 0.49 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 6.95 | 0.60 | 1.25 | (0.68) | (0.25) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 7.99 | 1.85 | 2.61 | 0.12 | 0.24 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.28) | (1.34) | (1.48) | (0.79) | (0.64) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.28) | (1.34) | (1.48) | (0.79) | (0.64) |
|  **Net asset value, end of period** | $33.24 | $26.53 | $26.02 | $24.89 | $25.56 |
|  **Total Return<sup>(b)</sup>**  | 30.62% | 7.28 %<sup>(c)</sup> | 10.57% | 0.55% | 0.93% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $850700 | $709853 | $892278 | $1182069 | $1388080 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.62% | 0.72% | 0.70% | 0.69% | 0.70% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.58% | 4.65% | 5.33% | 3.26% | 1.85% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 11% | 24% | 15% | 19% | 7% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets:<sup>(e)</sup>  | 0.15% | 0.05% | 0.06% | 0.08% | 0.06% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 2.52% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

97 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### BENCHMARK-FREE ALLOCATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $26.49 | $25.99 | $24.87 | $25.54 | $25.95 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.10 | 1.27 | 1.40 | 0.77 | 0.55 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 6.87 | 0.56 | 1.19 | (0.66) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 7.97 | 1.83 | 2.59 | 0.11 | 0.22 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.27) | (1.33) | (1.47) | (0.78) | (0.63) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.27) | (1.33) | (1.47) | (0.78) | (0.63) |
|  **Net asset value, end of period** | $33.19 | $26.49 | $25.99 | $24.87 | $25.54 |
|  **Total Return<sup>(b)</sup>**  | 30.59% | 7.21 %<sup>(c)</sup> | 10.50% | 0.51% | 0.86% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $429054 | $320004 | $300343 | $281802 | $273491 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.67% | 0.77% | 0.75% | 0.74% | 0.75% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.79% | 4.76% | 5.48% | 3.16% | 2.06% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 11% | 24% | 15% | 19% | 7% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets:<sup>(e)</sup>  | 0.15% | 0.05% | 0.06% | 0.08% | 0.06% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 2.52% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 98

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### BENCHMARK-FREE ALLOCATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $26.48 | $25.99 | $24.86 | $25.53 | $25.95 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.02 | 1.28 | 1.31 | 0.70 | 0.63 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 6.91 | 0.51 | 1.26 | (0.62) | (0.44) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 7.93 | 1.79 | 2.57 | 0.08 | 0.19 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.24) | (1.30) | (1.44) | (0.75) | (0.61) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.24) | (1.30) | (1.44) | (0.75) | (0.61) |
|  **Net asset value, end of period** | $33.17 | $26.48 | $25.99 | $24.86 | $25.53 |
|  **Total Return<sup>(b)</sup>**  | 30.42% | 7.07 %<sup>(c)</sup> | 10.43% | 0.38% | 0.77% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $576376 | $430573 | $364292 | $313322 | $365107 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.78% | 0.88% | 0.85% | 0.84% | 0.85% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.52% | 4.80% | 5.14% | 2.85% | 2.38% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 11% | 24% | 15% | 19% | 7% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets:<sup>(e)</sup>  | 0.15% | 0.05% | 0.07% | 0.09% | 0.07% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 2.52% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

99 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### BENCHMARK-FREE FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $19.25 | $18.93 | $17.79 | $18.85 | $19.48 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.83 | 0.84 <sup>(b)</sup> | 0.88 | 0.86 | 0.63 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 5.04 | 0.60 | 1.34 | (0.98) | (0.39) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 5.87 | 1.44 | 2.22 | (0.12) | 0.24 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.12) | (1.12) | (1.08) | (0.94) | (0.87) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.12) | (1.12) | (1.08) | (0.94) | (0.87) |
|  **Net asset value, end of period** | $24.00 | $19.25 | $18.93 | $17.79 | $18.85 |
|  **Total Return<sup>(c)</sup>**  | 31.15% | 7.77 %<sup>(d)(e)</sup> | 12.54% | (0.40)% | 1.21% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $1295442 | $1146671 | $1091522 | $1152713 | $1613854 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(f)</sup>  | 0.03% | 0.25 %<sup>(g)</sup> | 0.04% | 0.06% | 0.03% |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(h)</sup>  | 0.25% | 0.41% | 0.43% | 0.35% | 0.26% |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(f)</sup>  | 0.28% | 0.66 %<sup>(g)</sup> | 0.47% | 0.41% | 0.29% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.96% | 4.30 %<sup>(b)</sup> | 4.79% | 4.85% | 3.19% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(i)</sup>  | 106% | 111% | 100% | 107% | 138% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.06% | 0.06% | 0.07% | 0.06% | 0.07% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees, related taxes and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 28, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2025 |
| $2073895 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> EU tax reclaim payments and related interest recognized during the year, net of IRS closing agreement fees and non-recurring contingent legal fees, if any, attributed to EU tax reclaims, had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 28, |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2025 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.22% |

---

<sup>(e)</sup> The Fund's total return includes a positive impact of 0.96% from a one-time litigation settlement . 

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Includes non-recurring legal fees from a one-time litigation settlement which increased Net operating expenses and Total net expenses by 0.20%. 

<sup>(h)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(i)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 116% | 126% | 110% | 114% | 145% |

---

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 100

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### GLOBAL ASSET ALLOCATION FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $32.98 | $32.17 | $29.92 | $32.86 | $34.92 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.45 | 1.20 | 1.35 <sup>(b)</sup> | 0.82 | 0.96 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 8.26 | 1.22 | 2.64 | (2.67) | (0.90) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.71 | 2.42 | 3.99 | (1.85) | 0.06 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.83) | (1.61) | (1.74) | (1.09) | (2.12) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.83) | (1.61) | (1.74) | (1.09) | (2.12) |
|  **Net asset value, end of period** | $40.86 | $32.98 | $32.17 | $29.92 | $32.86 |
|  **Total Return<sup>(c)</sup>**  | 29.93% | 7.68 %<sup>(d)</sup> | 13.44 %<sup>(e)</sup> | (5.48)% | (0.10)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $549996 | $356203 | $333837 | $306276 | $585212 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(f)</sup>  | 0.01% | 0.01% | 0.01% | 0.00 %<sup>(g)</sup> | 0.00 %<sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.97% | 3.60% | 4.36 %<sup>(b)</sup> | 2.72% | 2.68% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(h)</sup>  | 28% | 12% | 16% | 31% | 27% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04% | 0.05% | 0.05% | 0.05% | 0.03% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 29,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2024 |
| $277099 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.27% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> The Fund's total return includes a positive impact of 0.82% from a one-time litigation settlement received by an underlying fund. 

<sup>(e)</sup> EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 29,<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2024 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.08% |

---

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Rounds to less than 0.01%. 

<sup>(h)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 32% | 12% | 16% | 32% | 31% |

---

† Calculated using average shares outstanding throughout the period.

101 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### GLOBAL ASSET ALLOCATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $32.96 | $32.15 | $29.90 | $32.84 | $34.93 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.31 | 1.13 | 1.49 <sup>(b)</sup> | 0.84 | 0.51 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 8.39 | 1.29 | 2.50 | (2.69) | (0.48) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.70 | 2.42 | 3.99 | (1.85) | 0.03 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.83) | (1.61) | (1.74) | (1.09) | (2.12) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.83) | (1.61) | (1.74) | (1.09) | (2.12) |
|  **Net asset value, end of period** | $40.83 | $32.96 | $32.15 | $29.90 | $32.84 |
|  **Total Return<sup>(c)</sup>**  | 29.92% | 7.68 %<sup>(d)</sup> | 13.44 %<sup>(e)</sup> | (5.48)% | (0.19)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $8497 | $7946 | $9387 | $20440 | $26148 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(f)</sup>  | 0.01% | 0.01% | 0.01% | 0.00 %<sup>(g)</sup> | 0.00 %<sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.62% | 3.41% | 4.81 %<sup>(b)</sup> | 2.80% | 1.44% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(h)</sup>  | 28% | 12% | 16% | 31% | 27% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04% | 0.05% | 0.05% | 0.05% | 0.02% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 29, <br>2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;$16162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.72% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> The Fund's total return includes a positive impact of 0.82% from a one-time litigation settlement received by an underlying fund. 

<sup>(e)</sup> EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 29, <br>2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.08% |

---

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Rounds to less than 0.01%. 

<sup>(h)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 32% | 12% | 16% | 32% | 31% |

---

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 102

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### GLOBAL ASSET ALLOCATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $32.98 | $32.17 | $29.92 | $32.87 | $34.92 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.25 | 1.19 | 1.32 <sup>(b)</sup> | 1.07 | 0.87 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 8.41 | 1.19 | 2.64 | (2.96) | (0.84) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.66 | 2.38 | 3.96 | (1.89) | 0.03 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.79) | (1.57) | (1.71) | (1.06) | (2.08) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.79) | (1.57) | (1.71) | (1.06) | (2.08) |
|  **Net asset value, end of period** | $40.85 | $32.98 | $32.17 | $29.92 | $32.87 |
|  **Total Return<sup>(c)</sup>**  | 29.76% | 7.56 %<sup>(d)</sup> | 13.32 %<sup>(e)</sup> | (5.60)% | (0.18)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $16897 | $14275 | $12171 | $13403 | $12621 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(f)</sup>  | 0.12% | 0.12% | 0.11% | 0.10% | 0.10% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.46% | 3.58% | 4.28 %<sup>(b)</sup> | 3.59% | 2.41% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(g)</sup>  | 28% | 12% | 16% | 31% | 27% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04% | 0.05% | 0.06% | 0.08% | 0.03% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaim receivables attributed to liquidated underlying funds (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 29, <br>2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;$11720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.19% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> The Fund's total return includes a positive impact of 0.82% from a one-time litigation settlement received by an underlying fund. 

<sup>(e)</sup> EU tax reclaim payment receivable attributed to liquidated underlying funds during the year had a positive impact to total return, adding below respectively, to each class's total return (Note 2): 

---

| |
|:---|
| February 29, <br>2024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.08% |

---

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 32% | 12% | 16% | 32% | 31% |

---

† Calculated using average shares outstanding throughout the period.

103 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### GLOBAL DEVELOPED EQUITY ALLOCATION FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2026**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2025**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2024**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2023**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2022**  |
|  **Net asset value, beginning of period** | $26.22 | $24.58 | $21.80 | $24.43 | $25.79 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.97 | 0.72 | 0.85 | 0.65 | 1.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 8.14 | 2.23 | 3.39 | (1.78) | 0.94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.11 | 2.95 | 4.24 | (1.13) | 1.94 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.38) | (1.31) | (1.46) | (0.66) | (2.08) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.84) | (1.22) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.38) | (1.31) | (1.46) | (1.50) | (3.30) |
|  **Net asset value, end of period** | $33.95 | $26.22 | $24.58 | $21.80 | $24.43 |
|  **Total Return<sup>(b)</sup>**  | 35.25% | 12.18 %<sup>(c)</sup> | 19.71% | (3.94)% | 6.80% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $99946 | $79255 | $70655 | $66992 | $86810 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.01% | 0.01% | 0.01% | 0.01% | 0.00 %<sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.34% | 2.78% | 3.71% | 3.00% | 3.61% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 19% | 8% | 20% | 37% | 19% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.08% | 0.07% | 0.07% | 0.10% | 0.05% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 1.43% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 104

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### GLOBAL EQUITY ALLOCATION FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2026**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2025**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2024**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2023**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2022**  |
|  **Net asset value, beginning of period** | $29.19 | $27.79 | $24.57 | $28.45 | $29.91 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.16 | 0.84 | 1.09 | 0.87 | 1.18 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 9.78 | 2.11 | 3.65 | (2.92) | (0.28) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 10.94 | 2.95 | 4.74 | (2.05) | 0.90 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.63) | (1.55) | (1.52) | (1.01) | (2.35) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.82) | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.63) | (1.55) | (1.52) | (1.83) | (2.36) |
|  **Net asset value, end of period** | $38.50 | $29.19 | $27.79 | $24.57 | $28.45 |
|  **Total Return<sup>(b)</sup>**  | 38.06% | 10.77 %<sup>(c)</sup> | 19.52% | (6.66)% | 2.49% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $614874 | $531869 | $682157 | $560287 | $1571153 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.01% | 0.01% | 0.01% | 0.01% | 0.00 %<sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.55% | 2.87% | 4.19% | 3.51% | 3.69% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 18% | 20% | 25% | 35% | 20% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03% | 0.03% | 0.03% | 0.02% | 0.01% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 1.29% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

105 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### GLOBAL EQUITY ALLOCATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2026**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2025**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2024**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2023**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2022**  |
|  **Net asset value, beginning of period** | $29.18 | $27.78 | $24.57 | $28.46 | $29.91 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.22 | 0.93 | 1.13 | 0.69 | 1.19 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 9.73 | 2.02 | 3.60 | (2.75) | (0.28) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 10.95 | 2.95 | 4.73 | (2.06) | 0.91 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.63) | (1.55) | (1.52) | (1.01) | (2.35) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.82) | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.63) | (1.55) | (1.52) | (1.83) | (2.36) |
|  **Net asset value, end of period** | $38.50 | $29.18 | $27.78 | $24.57 | $28.46 |
|  **Total Return<sup>(b)</sup>**  | 38.11% | 10.78 %<sup>(c)</sup> | 19.48% | (6.69)% | 2.52% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $64558 | $46037 | $41403 | $34289 | $7065 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.01% | 0.01% | 0.01% | 0.01% | 0.00 %<sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.71% | 3.18% | 4.35% | 2.77% | 3.74% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 18% | 20% | 25% | 35% | 20% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.03% | 0.03% | 0.03% | 0.03% | 0.01% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 1.29% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 106

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### GLOBAL EQUITY ALLOCATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** | **Class I Shares** |
|  | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** | **Year Ended February 28/29,** |
|  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2026**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2025**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2024**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2023**  | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2022**  |
|  **Net asset value, beginning of period** | $29.16 | $27.76 | $24.56 | $28.44 | $29.91 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.78 | 0.81 | 1.69 | 0.90 | 1.17 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 10.12 | 2.09 | 3.02 | (2.97) | (0.31) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 10.90 | 2.90 | 4.71 | (2.07) | 0.86 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.57) | (1.50) | (1.51) | (0.99) | (2.32) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.82) | (0.01) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.57) | (1.50) | (1.51) | (1.81) | (2.33) |
|  **Net asset value, end of period** | $38.49 | $29.16 | $27.76 | $24.56 | $28.44 |
|  **Total Return<sup>(b)</sup>**  | 37.95% | 10.62 %<sup>(c)</sup> | 19.37% | (6.74)% | 2.37% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $2542 | $4758 | $11755 | $4992 | $2615 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.11% | 0.13% | 0.11% | 0.11% | 0.10% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 2.43% | 2.79% | 6.43% | 3.66% | 3.67% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 18% | 20% | 25% | 35% | 20% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04% | 0.09% | 0.03% | 0.02% | 0.01% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 1.29% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

† Calculated using average shares outstanding throughout the period.

107 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### IMPLEMENTATION FUND <sup>b</sup>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Core Shares** | **Core Shares** | **Core Shares** | **Core Shares** | **Core Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $13.19 | $12.90 | $12.28 | $12.54 | $12.70 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.59 | 0.49 | 0.57 | 0.50 <sup>(b)</sup> | 0.38 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 3.87 | 0.53 | 0.81 | (0.33) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 4.46 | 1.02 | 1.38 | 0.17 | 0.25 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.66) | (0.73) | (0.76) | (0.43) | (0.41) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.66) | (0.73) | (0.76) | (0.43) | (0.41) |
|  **Net asset value, end of period** | $16.99 | $13.19 | $12.90 | $12.28 | $12.54 |
|  **Total Return<sup>(c)</sup>**  | 34.50% | 8.12 %<sup>(d)</sup> | 11.44% | 1.52 %<sup>(e)</sup> | 2.02% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $2297787 | $1991494 | $3229426 | $3735883 | $4681226 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(f)</sup>  | 0.03% | 0.65 %<sup>(g)</sup> | 0.02% | 0.02% | 0.00 %<sup>(h)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses to average daily net assets<sup>(i)</sup>  | 0.31% | 0.38% | 0.42% | 0.36% | 0.32% |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(f)</sup>  | 0.34% | 1.03 %<sup>(g)</sup> | 0.44% | 0.38% | 0.32% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup> | 4.05% | 3.73% | 4.54% | 4.15 %<sup>(b)</sup> | 2.95% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(j)</sup>  | 131% | 129% | 127% | 118% | 194% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04 %<sup>(k)</sup> | 0.06 %<sup>(k)</sup> | 0.04 %<sup>(k)</sup> | 0.06% | 0.06 %<sup>(k)</sup> |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> Net investment income per share includes income received for EU reclaims, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, if any, in connection with certain Fund holdings (Note 2). Excluding the net EU reclaim amount below, the net investment income to average daily net assets ratio would have been: 

---

| |
|:---|
| February 28, <br>2023 |
| $15309005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.77% |

---

<sup>(c)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(d)</sup> The Fund recognized proceeds from a one-time litigation settlement that had a positive impact of 2.77% to total return. 

<sup>(e)</sup> EU tax reclaim payments and related interest recognized during the year, net of IRS closing agreement fees and non-recurring contingent legal fees attributed to EU tax reclaims, had a positive impact to total return, adding the below to the class's total return (Note 2): 

---

| |
|:---|
| February 28, <br>2023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.39% |

---

<sup>(f)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(g)</sup> Includes non-recurring legal fees from a one-time litigation settlement which increased Net operating expenses and Total net expenses by 0.63%. 

<sup>(h)</sup> Rounds to less than 0.01%. 

<sup>(i)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(j)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 140% | 133% | 134% | 125% | 200% |

---

See accompanying notes to the financial statements. 108

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)
**IMPLEMENTATION FUND (continued)**<sup>b</sup>

<sup>(k)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

---

| | |
|:---|:---|
| b | GMO Implementation SPC Ltd. was a 100% owned subsidiary of Implementation Fund through August 28, 2025. As such, the amounts presented for Implementation Fund are consolidated with its subsidiary through August 28, 2025 (Note 2).  |

---

109 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $18.54 | $16.64 | $15.14 | $16.35 | $16.95 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.54 | 0.70 | 1.06 | 0.61 | 1.05 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 8.90 | 2.07 | 1.51 | (1.18) | (0.51) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.44 | 2.77 | 2.57 | (0.57) | 0.54 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.84) | (0.87) | (1.07) | (0.60) | (1.09) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.04) | (0.05) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.84) | (0.87) | (1.07) | (0.64) | (1.14) |
|  **Net asset value, end of period** | $26.14 | $18.54 | $16.64 | $15.14 | $16.35 |
|  **Total Return<sup>(b)</sup>**  | 52.32% | 17.03 %<sup>(c)</sup> | 17.08% | (3.23)% | 2.88% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $2893 | $179134 | $257184 | $219167 | $222308 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.01% | 0.01% | 0.01% | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 2.70% | 3.97% | 6.65% | 4.14% | 5.82% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 14% | 11% | 21% | 9% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.05% | 0.04% | 0.05% | 0.08% | 0.05% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 3.96% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 110

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL DEVELOPED EQUITY ALLOCATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $18.54 | $16.63 | $15.14 | $16.35 | $16.95 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.27 | 0.85 | 1.02 | 0.61 | 1.02 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 8.16 | 1.93 | 1.54 | (1.18) | (0.48) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 9.43 | 2.78 | 2.56 | (0.57) | 0.54 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (1.84) | (0.87) | (1.07) | (0.60) | (1.09) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains |  |  |  | (0.04) | (0.05) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (1.84) | (0.87) | (1.07) | (0.64) | (1.14) |
|  **Net asset value, end of period** | $26.13 | $18.54 | $16.63 | $15.14 | $16.35 |
|  **Total Return<sup>(b)</sup>**  | 52.26% | 17.10 %<sup>(c)</sup> | 17.01% | (3.23)% | 2.88% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $210179 | $138250 | $8319 | $8033 | $8268 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.01% | 0.01% | 0.01% | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 5.77% | 4.76% | 6.38% | 4.13% | 5.66% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 14% | 11% | 21% | 9% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.07% | 0.04% | 0.05% | 0.08% | 0.05% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 3.96% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

111 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL EQUITY ALLOCATION FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $29.62 | $27.93 | $25.48 | $29.43 | $32.31 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.92 | 1.33 | 1.33 | 1.24 | 1.64 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 13.58 | 2.13 | 3.08 | (3.96) | (2.59) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 15.50 | 3.46 | 4.41 | (2.72) | (0.95) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (2.35) | (1.77) | (1.96) | (1.23) | (1.93) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (2.35) | (1.77) | (1.96) | (1.23) | (1.93) |
|  **Net asset value, end of period** | $42.77 | $29.62 | $27.93 | $25.48 | $29.43 |
|  **Total Return<sup>(b)</sup>**  | 53.58% | 12.74 %<sup>(c)</sup> | 17.53% | (9.05)% | (3.37)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $44267 | $96260 | $84238 | $286725 | $437139 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.01% | 0.01% | 0.01% | 0.01% | 0.00 %<sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 5.47% | 4.54% | 5.01% | 4.81% | 4.90% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 18% | 20% | 21% | 11% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04% | 0.04% | 0.03% | 0.03% | 0.02% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 2.62% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 112

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### INTERNATIONAL EQUITY ALLOCATION FUND (continued)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** | **Class R6 Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $29.61 | $27.91 | $25.47 | $29.42 | $32.30 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 1.95 | 1.32 | 1.80 | 1.30 | 1.74 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 13.54 | 2.15 | 2.60 | (4.02) | (2.69) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 15.49 | 3.47 | 4.40 | (2.72) | (0.95) |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (2.35) | (1.77) | (1.96) | (1.23) | (1.93) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (2.35) | (1.77) | (1.96) | (1.23) | (1.93) |
|  **Net asset value, end of period** | $42.75 | $29.61 | $27.91 | $25.47 | $29.42 |
|  **Total Return<sup>(b)</sup>**  | 53.56% | 12.78 %<sup>(c)</sup> | 17.49% | (9.05)% | (3.37)% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $326087 | $224867 | $221289 | $205417 | $242178 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(d)</sup>  | 0.01% | 0.01% | 0.01% | 0.01% | 0.00 %<sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 5.52% | 4.50% | 6.74% | 5.08% | 5.20% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 18% | 20% | 21% | 11% | 18% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.04% | 0.04% | 0.03% | 0.03% | 0.02% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 2.62% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Rounds to less than 0.01%. 

† Calculated using average shares outstanding throughout the period.

113 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout the period)

#### MAC IMPLEMENTATION FUND

---

| | |
|:---|:---|
|  | **Core Shares** |
|  | <br> **Period from<br>May 21, 2025<br>(commencement<br>of operations)<br>through<br>February 28,<br>2026** |
|  **Net asset value, beginning of period** | $10.00 |
|  Income (loss) from investment operations: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.33 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 1.12 |
|  Less distributions to shareholders: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.18) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (0.03) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.21) |
|  **Net asset value, end of period** | $10.91 |
|  **Total Return<sup>(b)</sup>**  | 11.24 |
|  **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $23414 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 3.97 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate | 668 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 1.90 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 114

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout the period)

#### MULTI-ASSET CREDIT FUND

---

| | |
|:---|:---|
|  | **Class IV Shares** |
|  | <br> **Period from<br>May 21, 2025<br>(commencement<br>of operations)<br>through<br>February 28,<br>2026** |
|  **Net asset value, beginning of period** | $20.00 |
|  Income (loss) from investment operations: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.76 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 1.74 |
|  Less distributions to shareholders: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.54) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.54) |
|  **Net asset value, end of period** | $21.20 |
|  **Total Return<sup>(b)</sup>**  | 8.78 |
|  **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $16646 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.15 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 4.69 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup>  | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 1.29 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | |
|:---|:---|
|  | February 28, <br>2026 |
|  Portfolio turnover rate including transactions in USTF | 42% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

115 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout the period)

#### MULTI-ASSET CREDIT FUND (continued)

---

| | |
|:---|:---|
|  | **Class R6 Shares** |
|  | <br> **Period from<br>October 21, 2025<br>(commencement<br>of operations)<br>through<br>February 28,<br>2026** |
|  **Net asset value, beginning of period** | $21.17 |
|  Income (loss) from investment operations: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.54 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.03 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 0.57 |
|  Less distributions to shareholders: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.55) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.55) |
|  **Net asset value, end of period** | $21.19 |
|  **Total Return<sup>(b)</sup>**  | 2.75 |
|  **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $2098 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.24 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 7.09 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup>  | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.44 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | |
|:---|:---|
|  | February 28, <br>2026 |
|  Portfolio turnover rate including transactions in USTF | 42% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

See accompanying notes to the financial statements. 116

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout the period)

#### MULTI-ASSET CREDIT FUND (continued)

---

| | |
|:---|:---|
|  | **Class I Shares** |
|  | <br> **Period from<br>September 4, 2025<br>(commencement<br>of operations)<br>through<br>February 28, 2026** |
|  **Net asset value, beginning of period** | $20.88 |
|  Income (loss) from investment operations: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.61 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 0.85 |
|  Less distributions to shareholders: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.54) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (0.54) |
|  **Net asset value, end of period** | $21.19 |
|  **Total Return<sup>(b)</sup>**  | 4.14 |
|  **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $177005 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net expenses to average daily net assets<sup>(c)</sup>  | 0.32 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 5.94 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup>  | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.53 |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(d)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | |
|:---|:---|
|  | February 28, <br>2026 |
|  Portfolio turnover rate including transactions in USTF | 42% |

---

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

† Calculated using average shares outstanding throughout the period.

\* Annualized.

\*\* Not annualized.

117 See accompanying notes to the financial statements.

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Financial Highlights — (Continued)

#### (For a share outstanding throughout each period)

#### STRATEGIC OPPORTUNITIES ALLOCATION FUND

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** | **Class III Shares** |
|  | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** | <br> **Year Ended February 28/29,** |
|  | <br> **2026** | **2025** | **2024** | **2023** | **2022** |
|  **Net asset value, beginning of period** | $17.04 | $16.80 | $15.57 | $17.91 | $21.56 |
|  Income (loss) from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup>† | 0.46 | 0.65 | 0.79 | 0.63 | 0.59 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 4.62 | 0.57 | 1.44 | (1.46) | 0.32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | 5.08 | 1.22 | 2.23 | (0.83) | 0.91 |
|  Less distributions to shareholders: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.93) | (0.98) | (1.00) | (0.85) | (1.22) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gains | (1.52) |  |  | (0.66) | (3.34) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | (2.45) | (0.98) | (1.00) | (1.51) | (4.56) |
|  **Net asset value, end of period** | $19.67 | $17.04 | $16.80 | $15.57 | $17.91 |
|  **Total Return<sup>(b)</sup>**  | 32.13% | 7.46 %<sup>(c)</sup> | 14.44% | (4.08)% | 3.57% |
|  **Ratios/Supplemental Data:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | $71290 | $171368 | $218034 | $189504 | $236452 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(d)</sup>  | 0.02% | 0.01% | 0.02% | 0.02% | 0.01% |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest and/or dividend expenses and/or borrowing costs to average daily net assets<sup>(e)</sup>  |  | 0.35% | 0.37% | 0.32% | 0.26% |
| &nbsp;&nbsp;&nbsp;&nbsp; Total net expenses to average daily net assets<sup>(d)</sup>  | 0.02% | 0.36% | 0.39% | 0.34% | 0.27% |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets<sup>(a)</sup>  | 2.60% | 3.76% | 4.88% | 3.91% | 2.71% |
| &nbsp;&nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(f)</sup>  | 31% | 78% | 52% | 74% | 95% |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets: | 0.12% | 0.09% | 0.12% | 0.15% | 0.14% |

---

<sup>(a)</sup> Net investment income is affected by the timing of the declaration of dividends by the other GMO Funds and/or other investment companies in which the Fund invests, if any.

<sup>(b)</sup> The total returns would have been lower had certain expenses not been reimbursed and/or waived during the periods shown, if applicable, and assumes the effect of reinvested distributions, if any. 

<sup>(c)</sup> The Fund's total return includes a positive impact of 0.95% from a one-time litigation settlement received by an underlying fund. 

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any (Note 5).

<sup>(e)</sup> Interest and dividend expense and/or borrowing costs incurred as a result of cash collateral on derivatives, entering into reverse repurchase agreements, securities sold short or margin on cleared swap contracts, if any, is included in the Fund's net expenses. Income earned on investing proceeds from reverse repurchase agreements, if any, is included in interest income. 

<sup>(f)</sup> The portfolio turnover rate excludes investments in GMO U.S. Treasury Fund ("USTF") which is used as a short-term investment vehicle for cash management. The Fund's portfolio turnover rate including transactions in USTF during the period and/or year ended:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | February 28, <br>2026 | February 28, <br>2025 | February 29, <br>2024 | February 28, <br>2023 | February 28, <br>2022 |
|  Portfolio turnover rate including transactions in USTF | 37% | 83% | 57% | 72% | 122% |

---

† Calculated using average shares outstanding throughout the period.

See accompanying notes to the financial statements. 118

------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements

#### February 28, 2026
**1.** **Organization** 

Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, MAC Implementation Fund (commenced operations on May 21, 2025), Multi-Asset Credit Fund (commenced operations on May 21, 2025) 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. 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. GMO Implementation SPC Ltd. was liquidated on August 28, 2025. These GMO Funds and wholly-owned subsidiaries are referenced herein as "underlying funds". As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds' financial statements. The financial statements are available without charge on the Securities and Exchange Commission's ("SEC") website at www.sec.gov or on GMO's website at www.gmo.com.

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

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Benchmark** | **Investment Objective** |
| &nbsp;&nbsp;&nbsp;Alternative Allocation Fund | Not Applicable | Positive total return |
| &nbsp;&nbsp;&nbsp;Benchmark-Free Allocation Fund | Not Applicable | Positive total return |
| &nbsp;&nbsp;&nbsp;Benchmark-Free Fund | Not Applicable | Positive total return |
| &nbsp;&nbsp;&nbsp;Global Asset Allocation Fund | GMO Global Asset Allocation Index (65% MSCI ACWI, 35% Bloomberg U.S. Aggregate Index) | Total return greater than its benchmark |
| &nbsp;&nbsp;&nbsp;Global Developed Equity Allocation Fund | MSCI World Index | Total return greater than its benchmark |
| &nbsp;&nbsp;&nbsp;Global Equity Allocation Fund | MSCI ACWI | Total return greater than its benchmark |
| &nbsp;&nbsp;&nbsp;Implementation Fund | Not Applicable | Positive total return, not relative return |
| &nbsp;&nbsp;&nbsp;International Developed Equity Allocation Fund | MSCI EAFE Index | Total return greater than its benchmark |
| &nbsp;&nbsp;&nbsp;International Equity Allocation Fund | MSCI ACWI ex USA | Total return greater than its benchmark |
| &nbsp;&nbsp;&nbsp;MAC Implementation Fund | Not Applicable | Total return and capital preservation |
| &nbsp;&nbsp;&nbsp;Multi-Asset Credit Fund | Not Applicable | Total return and capital preservation |
| &nbsp;&nbsp;&nbsp;Strategic Opportunities Allocation Fund | GMO Strategic Opportunities Allocation Index (75% MSCI World Index (MSCI Standard Index Series), 25% Bloomberg U.S. Aggregate Index) | Total return greater than its benchmark |

---

Benchmark-Free Fund and Implementation Fund currently limit subscriptions.

119.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
**2.** **Significant accounting policies** 

The following is a summary of significant accounting policies followed by each Fund in the preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP") and have been consistently followed by the Funds in preparing these financial statements. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The accounting records of the Funds are maintained in U.S. dollars.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 "Financial Services – Investment Companies."

#### Basis of presentation and principles of consolidation: Alternative Allocation Fund and Implementation Fund
Alternative Allocation Fund includes the accounts of its wholly-owned subsidiary and the accompanying financial statements have been consolidated for those accounts. The consolidated financial statements include all of the assets and liabilities of the wholly-owned subsidiary. Implementation Fund included the accounts of its wholly-owned subsidiary, Implementation SPC Ltd., through August 28, 2025, the date Implementation SPC Ltd. liquidated. All interfund accounts and transactions have been eliminated in consolidation. Alternative Allocation Fund and Implementation Fund, where consolidation is applicable, 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.

120.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
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 year ended February 28, 2026, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 "Derivative financial instruments" for a further discussion on valuation of derivatives.

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

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

The three levels are defined as follows:

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

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds and exchange-traded 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.

121.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
The following is a summary of the respective levels assigned to the Funds' direct securities and derivatives, if any, as of February 28, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $1499254 | $31113599 | $— | $32612853 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 2466815 |  | 2466815 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 3220510 |  | 3220510 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 42453645 |  |  | 42453645 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 618159 | 5129973 |  | 5748132 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 9827734 |  | 9827734 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 6649265 |  | 6649265 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 18449822 |  | 18449822 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 20997647 |  | 20997647 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 10922513 |  | 10922513 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 311170 |  | 311170 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 381362 |  | 381362 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 2540303 | 2026066 | 1658925 | 6225294 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 868877 | 12826178 |  | 13695055 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 65661973 |  | 65661973 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 820443 |  |  | 820443 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 32261279 |  | 32261279 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 223431 |  | 223431 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 4257911 |  | 4257911 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 3051880 |  | 3051880 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 1699679 |  | 1699679 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 5692539 |  | 5692539 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 409483 | 19494546 |  | 19904029 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 11254507 |  | 11254507 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 11191338 |  | 11191338 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 9501531 |  | 9501531 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 11523625 |  | 11523625 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 6061191 |  | 6061191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 907777 |  | 907777 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 6048283 | 31403590 |  | 37451873 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 705369977 |  |  | 705369977 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | &nbsp;&nbsp;&nbsp;&nbsp;760628424 | &nbsp;&nbsp;&nbsp;&nbsp;338509451 | &nbsp;&nbsp;&nbsp;&nbsp;1658925 | &nbsp;&nbsp;&nbsp;&nbsp;1100796800 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 287712 |  | 287712 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 4126260 |  | 4126260 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 486143 |  | 486143 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 4900115 |  | 4900115 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada |  |  | 264384 | 264384 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 738602 | 738602 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 1002986 | 1002986 |

---

122.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $— | $— | $12812912 | $12812912 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS |  |  | 12812912 | 12812912 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dominican Republic |  | 2076617 |  | 2076617 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kazakhstan |  | 376605 |  | 376605 |
| &nbsp;&nbsp;&nbsp;&nbsp; Malaysia |  | 1889858 |  | 1889858 |
| &nbsp;&nbsp;&nbsp;&nbsp; Paraguay |  | 257111 |  | 257111 |
| &nbsp;&nbsp;&nbsp;&nbsp; SupraNational |  | 234780 |  | 234780 |
| &nbsp;&nbsp;&nbsp;&nbsp; Uganda |  | 186083 |  | 186083 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 182366970 | 19867451 |  | 202234421 |
| &nbsp;&nbsp;&nbsp;&nbsp; Uruguay |  | 740802 |  | 740802 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 182366970 | 25629307 |  | 207996277 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 5944401 | 142150399 |  | 148094800 |
| &nbsp;&nbsp;&nbsp; Purchased Options |  | 88729 |  | 88729 |
| &nbsp;&nbsp;&nbsp; Total Investments | 948939795 | 511278001 | 15474823 | 1475692619 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 6892632 |  | 6892632 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 932484 | 1558270 |  | 2490754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 815633 |  |  | 815633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | 5452673 |  |  | 5452673 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 21488740 |  | 21488740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 6199930 |  | 6199930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 2953486 |  | 2953486 |
| &nbsp;&nbsp;&nbsp; Total | $956140585 | $550371059 | $15474823 | $1521986467 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(19719546) | $— | $(19719546) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (3595523) |  | (3595523) |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | (2093320) |  |  | (2093320) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (17113101) |  |  | (17113101) |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | (1060750) |  |  | (1060750) |
| &nbsp;&nbsp;&nbsp;&nbsp; China | (1534159) | (749631) |  | (2283790) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (7796537) |  | (7796537) |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | (3054201) |  | (3054201) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (6814502) |  | (6814502) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (20698414) |  | (20698414) |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | (5881560) |  | (5881560) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (4014945) |  |  | (4014945) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | (10813421) |  | (10813421) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (52289810) |  | (52289810) |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | (133248) |  |  | (133248) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (17360571) |  | (17360571) |

---

123.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand | $— | $(1289972) | $— | $(1289972) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (5102436) |  | (5102436) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (2791015) |  |  | (2791015) |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | (1503606) |  | (1503606) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (3366155) | (4522237) |  | (7888392) |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa | (284210) |  |  | (284210) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain | (3652343) | (9534566) |  | (13186909) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | (2572125) | (8361059) |  | (10933184) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (12469431) |  | (12469431) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | (222752) | (22142636) |  | (22365388) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (419521378) | (1092875) |  | (420614253) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (458359501) | (214792534) |  | (673152035) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (3028185) |  | (3028185) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (3028185) |  | (3028185) |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (7353) |  |  | (7353) |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS | (7353) |  |  | (7353) |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  | (26112532) |  | (26112532) |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS |  | (26112532) |  | (26112532) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (4192200) |  | (4192200) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (1296860) | (10290518) |  | (11587378) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | (3300520) |  |  | (3300520) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (22173) |  | (22173) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (6514845) |  |  | (6514845) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (4657209) |  | (4657209) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (1847533) |  | (1847533) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (3616703) |  | (3616703) |
| &nbsp;&nbsp;&nbsp; Total | $(469479079) | $(268559587) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(738038666) |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $2584282183 | $— | $— | $2584282183 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 3335568 |  |  | 3335568 |
| &nbsp;&nbsp;&nbsp; Total Investments | 2587617751 |  |  | 2587617751 |
| &nbsp;&nbsp;&nbsp; Total | $2587617751 | $— | $— | $2587617751 |

---

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#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $14549378 | $— | $14549378 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 2815253 |  | 2815253 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 3453473 |  | 3453473 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 2686993 | 1732241 |  | 4419234 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 42315447 | 126219 |  | 42441666 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 2363528 | 21811863 | 0§ | 24175391 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 38087 |  |  | 38087 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 8778 |  | 8778 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 4968029 |  | 4968029 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 419854 |  | 419854 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 3362830 |  | 3362830 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 711053 | 22900506 |  | 23611559 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 16859795 |  | 16859795 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 680862 |  | 680862 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 13849551 |  | 13849551 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 4876212 |  | 4876212 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 199307 | 9515633 |  | 9714940 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 4747063 |  | 4747063 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 464992 |  | 464992 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 2353001 | 6776445 |  | 9129446 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 894010 | 11519220 |  | 12413230 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 1232307 | 204386209 |  | 205618516 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 826923 |  | 826923 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 3861176 |  | 0§ | 3861176 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 3308727 | 13868556 |  | 17177283 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 144276 |  | 144276 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 9492458 |  | 9492458 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 177479 |  | 177479 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 2079825 |  | 2079825 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 1482533 |  | 1482533 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 74516 |  | 74516 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 3366245 |  | 3366245 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 6685835 |  | 6685835 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 98479 |  | 98479 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 247184 | 38112565 |  | 38359749 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 18871889 |  | 18871889 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 8793667 |  | 8793667 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 2106639 | 11207168 |  | 13313807 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 38053765 |  | 38053765 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 13262241 |  | 13262241 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 1012072 |  | 1012072 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 1384626 |  | 1384626 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 17291223 | 19012738 | 0§ | 36303961 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 151292515 |  |  | 151292515 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 1226466 |  | 1226466 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 230901197 | 539058728 | 0§ | 769959925 |

---

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#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $1811461 | $3201337 | $— | $5012798 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 1043212 |  |  | 1043212 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 4439797 |  | 4439797 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 2025628 |  | 2025628 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 2854673 | 9666762 | 0§ | 12521435 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada |  |  | 11850 | 11850 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | 710 |  |  | 710 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 45291 | 45291 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS | 710 |  | 57141 | 57851 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 252906518 |  |  | 252906518 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 252906518 |  |  | 252906518 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dominican Republic |  | 1329035 |  | 1329035 |
| &nbsp;&nbsp;&nbsp;&nbsp; Malaysia |  | 983761 |  | 983761 |
| &nbsp;&nbsp;&nbsp;&nbsp; Paraguay |  | 133202 |  | 133202 |
| &nbsp;&nbsp;&nbsp;&nbsp; Uganda |  | 95861 |  | 95861 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 223816980 |  |  | 223816980 |
| &nbsp;&nbsp;&nbsp;&nbsp; Uruguay |  | 370726 |  | 370726 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 223816980 | 2912585 |  | 226729565 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 11057641 | 193048174 |  | 204105815 |
| &nbsp;&nbsp;&nbsp; Total Investments | 721537719 | 744686249 | 57141 | 1466281109 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 947074 |  | 947074 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 1800985 |  |  | 1800985 |
| &nbsp;&nbsp;&nbsp; Total | $723338704 | $745633323 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;57141 | $1469029168 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(5479661) | $— | $(5479661) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (435301) |  | (435301) |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | (1352559) |  |  | (1352559) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (9369938) |  |  | (9369938) |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | (753499) |  |  | (753499) |
| &nbsp;&nbsp;&nbsp;&nbsp; China | (1007629) |  |  | (1007629) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (2364248) |  | (2364248) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (3261789) |  | (3261789) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (5811488) |  | (5811488) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (1098401) |  |  | (1098401) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | (106378) | (4408097) |  | (4514475) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (17547137) |  | (17547137) |

---

126.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | $(93091) | $— | $— | $(93091) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (5387093) |  | (5387093) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (2647849) |  | (2647849) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (1927362) |  |  | (1927362) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (1353616) | (39631) |  | (1393247) |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa | (196244) |  |  | (196244) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (3168544) |  | (3168544) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | (1776028) | (1546686) |  | (3322714) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (2841689) |  | (2841689) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (8902553) |  | (8902553) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (90490463) |  |  | (90490463) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (109525208) | (63841766) |  | (173366974) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (1180606) |  | (1180606) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (1180606) |  | (1180606) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (250943) |  | (250943) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (704771) | (70117) |  | (774888) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (735739) |  | (735739) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (458105) |  | (458105) |
| &nbsp;&nbsp;&nbsp; Total | $(110229979) | $(66537276) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(176767255) |
| &nbsp;&nbsp;&nbsp; **Global Asset Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $&nbsp;&nbsp;&nbsp;&nbsp;573028647 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;573028647 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 912014 |  |  | 912014 |
| &nbsp;&nbsp;&nbsp; Total Investments | 573940661 |  |  | 573940661 |
| &nbsp;&nbsp;&nbsp; Total | $573940661 | $— | $— | $573940661 |
| &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $99909425 | $— | $— | $99909425 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 84708 |  |  | 84708 |
| &nbsp;&nbsp;&nbsp; Total Investments | 99994133 |  |  | 99994133 |
| &nbsp;&nbsp;&nbsp; Total | $99994133 | $— | $— | $99994133 |

---

127.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $681555518 | $— | $— | $681555518 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 553049 |  |  | 553049 |
| &nbsp;&nbsp;&nbsp; Total Investments | 682108567 |  |  | 682108567 |
| &nbsp;&nbsp;&nbsp; Total | $682108567 | $— | $— | $682108567 |
| &nbsp;&nbsp;&nbsp; **Implementation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Argentina | $4286510 | $— | $— | $4286510 |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  | &nbsp;&nbsp;&nbsp;&nbsp;31241405 |  | 31241405 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 5857601 |  | 5857601 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 7323711 |  | 7323711 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 5753713 | 6197447 |  | 11951160 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 97098525 | 264864 |  | 97363389 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 5018462 | 48313553 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0§ | 53332015 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 72766 |  |  | 72766 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 11978463 |  | 11978463 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 819992 |  | 819992 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 9424078 |  | 9424078 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 1606323 | 49974468 |  | 51580791 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 36023979 |  | 36023979 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 1445849 |  | 1445849 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 30821808 |  | 30821808 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 10694566 |  | 10694566 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 653643 | 20300358 |  | 20954001 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 10465375 |  | 10465375 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 991301 |  | 991301 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 4989583 | 14233667 |  | 19223250 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 2223546 | 25472295 |  | 27695841 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 2490824 | 440251199 |  | 442742023 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 1760078 |  | 1760078 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 8152951 |  | 0§ | 8152951 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 7059876 | 30490428 |  | 37550304 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 360909 |  | 360909 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 22456394 |  | 22456394 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pakistan |  | 196048 |  | 196048 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 534115 |  | 534115 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 4388645 |  | 4388645 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 3118267 |  | 3118267 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 139779 |  | 139779 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 7276850 |  | 7276850 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 14534116 |  | 14534116 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 631812 |  | 631812 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 550318 | 82654488 |  | 83204806 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 40736746 |  | 40736746 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 18827610 |  | 18827610 |

---

128.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Implementation Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | $4757983 | $24423293 | $— | $29181276 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 82498791 |  | 82498791 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 28649270 |  | 28649270 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 2113549 |  | 2113549 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 215077 |  | 215077 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 2977007 |  | 2977007 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 35854541 | 59805530 | 0§ | 95660071 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 356034092 |  | 0§ | 356034092 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 2668805 |  | 2668805 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 536603656 | 1193553586 | 0§ | 1730157242 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 4649512 | 12647961 |  | 17297473 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 2395820 |  |  | 2395820 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 2201827 |  |  | 2201827 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 9454973 |  | 9454973 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 3621728 |  | 3621728 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 450870 | 450870 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 9247159 | 25724662 | 450870 | 35422691 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada |  |  | 1087175 | 1087175 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | 2030 |  |  | 2030 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 98660 | 98660 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS | 2030 |  | 1185835 | 1187865 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 437452 |  |  | 437452 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 437452 |  |  | 437452 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dominican Republic |  | 2969563 |  | 2969563 |
| &nbsp;&nbsp;&nbsp;&nbsp; Malaysia |  | 2200519 |  | 2200519 |
| &nbsp;&nbsp;&nbsp;&nbsp; Paraguay |  | 298931 |  | 298931 |
| &nbsp;&nbsp;&nbsp;&nbsp; Uganda |  | 211458 |  | 211458 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 500365997 |  |  | 500365997 |
| &nbsp;&nbsp;&nbsp;&nbsp; Uruguay |  | 830425 |  | 830425 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 500365997 | 6510896 |  | 506876893 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 14943229 | 371815217 |  | 386758446 |
| &nbsp;&nbsp;&nbsp; Total Investments | 1061599523 | 1597604361 | 1636705 | 2660840589 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 2115914 |  | 2115914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 28413 |  |  | 28413 |

---

129.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Implementation Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivatives^ (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | $4156130 | $— | $— | $4156130 |
| &nbsp;&nbsp;&nbsp; Total | $1065784066 | $1599720275 | $1636705 | $2667141046 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(11349585) | $— | $(11349585) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (883039) |  | (883039) |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | (2830950) |  |  | (2830950) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (20077193) |  |  | (20077193) |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | (1542771) |  |  | (1542771) |
| &nbsp;&nbsp;&nbsp;&nbsp; China | (2291625) |  |  | (2291625) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (5076686) |  | (5076686) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (6657132) |  | (6657132) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (12390284) |  | (12390284) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (2451585) |  |  | (2451585) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | (261765) | (9236972) |  | (9498737) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (36868693) |  | (36868693) |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | (207826) |  |  | (207826) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (11366906) |  | (11366906) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (5651383) |  | (5651383) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (4115845) |  |  | (4115845) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (2875095) | (84579) |  | (2959674) |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa | (418859) |  |  | (418859) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (6652213) |  | (6652213) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden | (3790473) | (3122219) |  | (6912692) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (5831864) |  | (5831864) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (19260252) |  | (19260252) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (193249286) |  |  | (193249286) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (234113273) | (134431807) |  | (368545080) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (2631527) |  | (2631527) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (2631527) |  | (2631527) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (499525) |  | (499525) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (1171634) | (350502) |  | (1522136) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (1672135) |  | (1672135) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (1062290) |  | (1062290) |
| &nbsp;&nbsp;&nbsp; Total | $(235284907) | $(140647786) | $— | $(375932693) |

---

130.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $213000827 | $— | $— | $213000827 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 252753 |  |  | 252753 |
| &nbsp;&nbsp;&nbsp; Total Investments | 213253580 |  |  | 213253580 |
| &nbsp;&nbsp;&nbsp; Total | $213253580 | $— | $— | $213253580 |
| &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $369708686 | $— | $— | $369708686 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 627684 |  |  | 627684 |
| &nbsp;&nbsp;&nbsp; Total Investments | 370336370 |  |  | 370336370 |
| &nbsp;&nbsp;&nbsp; Total | $370336370 | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $370336370 |
| &nbsp;&nbsp;&nbsp; **MAC Implementation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | $23085340 | $— | $— | $23085340 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency |  | 6040475 |  | 6040475 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 23085340 | 6040475 |  | 29125815 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 192030 |  |  | 192030 |
| &nbsp;&nbsp;&nbsp; Total Investments | 23277370 | 6040475 |  | 29317845 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 6376 |  | 6376 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 152425 |  |  | 152425 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 855234 |  | 855234 |
| &nbsp;&nbsp;&nbsp; Total | $23429795 | $6902085 | $— | $30331880 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | $(2253) | $— | $— | $(2253) |
| &nbsp;&nbsp;&nbsp; Total | $(2253) | $— | $— | $(2253) |
| &nbsp;&nbsp;&nbsp; **Multi-Asset Credit Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Funds | $200632398 | $— | $— | $200632398 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 201454 |  |  | 201454 |
| &nbsp;&nbsp;&nbsp; Total Investments | 200833852 |  |  | 200833852 |
| &nbsp;&nbsp;&nbsp; Total | $200833852 | $— | $— | $200833852 |

---

131.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia | $— | $— | $0§ | $0§ |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 70309991 |  |  | 70309991 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS | 70309991 |  |  | 70309991 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 200137 |  |  | 200137 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 200137 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 200137 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 820615 |  |  | 820615 |
| &nbsp;&nbsp;&nbsp; Total Investments | 71330743 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 0§ | 71330743 |
| &nbsp;&nbsp;&nbsp; Total | $71330743 | $— | $0§ | $71330743 |

---

The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the "Investment and other risks" and "Derivative financial instruments" sections below for a further discussion of risks.

---

| | |
|:---|:---|
| ^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.  |

---

§ Represents the interest in securities that were determined to have a value of zero at February 28, 2026.

The underlying funds held at year 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 February 28, 2026, 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**<br> **as of**<br> **February 28,**<br> **2025** | **Purchases** | **Sales** | **Accrued**<br> **Discounts/**<br> **Premiums** | **Total**<br> **Realized**<br> **Gain/**<br> (Loss) | **Change in**<br> **Unrealized**<br> **Appreciation**<br> (Depreciation) | **Transfer**<br> **into**<br> **Level 3** | **Transfer**<br> **out of**<br> **Level 3** | **Balances**<br> **as of**<br> **February 28,** <br> **2026** | **Net Change in**<br> **Unrealized**<br> **Appreciation**<br> (Depreciation)<br> **from**<br> **Investments**<br> **Still Held as**<br> **of February 28,**<br> **2026** |
| &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Common Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | $— | $1658925 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $— | $— | $— | $— | $— | $1658925 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 4782 |  | (197) |  | 197 | (4782) |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Rights/Warrants** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 264384 |  |  |  |  |  |  |  | 264384 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 335843 | 141093 |  |  |  | 261666 |  |  | 738602 | 261666 |

---

132.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balances**<br> **as of**<br> **February 28,**<br> **2025** | **Purchases** | **Sales** | **Accrued**<br> **Discounts/**<br> **Premiums** | **Total**<br> **Realized**<br> **Gain/**<br> (Loss) | **Change in**<br> **Unrealized**<br> **Appreciation**<br> (Depreciation) | **Transfer**<br> **into**<br> **Level 3** | **Transfer**<br> **out of**<br> **Level 3** | **Balances**<br> **as of**<br> **February 28,** <br> **2026** | **Net Change in**<br> **Unrealized**<br> **Appreciation**<br> (Depreciation)<br> **from**<br> **Investments**<br> **Still Held as**<br> **of February 28,**<br> **2026** |
| &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund (continued)** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Investment Funds** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $14784129 | $— | $(1971217) | $— | $— | $— | $— | $— | $12812912 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $15389138 | $1800018 | $(1971414) | $— | $197 | $256884 | $— | $— | $15474823 | $261666 |

---

As of February 28, 2026, Alternative Allocation Fund's Level 3 securities or derivatives are valued by pricing vendors or brokers. The value of these securities and/or derivatives as of February 28, 2026 was $15,474,823. The inputs for these investments are not readily available or cannot be reasonably estimated.

#### Cash
Cash and foreign currency, if any, in the Statements of Assets and Liabilities consist of cash balances held with the custodian.

#### Due to/from broker
Due to/from broker in the Statements of Assets and Liabilities includes collateral on swap contracts, futures contracts, option contracts and forward currency contracts, if any, and may include marked-to-market amounts related to foreign currency or cash owed.

#### Foreign currency translation
The market values of foreign securities, currency holdings and related assets and liabilities are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 pm Eastern time. Income and expenses denominated in foreign currencies are typically translated into U.S. dollars at the close of regular trading on the NYSE. Fluctuations in the value of currency holdings and other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains or losses. Realized gains or losses and unrealized appreciation or depreciation on investment securities and income and expenses are translated on the respective dates of such transactions. The effects of changes in foreign currency exchange rates on investments in securities are not separated in the Statements of Operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on investment securities.

#### Loan assignments and participations
Certain Funds may invest in direct debt instruments, which are interests in amounts owed to lenders or lending syndicates, to suppliers of goods or services, or to other parties by corporate, governmental or other borrower. Such "loans" may include bank loans, promissory notes, and loan participations, or in the case of suppliers of goods or services, trade claims or other receivables. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. Unless, under the terms of the loan or other indebtedness a Fund has direct recourse against the borrower, it may have to rely on the agent to enforce its rights against the borrower. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. Loan assignments and participations outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Rights and warrants
The Funds may purchase or otherwise receive warrants or rights. Warrants and rights generally give the holder the right to receive, upon exercise, a security of the issuer at a set price. Funds typically use warrants and rights in a manner similar to their use of purchased options on securities. Risks associated with the use of warrants and rights are generally similar to risks associated with the use of purchased options. However, warrants and rights often do not have standardized terms, and may have longer maturities and may

133.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
be less liquid than exchange-traded options. In addition, the terms of warrants or rights may limit a Fund's ability to exercise the warrants or rights at such times and in such quantities as the Fund would otherwise wish. Rights and/or warrants outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Repurchase agreements
The Funds may enter into repurchase agreements with banks and brokers. Under a repurchase agreement a Fund acquires a security for a relatively short period for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. The Fund, through its custodian, takes possession of securities it acquired under the repurchase agreement. The value of the securities acquired may be less than the amount owed to the Fund by the seller. If the seller in a repurchase agreement transaction defaults or enters into insolvency proceedings and the value of the securities subject to the repurchase agreement is insufficient, the Fund's recovery of cash from the seller may be delayed and, even if the Fund is able to dispose of the securities, the Fund may incur a loss equal to the difference between the cash it paid and the value of the securities. Repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Counterparty** | **Value ($)** | **Value (with<br>associated collateral) ($)**  | **Weighted Average <br>Maturity (days)** |
| &nbsp;&nbsp;&nbsp; Consolidated Alternative Allocation Fund | Daiwa Capital Markets America, Inc. | 125060250 | 127775225 | 3 |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | Nomura Securities International, Inc. | 189999862 | 194006724 | 3 |
| &nbsp;&nbsp;&nbsp; Implementation Fund | Nomura Securities International, Inc. | 164999698 | 168479338 | 3 |
| &nbsp;&nbsp;&nbsp; Implementation Fund | Daiwa Capital Markets America, Inc. | 200000826 | 204342711 | 3 |

---

#### Reverse repurchase agreements
The Funds may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. A Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund's portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Inflation-indexed bonds
Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation/deflation. Two structures are common. The U.S. Treasury and some other issuers use a structure that accrues inflation/deflation into the principal value of the bond. Many other issuers adjust the coupon accruals for inflation related changes.

The market price of inflation-indexed bonds normally changes when real interest rates change. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e. stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e. nominal interest rate minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. Coupon payments received by a Fund from inflation-indexed bonds are generally included in the Fund's gross income for the period in which they accrue. In addition, any increase/decrease in the principal amount of an inflation-indexed bond is generally included in the Fund's gross income even though principal is not paid until maturity. Inflation-indexed bonds outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Securities lending
The Funds may make secured loans of their portfolio securities amounting to not more than one-third of their total assets. Securities loans are required to be collateralized by cash or securities in an amount equal to the securities loaned (marked to market daily). Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the following business day. Funds participating in securities lending receive

134.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
compensation for lending their securities and/or net investment income earned on the investment of cash collateral, net of fee rebates paid to the borrower and fees paid to the lending agent. Cash collateral received is generally invested in GMO U.S. Treasury Fund. State Street Bank and Trust Company ("State Street") serves as the Funds' lending agent.

A Fund that lends its portfolio securities bears the risk of delay in the recovery of loaned securities, including possible impairment of the Fund's ability to vote the securities, the inability to invest proceeds from the sales of such securities and of loss of rights in the collateral should the borrower fail financially. A Fund also bears the risk that the value of investments made with collateral may decline and bears the risk of total loss with respect to the investment of collateral.

At February 28, 2026, securities on loan at value and collateral from securities on loan are listed below:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | <br> **Value of securities <br>on loan ($)** | <br> **Cash<br> collateral ($)**  | <br> **Non-cash<br> collateral ($)\***  | <br> **Total<br>collateral ($)** |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 12558347 | 135575 | 13061069 | 13196644 |
| &nbsp;&nbsp;&nbsp; Implementation Fund | 35996798 | 598326 | 37075569 | 37673895 |

---

\*Non-cash collateral is comprised of U.S. Treasuries and Agencies. The Fund cannot repledge non-cash collateral; therefore, they are excluded from the Statements of Assets and Liabilities.

In addition, some Funds may loan their portfolio securities through a "prime services" program offered by the Funds' custodian to facilitate the borrowing of securities for the Funds' short sales. Under the program, a Fund borrows securities from the custodian and sells short those borrowed securities. The Fund may utilize various ways of collateralizing its obligation to return the borrowed securities, including by pledging securities held in the Fund's custodial account to the custodian or by lending securities held in the Fund's custodial account to the custodian. For its participation in the prime services program, the Fund will pay the custodian a securities borrow fee and a financing charge. The following table provides the value of securities on loan under this program as of February 28, 2026:

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | <br> **Value of securities on loan <br>as part of prime services ($)**  |
| &nbsp;&nbsp;&nbsp; Consolidated Alternative Allocation Fund | 216055568 |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 65414540 |
| &nbsp;&nbsp;&nbsp; Implementation Fund | 180813864 |

---

Information regarding the value of the securities loaned and the value of cash collateral at year end is included in the Statements of Assets and Liabilities.

#### Short sales
Certain Funds may enter into short sales transactions. A short sale is a transaction in which a Fund sells securities it may not own in anticipation of a decline in the fair market value of the securities. Securities sold in short sale transactions and the dividend and/or interest payable on such securities, if any, are reflected as a liability in the Statements of Assets and Liabilities. A Fund is obligated to deliver securities at the trade price at the time the short position is closed. Possible losses from short sales may be unlimited, whereas losses from purchases cannot exceed the total amount invested. Some Funds may also loan their portfolio securities through a prime services program offered by the Funds' custodian to facilitate the borrowing of securities for the Funds' short sales (see Securities lending above). Short sales outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Municipal obligations
Municipal obligations are issued by or on behalf of states, territories and possessions of the United States and their political subdivisions, agencies and instrumentalities and the District of Columbia to obtain funds for various public purposes. Municipal notes are generally used to provide for short-term capital needs, such as to finance working capital needs of municipalities or to provide various interim or construction financing, and generally have maturities of one year or less. Municipal bonds, which meet longer-term capital needs and generally have maturities of more than one year when issued, have two principal classifications: "general obligation" bonds and "revenue" bonds. Issuers of general obligation bonds include states, counties, cities, towns and regional districts. The basic security behind general obligation bonds is the issuer's pledge of its full faith, credit, and taxing power for the payment of principal and interest. Revenue bonds have been issued to fund a wide variety of capital projects. The principal security for a revenue bond is

135.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
generally the net revenues derived from a particular facility or group of facilities or, in some cases, from the proceeds of a special excise or other specific revenue source. Although the principal security behind these bonds varies widely, many provide additional security in the form of a debt service reserve fund whose monies also may be used to make principal and interest payments on the issuer's obligations. Municipal obligations at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Trade claims
Certain Funds may purchase trade claims against companies, including companies in bankruptcy or reorganization proceedings. Trade claims generally include claims of suppliers for goods delivered and not paid, claims for unpaid services rendered, claims for contract rejection damages and claims related to litigation. Trade claims are illiquid instruments which generally do not pay interest and there can be no guarantee that the debtor will ever be able to satisfy the obligation on the trade claim. Such claims are typically unsecured and may be subordinated to other unsecured obligations of a debtor, and generally are subject to defenses of the debtor with respect to the underlying transaction giving rise to the trade claim. Trade claims outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Credit agreement
The Trust has entered into a Credit Agreement (the "Credit Agreement") with State Street on behalf of Alternative Allocation Fund, Implementation Fund and MAC Implementation Fund, along with other funds managed by GMO. The purpose of the Credit Agreement is to establish a committed, unsecured revolving line of credit whereby the participating Funds may borrow for the temporary funding of shareholder redemptions or for other temporary emergencies. The current term of the line of credit under the Credit Agreement is through January 14, 2027. Pursuant to the Credit Agreement, participating Funds may borrow up to an aggregate commitment amount of $75,000,000. Under the terms of the Credit Agreement, the Trust pays an annual commitment fee at the rate of 0.35% per year on the available credit, which is paid quarterly. Each participating Fund pays a commitment fee equal to its pro rata share of the unused portion of the line of credit under the Credit Agreement. Interest is charged to each Fund based on its borrowings at a variable rate of 0.10% plus the higher of the Federal Funds Effective Rate or the Overnight Bank Funding Rate. The Funds did not borrow under the Credit Agreement during the year ended February 28, 2026.

#### Taxes and distributions
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

GMO Alternative Allocation SPC Ltd. and GMO Implementation SPC Ltd. are wholly-owned subsidiaries of Alternative Allocation Fund and Implementation Fund, respectively, and each has elected to be treated as a (non-U.S.) corporation for U.S. federal income tax purposes.

The policy of each Fund is to declare and pay dividends of its net investment income, if any, at least annually, although the Funds are permitted to, and will from time to time, declare and pay dividends of net investment income, if any, more frequently. Each Fund also intends to distribute net realized short-term and long-term capital gains, if any, at least annually. In addition, each Fund may, from time to time at its discretion, make unscheduled distributions in advance of large redemptions by shareholders or as otherwise deemed appropriate by a Fund. Typically, all distributions are reinvested in additional shares of each Fund, at net asset value, unless GMO or its agents receive and process a shareholder election to receive cash distributions. Distributions to shareholders are recorded by each Fund on the ex-dividend date.

Taxes on foreign interest and dividend income are generally withheld in accordance with the applicable country's tax treaty with the United States. The foreign withholding rates applicable to a Fund's investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders and/or if certain investments are made by a Fund's wholly-owned subsidiary.

As a result of court cases involving several countries across the European Union, certain Funds and/or underlying funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned ("EU tax reclaims"). These filings are subject to various administrative proceedings by each local jurisdiction's tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees.

136.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Receivables resulting from EU tax reclaims pursued by liquidated underlying funds, if any, are reflected as Receivable from liquidated underlying funds in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund's net asset value. In some cases, the amount of EU tax reclaims could be material to a Fund's net asset value. If a shareholder redeems shares of a Fund before an EU tax reclaim (as finally determined) is reflected in the Fund's net asset value, the shareholder will not realize the benefit of that reclaim. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service. Doing so will enable a Fund to quantify and remit its tax liability, interest charges and related fees related to any recoveries (on behalf of its shareholders).

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the year ended February 28, 2026, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Differences related to:** | ![LOGO](g12033dsp380a.jpg) | ![LOGO](g12033dsp380b.jpg) | ![LOGO](g12033dsp380c.jpg) | ![LOGO](g12033dsp380d.jpg) | ![LOGO](g12033dsp380f.jpg) | ![LOGO](g12033dsp380e.jpg) | ![LOGO](g12033dsp380g.jpg) | ![LOGO](g12033dsp380h.jpg) | ![LOGO](g12033dsp380i.jpg) | ![LOGO](g12033dsp380j.jpg) | ![LOGO](g12033dsp380k.jpg) | ![LOGO](g12033dsp380l.jpg) |
| &nbsp;&nbsp;&nbsp; Capital loss carryforwards | X | X | X | X | X | X | X | X | X |  |  |  |
| &nbsp;&nbsp;&nbsp; Constructive sale gains | X |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Controlled foreign corporation transactions | X |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivative contract transactions | X |  | X |  |  |  | X |  |  | X |  | X |
| &nbsp;&nbsp;&nbsp; Dividend income and withholding tax reclaim reserves |  |  | X |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp; EU tax reclaims, associated interest entitlements and IRS closing agreement matters | X |  |  | X |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Foreign currency transactions | X |  | X |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Late year ordinary losses |  | X |  |  |  |  |  |  |  |  |  |  |

---

137.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Differences related to:** | ![LOGO](g12033dsp380a.jpg) | ![LOGO](g12033dsp380b.jpg) | ![LOGO](g12033dsp380c.jpg) | ![LOGO](g12033dsp380d.jpg) | ![LOGO](g12033dsp384e.jpg) | ![LOGO](g12033dsp384f.jpg) | ![LOGO](g12033dsp380g.jpg) | ![LOGO](g12033dsp380h.jpg) | ![LOGO](g12033dsp380i.jpg) | ![LOGO](g12033dsp380j.jpg) | ![LOGO](g12033dsp380k.jpg) | ![LOGO](g12033dsp380l.jpg) |
| &nbsp;&nbsp;&nbsp; Losses on wash sale transactions | X | X | X | X | X | X | X | X | X |  |  | X |
| &nbsp;&nbsp;&nbsp; Mutual fund distributions received |  | X | X | X | X | X |  | X | X |  |  | X |
| &nbsp;&nbsp;&nbsp; Passive foreign investment company transactions | X |  | X |  |  |  | X |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Redemption in-kind transactions |  |  |  |  |  |  |  | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Securities sold short | X |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Straddle loss deferrals | X |  |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; U.S. federal tax equalization utilized | X |  |  |  |  |  |  |  |  |  |  |  |

---

The tax character of distributions declared by each Fund to shareholders is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | <br> **Tax year ended February 28, 2026** | <br> **Tax year ended February 28, 2026** | <br> **Tax year ended February 28, 2026** | **Tax year ended February 28, 2025** | **Tax year ended February 28, 2025** |
| <br>&nbsp;&nbsp;&nbsp;**Fund Name** | **Ordinary<br>Income<br>(including<br>any net**<br> **short-term<br>capital gain) ($)**  | **Net Long-Term <br>Capital**<br> **Gain ($)** | **Total<br>Distributions ($)** | **Ordinary<br>Income<br>(including<br>any net<br>short-term<br>capital gain) ($)** | **Total<br>Distributions ($)** |
| &nbsp;&nbsp;&nbsp; Consolidated Alternative Allocation Fund | 60718509 | 1245396 | 61963905 | 5474024 | 5474024 |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Allocation Fund | 97770021 |  | 97770021 | 114795637 | 114795637 |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 58706146 |  | 58706146 | 56278876 | 56278876 |
| &nbsp;&nbsp;&nbsp; Global Asset Allocation Fund | 23387034 |  | 23387034 | 17582886 | 17582886 |
| &nbsp;&nbsp;&nbsp; Global Developed Equity Allocation Fund | 3902627 |  | 3902627 | 3774722 | 3774722 |
| &nbsp;&nbsp;&nbsp; Global Equity Allocation Fund | 27578187 |  | 27578187 | 30125901 | 30125901 |
| &nbsp;&nbsp;&nbsp; Consolidated Implementation Fund | 89749077 |  | 89749077 | 129012841 | 129012841 |
| &nbsp;&nbsp;&nbsp; International Developed Equity Allocation Fund | 14757531 |  | 14757531 | 14296432 | 14296432 |
| &nbsp;&nbsp;&nbsp; International Equity Allocation Fund | 22974190 |  | 22974190 | 18656844 | 18656844 |
| &nbsp;&nbsp;&nbsp; MAC Implementation Fund | 470093 | 14231 | 484324 | N/A | N/A |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund | 4133677 |  | 4133677 | N/A | N/A |
| &nbsp;&nbsp;&nbsp; Strategic Opportunities Allocation Fund | 3705728 | 7100283 | 10806011 | 10037862 | 10037862 |

---

Distributions in excess of a Fund's tax basis earnings and profits, if significant, are reported in the Funds' financial statements as a return of capital.

138.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
As of February 28, 2026, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Undistributed<br>Ordinary<br>Income<br>(including any<br>net short-term<br>capital gain) ($)** | **Undistributed<br>Net Long-Term<br>Capital Gain ($)** | **Late-Year<br>Ordinary Loss** <br> **Deferral ($)** | **Capital Loss<br>Carryforwards ($)** | **Post-October<br>Capital Losses** <br> **Deferral ($)** |
| &nbsp;&nbsp;&nbsp; Consolidated Alternative Allocation Fund | 23936176 | 5345386 |  | (8143978) |  |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Allocation Fund | 3653128 |  | (2582090) | (241019564) |  |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 12971305 |  |  | (98848288) |  |
| &nbsp;&nbsp;&nbsp; Global Asset Allocation Fund | 953135 |  |  | (206691865) |  |
| &nbsp;&nbsp;&nbsp; Global Developed Equity Allocation Fund | 139428 | 1403760 | (394) | (63681397) |  |
| &nbsp;&nbsp;&nbsp; Global Equity Allocation Fund | 344658 |  | (3858) | (91598283) |  |
| &nbsp;&nbsp;&nbsp; Consolidated Implementation Fund (Note 2) | 29335410 |  |  | (400943245) |  |
| &nbsp;&nbsp;&nbsp; International Developed Equity Allocation Fund | 18533 | 3723618 | (787) | (146974809) |  |
| &nbsp;&nbsp;&nbsp; International Equity Allocation Fund | 384920 | 12591493 |  | (144741870) |  |
| &nbsp;&nbsp;&nbsp; MAC Implementation Fund | 387789 | 321779 |  |  |  |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund | 446916 | 13102 |  |  |  |
| &nbsp;&nbsp;&nbsp; Strategic Opportunities Allocation Fund | 340920 | 2125283 |  |  |  |

---

As of February 28, 2026, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2026, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds' capital loss carryforwards are as follows:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | <br> **Short-Term ($)**  | **Long-Term ($)** |
| &nbsp;&nbsp;&nbsp; Consolidated Alternative Allocation Fund | (7202208) | (941770) |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Allocation Fund | (996401) | (240023163) |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | (15748786) | (83099502) |
| &nbsp;&nbsp;&nbsp; Global Asset Allocation Fund | (1331543) | (205360322) |
| &nbsp;&nbsp;&nbsp; Global Developed Equity Allocation Fund |  | (63681397) |
| &nbsp;&nbsp;&nbsp; Global Equity Allocation Fund | (1305518) | (90292765) |
| &nbsp;&nbsp;&nbsp; Consolidated Implementation Fund (Note 2) | (230345089) | (170598156) |
| &nbsp;&nbsp;&nbsp; International Developed Equity Allocation Fund |  | (146974809) |
| &nbsp;&nbsp;&nbsp; International Equity Allocation Fund | (881435) | (143860435) |
| &nbsp;&nbsp;&nbsp; MAC Implementation Fund |  |  |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund |  |  |
| &nbsp;&nbsp;&nbsp; Strategic Opportunities Allocation Fund |  |  |

---

139.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
As of February 28, 2026, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments (including total securities sold short, if any), and the net unrealized appreciation (depreciation) of outstanding financial instruments for U.S. federal income tax purposes were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Total Investments** | **Total Investments** | **Total Investments** | **Total Investments** | |
| <br>&nbsp;&nbsp;&nbsp;**Fund Name** | **Aggregate<br>Cost ($)** | **Gross Unrealized** <br> **Appreciation ($)**  | **Gross Unrealized** <br> (Depreciation) ($)  | **Net Unrealized** <br> **Appreciation** <br> (Depreciation) ($)  | <br> **Outstanding<br>Financial<br>Instruments**<br>**Net Unrealized** <br> **Appreciation** <br> (Depreciation) ($)  |
| &nbsp;&nbsp;&nbsp; Consolidated Alternative Allocation Fund | 722086499 | 181575722 | (130269707) | 51306015 | (10426424) |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Allocation Fund | 2135318289 | 465653412 | (13353950) | 452299462 |  |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 1228693416 | 206278531 | (143238418) | 63040113 | (129070) |
| &nbsp;&nbsp;&nbsp; Global Asset Allocation Fund | 506279823 | 69072478 | (1411640) | 67660838 |  |
| &nbsp;&nbsp;&nbsp; Global Developed Equity Allocation Fund | 77419206 | 22574927 |  | 22574927 |  |
| &nbsp;&nbsp;&nbsp; Global Equity Allocation Fund | 545959316 | 136149251 |  | 136149251 |  |
| &nbsp;&nbsp;&nbsp; Implementation Fund | 2265585542 | 407571625 | (383493185) | 24078440 | (481621) |
| &nbsp;&nbsp;&nbsp; International Developed Equity Allocation Fund | 149573932 | 63679648 |  | 63679648 |  |
| &nbsp;&nbsp;&nbsp; International Equity Allocation Fund | 286793044 | 97153478 | (13610152) | 83543326 |  |
| &nbsp;&nbsp;&nbsp; MAC Implementation Fund | 29243453 | 74392 |  | 74392 | (54072) |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund | 199134893 | 2355424 | (656465) | 1698959 |  |
| &nbsp;&nbsp;&nbsp; Strategic Opportunities Allocation Fund | 57462961 | 14089221 | (221439) | 13867782 |  |

---

The Funds are subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. A Fund may recognize an income tax liability related to an uncertain tax position under U.S. GAAP when the uncertain tax position has a less than 50% probability that it would be sustained upon examination by the tax authorities, based on technical merits. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Funds file tax returns and/or adopt certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Funds' understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws and tax legislation/initiatives currently under consideration in various jurisdictions, including the U.S., might affect the way the Funds and their investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Funds are subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Funds' U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they are filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 28, 2026, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

#### Security transactions and related investment income
Security transactions are accounted for in the financial statements on trade date. For purposes of daily net asset value calculations, the Funds' policy is that security transactions are generally accounted for on the following business day. GMO may override that policy and a Fund may account for security transactions on trade date if it experiences significant purchases or redemptions or engages in significant portfolio transactions. Dividend income, net of applicable foreign withholding taxes, if any, is recorded on the ex-dividend date or, if later, when a Fund is informed of the ex-dividend date. Income dividends and capital gain distributions from underlying funds, if any, are recorded on the ex-dividend date. Interest income is recorded on the accrual basis and is adjusted for the amortization of premiums and accretion of discounts. Principal on inflation-indexed securities is adjusted for inflation/deflation and any increase or decrease is recorded as interest income or investment loss. Coupon income is not recognized on securities for which collection is not expected. Paydown gains and losses on mortgage-related and other asset-backed securities, if any, are recorded as components of interest income in the Statements of Operations. Non-cash dividends, if any, are recorded at the fair market value of the asset received. In determining the net gain or loss on securities sold, the Funds use the identified cost basis.

140.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
During the year ended February 28, 2026, the Funds did not recognize dividends or foreign withholding taxes on local Russian shares, if any, due to restrictions imposed by the Russian government on dividend payments received by foreign shareholders like the Funds. These ruble balances, which have not been recorded to date, could be material to the Funds. At this time, no assurance can be given regarding the future payment of outstanding dividends by Russian issuers, the time period during which such Russia's restrictions will remain in place, or on the future ability of foreign shareholders to claim or otherwise gain control over or access to dividends paid.

Proceeds from litigation settlements, if any, are included in the Statements of Operations within Net realized gain (loss) and in the Statement of Cash Flows, if any, within Proceeds from investments held long.

#### Expenses and class allocations
Most of the expenses of the Trust are directly attributable to an individual Fund. Generally, common expenses are allocated among the Funds based on, among other things, the nature and type of expense and the relative size of the Funds. Investment income, common expenses and realized and unrealized gains and losses are allocated among the classes of shares of the Funds, if applicable, based on the relative net assets of each class. Shareholder service fees, if any, which are directly attributable to a class of shares, are charged to that class's operations. In addition, the Funds may incur fees and expenses indirectly as a shareholder in the underlying funds. Because the underlying funds have different expense and fee levels and the Funds may own different proportions of the underlying funds at different times, the amount of fees and expenses indirectly incurred by a Fund will vary (see Note 5).

#### Custodian, Fund Accounting Agent and Transfer Agent
State Street serves as the Funds' custodian, fund accounting agent and transfer agent. Cash balances maintained at the custodian and transfer agent are held in a Demand Deposit Account and interest income earned, if any, is shown as interest income in the Statements of Operations.

#### Segment reporting
The Officers of the Funds act as the Funds' chief operating decision maker ("CODM") assessing performance and making decisions about resource allocation. The CODM has determined that each Fund operates as a single segment. The CODM monitors the operating results of each Fund as a whole and each Fund makes investments in accordance with its investment objective as outlined in its prospectus. The financial information used by the CODM is consistent with that presented in each Fund's Schedule of Investments, Statement of Changes in Net Assets and Financial Highlights.

The accounting policies of the segment are the same as those described in Note 2. Significant accounting policies. The financial statements include all the details of the segment assets, segment revenue and expenses, and reflect the financial results of the segment.

#### Recently-issued accounting guidance
In December 2023, the Financial Accounting Standards Board ("FASB") issued a new Accounting Standards Update ASU 2023-09, "*Income Taxes (Topic 740) – Improvements to Income Tax Disclosures*" ("ASU 2023-09"). The purpose of ASU 2023-09 is to enhance the transparency of income tax disclosures, including the requirement to disclose income taxes paid disaggregated by jurisdictions. The amendments in ASU 2023-09 are effective for annual periods beginning after December 15, 2024, with early adoption permitted. Adoption of the new standard impacted financial statement disclosures only and did not affect the Funds' financial position or results of operations.

141.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
**3.** **Investment and other risks** 

The following chart identifies selected risks associated with each Fund. Risks not marked for a particular Fund may, however, still apply to some extent to that Fund at various times.

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | ![LOGO](g12033dsp384a.jpg) | ![LOGO](g12033dsp384b.jpg) | ![LOGO](g12033dsp384c.jpg) | ![LOGO](g12033dsp384d.jpg) | ![LOGO](g12033dsp384e.jpg) | ![LOGO](g12033dsp384f.jpg) | ![LOGO](g12033dsp384g.jpg) | ![LOGO](g12033dsp384h.jpg) | ![LOGO](g12033dsp384i.jpg) | ![LOGO](g12033dsp384j.jpg) | ![LOGO](g12033dsp384k.jpg) | ![LOGO](g12033dsp384l.jpg) |
| &nbsp;&nbsp;&nbsp; Management and Operational Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Non-U.S. Investment Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Derivatives and Short Sales Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Market Risk – Equities | X | X | X | X | X | X | X | X | X |  |  | X |
| &nbsp;&nbsp;&nbsp; Market Risk – Fixed Income | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Currency Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Credit Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Leveraging Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Fund of Funds Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Counterparty Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Illiquidity Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Smaller Company Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Market Disruption and Geopolitical Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Futures Contracts Risk | X | X | X | X |  |  |  |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp; Focused Investment Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Large Transactions Risk | X | X | X | X | X | X | X | X | X | X | X | X |
| &nbsp;&nbsp;&nbsp; Market Risk – Asset-Backed Securities |  | X | X | X |  |  | X |  |  | X | X | X |
| &nbsp;&nbsp;&nbsp; Commodities Risk | X | X | X | X |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp; Event-Driven Risk | X | X |  |  |  |  | X |  |  |  |  | X |
| &nbsp;&nbsp;&nbsp; Value Investing Risk |  | X |  | X | X | X |  | X | X |  |  | X |
| &nbsp;&nbsp;&nbsp; Non-Diversified Funds | X | X | X | X |  |  |  |  |  | X |  | X |

---

Investing in mutual funds involves many risks. The risks of investing in a particular Fund depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every possible risk of investing in the Funds. Particular Funds could be subject to additional risks because of the types of investments they make and market conditions, which can change over time. Please see the Funds' prospectus for more information regarding the risks of investing in the Funds.

Funds that invest in other GMO Funds, other investment companies or in a wholly-owned subsidiary (collectively, "Underlying Funds") are exposed to the risks to which the Underlying Funds in which it invests are exposed, as well as the risk that the Underlying Funds will not perform as expected. Therefore, unless otherwise noted, the selected risks summarized below include both direct and indirect risks, and references in this section to investments made by a Fund include those made both directly and indirectly by the Fund.

142.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
An investment in a Fund is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **MANAGEMENT AND OPERATIONAL RISK.** A Fund runs the risk that GMO's investment techniques will fail to produce intended results. GMO uses quantitative models as part of its investment process. GMO's models may not accurately predict future market movements. In addition, GMO's models rely on assumptions and data that are subject to limitations (e.g., inaccuracies, staleness) that could adversely affect their predictive value. A Fund also runs the risk that GMO's assessment of an investment, including a security's fundamental fair (or intrinsic) value, is wrong or that deficiencies in GMO's or another service provider's internal systems or controls will cause losses for the Fund or impair Fund operations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **NON-U.S. INVESTMENT RISK.** The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. securities markets are less stable, smaller, less liquid, and less regulated than U.S. securities markets, and the cost of trading in those markets often is higher than in U.S. securities markets. In addition, non-U.S. securities issuers often are not subject to as much regulation as U.S. issuers, and the reporting, recordkeeping, accounting, custody, and auditing standards to which those issuers are subject often are not as rigorous as U.S. standards. In addition, a Fund is subject to taxation by countries other than the United States, including potentially on a retroactive basis, on (i) capital gains it realizes or dividends, interest, or other amounts it realizes or accrues in respect of non-U.S. investments; (ii) transactions in those investments; and (iii) repatriation of proceeds generated from the sale or other disposition of those investments. Also, a Fund needs a license to invest directly in securities traded in many non-U.S. securities markets, and a Fund is subject to the risk that its license is terminated or suspended. In some non-U.S. securities markets, prevailing custody and trade settlement practices (e.g., the requirement to pay for securities prior to receipt) expose a Fund to credit and other risks. Further, adverse changes in investment regulations, capital requirements or exchange controls could adversely affect the value of the Fund's investments. The risks above (such as substantial price fluctuations and market instability, illiquidity and lack of regulation) and other risks (e.g., nationalization, expropriation or other confiscation of assets of non-U.S. issuers, difficulties enforcing legal judgments or contractual rights and geopolitical risks) tend to be higher for investments in the securities of issuers tied economically to emerging countries. The economies of emerging countries often depend predominantly on only a few industries or commodities and often are more volatile than the economies of developed countries.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **DERIVATIVES AND SHORT SALES RISK.** The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, leveraging risk, commodities risk and counterparty risk. The market price of an option is affected by many factors, including changes in the market prices or dividend rates of underlying securities (or in the case of indices, the securities in such indices); the time remaining before expiration; changes in interest rates or exchange rates; and changes in the actual or perceived volatility of the relevant index or underlying securities. A Fund typically creates short investment exposure by selling securities short or by taking a derivative position in which the value of the derivative moves in the opposite direction from the price of an underlying asset, pool of assets, rate, currency or index. Specifically, the net asset value of a Fund's shares will be adversely affected if the equities or other assets that are the subject of a Fund's short exposures appreciate in value. The risk of loss associated with derivatives that provide short investment exposure and short sales of securities is theoretically unlimited.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **MARKET RISK — EQUITIES.** The market price of an equity in a Fund's portfolio may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. If a Fund purchases an equity for less than its fundamental fair (or intrinsic) value as assessed by GMO, the Fund runs the risk that the market price of the equity will not appreciate or will decline (for example, if GMO's assessment proves to be incorrect or the market fails to recognize the equity's intrinsic value). A Fund also may purchase equities that typically trade at higher multiples of current earnings than other securities, and the market prices of these equities often are more sensitive to changes in future earnings expectations and interest rates than the market prices of equities trading at lower multiples. Declines in stock market prices generally are likely to reduce the net asset value of the Fund's shares.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **MARKET RISK – FIXED INCOME.** The market price of a fixed income investment can decline due to market-related factors, including rising interest or inflation rates and widening credit spreads, or decreased liquidity due, for example, to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market prices of emerging country sovereign and quasi-sovereign debt investments can decline due to uncertainty about their credit quality and the reliability of their payment streams.

143.0 ------

#### GMO Trust Funds

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **CURRENCY RISK.** Fluctuations in exchange rates can adversely affect the market value of a Fund's foreign currency holdings and investments denominated in foreign currencies.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **CREDIT RISK.** A Fund runs the risk that the issuer or guarantor of a fixed income investment (including a sovereign or quasi-sovereign debt issuer) or the obligors of obligations underlying an asset-backed security will be unable or unwilling to satisfy its obligations to pay principal and interest or otherwise to honor their obligations in a timely manner or at all. The market price of a fixed income investment will normally decline as a result of the failure of an issuer, guarantor, or obligor to meet its payment obligations or in anticipation of such failure. Below investment grade investments have speculative characteristics, and negative changes in economic conditions or other circumstances are more likely to impair the ability of issuers of those investments to make principal and interest payments than issuers of investment grade investments. Investments in distressed or defaulted or other low quality debt investments generally are considered speculative and are subject to substantial risks not normally associated with investments in higher quality securities, including adverse business, financial or economic conditions that lead to their issuers' payment defaults and insolvency proceedings. In particular, distressed or defaulted obligations might be repaid, if at all, only after lengthy workout or bankruptcy proceedings, during which the issuer might not make any interest or other payments, and a Fund may incur additional expenses in its effort to be repaid. If GMO's assessment of the eventual recovery value of a distressed or defaulted debt investment proves incorrect, the Fund may lose a substantial portion or all of its original investment or may be required to accept cash or instruments worth less than its original investment.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **LEVERAGING RISK.** The use of derivatives, short sales and securities lending can create leverage. Leverage increases a Fund's losses when the value of its investments (including derivatives) declines. In addition, a Fund's portfolio will be leveraged if it exercises its right to delay payment on a redemption and the value of the Fund's assets declines between the time a redemption request is treated as being received by the Fund and the time the Fund liquidates assets to fund that redemption.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **FUND OF FUNDS RISK.** A Fund is indirectly exposed to all of the risks of an investment (if any) in its wholly-owned subsidiary and the underlying funds in which it invests, including the risk that its wholly-owned subsidiary (if any) and those underlying funds will not perform as expected.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **COUNTERPARTY RISK.** A Fund runs the risk that the counterparty to a derivatives contract or a clearing member used by the Fund to hold a cleared derivatives contract is unable or unwilling to make timely settlement payments, return the Fund's collateral or otherwise honor its obligations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **ILLIQUIDITY RISK.** Low trading volume, lack of a market maker, large position size or legal restrictions increase the risk that a Fund or an underlying fund is limited or prevented from selling particular securities or closing derivative positions at desirable prices at a particular time or at all.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **SMALLER COMPANY RISK.** Smaller companies may have limited product lines, markets, or financial resources, lack the competitive strength of larger companies, have less experienced managers or depend on a few key employees. The securities of companies with smaller market capitalizations often are less widely held and trade less frequently and in lesser quantities, and their market prices often fluctuate more, than the securities of companies with larger market capitalizations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **MARKET DISRUPTION AND GEOPOLITICAL RISK.** Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism, diplomatic tensions, dramatic changes in regulatory and/or foreign policy, cyberattacks, and rapid technological developments such as artificial intelligence) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of the Fund's investments.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **FUTURES CONTRACTS RISK.** The loss to a Fund resulting from its use of futures contracts is potentially unlimited. Futures markets are highly volatile, and the use of futures contracts increases the volatility of the Fund's net asset value. A liquid market may not exist for any particular futures contract at any particular time, and a Fund may be unable when it wishes to terminate its exposure under that contract. When a Fund uses futures contracts for hedging purposes, it runs the risk that changes in the prices of the contracts will not correlate perfectly with changes in the securities, index, or other asset underlying the contracts or movements in the prices of the Fund's investments that are subject to the hedge. In addition, a Fund may be unable to recover or may be delayed in recovering margin or other amounts deposited with a futures commission merchant or futures clearinghouse. Foreign futures contracts are often less liquid and more volatile than U.S. futures contracts.

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#### February 28, 2026
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **FOCUSED INVESTMENT RISK.** Investments in countries, regions, asset classes, sectors, industries, currencies, or issuers that are subject to the same or similar risk factors and investments whose market prices are closely correlated are subject to higher overall risk than investments that are more diversified or whose market prices are not as closely correlated.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **LARGE TRANSACTIONS RISK.** To the extent that a large number of shares of a Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by that shareholder or group will require the Fund to sell investments at disadvantageous prices, disrupt the Fund's operations, lead to temporary overexposure to the Fund's intended investment program or force the Fund's liquidation. A Fund may also be subject to these effects when a number of shareholders collectively redeem a large amount of Fund shares.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **MARKET RISK — ASSET BACKED SECURITIES**. The market price of asset-backed securities, like that of other fixed income investments, can decline for a variety of reasons, including increases in interest rates. In addition, the market price can decrease due to a reduction in or decrease in the reliability of their payment streams. Payment streams associated with asset-backed securities held by a Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, and creditworthiness of any credit-support provider), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected a Fund to receive when the Fund purchased the asset-backed security. The liquidity of asset-backed securities (particularly below investment grade asset-backed securities) may change over time. During periods of deteriorating economic conditions, such as recessions, or periods of rising unemployment, delinquencies and losses generally increase, sometimes dramatically, for asset-backed securities whose underlying assets consist of loans, sales contracts, receivables and other obligations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **COMMODITIES RISK.** Commodity prices can be extremely volatile, and exposure to commodities can cause the net asset value of a Fund's shares to decline or fluctuate significantly in a rapid and unpredictable manner.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **EVENT-DRIVEN RISK.** If a Fund purchases securities in anticipation of a proposed merger, acquisition, exchange offer, tender offer, or other similar transaction and that transaction later appears likely to be delayed or unlikely to be consummated or, in fact, is not consummated or is delayed, the market price of the securities purchased by the Fund may decline sharply, resulting in losses to the Fund. The risk/reward payout of event-driven strategies (such as merger arbitrage) typically is asymmetric, with the losses in failed transactions often far exceeding the gains in successful transactions. Event-driven strategies are subject to the risk of overall market movements, and a Fund may experience losses even if a transaction is consummated.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **VALUE INVESTING RISK.** Issuers whose securities GMO believes are undervalued may not realize their business potential, may never be recognized by the market as being undervalued and/or may be appropriately priced notwithstanding GMO's assessment. These and other factors may cause the price of value stocks to decline, resulting in losses to a Fund.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• **NON-DIVERSIFIED FUNDS.** Alternative Allocation Fund and MAC Implementation Fund are not "diversified" investment companies within the meaning of the 1940 Act. This means they are allowed to invest in the securities of a relatively small number of issuers. As a result, poor performance by a single investment is likely to have a greater impact on their performance. In addition, some of the Funds may invest a portion of their assets in shares of underlying funds that are not diversified.

**4.** **Derivative financial instruments** 

During the year ended February 28, 2026, only Consolidated Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund, MAC Implementation Fund and Strategic Opportunities Allocation Fund held derivative financial instruments directly. Implementation SPC Ltd. did not hold derivatives during the period March 1, 2025 to August 28, 2025. For a listing of derivative financial instruments, if any, held by the underlying funds, please refer to the underlying funds' Schedule of Investments. The derivative information provided below only pertains to direct investments made by Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund (or their respective wholly-owned subsidiary, if any).

Derivatives are financial contracts whose value depends on, or is derived from, the value of underlying assets, reference rates, or indices to increase, decrease or adjust elements of the investment exposures of a Fund's portfolio. Derivatives may relate to securities, interest rates, currencies, currency exchange rates, inflation rates, commodities and indices, and include foreign currency contracts, swap contracts, reverse repurchase agreements, and other exchange-traded and OTC contracts.

Consolidated Alternative Allocation Fund may use derivatives in some or all of the ways described below.

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#### Notes to Financial Statements — (Continued)

#### February 28, 2026

#### Use of Derivatives by Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund
The Funds may use derivatives to gain long or short investment exposure to securities, commodities or other assets. For example, a Fund may use derivatives instead of investing directly in equity securities, including using equity derivatives to maintain equity exposure when it holds cash by "equitizing" its cash balances using futures contracts or other types of derivatives. The Funds also may use exchange-traded futures and forward foreign exchange contracts to gain exposure to a range of global equity, bond, currency, and commodity markets and may use currency derivatives (including forward currency contracts, futures contracts, swap contracts and options) to gain exposure to a given currency.

The Funds may use derivatives such as futures, options, and swap contracts, in an attempt to reduce their investment exposures (which may result in a reduction below zero). A Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Funds may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency. Implementation Fund uses exchange-traded futures and forward contracts as an integral part of its investment program.

The Funds may use derivatives in an attempt to adjust elements of their investment exposures to individual commodities, various securities, sectors, markets, indices and currencies without actually having to sell existing investments or make new direct investments. For example, if a Fund holds a large proportion of a certain type of security or commodity and GMO believes that another security or commodity will outperform such security or commodity, the Fund might use a short futures contract on an appropriate index (to synthetically "sell" a portion of the Fund's portfolio) in combination with a long futures contract on another index (to synthetically "buy" exposure to that index). Long and short swap contracts and contracts for differences also may be used for these purposes. Derivatives used to effect synthetic sales and purchases will generally be unwound as actual portfolio securities are sold and purchased. In adjusting investment exposures, each Fund also may use currency derivatives, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio. Each Fund's foreign currency exposure may differ significantly from the currency exposure represented by its investments.

The Funds may use derivatives to effect transactions intended as substitutes for securities lending.

#### Use of Derivatives by MAC Implementation Fund
The Fund may use derivatives to gain long or short investment exposure to securities or other assets. In particular, the Fund may use swaps, options, or other derivatives on an index, an ETF, a single security, or a basket of securities to gain investment exposures (e.g., by selling protection under a credit default swap). The Fund also may use currency derivatives (including forward currency contracts, futures contracts, swap contracts, cross currency basis swaps, and options) to gain exposure to a given currency.

The Fund may use derivatives in an attempt to reduce its investment exposures (which may result in a reduction below zero). For example, the Fund may use credit default swaps to take a short position with respect to the likelihood of default by an issuer. The Fund also may use currency derivatives in an attempt to reduce (which may result in a reduction below zero) some aspect of the currency exposure in its portfolio. For these purposes, the Fund may use an instrument denominated in a different currency that GMO believes is highly correlated with the relevant currency.

The Fund may use derivatives in an attempt to adjust elements of its investment exposures to various securities, sectors, markets, indices, ETFs, and currencies without actually having to sell existing investments or make new direct investments. For instance, GMO may alter the interest rate exposure of debt instruments by employing interest rate swaps. Such a strategy is designed to maintain the Fund's exposure to the credit of an issuer through the debt instrument but adjust the Fund's interest rate exposure through the swap. With these swaps, the Fund and its counterparties exchange interest rate exposure, such as fixed versus variable rates and shorter duration versus longer duration exposure. In adjusting their investment exposures, a Fund also may use currency derivatives in an attempt to adjust its currency exposure, seeking currency exposure that is different (in some cases, significantly different) from the currency exposure represented by its portfolio investments.

\* \* \*

Each of the Funds is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, a Fund may have gross investment exposures in excess of its net assets (i.e. the Funds may be leveraged) and therefore is subject to heightened risk of loss. Each Fund's performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.

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#### Notes to Financial Statements — (Continued)

#### February 28, 2026
Certain derivatives transactions that may be used by the Funds, including certain interest rate swaps and certain credit default index swaps, are required to be (or are capable of being) transacted through a central clearing organization. The Funds hold cleared derivatives transactions, if any, through clearing members, who are members of derivatives clearing houses. Certain other derivatives, including futures and certain options, are transacted on exchanges. The Funds hold exchange-traded derivatives through clearing brokers that are typically members of the exchanges. In contrast to bilateral derivatives transactions, following a period of notice to a Fund, a clearing member at any time can require termination of existing cleared derivatives position or an increase in margin requirements above those required at the outset of a transaction. Clearing houses and exchanges also have broad rights to increase margin requirements for existing positions or to terminate those positions at any time. Any increase in margin requirements or termination of existing cleared derivatives positions by the clearing member or the clearing house could interfere with the ability of a Fund to pursue its investment strategy and any increase in margin held by a clearing member could expose a Fund to greater credit risk to its clearing member. Also, a Fund is subject to execution risk if it enters into a derivatives transaction that is required to be cleared (or that GMO expects to be cleared), and no clearing member is willing or able to clear the transaction on the Fund's behalf. In those cases, the position might have to be terminated, and the Fund could lose some or all of the benefit of the position, including loss of an increase in the value of the position and/or loss of hedging protection.

The use of derivatives involves risks that are in addition to, and potentially greater than, the risks associated with investing directly in securities and other more traditional assets. See "Investment and other risks" above for further information.

For Funds that held derivatives during the year ended February 28, 2026, the following table shows how the Fund used these derivatives (marked with an X):

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;Type of Derivative and Objective for Use | Consolidated <br>Alternative<br>Allocation<br>Fund | Consolidated <br>Alternative<br>Allocation<br>Fund | **Benchmark-** <br> **Free**<br> **Fund** | **Benchmark-** <br> **Free**<br> **Fund** | **Implementation** <br> **Fund** | **Implementation** <br> **Fund** | **MAC**<br> **Implementation** <br> **Fund** | **MAC**<br> **Implementation** <br> **Fund** | **Strategic**<br> **Opportunities** <br> **Allocation**<br> **Fund** | **Strategic**<br> **Opportunities** <br> **Allocation**<br> **Fund** |
| &nbsp;&nbsp;&nbsp; **Forward currency contracts** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust currency exchange rate risk |  |  |  |  |  | X |  | X |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust exposure to foreign currencies |  | X |  |  |  | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Manage against anticipated currency exchange rate changes |  | X |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Futures contracts** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust exposure to certain securities markets |  | X |  | X |  | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust interest rate exposure |  | X |  |  |  |  |  | X |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Maintain the diversity and liquidity of the portfolio |  | X |  | X |  | X |  | X |  |  |
| &nbsp;&nbsp;&nbsp; **Options (Purchased)** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Substitute for direct equity investment |  | X |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Options (Written)** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust interest rate exposure |  | X |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Substitute for direct equity investment |  | X |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Swap contracts** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Achieve exposure to a reference entity's credit |  | X |  |  |  | X |  | X |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust exposure to certain markets |  |  |  |  |  |  |  | X |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Adjust interest rate exposure |  | X |  | X |  | X |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Generate long risk exposure to an index |  |  |  |  |  |  |  | X |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Provide a measure of protection against default loss |  |  |  |  |  |  |  | X |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Substitute for direct investment in securities |  | X |  | X |  | X |  |  |  | X |

---

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#### February 28, 2026

#### Forward currency contracts
The Funds may enter into forward currency contracts, including forward cross currency contracts. A forward currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date (or to pay or receive the amount of the change in relative values of the two currencies). The market price of a forward currency contract fluctuates with changes in forward currency exchange rates. The value of each of the Fund's forward currency contracts is marked-to-market daily using rates supplied by a quotation service and changes in value are recorded by each Fund as unrealized gains or losses. Realized gains or losses on the contracts are equal to the difference between the value of the contract at the time it was opened and the value at the time it was settled.

These contracts involve market risk in excess of the unrealized gain or loss. Forward currency contracts expose a Fund to the market risk of unfavorable movements in currency values and the risk that the counterparty will be unable or unwilling to meet the terms of the contracts. Most forward currency contracts are collateralized. Forward currency contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Futures contracts
The Funds may purchase and sell futures contracts. A futures contract is a contract that obligates the holder to buy or sell an asset at a predetermined delivery price at a specified time in the future. Some futures contracts are net (cash) settled. Upon entering into a futures contract, a Fund is required to deposit cash, U.S. government and agency obligations or other liquid assets with the futures clearing broker in accordance with the initial margin requirements of the broker or exchange. Futures contracts are generally valued at the settlement price established at the close of business each day by the board of trade or exchange on which they are traded (and if the futures are traded outside the U.S. and the market for such futures is closed prior to the close of the NYSE due to time zone differences, the values will be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees to reflect estimated valuation changes through the NYSE close). The value of each of the Fund's futures contracts is marked-to-market daily and an appropriate payable or receivable for the change in value ("variation margin") is recorded by each Fund. The payable or receivable is settled on the following business day. Gains or losses are recognized but not accounted for as realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin as recorded in the Statements of Assets and Liabilities. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, thereby effectively preventing liquidation of unfavorable positions. Futures contracts expose the Funds to the risk that they may not be able to enter into a closing transaction due to an illiquid market. Futures contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

#### Options
The Funds may purchase call and put options. A call option gives the holder the right to buy an asset; a put option gives the holder the right to sell an asset. "Quanto" options are cash-settled options in which the underlying asset (often an index) is denominated in a currency other than the currency in which the option is settled. By purchasing options a Fund alters its exposure to the underlying asset by, in the case of a call option, entitling it to purchase the underlying asset at a set price from the writer of the option and, in the case of a put option, entitling it to sell the underlying asset at a set price to the writer of the option. A Fund pays a premium for a purchased option. That premium, if any, which is disclosed in the Schedule of Investments, is subsequently reflected in the marked-to-market value of the option. The potential loss associated with purchasing put and call options is limited to the premium paid. Purchased option contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

The Funds may write (i.e. sell) call and put options on futures, swaps ("swaptions"), securities or currencies they own or in which they may invest. Writing options alters a Fund's exposure to the underlying asset by, in the case of a call option, obligating that Fund to sell the underlying asset at a set price to the option-holder and, in the case of a put option, obligating that Fund to purchase the underlying asset at a set price from the option-holder. In some cases (e.g., index options), settlement will be in cash, based on a formula price. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and is subsequently included in the marked-to-market value of the option. As a writer of an option, a Fund has no control over whether it will be required to sell (call) or purchase (put) the underlying asset and as a result bears the risk of an unfavorable change in the price of the asset underlying the option. In the event that a Fund writes call options without an offsetting exposure (e.g., call options on an asset that the Fund does not own), it bears an unlimited risk of loss if the price of the underlying asset increases during the term of the option. OTC options expose a Fund to the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. Written option contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

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#### February 28, 2026
When an option contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction in the cost of investments purchased. Gains and losses from the expiration or closing of written option contracts are separately disclosed in the Statements of Operations.

In a credit linked option contract, one party makes payments to another party in exchange for the option to exercise a contract where the buyer has the right to receive a specified return if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities and a specified decrease in the value of the related collateral occurs. A writer of a credit linked option receives periodic payments in return for its obligation to pay an agreed-upon value to the other party if they exercise their option in the case of a credit event. If no credit event occurs, the seller has no payment obligation and will keep the premiums received.

#### Swap contracts
The Funds may directly or indirectly use various swap contracts, including, without limitation, swaps on securities and securities indices, total return swaps, interest rate swaps, basis swaps, currency swaps, credit default swaps, variance swaps, commodity swaps, inflation swaps, municipal swaps, dividend swaps, volatility swaps, correlation swaps and other types of available swaps. A swap contract is an agreement to exchange the return generated by one asset for the return generated by another asset. Some swap contracts are net settled. When entering into a swap contract and during the term of the transaction, a Fund and/or the swap counterparty may post or receive cash or securities as collateral.

Initial upfront payments received or made upon entering into a swap contract are included in the fair market value of the swap. The Funds do not amortize upfront payments. Net periodic payments made or received to compensate for differences between the stated terms of the swap contract and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors) are recorded as realized gains or losses in the Statements of Operations. A liquidation payment received or made at the termination of the swap contract is recorded as realized gain or loss in the Statements of Operations. The periodic frequency of payments received may differ from periodic payment frequencies made and their frequencies could be monthly, quarterly, semiannually, annually or at maturity.

Interest rate swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive interest (e.g., an exchange of floating rate interest payments for fixed rate interest payments with respect to the notional amount of principal). Basis swaps are interest rate swaps that involve the exchange of two floating interest rate payments and may involve the exchange of two different currencies.

Inflation swaps involve the exchange of a floating rate linked to an index for a fixed rate interest payment with respect to a notional amount or principal.

Total return swap contracts involve a commitment by one party to pay interest to the other party in exchange for a payment to it from the other party based on the return of a reference asset (e.g., a security, basket of securities, or futures contract), both based on notional amounts. To the extent the return of the reference asset exceeds or falls short of the interest payments, one party is entitled to receive a payment from or obligated to make a payment to the other party.

In a credit default swap contract, one party makes payments to another party in exchange for the right to receive a specified return (or to put a security) if a credit event (e.g., default or similar event) occurs with respect to a reference entity or entities. A seller of credit default protection receives periodic payments in return for its obligation to pay the principal amount of a debt security (or other agreed-upon value) to the other party upon the occurrence of a credit event. If no credit event occurs, the seller has no payment obligations so long as there is no early termination.

For credit default swap contracts on asset-backed securities, a credit event may be triggered by various occurrences, which may include an issuer's failure to pay interest or principal on a reference security, a breach of a material representation or covenant, an agreement by the holders of an asset-backed security to a maturity extension, or a write-down on the collateral underlying the security. For credit default swap contracts on corporate or sovereign issuers, a credit event may be triggered by such occurrences as the issuer's bankruptcy, failure to pay interest or principal, repudiation/moratorium and/or restructuring.

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#### Notes to Financial Statements — (Continued)

#### February 28, 2026
Correlation swaps involve receiving a stream of payments based on the actual average correlation between or among the price movements of two or more underlying variables over a period of time, in exchange for making a regular stream of payments based on a fixed "strike" correlation level (or vice versa), where both payment streams are based on a notional amount. The underlying variables may include, without limitation, commodity prices, exchange rates, interest rates and stock indices.

Variance swap contracts involve an agreement by two parties to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a "fixed rate" or strike price payment for the "floating rate" or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price chosen is generally fixed at a level such that the fair value of the swap is zero. As a result, no money changes hands at the initiation of the contract. At the expiration date, the amount payable by one party to the other is the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. A receiver of the realized price variance would be entitled to receive a payment when the realized price variance of the underlying asset is greater than the strike price and would be obligated to make a payment when that variance is less than the strike price. A payer of the realized price variance would be obligated to make a payment when the realized price variance of the underlying asset is greater than the strike price and would be entitled to receive a payment when that variance is less than the strike price. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset.

Forward starting dividend swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in a dividend index point. A Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the relevant dividend index point based on a notional amount. For example, if a Fund took a long position on a dividend index swap, the Fund would receive payments if the relevant index point increased in value and would be obligated to pay if that index point decreased in value.

Future swap contracts involve an exchange by the parties of their respective commitments to pay or rights to receive the changes in an index. The Fund gains exposure by either paying or receiving an amount in respect of an increase or decrease in the change of the index based on a notional amount. For example, if the Fund took a long position on a future swap, the Fund would receive payments if the relevant index increased in value and would be obligated to pay if that index decreased in value.

Generally, the Funds price their OTC swap contracts daily using industry standard models that may incorporate quotations from market makers or pricing vendors and record the change in value, if any, as unrealized gain or loss in the Statements of Operations. Gains or losses are realized upon the termination of the swap contracts or reset dates, as appropriate. Cleared swap contracts are valued using the quote (which may be based on a model) published by the relevant clearing house. If an updated quote for a cleared swap contract is not available by the time that a Fund calculates its net asset value on any business day, then that swap contract will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house.

The values assigned to swap contracts may differ significantly from the values realized upon termination, and the differences could be material. Entering into swap contracts involves counterparty credit, legal, and documentation risk that is generally not reflected in the value assigned to the swap contract. Such risks include the possibility that the counterparty defaults on its obligations to perform or disagrees as to the meaning of contractual terms, that a Fund has amounts on deposit in excess of amounts owed by that Fund, or that any collateral the other party posts is insufficient or not timely received by a Fund. Credit risk is particularly acute in economic environments in which financial services firms are exposed to systemic risks of the type evidenced by the insolvency of Lehman Brothers in 2008 and subsequent market disruptions. Swap contracts outstanding at the end of the year, if any, are listed in each applicable Fund's Schedule of Investments.

\* \* \*

As provided by U.S. GAAP, the table below is based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. Changes to market values of reference asset(s) will tend to have a greater impact on the Funds (with correspondingly greater risk) the greater the notional amount. For further information on notional amounts, see the Schedule of Investments.

The following is a summary of the valuations of derivative instruments categorized by risk exposure.

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#### Notes to Financial Statements — (Continued)

#### February 28, 2026
**The Effect of Derivative Instruments on the Statements of Assets and Liabilities as of February 28, 2026 and the Statements of Operations for the year ended February 28, 2026^:** 

The risks referenced in the tables below are not intended to be inclusive of all risks. Please see the "Investment and other risks" and "Portfolio valuation" sections for a further discussion of risks.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Credit<br>Contracts** | **Commodity<br>Contracts** | **Equity<br>Contracts** | <br> **Foreign<br>Currency<br>Contracts** | **Interest<br>Rate<br>Contracts** | **Total** |
| &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Derivatives** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments, at value (purchased options) | $88729 | $— | $— | $— | $— | $88729 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Forward Currency Contracts |  |  |  | 6892632 |  | 6892632 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Futures Contracts¤ |  | 5452673 | 2490754 |  | 815633 | 8759060 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | 21488740 |  | 6199930 |  | 2953486 | 30642156 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $21577469 | $5452673 | $8690684 | $6892632 | $3769119 | $46382577 |
| &nbsp;&nbsp;&nbsp; **Liability Derivatives** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Forward Currency Contracts | $— | $— | $— | $(4192200) | $— | $(4192200) |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Futures Contracts¤ |  | (3300520) | (11587378) |  |  | (14887898) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options, at value | (22173) |  | (6514845) |  |  | (6537018) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | (4657209) |  | (1847533) |  | (3616703) | (10121445) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(4679382) | $(3300520) | $(19949756) | $(4192200) | $(3616703) | $(35738561) |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments (purchased options) | $— | $— | $(1739193) | $— | $— | $(1739193) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  | (5096992) | (18001942) |  | (142284) | (23241218) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options | (6596125) |  | 2762277 |  |  | (3833848) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | 7902641 |  | (15573076) |  | (208647) | (7879082) |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  | 16876522 |  | 16876522 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $1306516 | $(5096992) | $(32551934) | $16876522 | $(350931) | $(19816819) |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments (purchased options) | $40369 | $— | $— | $— | $— | $40369 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  | 636054 | (10287428) |  | 706805 | (8944569) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options | 15917 |  | (471723) |  |  | (455806) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | (593638) |  | 3855971 |  | (220810) | 3041523 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  | 2324381 |  | 2324381 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(537352) | $636054 | $(6903180) | $2324381 | $485995 | $(3994102) |

---

151.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Credit<br>Contracts** | **Commodity<br>Contracts** | **Equity<br>Contracts** | <br> **Foreign<br>Currency<br>Contracts** | **Interest<br>Rate<br>Contracts** | **Total** |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Derivatives** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Forward Currency Contracts | $— | $— | $— | $947074 | $— | $947074 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Futures Contracts¤ |  |  |  |  | 1800985 | 1800985 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $— | $— | $— | $947074 | $1800985 | $2748059 |
| &nbsp;&nbsp;&nbsp; **Liability Derivatives** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Forward Currency Contracts | $— | $— | $— | $(250943) | $— | $(250943) |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Futures Contracts¤ |  |  | (774888) |  |  | (774888) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | (735739) |  | (458105) |  |  | (1193844) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(735739) | $— | $(1232993) | $(250943) | $— | $(2219675) |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $(550964) | $— | $5781418 | $5230454 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | (1399581) |  | (8856852) |  |  | (10256433) |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  | 838176 |  | 838176 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(1399581) | $— | $(9407816) | $838176 | $5781418 | $(4187803) |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $(774888) | $— | $467676 | $(307212) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | 299976 |  | (669321) |  |  | (369345) |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  | 696131 |  | 696131 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $&nbsp;&nbsp;&nbsp;&nbsp;299976 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(1444209) | $696131 | $467676 | $19574 |
| &nbsp;&nbsp;&nbsp; **Implementation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Derivatives** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Forward Currency Contracts | $— | $— | $— | $2115914 | $— | $2115914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Futures Contracts¤ |  |  | 28413 |  | 4156130 | 4184543 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $— | $— | $28413 | $2115914 | $4156130 | $6300457 |
| &nbsp;&nbsp;&nbsp; **Liability Derivatives** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Forward Currency Contracts | $— | $— | $— | $(499525) | $— | $(499525) |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Futures Contracts¤ |  |  | (1522136) |  |  | (1522136) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | (1672135) |  | (1062290) |  |  | (2734425) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(1672135) | $— | $(2584426) | $(499525) | $— | $(4756086) |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $(68309) | $— | $11996038 | $11927729 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | (2978532) |  | (20836669) |  |  | (23815201) |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  | 1923874 |  | 1923874 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(2978532) | $— | $(20904978) | $1923874 | $11996038 | $(9963598) |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $(1493723) | $— | $1074628 | $(419095) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | 624542 |  | (1599218) |  |  | (974676) |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  | 1616389 |  | 1616389 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $624542 | $— | $(3092941) | $1616389 | $1074628 | $222618 |

---

152.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **Credit<br>Contracts** | **Commodity<br>Contracts** | **Equity<br>Contracts** | <br> **Foreign<br>Currency<br>Contracts** | **Interest<br>Rate<br>Contracts** | **Total** |
| &nbsp;&nbsp;&nbsp; **MAC Implementation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Derivatives** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Forward Currency Contracts | $— | $— | $— | $6376 | $— | $6376 |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Appreciation on Futures Contracts¤ |  |  |  |  | 152425 | 152425 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts, at value¤ | 855234 |  |  |  |  | 855234 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $&nbsp;&nbsp;&nbsp;&nbsp;855234 | $— | $— | $6376 | $152425 | $1014035 |
| &nbsp;&nbsp;&nbsp; **Liability Derivatives** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized Depreciation on Futures Contracts¤ | $— | $— | $— | $— | $(2253) | $(2253) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $— | $— | $— | $— | $(2253) | $(2253) |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $409026 | $409026 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | 63562 |  |  |  | 69279 | 132841 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  | (7133) |  | (7133) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $63562 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(7133) | $&nbsp;&nbsp;&nbsp;&nbsp;478305 | $534734 |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $— | $— | $150172 | $150172 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | (54072) |  |  |  |  | (54072) |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  | 6376 |  | 6376 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $(54072) | $— | $— | $6376 | $150172 | $102476 |
| &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Net Realized Gain (Loss) on** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | $— | $— | $(99072) | $— | $— | $(99072) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $— | $— | $(99072) | $— | $— | $(99072) |
| &nbsp;&nbsp;&nbsp; **Change in Net Appreciation (Depreciation) on** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts | $— | $— | $10736 | $— | $— | $10736 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total | $— | $— | $10736 | $— | $— | $10736 |

---

---

| | |
|:---|:---|
| ^ | Because the Funds recognize changes in value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds' investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these tables.  |

---

---

| | |
|:---|:---|
| ¤ | The table includes cumulative unrealized appreciation/depreciation of futures and value of cleared swap contracts, if any, as reported in the Schedule of Investments. Year end variation margin on open futures and cleared swap contracts, if any, is reported within the Statements of Assets and Liabilities.  |

---

Certain Funds are party to International Swaps and Derivatives Association, Inc. Master Agreements, Global Master Repurchase Agreements, Master Securities Loan Agreements or other similar types of agreements (collectively, "Master Agreements") that generally govern the terms of OTC derivative transactions, repurchase agreements, reverse repurchase agreements and securities loans. The Master Agreements may include collateral posting terms and set-off provisions that apply in the event of a default and/or termination event. Upon the occurrence of such an event, including the bankruptcy or insolvency of the counterparty, the Master Agreements may permit the non-defaulting party to calculate a single net payment to close out applicable transactions. However, there is no guarantee that the terms of a Master Agreement will be enforceable; for example, when bankruptcy or insolvency laws impose restrictions on or prohibitions against the right of offset. Additionally, the set-off and netting provisions of a Master Agreement may not extend to the obligations of the counterparty's affiliates or across varying types of transactions. Because no such event has occurred, the Funds do not presently have a legally enforceable right of set-off and these amounts have not been offset in the Statements of Assets and Liabilities, but have been presented separately in the table below. Termination events may also include a decline in the net assets of a Fund below a certain level over a specified period of time and may entitle a counterparty to elect an early termination of all the transactions under the Master Agreement with that counterparty. Such an election by one or more of the counterparties could have a material adverse impact on a Fund's operations. An estimate of the aggregate net payment, if any, that may need to be paid by a Fund (or may be received by a Fund) in such an event is represented by the Net Amounts in the tables below. For more information about other uncertainties and risks, see "Investments and other risks" above.

153.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
For financial reporting purposes, in the Statements of Assets and Liabilities any cash collateral that has been pledged to cover obligations of the Funds is reported as Due from broker and any cash collateral received from the counterparty is reported as Due to broker. Any non-cash collateral pledged by the Funds is noted in the Schedules of Investments. The tables below show the potential effect of netting arrangements made available by the Master Agreements on the financial position of the Funds. For financial reporting purposes, the Funds' Statements of Assets and Liabilities generally show derivative assets and derivative liabilities (regardless of whether they are subject to netting arrangements) on a gross basis, which reflects the full risks and exposures of the Fund prior to netting. See Note 2 for information on repurchase agreements, reverse repurchase agreements and securities loans held by the Funds at February 28, 2026, if any.

The tables above present the Funds' derivative assets and liabilities by type of financial instrument. The following tables present the Funds' OTC and/or exchange-traded derivative assets and liabilities by counterparty net of amounts that may be available for offset under the Master Agreements by the terms of the agreement and net of the related collateral received or pledged by the Funds as of February 28, 2026:

#### Consolidated Alternative Allocation Fund

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Assets Subject to<br>Master Agreements** | **Collateral<br>Received** | **Derivative<br>Assets/Liabilities<br>Available for Offset** | **Net Amount** <br> **of Derivative <br>Assets** |
| &nbsp;&nbsp;&nbsp; Bank of America, N.A. | $5433614 | $(5179432) | $(254182) | $— \* |
| &nbsp;&nbsp;&nbsp; Barclays Bank PLC | 1511959 | (1210000) | (224916) | 77043 |
| &nbsp;&nbsp;&nbsp; BNP Paribas | 5221438 | (5063728) |  | 157710 |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | 241960 |  | (192784) | 49176 |
| &nbsp;&nbsp;&nbsp; Citigroup Global Markets Inc. | 1141928 |  | (1141928) |  |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG | 396161 | (367512) | (28649) | — \* |
| &nbsp;&nbsp;&nbsp; Goldman Sachs International | 2380653 | (230000) | (1264473) | 886180 |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Bank, N.A. | 1137468 | (906956) | (230512) | — \* |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 3790341 | (1452821) | (2149976) | 187544 |
| &nbsp;&nbsp;&nbsp; Société Générale | 4188182 | (1460000) |  | 2728182 |
| &nbsp;&nbsp;&nbsp; State Street Bank and Trust Company | 287433 |  | (287433) |  |
| &nbsp;&nbsp;&nbsp; UBS AG | 1323323 | (531096) | (792227) | — \* |
| &nbsp;&nbsp;&nbsp; Total | $27054460 | $(16401545) | $(6567080) | $4085835 |
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Liabilities Subject to<br>Master Agreements** | **Collateral<br>Pledged** | **Derivative<br>Assets/Liabilities<br>Available for Offset** | **Net Amount<br> of Derivative <br>Liabilities** |
| &nbsp;&nbsp;&nbsp; Bank of America, N.A. | $(254182) | $— | $254182 | $— |
| &nbsp;&nbsp;&nbsp; Barclays Bank PLC | (224916) |  | 224916 |  |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | (192784) |  | 192784 |  |
| &nbsp;&nbsp;&nbsp; Citigroup Global Markets Inc. | (1343022) | 201094 | 1141928 | — \* |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG | (28649) |  | 28649 |  |
| &nbsp;&nbsp;&nbsp; Goldman Sachs International | (1264473) |  | 1264473 |  |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Bank, N.A. | (230512) |  | 230512 |  |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | (2149976) |  | 2149976 |  |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. LLC | (6514845) | 6514845 |  | — \* |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital Services LLC | (539292) | 539292 |  | — \* |
| &nbsp;&nbsp;&nbsp; State Street Bank and Trust Company | (1728508) | 1355628 | 287433 | (85447) |
| &nbsp;&nbsp;&nbsp; UBS AG | (792227) |  | 792227 |  |
| &nbsp;&nbsp;&nbsp; Total | $(15263386) | $8610859 | $6567080 | $(85447) |

---

154.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

#### Benchmark-Free Fund

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Assets Subject to<br>Master Agreements** | **Collateral<br>Received** | **Derivative<br>Assets/Liabilities<br>Available for Offset** | <br> **Net Amount** <br> **of Derivative** <br> **Assets** |
| &nbsp;&nbsp;&nbsp; Barclays Bank PLC | $254917 | $(254917) | $— | $— \* |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | 6264 |  | (6264) |  |
| &nbsp;&nbsp;&nbsp; Goldman Sachs International | 71189 |  | (71189) |  |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Bank, N.A. | 71730 | (29685) | (42045) | — \* |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 542974 | (270000) | (196732) | 76242 |
| &nbsp;&nbsp;&nbsp; Total | $947074 | $(554602) | $(316230) | $76242 |
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Liabilities Subject to<br>Master Agreements** | **Collateral<br>Pledged** | **Derivative<br>Assets/Liabilities<br>Available for Offset** | <br> **Net Amount <br>of Derivative<br>Liabilities** |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | $(11205) | $— | $6264 | $(4941) |
| &nbsp;&nbsp;&nbsp; Goldman Sachs International | (291419) | 220230 | 71189 | — \* |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Bank, N.A. | (42045) |  | 42045 |  |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | (196732) |  | 196732 |  |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital Services LLC | (166738) | 132159 |  | (34579) |
| &nbsp;&nbsp;&nbsp; State Street Bank and Trust Company | (909) |  |  | (909) |
| &nbsp;&nbsp;&nbsp; Total | $(709048) | $352389 | $316230 | $(40429) |

---

#### Implementation Fund

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Assets Subject to<br>Master Agreements** | **Collateral<br>Received** | **Derivative<br>Assets/Liabilities<br>Available for Offset** | <br> **Net Amount** <br> **of Derivative** <br> **Assets** |
| &nbsp;&nbsp;&nbsp; Barclays Bank PLC | $569338 | $(540000) | $— | $29338 |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | 13586 |  | (13586) |  |
| &nbsp;&nbsp;&nbsp; Goldman Sachs International | 159041 |  | (159041) |  |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Bank, N.A. | 160114 | (66273) | (93841) | — \* |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | 1213835 | (810000) | (378475) | 25360 |
| &nbsp;&nbsp;&nbsp; Total | $2115914 | $(1416273) | $(644943) | $54698 |
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Liabilities Subject to<br>Master Agreements** | **Collateral<br>Pledged** | **Derivative<br>Assets/Liabilities<br>Available for Offset** | <br> **Net Amount <br>of Derivative<br>Liabilities** |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | $(25072) | $— | $13586 | $(11486) |
| &nbsp;&nbsp;&nbsp; Goldman Sachs International | (618483) | 459442 | 159041 | — \* |
| &nbsp;&nbsp;&nbsp; JPMorgan Chase Bank, N.A. | (93841) |  | 93841 |  |
| &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. International PLC | (378475) |  | 378475 |  |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital Services LLC | (443923) | 333400 |  | (110523) |
| &nbsp;&nbsp;&nbsp; State Street Bank and Trust Company | (2021) |  |  | (2021) |
| &nbsp;&nbsp;&nbsp; Total | $(1561815) | $792842 | $644943 | $(124030) |

---

155.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

#### MAC Implementation Fund

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Counterparty** | **Gross Derivative<br>Assets Subject to<br>Master Agreements** | **Collateral<br>Received** | **Derivative<br>Assets/Liabilities<br>Available for Offset** | <br> **Net Amount** <br> **of Derivative** <br> **Assets** |
| &nbsp;&nbsp;&nbsp; Citibank N.A. | $627 | $– | $– | $627 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG | 5749 | – | – | 5749 |
| &nbsp;&nbsp;&nbsp; Total | $6376 | $– | $– | $6376 |

---

\* The actual collateral received and/or pledged is more than the amount shown. 

The average derivative activity of notional amounts (forward currency contracts, futures contracts and swap contracts) and principal amounts or number of contracts (options) outstanding, based on absolute values, at each month-end, was as follows for the year ended February 28, 2026:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Forward<br>Currency<br>Contracts ($)** | **Futures<br>Contracts ($)** | **Options<br>(Principal)** | **Options <br>(Contracts)** | **Swap<br>Contracts ($)** |
| &nbsp;&nbsp;&nbsp; Consolidated Alternative Allocation Fund | 735494267 | 610630248 | 96445000 | 13035 | 1586404870 |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 12641570 | 369051837 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 44965427 |
| &nbsp;&nbsp;&nbsp; Implementation Fund | 28245941 | 818352668 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 98966882 |
| &nbsp;&nbsp;&nbsp; MAC Implementation Fund | 281738 | 35983978 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 14116897 |
| &nbsp;&nbsp;&nbsp; Strategic Opportunities Allocation Fund |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | 0 \* |

---

\* Amount is less than $1. 

**5.** **Fees and other transactions with affiliates** 

GMO receives a management fee for the services it provides to certain Funds. Management fees are paid monthly at the annual rate equal to the percentage of each Fund's average daily net assets set forth in the table below:

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | ![LOGO](g12033dsp398a.jpg) | ![LOGO](g12033dsp398b.jpg) | ![LOGO](g12033dsp398c.jpg) | ![LOGO](g12033dsp398d.jpg) | ![LOGO](g12033dsp398e.jpg) | ![LOGO](g12033dsp398f.jpg) | ![LOGO](g12033dsp398g.jpg) | <br> ![LOGO](g12033dsp398h.jpg)  | <br> ![LOGO](g12033dsp398i.jpg)  | ![LOGO](g12033dsp398j.jpg) | ![LOGO](g12033dsp398k.jpg) | ![LOGO](g12033dsp398l.jpg) |
| &nbsp;&nbsp;&nbsp; Management Fee  | 0.73% | 0.65% | – |  | – |  | – |  | – |  | 0.35% |  |

---

In addition, each class of shares of certain Funds pays GMO directly or indirectly a shareholder service fee for providing client services and reporting, such as performance information, client account information, personal and electronic access to Fund information, access to analysis and explanations of Fund reports, and assistance in maintaining and correcting client-related

156.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
information. Shareholder service fees are paid monthly at the annual rate equal to the percentage of each applicable Class's average daily net assets set forth in the table below:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Class II** | **Class III** | **Class IV** | **Class V** | **Class VI** | **Class R6** | **Class I** |
| &nbsp;&nbsp;&nbsp; Alternative Allocation Fund | 0.22%\* | 0.15%\* | 0.105%\* | 0.085%\* | 0.055% | 0.22%\* | 0.22% |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Allocation Fund |  | 0.15% | 0.10% |  |  | 0.15% | 0.15% |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund | 0.20%\* | 0.15%\* | 0.10% |  |  | 0.20% | 0.20% |

---

\* Class is offered but has no shareholders as of February 28, 2026.

For certain Funds, GMO does not charge the Fund a management fee or shareholder service fee, but it receives management and/or shareholder service fees from the underlying funds in which the Fund invests. Because those fees vary from fund to fund, the levels of indirect net expenses set forth below are affected by GMO's asset allocation decisions.

For each Fund, other than Alternative Allocation Fund and Multi-Asset Credit Fund, GMO has contractually agreed to reimburse the Funds for their "Specified Operating Expenses" (as defined below). For Implementation Fund, GMO has contractually agreed to reimburse the Fund for the portion of its "Specified Operating Expenses" (as defined below) that exceed 0.02% of the Funds' average daily net assets.

Subject to the exclusions noted below, "Specified Operating Expenses" means: audit expenses, fund accounting and administration expenses, pricing service expenses, expenses of non-investment related tax services, transfer agency expenses (excluding, in the case of Class I shares, any amounts paid for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders), expenses of non-investment related legal services provided to the Funds by or at the direction of GMO, organizational and start-up expenses, federal securities law filing expenses, printing expenses, state and federal registration fees and custody expenses. In the case of Benchmark-Free Fund, "Specified Operating Expenses" does not include the Fund's direct custody expenses attributable to its holdings of emerging market securities.

With respect to Alternative Allocation Fund and Multi-Asset Credit Fund, GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund's total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares (each, an "Expense Cap"). The expense cap for Alternative Allocation Fund is 0.99% for Class II shares; 0.92% for Class III shares; 0.875% for Class IV shares; 0.855% for Class V shares; 0.825% for Class VI shares; 0.99% for Class R6 shares; and 0.99% for Class I shares. The Expense Cap for Multi-Asset Credit Fund is 0.57% for Class II shares; 0.52% for Class III shares; 0.47% for Class IV shares; 0.57% for Class R6 shares; and 0.57% for Class I shares. Fees and expenses of the "non-interested" Trustees and legal counsel to the "non-interested" Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, borrowing and borrowing-related costs (such as expenses incurred in establishing and maintaining a credit facility), taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund's business (collectively, "Excluded Expenses"), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund's total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap set forth above or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses.

For the year ended February 28, 2026, GMO did not recoup any previously recorded waivers and/or reimbursements.

157.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026
On February 28, 2026, the waivers and/or reimbursements subject to possible future recoupment are as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Expiring the**<br> **year ending**<br> **February 28,** <br> **2027** | **Expiring the**<br> **year ending**<br> **February 29,** <br> **2028** | **Expiring the**<br> **year ending**<br> **February 28,** <br> **2029** |
| &nbsp;&nbsp;&nbsp; Alternative Allocation Fund, Class VI | $150748 | $153222 | $667975 |
| &nbsp;&nbsp;&nbsp; Alternative Allocation Fund, Class I | $461207 | $391372 | $118448 |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund, Class IV | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $87821 |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund, Class R6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $665 |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund, Class I | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $87622 |

---

For Alternative Allocation Fund, Benchmark-Free Allocation Fund and Multi-Asset Credit Fund, GMO has contractually agreed to waive or reduce the Fund's management fees and shareholder service fees to the extent necessary to offset the management fees and shareholder service fees paid to GMO that are directly or indirectly borne by the Fund or a class of shares of the Fund as a result of the Fund's direct or indirect investments in other series of GMO Trust and GMO-managed ETFs. Management fees and shareholder service fees will not be waived below zero.

GMO has contractually agreed to waive its fees with respect to and/or reimburse Class I shares of each Fund, except for Multi-Asset Credit Fund, to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.15% of such Fund's average daily net assets attributable to Class I shares. For Multi-Asset Credit Fund, GMO has contractually agreed to waive its fee with respect to and/or reimburse Class I shares to the extent that amounts paid by the Fund out of the net assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of Class I shareholders exceed 0.08% of the average daily net assets attributable to Class I shares.

These contractual waivers and reimbursements will continue through at least June 30, 2026 for each Fund unless the Funds' Board of Trustees authorizes their modification or termination or reduces the fee rates paid to GMO under the Fund's management contract or servicing and supplemental support agreement.

#### Sub-Transfer Agent/Recordkeeping Payments
Class II, III, IV, V, VI and R6 shares are not subject to payments to third parties for sub-transfer agent/recordkeeping and other administrative services. GMO may, on a case-by-case basis, make payments for sub-transfer agent, recordkeeping and other administrative services provided by financial intermediaries for the benefit of shareholders of these classes. Any such payments are made by GMO out of its own resources and are not an additional charge to a Fund or the holders of Class II, III, IV, V, VI or Class R6 shares. These payments create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

Class I shares are subject to payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries for the benefit of holders of Class I shares through an account maintained by a third-party platform or intermediary. These services are not primarily intended to result in the sale of Fund shares but instead to provide ongoing services with respect to holders of Class I shares through a third-party platform or intermediary. Because payments for sub-transfer agency, recordkeeping and other administrative services are paid out of a Fund's Class I assets on an ongoing basis, over time they will increase the cost of an investment in Class I shares. In addition, GMO may, on a case-by-case basis, make payments for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries with respect to shareholders of Class I shares. Any such payments will be made by GMO out of its own resources and will not be an additional charge to a Fund or the holders of Class I shares. Any such payments will create a conflict of interest by influencing a financial intermediary to recommend a Fund over another investment.

The Funds' portion of the fees paid by the Trust to the Trust's independent Trustees and their legal counsel and any agents unaffiliated with GMO during the year ended February 28, 2026 is shown in the table below and is included in the Statements of Operations.

158.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Independent Trustees and <br>their legal counsel ($)** |
| &nbsp;&nbsp;&nbsp; Consolidated Alternative Allocation Fund | 50804 |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Allocation Fund | 160092 |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 81012 |
| &nbsp;&nbsp;&nbsp; Global Asset Allocation Fund | 28951 |
| &nbsp;&nbsp;&nbsp; Global Developed Equity Allocation Fund | &nbsp;&nbsp;&nbsp;&nbsp;5780 |
| &nbsp;&nbsp;&nbsp; Global Equity Allocation Fund | 40429 |
| &nbsp;&nbsp;&nbsp; Implementation Fund | 138079 |
| &nbsp;&nbsp;&nbsp; International Developed Equity Allocation Fund | 18523 |
| &nbsp;&nbsp;&nbsp; International Equity Allocation Fund | 23664 |
| &nbsp;&nbsp;&nbsp; MAC Implementation Fund | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;582 |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund | &nbsp;&nbsp;&nbsp;&nbsp;3147 |
| &nbsp;&nbsp;&nbsp; Strategic Opportunities Allocation Fund | &nbsp;&nbsp;&nbsp;&nbsp;7706 |

---

Certain Funds incur fees and expenses indirectly as a shareholder in the underlying funds. For the year ended February 28, 2026, the Funds below had annualized indirect fees and expenses greater than 0.01% of the Fund's average daily net assets.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | <br> **Total Indirect Expenses**  | <br> **Total Indirect Expenses**  |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Allocation Fund | 0.660 | %\* |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 0.404 | %\* |
| &nbsp;&nbsp;&nbsp; Global Asset Allocation Fund | 0.810 | %\* |
| &nbsp;&nbsp;&nbsp; Global Developed Equity Allocation Fund | 0.529 | % |
| &nbsp;&nbsp;&nbsp; Global Equity Allocation Fund | 0.567 | % |
| &nbsp;&nbsp;&nbsp; International Developed Equity Allocation Fund | 0.620 | % |
| &nbsp;&nbsp;&nbsp; International Equity Allocation Fund | 0.686 | % |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund | 0.275 | %\* |
| &nbsp;&nbsp;&nbsp; Strategic Opportunities Allocation Fund | 0.884 | %\* |

---

\* Includes indirect interest and dividend expense on reverse repurchase agreements and short sales, respectively, and borrowing costs for investments sold short.

The Funds are permitted to purchase or sell securities from or to other GMO Trust funds under specified conditions outlined in procedures adopted by the Trustees. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another GMO Trust fund complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is effectuated at the current market price. During the year ended February 28, 2026, the Funds did not engage in these transactions.

**6.** **Purchases and sales of securities** 

Cost of purchases and proceeds from sales of securities, excluding short-term investments and including GMO U.S. Treasury Fund, if applicable, for the year ended February 28, 2026 are noted in the table below:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Purchases ($)** | <br> **Purchases ($)** | **Sales ($)** | **Sales ($)** |
| &nbsp;&nbsp;&nbsp;**Fund Name** | <br> **U.S. Government <br>Securities** | **Investments (Non-U.S.<br>Government Securities)** | **U.S. Government <br>Securities** | **Investments (Non-U.S.<br>Government Securities)** |
| &nbsp;&nbsp;&nbsp; Consolidated Alternative Allocation Fund | 2514985327 | 2446904299 | 2640470760 | 2416884832 |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Allocation Fund |  | 270102504 |  | 568202689 |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 482650367 | 716369538 | 408294768 | 963112448 |
| &nbsp;&nbsp;&nbsp; Global Asset Allocation Fund |  | 256429985 |  | 144753241 |

---

159.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Purchases ($)** | <br> **Purchases ($)** | **Sales ($)** | **Sales ($)** |
| &nbsp;&nbsp;&nbsp;**Fund Name** | <br> **U.S. Government <br>Securities** | **Investments (Non-U.S.<br>Government Securities)** | **U.S. Government <br>Securities** | **Investments (Non-U.S.<br>Government Securities)** |
| &nbsp;&nbsp;&nbsp; Global Developed Equity Allocation Fund |  | 19748265 |  | 16780921 |
| &nbsp;&nbsp;&nbsp; Global Equity Allocation Fund |  | 106456912 |  | 142753859 |
| &nbsp;&nbsp;&nbsp; Consolidated Implementation Fund\* | 1017257962 | 1499165707 | 1054820749 | 1998669087 |
| &nbsp;&nbsp;&nbsp; International Developed Equity Allocation Fund |  | 33200718 |  | 218912093 |
| &nbsp;&nbsp;&nbsp; International Equity Allocation Fund |  | 62507576 |  | 140451146 |
| &nbsp;&nbsp;&nbsp; MAC Implementation Fund | 158322806 |  | 129347587 |  |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund |  | 237235272 |  | 38590715 |
| &nbsp;&nbsp;&nbsp; Strategic Opportunities Allocation Fund | 100000 | 35172315 |  | 152994639 |

---

\* Amounts are consolidated through August 28, 2025 (Note 2). 

Included in the table above are cost of purchases and proceeds from sales of securities for in-kind transactions, excluding short-term investments, if any, in accordance with U.S. GAAP for the year ended February 28, 2026. In-kind purchases and sales of securities, including short-term investments, if any, and net realized gains/(losses) attributed to redemption in-kind transactions, if any, are noted in the table below:

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **In-Kind** <br> **Purchases ($)**  | **In-Kind** <br> **Sales ($)**  | **Net realized gains/(losses)** <br> **attributed to redemption in-kind** <br> **transactions ($)**  |
| &nbsp;&nbsp;&nbsp; International Developed Equity Allocation Fund | – | 203386188 | 52855721 |

---

**7.** **Guarantees** 

In the normal course of business the Funds enter into contracts with third-party service providers that contain a variety of representations and warranties and that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown, as it involves possible future claims that may or may not be made against the Funds. Based on experience, GMO is of the view that the risk of loss to the Funds in connection with the Funds' indemnification obligations is remote; however, there can be no assurance that such obligations will not result in material liabilities that adversely affect the Funds.

**8.** **Principal shareholders as of February 28, 2026** 

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Number of<br>shareholders that held <br>more than 10% of the<br>outstanding shares of<br>the Fund** | <br> **Percentage of<br>outstanding shares of the<br>Fund held by those<br>shareholders owning<br>greater than 10% of the <br>outstanding shares of the<br>Fund** |
| &nbsp;&nbsp;&nbsp; Alternative Allocation Fund | 3§ | 72.27% |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Allocation Fund | 1 | 11.01% |
| &nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 4 | 71.87% |
| &nbsp;&nbsp;&nbsp; Global Asset Allocation Fund | 2 | 38.34% |
| &nbsp;&nbsp;&nbsp; Global Developed Equity Allocation Fund | 1 | 99.75% |
| &nbsp;&nbsp;&nbsp; Global Equity Allocation Fund | 2 | 66.71% |
| &nbsp;&nbsp;&nbsp; Implementation Fund | 1‡ | 93.43% |
| &nbsp;&nbsp;&nbsp; International Developed Equity Allocation Fund | 1 | 90.68% |
| &nbsp;&nbsp;&nbsp; International Equity Allocation Fund | 1 | 75.98% |

---

160.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;Fund Name | Number of<br>shareholders that held <br>more than 10% of the<br>outstanding shares of<br>the Fund | **Percentage of<br>outstanding shares of**<br> **the Fund held by those<br>shareholders owning<br>greater than 10% of the <br>outstanding shares of the<br>Fund** |
| &nbsp;&nbsp;&nbsp; MAC Implementation Fund | 1‡ | 100.00% |
| &nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund | 2 | 79.69% |
| &nbsp;&nbsp;&nbsp; Strategic Opportunities Allocation Fund | 1 | 89.14% |

---

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

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

**9.** **Share transactions** 

The Declaration of Trust permits each Fund to issue an unlimited number of shares of beneficial interest (without par value). Transactions in the Funds' shares were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended**<br> **February 28, 2026** | <br> **Year Ended**<br> **February 28, 2026** | <br> **Year Ended**<br> **February 28, 2025** | <br> **Year Ended**<br> **February 28, 2025** |
|  | **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class VI:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 4420995 | $81067821 | 31360607 | $544264806 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 2834264 | 51002174 | 88487 | 1552680 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (4855752) | (89132900) | (5467) | (98704) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 2399507 | $42937095 | 31443627 | $545718782 |
| &nbsp;&nbsp;&nbsp; **Class R6:<sup>(a)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 98 | $1780 | 226 | $4161 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 41 | 743 | 15 | 265 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (606) | (11670) | (86) | (1510) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (467) | $(9147) | 155 | $2916 |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 1283439 | $23207860 | 1001765 | $18030011 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 197106 | 3519334 | 110233 | 1919214 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (1141695) | (20518023) | (2888865) | (50886556) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 338850 | $6209171 | (1776867) | $(30937331) |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 480245 | $14016352 | 937548 | $25068855 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 744076 | 22439848 | 1406827 | 36077525 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (12476981) | (357397958) | (10318973) | (277456386) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (11252660) | $(320941758) | (7974598) | $(216310006) |

---

161.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended**<br> **February 28, 2026** | <br> **Year Ended**<br> **February 28, 2026** | <br> **Year Ended**<br> **February 28, 2025** | <br> **Year Ended**<br> **February 28, 2025** |
|  | **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Allocation Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class IV:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 413675 | $11332263 | 757151 | $20315296 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 695454 | 20983945 | 857432 | 22003912 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (2277642) | (65745758) | (9142043) | (243556945) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (1168513) | $(33429550) | (7527460) | $(201237737) |
| &nbsp;&nbsp;&nbsp; **Class MF:<sup>(b)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares repurchased |  | $— | (30253539) | $(799411269) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) |  | $— | (30253539) | $(799411269) |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 3537029 | $103600698 | 2044123 | $54531144 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 562641 | 16956230 | 591892 | 15157683 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (3252089) | (98318104) | (2110449) | (56081286) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 847581 | $22238824 | 525566 | $13607541 |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 3623185 | $108899081 | 4473206 | $119592801 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 571025 | 17210708 | 641451 | 16422810 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (3080676) | (92312436) | (2871751) | (76514411) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 1113534 | $33797353 | 2242906 | $59501200 |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 368335 | $8046898 | 9733204 | $184620443 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 2607079 | 56503816 | 2873165 | 54377894 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (8554095) | (179757994) | (10698289) | (210695887) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (5578681) | $(115207280) | 1908080 | $28302450 |
| &nbsp;&nbsp;&nbsp; **Global Asset Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 2629587 | $98652721 | 418457 | $13636743 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 565480 | 21270700 | 488341 | 15653954 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (532848) | (19728049) | (483088) | (16234048) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 2662219 | $100195372 | 423710 | $13056649 |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 14855 | $536333 | 8623 | $283751 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 9839 | 369761 | 11456 | 367015 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (57642) | (2037865) | (70948) | (2340881) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (32948) | $(1131771) | (50869) | $(1690115) |

---

162.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended**<br> **February 28, 2026** | <br> **Year Ended**<br> **February 28, 2026** | <br> **Year Ended**<br> **February 28, 2025** | <br> **Year Ended**<br> **February 28, 2025** |
|  | **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Global Asset Allocation Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 65150 | $2441552 | 88145 | $2936277 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 17452 | 656571 | 18076 | 579182 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (101859) | (3721775) | (51655) | (1705375) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (19257) | $(623652) | 54566 | $1810084 |
| &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 125705 | $3902627 | 148322 | $3774722 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (204340) | (6209891) | (188) | (4644) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (78635) | $(2307264) | 148134 | $3770078 |
| &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold |  | $— | 23 | $663 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 705258 | 24555664 | 957738 | 27193948 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (2957906) | (93280628) | (7284976) | (213368261) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (2252648) | $(68724964) | (6327215) | $(186173650) |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 57140 | $1907290 | 102980 | $2923434 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 74682 | 2599835 | 81714 | 2319408 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (32326) | (1065777) | (97404) | (2796543) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 99496 | $3441348 | 87290 | $2446299 |
| &nbsp;&nbsp;&nbsp; **Class I:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 2454 | $86230 | 1767 | $52080 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 2805 | 97573 | 8602 | 244019 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (102354) | (3433194) | (270733) | (7689313) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (97095) | $(3249391) | (260364) | $(7393214) |
| &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund<sup>(c)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Core Class:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 8861458 | $127029292 | 13689662 | $180714942 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 6016706 | 89749077 | 10064227 | 129012841 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (30667131) | (446370115) | (123047264) | (1609520274) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (15788967) | $(229591746) | (99293375) | $(1299792491) |
| &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 7878 | $157932 | 68935 | $1180866 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 8374 | 180536 | 458361 | 7930658 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (9565856)<sup>(d)</sup> | (204131705)<sup>(d)</sup> | (6326355) | (110120857) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (9549604) | $(203793237) | (5799059) | $(101009333) |

---

163.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended**<br> **February 28, 2026** | <br> **Year Ended**<br> **February 28, 2026** | <br> **Year Ended**<br> **February 28, 2025** | <br> **Year Ended**<br> **February 28, 2025** |
|  | **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 860228 | $18735932 | 7223473 | $126034953 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 625190 | 14320193 | 362690 | 6271612 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (898910) | (20405639) | (629823) | (11027225) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 586508 | $12650486 | 6956340 | $121279340 |
| &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 250 | $7000 | 398574 | $11701545 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 130218 | 4824973 | 156532 | 4440307 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (2345498) | (92465675) | (321684) | (9277581) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | (2215030) | $(87633702) | 233422 | $6864271 |
| &nbsp;&nbsp;&nbsp; **Class R6:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 683765 | $25238330 | 119673 | $3537381 |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 454050 | 16816012 | 464247 | 13183121 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (1106168) | (38891374) | (916154) | (26566851) |
| &nbsp;&nbsp;&nbsp; Net increase (decrease) | 31647 | $3162968 | (332234) | $(9846349) |
| &nbsp;&nbsp;&nbsp; **MAC Implementation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Core Class:<sup>(e)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 2857359 | $30193699 |  |  |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 45864 | 484324 |  |  |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (756909) | (7994004) |  |  |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) | 2146314 | $22684019 |  |  |
| &nbsp;&nbsp;&nbsp; **Multi-Asset Credit Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class IV:<sup>(e)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 771175 | $15646617 |  |  |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 14089 | 293746 |  |  |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) | 785264 | $15940363 |  |  |
| &nbsp;&nbsp;&nbsp; **Class R6:<sup>(f)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 97494 | $2064929 |  |  |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 2558 | 53348 |  |  |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (1042) | (22072) |  |  |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) | 99010 | $2096205 |  |  |
| &nbsp;&nbsp;&nbsp; **Class I:<sup>(g)</sup>**  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 8932061 | $187853023 |  |  |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 38899 | 811041 |  |  |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (617818) | (13110874) |  |  |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) | 8353142 | $175553190 |  |  |

---

164.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | <br> **Year Ended**<br> **February 28, 2026** | <br> **Year Ended**<br> **February 28, 2026** | <br> **Year Ended**<br> **February 28, 2025** | <br> **Year Ended**<br> **February 28, 2025** |
|  | **Shares** | **Amount** | **Shares** | **Amount** |
| &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Class III:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Shares sold | 125624 | $2310557 |  | $— |
| &nbsp;&nbsp;&nbsp; Shares issued to shareholders in reinvestment of distributions | 127901 | 2210601 | 397004 | 6610156 |
| &nbsp;&nbsp;&nbsp; Shares repurchased | (6685902) | (117834033) | (3322052) | (57680647) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) | (6432377) | $(113312875) | (2925048) | $(51070491) |

---

<sup>(a)</sup> Class R6 liquidated on February 27, 2026.

<sup>(b)</sup> Class MF liquidated on March 12, 2024.

<sup>(c)</sup> Amounts are consolidated through August 28, 2025 (Note 2). 

<sup>(d)</sup> 9,531,319 shares and $203,386,188 were redeemed in-kind by an affiliate. 

<sup>(e)</sup> The period under the heading "Year Ended February 28, 2026" represents the period from May 21, 2025 (commencement of operations) through February 28, 2026.

<sup>(f)</sup> The period under the heading "Year Ended February 28, 2026" represents the period from October 21, 2025 (commencement of operations) through February 28, 2026.

<sup>(g)</sup> The period under the heading "Year Ended February 28, 2026" represents the period from September 04, 2025 (commencement of operations) through February 28, 2026.

**10.** **Investments in affiliated companies and other Funds of the Trust** 

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer's voting securities or an investment in other funds of GMO Trust. A summary of the Funds' transactions involving companies that are or were affiliates during the year ended February 28, 2026 is set forth below:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income** | **Distributions<br>of Realized<br>Gains** | **Net<br>Realized<br>Gain (Loss)** | <br> **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $25000000 | $— | $25000000 | $901912 | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp; **Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp; **Benchmark-Free Allocation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Alternative Allocation Fund, Class VI | $303421305 | $56383540 | $49200000 | $8449697 | $17772660 | $3599322 | $20976409 | $335180576 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | 19164880 | 367220 | 5750863 | 367219 |  | 634243 | 10986145 | 25401625 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 53999642 | 703536 | 59680480 | 703536 |  | 7815151 | (2837849) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI | 23591753 | 1357876 |  | 1357876 |  |  | 444489 | 25394118 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Implementation Fund | 1870255937 | 204518013 | 428096346 | 83978473 |  | 52660885 | 447258119 | 2146596608 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 70152430 | 6772319 | 25475000 | 2432319 |  | (332529) | 592036 | 51709256 |
| &nbsp;&nbsp;&nbsp; Totals | $2340585947 | $270102504 | $568202689 | $97289120 | $17772660 | $64377072 | $477419349 | $2584282183 |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp; **Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp; **Benchmark-Free Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Alternative Allocation Fund, Class VI | $148175792 | $16230826 | $12000000 | $4243600 | $8987226 | $478141 | $10946326 | $163831085 |

---

165.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income** | **Distributions<br>of Realized<br>Gains** | **Net**<br> **Realized**<br> **Gain (Loss)** | <br> **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Fund (continued)** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | $10208470 | $175006 | $3200000 | $175006 | $— | $351065 | $5813699 | $13348240 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 23631327 | 369110 | 26604736 | 369110 |  | (687338) | 3291637 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI | 11502608 | 662058 |  | 662058 |  |  | 216719 | 12381385 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 37539543 |  | 14099166 | 1234358 |  | (1131678) | 1248052 | 23556751 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 29715241 | 1553781 | 6400000 | 1553781 |  | 389674 | 14394799 | 39653495 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 5054182 | 109132440 | 114050921 | — \* |  | (126) | (13) | 135562 |
| &nbsp;&nbsp;&nbsp; Totals | $265827163 | $128123221 | $176354823 | $8237913 | $8987226 | $(600262) | $35911219 | $252906518 |
| &nbsp;&nbsp;&nbsp; **Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Asset Allocation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Alternative Allocation Fund, Class VI | $50536427 | $36264656 | $2300000 | $1872862 | $3603049 | $(279585) | $5210631 | $89432129 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Asset Allocation Bond Fund, Class VI | 24036024 | 56869870 | 2000000 | 863027 |  | (541189) | 2854943 | 81219648 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | 2881930 | 63225 |  | 63225 |  |  | 1877207 | 4822362 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Domestic Resilience ETF |  | 9947238 |  | 22100 |  |  | 1669066 | 11616304 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 12611660 | 414103 | 9723000 | 414103 |  | (2380126) | 3976587 | 4899224 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 10519860 | 3644364 | 1240000 | 630270 | 726427 | 64970 | 5918176 | 18907370 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 21942738 | 5804706 | 2840875 | 1564227 |  | (576159) | 11725048 | 36055458 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 52529710 | 18080883 | 8941486 | 4122810 |  | 1428377 | 24599999 | 87697483 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 27283990 | 10663807 | 3553273 | 1610078 | 5192676 | 773352 | 6268055 | 41435931 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 22586604 | 7132891 | 3231899 | 1166977 | 406803 | 484857 | 10262279 | 37234732 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Multi-Sector Fixed Income Fund, Class IV | 46627580 | 13950972 | 60789479 | 2558201 |  | (5687085) | 5898012 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 6427946 | 13107739 | 2675000 | 212740 |  | (271933) | 368690 | 16957442 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 11112775 | 2481333 | 10847077 | 25746 | 2455587 | (3103780) | 356749 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 11236917 | 4458862 |  | 147852 | 1383170 |  | 543998 | 16239777 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 7156339 | 211355 | 4300000 | 211355 |  | (470024) | 3090112 | 5687782 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 10785331 | 3265397 | 4300000 | 28799 | 35542 | 687614 | 704310 | 11142652 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 21428020 | 22129367 | 4306152 | 463631 | 3939012 | (422259) | 4770334 | 43599310 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 26227387 | 11502806 |  | 837297 | 3001644 |  | 1995608 | 39725801 |

---

166.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income** | **Distributions<br>of Realized<br>Gains** | **Net**<br> **Realized<br>Gain (Loss)** | <br> **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp; **Global Asset Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Global Asset Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Global Asset Allocation Fund (continued)** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | $7679739 | $1685998 | $— | $148311 | $137687 | $— | $1733057 | $11098794 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | 4211034 | 34750413 | 23705000 | 301018 |  | 600 | (599) | 15256448 |
| &nbsp;&nbsp;&nbsp; Totals | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;377822011 | $256429985 | $144753241 | $17264629 | $20881597 | $(10292370) | $93822262 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;573028647 |
| &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | $577171 | $12662 | $— | $12662 | $— | $— | $375953 | $965786 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Domestic Resilience ETF |  | 1861072 |  | 4136 |  |  | 312641 | 2173713 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 1359983 | 357330 | 353074 | 70519 | 86810 | 30242 | 721021 | 2115502 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 20572375 | 2870022 | 4659775 | 1358023 |  | 1681973 | 7092492 | 27557087 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 9323086 | 2123527 | 2240000 | 511631 | 1611896 | 460080 | 1704447 | 11371140 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 4749824 | 284147 | 796184 | 209613 | 74535 | 147797 | 1872611 | 6258195 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 3837852 | 856941 | 3746092 | 8892 | 848049 | (1005892) | 57191 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 11898522 | 3207140 | 989685 | 132789 | 1246351 | 314778 | 177018 | 14607773 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 2046176 | 78812 | 810045 | 78813 |  | (86341) | 947458 | 2176060 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 3567931 | 596754 | 827730 | 9830 | 11923 | 119992 | 363981 | 3820928 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 6918488 | 4751657 | 1524402 | 125260 | 1092554 | 62989 | 1203511 | 11412243 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 12011054 | 2482687 | 464206 | 346484 | 1263703 | 27716 | 605010 | 14662261 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 2356183 | 265514 | 369728 | 39780 | 35734 | 49406 | 487362 | 2788737 |
| &nbsp;&nbsp;&nbsp; Totals | $79218645 | $19748265 | $16780921 | $2908432 | $6271555 | $1802740 | $15920696 | $99909425 |
| &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | $4770951 | $91628 | $890000 | $91628 | $— | $128326 | $2887813 | $6988718 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Domestic Resilience ETF |  | 12201140 |  | 27112 |  |  | 2049675 | 14250815 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 11099143 | 1159346 | 1430000 | 537933 | 621413 | (282727) | 5591614 | 16137376 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 58252269 | 3232088 | 12231536 | 3232089 |  | (3819425) | 28472248 | 73905644 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 129922729 | 15310663 | 30791194 | 8128874 |  | 5006483 | 47978811 | 167427492 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 66127288 | 13294776 | 17794055 | 3226571 | 10068205 | 3526195 | 11168388 | 76322592 |

---

167.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income** | **Distributions<br>of Realized<br>Gains** | **Net**<br> **Realized**<br> **Gain (Loss)** | <br> **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund (continued)** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | $36143874 | $1965260 | $8183302 | $1453572 | $511689 | $804473 | $13288428 | $44018733 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 29259864 | 6533334 | 28560280 | 67789 | 6465544 | (7331551) | 98633 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 71083473 | 8909886 | 7720000 | 742150 | 6956939 | 2174086 | 423491 | 74870936 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 15457252 | 554900 | 7080000 | 554899 |  | (720790) | 7016562 | 15227924 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 26485454 | 3447357 | 6685000 | 67706 | 79652 | 844179 | 2434400 | 26526390 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 40109263 | 27399232 | 10972922 | 745278 | 6408420 | (422045) | 7270491 | 63384019 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 77261885 | 11807366 | 9275570 | 2033426 | 7398939 | 622876 | 2735950 | 83152507 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 16394376 | 549936 | 1140000 | 287075 | 262861 | 212662 | 3325398 | 19342372 |
| &nbsp;&nbsp;&nbsp; Totals | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;582367821 | $106456912 | $142753859 | $21196102 | $38773662 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;742742 | $134741902 | $&nbsp;&nbsp;&nbsp;&nbsp;681555518 |
| &nbsp;&nbsp;&nbsp; **Implementation Fund** | &nbsp;&nbsp;&nbsp; **Implementation Fund** | &nbsp;&nbsp;&nbsp; **Implementation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $4043535 | $175771319 | $179376535 | $— \* | $— | $(1039) | $172 | $437452 |
| &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | $220571098 | $17891947 | $152579996 | $8393845 | $— | $44729890 | $18207029 | $148819968 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 74374016 | 13829293 | 51699032 | 3017022 | 7606115 | 9340239 | 2998368 | 48842884 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 22021978 | 1479478 | 14633065 | 605851 | 234455 | 2757976 | 3711608 | 15337975 |
| &nbsp;&nbsp;&nbsp; Totals | $316967092 | $33200718 | $218912093 | $12016718 | $7840570 | $56828105 | $24917005 | $213000827 |
| &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | $86475260 | $22450767 | $40969665 | $5745185 | $— | $(2335238) | $45041063 | $110662187 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 152164318 | 19810812 | 65884250 | 9575812 |  | 21647590 | 38743377 | 166481847 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 60336245 | 16781746 | 24936617 | 3198569 | 10028178 | 5706970 | 8381392 | 66269736 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 21933281 | 3464251 | 8660614 | 1028338 | 360914 | 1760901 | 7797097 | 26294916 |
| &nbsp;&nbsp;&nbsp; Totals | $320909104 | $62507576 | $140451146 | $19547904 | $10389092 | $26780223 | $99962929 | $369708686 |
| &nbsp;&nbsp;&nbsp; **Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp; **Multi-Asset Credit Fund** | &nbsp;&nbsp;&nbsp; **Multi-Asset Credit Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | $— | $23215608 | $516000 | $1031829 | $— | $43979 | $1279028 | $24022615 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI |  | 31589309 | 1684950 | 1087098 |  | 44426 | (656465) | 29292320 |

---

168.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income** | **Distributions<br>of Realized<br>Gains** | **Net**<br> **Realized**<br> **Gain (Loss)** | <br> **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp; **Multi-Asset Credit Fund (continued)** | &nbsp;&nbsp;&nbsp; **Multi-Asset Credit Fund (continued)** | &nbsp;&nbsp;&nbsp; **Multi-Asset Credit Fund (continued)** | &nbsp;&nbsp;&nbsp; **Multi-Asset Credit Fund (continued)** | &nbsp;&nbsp;&nbsp; **Multi-Asset Credit Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO MAC Implementation Fund | $— | $30678024 | $7994004 | $415035 | $69289 | $136906 | $595364 | $23416290 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI |  | 91861129 | 4462429 | 1476681 |  | 41910 | 388265 | 87828875 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Systematic Investment Grade Credit ETF |  | 19900364 | 487096 | 249402 | 40623 | 11710 | 71595 | 19496573 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI |  | 29989947 | 22996225 | 79568 \* |  |  |  | 6993722 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Ultra-Short Income ETF |  | 10000891 | 450011 | 45287 |  | (79) | 31202 | 9582003 |
| &nbsp;&nbsp;&nbsp; Totals | $— | $237235272 | $38590715 | $4384900 | $109912 | $278852 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1708989 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;200632398 |
| &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Alternative Allocation Fund, Class VI | $26416167 | $3930755 | $18249567 | $298580 | $706064 | $464365 | $366470 | $12928190 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Asset Allocation Bond Fund, Class VI | 10547466 | 3023834 | 6814052 | 118834 |  | (15782) | 23950 | 6765416 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Climate Change Fund, Class III | 1908199 | 12227 | 1600000 | 12227 |  | (209203) | 718411 | 829634 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Domestic Resilience ETF |  | 1464333 |  | 3254 |  |  | 245995 | 1710328 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 6687088 | 83880 | 6290000 | 83880 |  | (216452) | 505186 | 769702 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 3837405 | 323967 | 3392783 | 64820 | 84918 | (186211) | 1143462 | 1725840 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 10017128 | 239748 | 8280595 | 204748 |  | (984065) | 3241037 | 4233253 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 29219632 | 4139461 | 27549686 | 694520 |  | 6289213 | 526580 | 12625200 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Opportunistic Value Fund, Class IV | 14814610 | 1631923 | 12654036 | 318522 | 880327 | 2396979 | (286182) | 5903294 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 12298788 | 479507 | 10217832 | 193649 | 70858 | 1928951 | 904464 | 5393878 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Multi-Sector Fixed Income Fund, Class IV | 6438354 | 219378 | 6671906 | 109378 |  | 175757 | (161583) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 6328153 | 1412991 | 6176851 | 14661 | 1398330 | (1589283) | 24990 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 5954138 | 843036 | 4580314 | 25161 | 238133 | 993509 | (857372) | 2352997 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund, Class VI | 3617649 | 38985 | 3300000 | 38985 |  | (760857) | 1284542 | 880319 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI | 5417916 | 1145613 | 5199784 | 4702 | 8467 | 342729 | (111802) | 1594672 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 9607701 | 6812823 | 11724856 | 70280 | 640767 | 253326 | 536715 | 5485709 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Opportunistic Value Fund, Class VI | 13827042 | 2431154 | 10545097 | 178047 | 679898 | 427211 | (542882) | 5597428 |

---

169.0 ------

#### GMO Trust Funds

#### &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

#### Notes to Financial Statements — (Continued)

#### February 28, 2026

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income** | **Distributions<br>of Realized<br>Gains** | **Net**<br> **Realized**<br> **Gain (Loss)** | <br> **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund, Class VI | $3675432 | $6938700 | $9100000 | $87595 | $— | $43 | $(44) | $1514131 |
| &nbsp;&nbsp;&nbsp; Totals | $170612868 | $35172315 | $152347359 | $2521843 | $4707762 | $9310230 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7561937 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70309991 |

---

\* 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 $45,346, $83,768 and $72 in Benchmark-Free Fund, Implementation Fund and Multi-Asset Credit Fund, respectively, during the period. 

170.0 ------

#### Report of Independent Registered Public Accounting Firm
**To the Board of Trustees of GMO Trust and Shareholders of GMO Alternative Allocation Fund, GMO Benchmark-Free Allocation Fund, GMO Benchmark-Free Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO Implementation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund, GMO MAC Implementation Fund, GMO Multi-Asset Credit Fund and GMO Strategic Opportunities Allocation Fund** 

#### Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (twelve of the funds constituting GMO Trust, hereafter collectively referred to as the "Funds") as of February 28, 2026, the related statements of operations, of changes in net assets and, for the funds indicated in the table below, of cash flows, for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds listed in the table below as of February 28, 2026, the results of each of their operations, the changes in each of their net assets and, for the funds indicated in the table below, each of their cash flows, for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.

&nbsp;&nbsp;&nbsp;&nbsp;(1) GMO Benchmark-Free Allocation Fund, GMO Global Asset Allocation Fund, GMO Global Developed Equity Allocation Fund, GMO Global Equity Allocation Fund, GMO International Developed Equity Allocation Fund, GMO International Equity Allocation Fund and Strategic Opportunities Allocation Fund

&nbsp;&nbsp;&nbsp;&nbsp;(2) GMO Alternative Allocation Fund\*, GMO Benchmark-Free Fund, and GMO Implementation Fund\*\*

&nbsp;&nbsp;&nbsp;&nbsp;(3) GMO MAC Implementation Fund and GMO Multi-Asset Credit Fund

&nbsp;&nbsp;&nbsp;&nbsp;(1) Statement of operations for the year ended February 28, 2026 and statement of changes in net assets for the years ended February 28, 2026 and 2025

&nbsp;&nbsp;&nbsp;&nbsp;(2) Statement of operations and statement of cash flows for the year ended February 28, 2026, and statement of changes in net assets for the years ended February 28, 2026 and 2025

&nbsp;&nbsp;&nbsp;&nbsp;(3) Statement of operations and statement of changes in net assets for the period from May 21, 2025 (commencement of operations) through February 28, 2026

\*The financial statements for GMO Alternative Allocation Fund and its subsidiary are presented on a consolidated basis.

\*\*The statement of assets and liabilities, including the schedule of investments, for GMO Implementation Fund is presented on a stand-alone basis as of February 28, 2026 and the statement of operations, statement of changes in net assets, statement of cash flows and the financial highlights for GMO Implementation Fund and its subsidiary are presented on a consolidated basis for the year ended February 28, 2026. The prior period financial statements for GMO Implementation Fund and its subsidiary are presented on a consolidated basis.

#### Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2026 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

---

| |
|:---|
|  /s/PricewaterhouseCoopers LLP |
|  Boston, Massachusetts |
|  April 24, 2026 |

---

We have served as the auditor of one or more investment companies in the GMO mutual funds complex since 1985.

------

#### GMO Trust Funds

#### Tax Information for the Tax Year Ended February 28, 2026 (Unaudited)
The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributable earnings on a tax basis, the Funds designate the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal year-ended February 28, 2026:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Fund Name** | **Dividend<br>Received<br>Deduction<br>(corporate<br>shareholders)**<br> **($)** | **Qualified<br>Dividend<br>Income<br>(non-corporate<br>shareholders)**<br> **($)** | **U.S.<br>Government<br>Obligation<br>Income**<br> **($)<sup>(1)</sup>**  | **Interest-<br>Related<br>Dividend<br>Income**<br> **($)<sup>(2)</sup>**  | **Short-Term<br>Capital Gain<br>Dividends**<br> **($)<sup>(2)</sup>**  | **Long-Term<br>Capital Gain<br>Distributions**<br> **($)** | **Foreign<br>Taxes<br>Paid**<br> **($)<sup>(3)</sup>**  | **Foreign<br>Source<br>Income**<br> **($)<sup>(3)</sup>**  | **Section 199A<br>Dividend<br>Income<br>(non-corporate<br>shareholders)**<br> **($)<sup>(4)</sup>**  | **Code<br>Section 163(j)<br>Interest-Related<br>Dividend<br>Income**<br> **($)<sup>(5)</sup>**  |
| &nbsp;&nbsp;&nbsp;&nbsp; Alternative Allocation Fund | 8706117 | 18893639 | 7881226 | 10070642 | 45092965 | 7853355 |  |  | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Benchmark-Free Allocation Fund | 8994845 | 43793025 | 26954597 | 34713984 |  |  | 3992810 | 45954935 | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Benchmark-Free Fund | 4682867 | 22744632 | 12238792 | 19278404 |  |  |  |  | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Global Asset Allocation Fund | 2489688 | 8099233 | 1820312 | 4381171 |  |  | 552098 | 5479642 | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Global Developed Equity Allocation Fund | 703432 | 1950000 |  |  |  | 1403760 | 79937 | 1141765 | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Global Equity Allocation Fund | 4162449 | 12970613 |  |  |  |  | 941976 | 9703405 | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Implementation Fund | 6403109 | 40719582 | 23613483 | 34024662 |  |  | 4273584 | 49186488 | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp; International Developed Equity Allocation Fund |  | 6023582 |  |  |  | 3723618 | 346627 | 5729471 | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp; International Equity Allocation Fund |  | 9027472 |  |  |  | 12591493 | 1174266 | 11253605 | – |  |
| &nbsp;&nbsp;&nbsp;&nbsp; MAC Implementation Fund |  |  | 421508 | 427392 | 240413 | 336010 |  |  | – | 427392 |
| &nbsp;&nbsp;&nbsp;&nbsp; Multi-Asset Credit Fund |  |  | 1020734 | 2552373 | 290011 | 13102 |  |  | – | 3415100 |
| &nbsp;&nbsp;&nbsp;&nbsp; Strategic Opportunities Allocation Fund | 472465 | 1399029 | 275057 | 454125 |  | 9225566 | 79431 | 839445 | – |  |

---

<sup>(1)</sup> All or a portion of these amounts may be exempt from taxation at the state level. 

<sup>(2)</sup> These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the Funds' shareholders. If applicable, interest-related dividend amounts may include short-term capital gain distributions received from underlying funds. 

<sup>(3)</sup> The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds' shareholders.

<sup>(4)</sup> The Funds hereby designate the above qualified business income under Section 199A of the Code.

<sup>(5)</sup> The Funds hereby designate the above business interest-related dividend income pursuant to Section 163(j) of the Code and the regulations.

In early 2027, the Funds will notify applicable shareholders of amounts for use in preparing 2026 U.S. federal income tax forms.

------

#### Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
There were no changes in or disagreements with accountants.

#### Item 9. Proxy Disclosures for Open-End Management Investment Companies.
A special meeting of the shareholders of GMO Trust (the "Trust") was held on September 9, 2025 to vote on the proposed election of Paul Braverman, Peter Tufano, Enrique Chang, and Dina Santoro (the "Nominees") as Trustees of the Trust. The election of each Nominee was approved by shareholders at the meeting, and no other business or proposals were brought or voted on at the meeting. Below is a report showing the votes cast at the shareholder meeting:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Nominee** | **Vote** | **Shares Voted** | **% Voted** | **% of Total Outstanding** |
|  Paul Braverman | FOR | 548201493.522 | 96.152% | 45.224% |
|  | WITHHELD | 21941192.470 | 3.848% | 1.810% |
|  Peter Tufano | FOR | 548102038.082 | 96.135% | 45.216% |
|  | WITHHELD | 22040647.910 | 3.865% | 1.818% |
|  Enrique Chang | FOR | 568795094.239 | 99.764% | 46.923% |
|  | WITHHELD | 1347591.753 | 0.236% | 0.111% |
|  Dina Santoro | FOR | 569513012.795 | 99.890% | 46.983% |
|  | WITHHELD | 629673.197 | 0.110% | 0.051% |

---

#### Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Item is filed under Item 7 of this Form.

#### Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Not applicable.

#### Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to this registrant.

#### Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to this registrant.

#### Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to this registrant.

#### Item 15. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees.

#### Item 16. Controls and Procedures.
(a) The registrant's Principal Executive Officer and Principal Financial Officer have concluded as of a date within 90 days of the filing of this report, based on their evaluation of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and reported within the time periods specified in the Commission's rules and forms.

(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period

------

covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

#### Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to this registrant.

#### Item 18. Recovery of Erroneously Awarded Compensation
Not applicable.

#### Item 19. Exhibits.
(a)(1) [Code of Ethics described in Item 2 is filed herewith.](d12033dex99codeeth.htm)

(a)(2) Not applicable.

[(a)(3) Certifications by the Principal Executive Officer and the Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are filed herewith.](d12033dex99cert.htm)

(a)(4) Not applicable.

(a)(5) Not applicable.

(b) [Certifications by the registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith.](d12033dex99906cert.htm)

------

#### SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

---

| | |
|:---|:---|
| (Registrant) | GMO Trust |
| By (Signature and Title): | <u>/s/ Tara Pari</u> |
|  | Tara Pari, Chief Executive Officer |
|  | Date: May 7, 2026 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
|  By (Signature and Title): | <u>/s/ Tara Pari</u> |
|  | Tara Pari, Principal Executive Officer |
|  | Date: May 7, 2026 |
|  By (Signature and Title): | <u>/s/ Betty Maganzini</u>  |
|  | Betty Maganzini, Principal Financial Officer |
|  | Date: May 7, 2026 |

---

## Ex-99.Code

![LOGO](g12033dsp012.jpg)

---

| | |
|:---|:---|
|  | **GMO Trust** |
| **Code of Ethics for Principal Executive**<br> **Officer and Principal Accounting Officer**<br> Adopted: November 2003/Last Revised: December 5, 2025<br> Last Reviewed: December 2025 | **GMO ETF Trust** |

---

**I.** **Covered Officers/Purpose of the Code** 

This code of ethics (the "Code") for GMO Trust and GMO ETF Trust (each a "Trust") and each series thereof constituting a separate investment portfolio (the "Funds") applies to each Trust's Principal Executive Officer and Principal Accounting Officer (the "Covered Officers").<sup>1</sup> The Code is intended to promote:

• honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between
personal and professional relationships;

• full, fair, accurate, timely and understandable disclosure in reports and documents that a registrant files
with, or submits to, the SEC and in other public communications made by the Trust;

• compliance with applicable laws and governmental rules and regulations;

• the prompt internal reporting of violations of the Code to an appropriate person or persons identified in the
Code; and

• accountability for adherence to the Code.

Each Covered Officer should adhere to high standards of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.<sup>2</sup>

**II.** **Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest** 

**Overview.** A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or that Officer's service to, the Trust. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of that Officer's position in the Trust.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Trust and Grantham, Mayo, Van Otterloo & Co. LLC ("GMO"), the Trust's investment adviser, of which the Covered Officers are also members, officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Trust or GMO, or for both), be involved in establishing policies and implementing decisions which will have different effects on GMO and the Trust. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Trust and GMO and is consistent with the performance by the Covered Officers of their duties as officers of the Trust. In addition, it is recognized by the trustees of the Trust (the "Trustees") that the Covered Officers may also be officers or employees of one or more other investment companies covered by this or other Codes. These types of

<sup>1</sup> References to the "Trust", the "Board" and the "Trustees" in this policy shall refer to the applicable GMO Trust or GMO ETF Trust entity as appropriate.

<sup>2</sup> Pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (15 U.S.C. § 7264).

------

conflicts are addressed by the Investment Company Act, the Investment Advisers Act and other policies and procedures of the Trust.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. In reading the following examples of conflicts of interest under the Code, Covered Officers should keep in mind that such a list cannot ever be exhaustive by covering every possible scenario. It follows that the overarching principle – that the personal interest of a Covered Officer should not be placed improperly before the interest of the Trust – should be the guiding principle in all circumstances. Each Covered Officer must:

• not use personal influence or personal relationships improperly to influence investment decisions or financial
reporting by the Trust whereby the Covered Officer would benefit personally to the detriment of the Trust;

• not cause the Trust to take action, or fail to take action, for the individual personal benefit of the Covered
Officer rather than for the benefit of the Trust;

• not use material non-public knowledge of portfolio transactions made
or contemplated for the Trust to profit personally or cause others to profit, by the market effect of such transactions;

• not retaliate against any employee or Covered Officer for reports of potential violations of law that are made
in good faith.

There are some conflict of interest situations that should always be discussed with the Trust's Chief Legal Officer if material. Examples of these include:

• any outside business activity other than with GMO and its affiliates that detracts from an individual's
ability to devote appropriate time and attention to his responsibilities with the Trust;

• service as a director on the board (or equivalent position) of any company;

• the receipt of any non-nominal gifts in excess of the amount stated in
GMO's Gift Policy;

• the receipt of any entertainment from any company with which the Trust has current or prospective business
dealings unless such entertainment is business- related, reasonable in cost, appropriate as to time and place, and not so frequent as to raise any question of impropriety;

• any ownership interest in, or any consulting or employment relationship with, any of the Trust's service
providers, other than GMO and its affiliates;

• a direct or indirect financial interest in commissions, transaction charges or spreads paid by the Trust for
effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer's employment, such as compensation or equity ownership.

**III.** **Disclosure** 

• Each Covered Officer must be familiar with the disclosure requirements applicable to the Trust and the
Funds' disclosure controls and procedures;

• Each Covered Officer must not knowingly misrepresent, or cause others to misrepresent, facts about the Trust
to others, whether within or outside the Trust, including to the Trustees and auditors, and to governmental regulators and self-regulatory organizations; and

• It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions
imposed by applicable, laws, rules and regulations.

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**IV.** **Reporting and Accountability** 

Each Covered Officer must:

• upon adoption of the Code (or thereafter as applicable, upon becoming a Covered Officer), affirm in writing to
the Trust that the Covered Officer has received, read, and understands the Code (Exhibit A).

• annually thereafter affirm to the Trust that the Covered Officer has complied with the requirements of the
Code by completing the Annual Report within GMO's online Code of Ethics system.

• report at least annually affiliations and potential conflicts by completing the Quarterly Reports within
GMO's online Code of Ethics system.

• notify the Trust's Chief Legal Officer and the Chairman of the Trust's Audit Committee promptly if
Covered Officer knows of any violation of this Code. Failure to do so is itself a violation of this Code.

The Trust's Chief Legal Officer is responsible for applying this Code to specific situations in which questions are presented under it and has the authority to interpret this Code in any particular situation. However, any approvals or waivers sought by any Covered Officer must be considered by the Trust's Audit Committee.

The Trust will follow these procedures in investigating and enforcing this Code:

• the Trust's Chief Legal Officer will take all appropriate action to investigate any violations and
potential violations reported to him;

• if, after such investigation, the Trust's Chief Legal Officer believes that no violation has occurred,
the Chief Legal Officer is not required to take any further action; any matter the Trust's Chief Legal Officer believes is or may be a violation will be reported to the Trust's Audit Committee; and

• if the Audit Committee determines that a violation has occurred, it will inform and make a recommendation to
the Trustees, which will consider appropriate action which may include review of, and appropriate modifications to, applicable policies and procedures; notification to appropriate personnel of GMO or its board; or a recommendation to dismiss the
Covered Officer as an officer of the Trust.

**V.** **Other Policies and Procedures** 

The Trust's Code of Ethics pursuant to Rule 17j-1 under the Investment Company Act, GMO's Code of Ethics pursuant to Rule 204A-1 under the Investment Advisers Act, and GMO's more detailed policies and procedures are separate requirements applying to the Covered Officers and others and are not part of this Code. This Code does not, and is not intended to, repeat or replace these programs and procedures.

**VI.** **Amendments and Waivers** 

This Code may not be materially amended except in written form, which is specifically approved or ratified by a majority vote of the Trustees, including a majority of independent Trustees. Any

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amendments to or waivers of this Code will, to the extent required, be disclosed as provided by SEC rules<sup>3</sup>.

**VII.** **Confidentiality** 

All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code or in response to a request from a regulatory agency or self-regulatory organization, such matters shall not be disclosed to anyone other than the Audit Committee, the Trustees, their respective counsel, and GMO and its counsel.

**VIII.** **Internal Use** 

The Code is intended solely for the internal use by the Trust and does not constitute an admission, by or on behalf of any Trust, as to any fact, circumstance, or legal conclusion and does not create any rights of third parties.

<sup>3</sup> The Trust discloses amendments to and waivers of this Code on Form N-CSR. See SEC Release Nos. 34-74262.

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EXHIBIT A<sup>4</sup>

**Principal Officers Code Acknowledgement** 

Section IV of the Code of Ethics for Principal Executive Officer and Principal Financial Officer (the "Code") requires that each Covered Officer, upon adoption of the Code, affirm in writing to the Trust that the Covered Officer has received, read, and understands the Code. By executing this, the undersigned makes such affirmation.

<sup>4</sup> As of December 21, 2017.

## Ex-99.Cert

***EX-99.CERT***

**CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:** 

I, Tara Pari, Principal Executive Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant's internal control over financial reporting.

---

| | |
|:---|:---|
| Date: May 7, 2026 | <u>/s/ Tara Pari</u> |
|  | Tara Pari, Principal Executive Officer |

---

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***EX-99.CERT***

**CERTIFICATION PURSUANT TO RULE 30(a)-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:** 

I, Betty Maganzini, Principal Financial Officer of the registrant, certify that:

1. I have reviewed this report on Form N-CSR of the Series of GMO Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in
the registrant's internal control over financial reporting.

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| | |
|:---|:---|
| Date: May 7, 2026 | <u>/s/ Betty Maganzini</u> |
|  | Betty Maganzini, Principal Financial Officer |

---

## Exhibit 99.906

***EX-99.906 CERT***

**CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002** 

Tara Pari, Principal Executive Officer of GMO Trust (the "Registrant"), certifies to the best of her knowledge that:

1. The Registrant's periodic report on Form N-CSR for the
period ended February 28, 2026 (the "Form N-CSR") fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in
all material respects, the financial condition and results of operations of the Registrant.

---

| |
|:---|
| <u>/s/ Tara Pari</u> |
| Tara Pari |
| Principal Executive Officer |
| Date: May 7, 2026 |

---

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the "Commission") or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.

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***EX-99.906 CERT***

**CERTIFICATION PURSUANT TO RULE 30(a)-2(b) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002** 

Betty Maganzini, Principal Financial Officer of GMO Trust (the "Registrant"), certifies to the best of her knowledge that:

1. The Registrant's periodic report on Form N-CSR for the
period ended February 29, 2024 (the "Form N-CSR") fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Form N-CSR fairly presents, in
all material respects, the financial condition and results of operations of the Registrant.

---

| |
|:---|
| <u>/s/ Betty Maganzini</u> |
| Betty Maganzini |
| Principal Financial Officer |
| Date: May 7, 2026 |

---

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission (the "Commission") or its staff upon request.

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Commission.