# EDGAR Filing Document

**Accession Number:** 0001981627
**File Stem:** 0001398344-26-004535
**Filing Date:** 2026-3
**Character Count:** 232788
**Document Hash:** fe9b4a47b8bc8164d33b76348fae94b9
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001398344-26-004535.hdr.sgml**: 20260305

**ACCESSION NUMBER**: 0001398344-26-004535

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 17

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260305

**DATE AS OF CHANGE**: 20260305

**EFFECTIVENESS DATE**: 20260305

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GMO ETF Trust
- **CENTRAL INDEX KEY:** 0001981627

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0229

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23895
- **FILM NUMBER:** 26726486

**BUSINESS ADDRESS:**
- **STREET 1:** 53 STATE STREET
- **STREET 2:** FLOOR 33
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 212-309-6231

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** 2023 ETF Series Trust II
- **DATE OF NAME CHANGE:** 20230614

## Series and Classes Contracts Data

### GMO U.S. Quality ETF (Series ID: S000082992)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000246461 | GMO U.S. Quality ETF | QLTY            |

### GMO Beyond China ETF (Series ID: S000088547)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000254839 | GMO Beyond China ETF | BCHI            |

### GMO International Quality ETF (Series ID: S000088548)

| Class ID   | Class Name                    | Ticker Symbol   |
|:---|:---|:---|
| C000254840 | GMO International Quality ETF | QLTI            |

### GMO International Value ETF (Series ID: S000088549)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000254841 | GMO International Value ETF | GMOI            |

### GMO Systematic Investment Grade Credit ETF (Series ID: S000088550)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000254842 | GMO Systematic Investment Grade Credit ETF | INVG            |

### GMO U.S. Value ETF (Series ID: S000088551)

| Class ID   | Class Name         | Ticker Symbol   |
|:---|:---|:---|
| C000254843 | GMO U.S. Value ETF | GMOV            |

### GMO Domestic Resilience ETF (Series ID: S000094780)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000263320 | GMO Domestic Resilience ETF | DRES            |

### GMO Dynamic Allocation ETF (Series ID: S000094781)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000263321 | GMO Dynamic Allocation ETF | GMOD            |

### GMO Ultra-Short Income ETF (Series ID: S000094783)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000263323 | GMO Ultra-Short Income ETF | GMOC            |

?xml version='1.0' encoding='ASCII'? Consolidated ssr-output-EDGAR XBRL File

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

<u>Investment Company Act file number: 811-23895</u>

<u>GMO ETF Trust</u>

(exact name of registrant as specified in charter)

GMO ETF Trust

53 State Street, Boston, Massachusetts 02109

(Address of principal executive offices) (Zip code)

The Corporation Trust Company

1209 Orange Street

<u>Wilmington, Delaware 19801</u>

(Name and address of agent for service)

Registrant's telephone number, including area code: (617) 330-7500

Date of fiscal year end: <u>February 28</u>

Date of reporting period: December 31, 2025

**Item 1. Report to Shareholders.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment
 Company Act of 1940, as amended (the "1940 Act"):

**#### GMO Ultra-Short Income ETF
![Image](id36dc4a51e69e6293bd594ae.jpg)

#### Ticker: GMOC; Exchange: NYSE Arca, Inc.

#### Semi-Annual Shareholder Report - December 31, 2025
This semi-annual shareholder report contains important information about GMO Ultra-Short Income ETF for the period of October 28, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

# What were the Fund costs for the last six months?

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

---

| | | |
|:---|:---|:---|
| Fund Name | Costs of a $10,000 investment<sup>Footnote Reference\*</sup> | Costs paid as a percentage of a $10,000 investment |
| GMO Ultra-Short Income ETF | $4 | 0.20%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;For the period October 28, 2025 (commencement of operations) through December 31, 2025. The costs would have been higher had the Fund operated the full six-month period. |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $7494035 |
| Number of Portfolio Holdings | 45 |
| Portfolio Turnover Rate | 2% |

---

# What does the Fund invest in?

# Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Debt Obligations | 95.5 |
| Short-Term Investments | 3.5 |
| Other | 1 |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/solutions/etf-investing-at-gmo/](i8c909015a60c8e39149fdc45.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/etf-documents/ or scan the QR code.

Phone: (844) 761-1102 (toll-free)

#### GMO Beyond China ETF
![Image](id36dc4a51e69e6293bd594ae.jpg)

#### Ticker: BCHI; Exchange: NYSE Arca, Inc.

#### Semi-Annual Shareholder Report - December 31, 2025
This semi-annual shareholder report contains important information about GMO Beyond China ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

# What were the Fund costs for the last six months?

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

---

| | | |
|:---|:---|:---|
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| GMO Beyond China ETF | $35 | 0.65%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $12211031 |
| Number of Portfolio Holdings | 94 |
| Portfolio Turnover Rate | 16% |

---

# What does the Fund invest in?
The Fund invested primarily in equity securities at period end.

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

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 17.1 |
| Banks | 17.1 |
| Capital Goods | 13.1 |
| Technology Hardware & Equipment | 11.7 |
| Materials | 8.5 |
| Automobiles & Components | 7.2 |
| Real Estate Management & Development | 5.7 |
| Financial Services | 5.7 |
| Consumer Discretionary Distribution & Retail | 4.1 |
| Transportation | 3.0 |
| Food, Beverage & Tobacco | 2.2 |
| Consumer Durables & Apparel | 1.8 |
| Insurance | 1.3 |
| Other (each less than 1%) | 1.5 |

---

---

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

---

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

#### % of Investments

---

| | |
|:---|:---|
| India | 26.4 |
| Taiwan | 25.7 |
| South Korea | 10.1 |
| Thailand | 7.7 |
| Indonesia | 6.8 |
| Vietnam | 6.3 |
| Mexico | 5.6 |
| United Arab Emirates | 3.4 |
| Poland | 2.6 |
| Turkey | 1.7 |
| Brazil | 1.5 |
| Malaysia | 1.1 |
| Other (each less than 1%) | 1.1 |

---

---

| | |
|:---|:---|
| 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/solutions/etf-investing-at-gmo/](i8c909015a60c8e39149fdc45.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/etf-documents/ or scan the QR code.

Phone: (844) 761-1102 (toll-free)

#### GMO Domestic Resilience ETF
![Image](id36dc4a51e69e6293bd594ae.jpg)

#### Ticker: DRES; Exchange: NYSE Arca, Inc.

#### Semi-Annual Shareholder Report - December 31, 2025
This semi-annual shareholder report contains important information about GMO Domestic Resilience ETF for the period of October 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

# What were the Fund costs for the last six months?

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

---

| | | |
|:---|:---|:---|
| Fund Name | Costs of a $10,000 investment<sup>Footnote Reference\*</sup> | Costs paid as a percentage of a $10,000 investment |
| GMO Domestic Resilience ETF | $13 | 0.50%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;For the period October 1, 2025 (commencement of operations) through December 31, 2025. The costs would have been higher had the Fund operated the full six-month period. |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $29394414 |
| Number of Portfolio Holdings | 38 |
| Portfolio Turnover Rate | 0% |

---

# What does the Fund invest in?
The Fund invested primarily in equity securities at period end.

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

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 50.7 |
| Transportation | 21.4 |
| Materials | 16.0 |
| Energy | 7.9 |
| Commercial & Professional Services | 4.0 |

---

---

| | |
|:---|:---|
| 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/solutions/etf-investing-at-gmo/](i8c909015a60c8e39149fdc45.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/etf-documents/ or scan the QR code.

Phone: (844) 761-1102 (toll-free)

#### GMO Dynamic Allocation ETF
![Image](id36dc4a51e69e6293bd594ae.jpg)

#### Ticker: GMOD; Exchange: NYSE Arca, Inc.

#### Semi-Annual Shareholder Report - December 31, 2025
This semi-annual shareholder report contains important information about GMO Dynamic Allocation ETF for the period of October 14, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

# What were the Fund costs for the last six months?

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

---

| | | |
|:---|:---|:---|
| Fund Name | Costs of a $10,000 investment<sup>Footnote Reference\*</sup> | Costs paid as a percentage of a $10,000 investment |
| GMO Dynamic Allocation ETF | $5<sup>Footnote Reference1</sup> | 0.23%<sup>Footnote Reference1,</sup><sup>Footnote Reference2</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;For the period October 14, 2025 (commencement of operations) through December 31, 2025. The costs would have been higher had the Fund operated the full six-month period. |
| &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. |

---

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $18957212 |
| Number of Portfolio Holdings | 17 |
| Portfolio Turnover Rate | 9% |

---

# What does the Fund invest in?

#### Asset Class Summary

#### % of Total Net Assets

---

| | |
|:---|:---|
| Fixed Income Funds | 39.3 |
| International Equity Funds | 27.1 |
| U.S. Equity Funds | 22.9 |
| Emerging Equity Funds | 10.3 |
| Short-Term Investments | 0.4 |

---

# Top Ten Holdings<sup>Footnote Reference \*</sup>

#### % of Investments

---

| | |
|:---|:---|
| GMO U.S. Quality ETF | 10.1 |
| GMO International Value ETF | 10.0 |
| GMO U.S. Value ETF | 9.9 |
| iShares 3-7 Year Treasury Bond ETF | 9.0 |
| Vanguard Intermediate-Term Treasury ETF | 7.9 |
| Invesco National AMT-Free Municipal Bond ETF | 7.6 |
| iShares Core MSCI Emerging Markets ETF | 6.2 |
| iShares Core MSCI International Developed Markets ETF | 6.1 |
| Schwab Intermediate-Term U.S. Treasury ETF | 6.0 |
| State Street SPDR Portfolio Intermediate Term Treasury ETF | 6.0 |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>\*</sup> | &nbsp;&nbsp;Excludes Short-Term Investments. |

---

# Additional Information
![An image of a QR code that, when scanned, navigates the user to the following URL: https://www.gmo.com/americas/solutions/etf-investing-at-gmo/](i8c909015a60c8e39149fdc45.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/etf-documents/ or scan the QR code.

Phone: (844) 761-1102 (toll-free)

#### GMO International Quality ETF
![Image](id36dc4a51e69e6293bd594ae.jpg)

#### Ticker: QLTI; Exchange: NYSE Arca, Inc.

#### Semi-Annual Shareholder Report - December 31, 2025
This semi-annual shareholder report contains important information about GMO International Quality ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

# What were the Fund costs for the last six months?

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

---

| | | |
|:---|:---|:---|
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| GMO International Quality ETF | $31 | 0.60%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $252431203 |
| Number of Portfolio Holdings | 34 |
| Portfolio Turnover Rate | 5% |

---

# What does the Fund invest in?
The Fund invested primarily in equity securities at period end.

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

#### % of Investments

---

| | |
|:---|:---|
| Pharmaceuticals, Biotechnology & Life Sciences | 15.5 |
| Food, Beverage & Tobacco | 13.7 |
| Capital Goods | 13.2 |
| Semiconductors & Semiconductor Equipment | 11.0 |
| Consumer Services | 7.8 |
| Household & Personal Products | 7.4 |
| Software & Services | 7.2 |
| Consumer Discretionary Distribution & Retail | 5.4 |
| Consumer Durables & Apparel | 5.3 |
| Materials | 5.0 |
| Health Care Equipment & Services | 3.7 |
| Transportation | 2.5 |
| Commercial & Professional Services | 2.3 |

---

---

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

---

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

#### % of Investments

---

| | |
|:---|:---|
| France | 23.4 |
| United Kingdom | 13.6 |
| Switzerland | 10.9 |
| Spain | 9.7 |
| Germany | 7.1 |
| Japan | 6.2 |
| Ireland | 6.1 |
| Taiwan | 5.3 |
| Netherlands | 4.3 |
| Denmark | 2.7 |
| Sweden | 2.5 |
| Australia | 2.3 |
| Finland | 2.1 |
| Italy | 1.9 |
| Mexico | 1.9 |

---

---

| | |
|:---|:---|
| 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/solutions/etf-investing-at-gmo/](i8c909015a60c8e39149fdc45.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/etf-documents/ or scan the QR code.

Phone: (844) 761-1102 (toll-free)

#### GMO International Value ETF
![Image](id36dc4a51e69e6293bd594ae.jpg)

#### Ticker: GMOI; Exchange: NYSE Arca, Inc.

#### Semi-Annual Shareholder Report - December 31, 2025
This semi-annual shareholder report contains important information about GMO International Value ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

# What were the Fund costs for the last six months?

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

---

| | | |
|:---|:---|:---|
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| GMO International Value ETF | $33 | 0.60%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $231324025 |
| Number of Portfolio Holdings | 164 |
| Portfolio Turnover Rate | 4% |

---

# What does the Fund invest in?
The Fund invested primarily in equity securities at period end.

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

#### % of Investments

---

| | |
|:---|:---|
| Banks | 22.2 |
| Pharmaceuticals, Biotechnology & Life Sciences | 11.1 |
| Energy | 9.6 |
| Materials | 8.9 |
| Capital Goods | 8.6 |
| Automobiles & Components | 8.4 |
| Insurance | 7.0 |
| Telecommunication Services | 3.9 |
| Food, Beverage & Tobacco | 3.6 |
| Transportation | 3.6 |
| Financial Services | 3.2 |
| Real Estate Management & Development | 2.0 |
| Consumer Durables & Apparel | 1.8 |
| Consumer Staples Distribution & Retail | 1.6 |
| Technology Hardware & Equipment | 1.3 |
| Household & Personal Products | 1.1 |
| Other (each less than 1%) | 2.1 |

---

---

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

---

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

#### % of Investments

---

| | |
|:---|:---|
| Japan | 20.5 |
| Canada | 15.0 |
| United Kingdom | 10.0 |
| France | 9.7 |
| Germany | 9.0 |
| Switzerland | 7.3 |
| Spain | 5.6 |
| Australia | 5.5 |
| Sweden | 3.4 |
| Netherlands | 2.4 |
| Norway | 2.3 |
| Hong Kong | 2.2 |
| Italy | 2.0 |
| Israel | 1.4 |
| Austria | 1.1 |
| Other (each less than 1%) | 2.6 |

---

---

| | |
|:---|:---|
| 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/solutions/etf-investing-at-gmo/](i8c909015a60c8e39149fdc45.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/etf-documents/ or scan the QR code.

Phone: (844) 761-1102 (toll-free)

#### GMO Systematic Investment Grade Credit ETF
![Image](id36dc4a51e69e6293bd594ae.jpg)

#### Ticker: INVG; Exchange: NYSE Arca, Inc.

#### Semi-Annual Shareholder Report - December 31, 2025
This semi-annual shareholder report contains important information about GMO Systematic Investment Grade Credit ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

# What were the Fund costs for the last six months?

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

---

| | | |
|:---|:---|:---|
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| GMO Systematic Investment Grade Credit ETF | $13 | 0.25%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $19242467 |
| Number of Portfolio Holdings | 131 |
| Portfolio Turnover Rate | 50% |

---

# What does the Fund invest in?
The Fund invested primarily in debt securities at period end.

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

#### % of Investments

---

| | |
|:---|:---|
| Capital Goods | 11.6 |
| Financial Services | 10.9 |
| Banks | 8.7 |
| Health Care Equipment & Services | 6 |
| Energy | 5.8 |
| Consumer Durables & Apparel | 5.7 |
| Equity Real Estate Investment Trusts (REITs) | 5.7 |
| Software & Services | 5.6 |
| Semiconductors & Semiconductor Equipment | 4.8 |
| Technology Hardware & Equipment | 4.6 |
| Pharmaceuticals, Biotechnology & Life Sciences | 4 |
| Automobiles & Components | 4 |
| Utilities | 3.9 |
| Media & Entertainment | 3.6 |
| Food, Beverage & Tobacco | 3.4 |
| Consumer Services | 2 |
| Commercial & Professional Services | 1.9 |
| Household & Personal Products | 1.9 |
| Telecommunication Services | 1.9 |
| Materials | 1.9 |
| Consumer Discretionary Distribution & Retail | 1.1 |
| Other (each less than 1%) | 1 |

---

---

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

---

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

#### % of Investments

---

| | |
|:---|:---|
| United States | 85.6 |
| Canada | 8.8 |
| United Kingdom | 4.4 |
| Other (each less than 1%) | 1.2 |

---

---

| | |
|:---|:---|
| 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/solutions/etf-investing-at-gmo/](i8c909015a60c8e39149fdc45.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/etf-documents/ or scan the QR code.

Phone: (844) 761-1102 (toll-free)

#### GMO U.S. Value ETF
![Image](id36dc4a51e69e6293bd594ae.jpg)

#### Ticker: GMOV; Exchange: NYSE Arca, Inc.

#### Semi-Annual Shareholder Report - December 31, 2025
This semi-annual shareholder report contains important information about GMO U.S. Value ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

# What were the Fund costs for the last six months?

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

---

| | | |
|:---|:---|:---|
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| GMO U.S. Value ETF | $27 | 0.50%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $67035118 |
| Number of Portfolio Holdings | 167 |
| Portfolio Turnover Rate | 22% |

---

# What does the Fund invest in?
The Fund invested primarily in equity securities at period end.

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

#### % of Investments

---

| | |
|:---|:---|
| Pharmaceuticals, Biotechnology & Life Sciences | 13.1 |
| Financial Services | 9.8 |
| Banks | 9.7 |
| Media & Entertainment | 8.8 |
| Energy | 8.7 |
| Insurance | 6.9 |
| Health Care Equipment & Services | 5.3 |
| Technology Hardware & Equipment | 4.2 |
| Capital Goods | 3.8 |
| Telecommunication Services | 3.5 |
| Consumer Durables & Apparel | 3.3 |
| Food, Beverage & Tobacco | 3.1 |
| Semiconductors & Semiconductor Equipment | 3.1 |
| Consumer Discretionary Distribution & Retail | 2.7 |
| Automobiles & Components | 2.7 |
| Consumer Staples Distribution & Retail | 2.3 |
| Transportation | 2.1 |
| Household & Personal Products | 2.1 |
| Materials | 1.5 |
| Software & Services | 1.5 |
| Other (each less than 1%) | 1.8 |

---

---

| | |
|:---|:---|
| 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/solutions/etf-investing-at-gmo/](i8c909015a60c8e39149fdc45.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/etf-documents/ or scan the QR code.

Phone: (844) 761-1102 (toll-free)

#### GMO U.S. Quality ETF
![Image](id36dc4a51e69e6293bd594ae.jpg)

#### Ticker: QLTY; Exchange: NYSE Arca, Inc.

#### Semi-Annual Shareholder Report - December 31, 2025
This semi-annual shareholder report contains important information about GMO U.S. Quality ETF for the period of July 1, 2025 to December 31, 2025. You can find additional information about the Fund at https://www.gmo.com/americas/etf-documents/. You can also request this information by contacting us at (844) 761-1102 (toll-free).

# What were the Fund costs for the last six months?

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

---

| | | |
|:---|:---|:---|
| Fund Name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
| GMO U.S. Quality ETF | $27 | 0.50%<sup>Footnote Reference1</sup> |

---

---

| | |
|:---|:---|
| Footnote | Description |
| &nbsp;&nbsp;Footnote<sup>1</sup> | &nbsp;&nbsp;Annualized. |

---

# Key Fund Statistics

---

| | |
|:---|:---|
| Total Net Assets | $3032829364 |
| Number of Portfolio Holdings | 37 |
| Portfolio Turnover Rate | 4% |

---

# What does the Fund invest in?
The Fund invested primarily in equity securities at period end.

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

#### % of Investments

---

| | |
|:---|:---|
| Semiconductors & Semiconductor Equipment | 16.9 |
| Software & Services | 15.4 |
| Pharmaceuticals, Biotechnology & Life Sciences | 13.3 |
| Health Care Equipment & Services | 12.0 |
| Media & Entertainment | 10.2 |
| Food, Beverage & Tobacco | 5.2 |
| Consumer Discretionary Distribution & Retail | 5.0 |
| Technology Hardware & Equipment | 4.7 |
| Consumer Services | 4.7 |
| Banks | 4.2 |
| Financial Services | 3.3 |
| Household & Personal Products | 2.3 |
| Capital Goods | 1.6 |
| Transportation | 1.2 |

---

---

| | |
|:---|:---|
| 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/solutions/etf-investing-at-gmo/](i8c909015a60c8e39149fdc45.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/etf-documents/ or scan the QR code.

Phone: (844) 761-1102 (toll-free)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 2. Code of Ethics.**

Not applicable for semi-annual reports.

**Item 3. Audit Committee Financial Expert.**

Not applicable for semi-annual reports.

**Item 4. Principal Accountant Fees and Services.**

Not applicable for semi-annual reports.

**Item 5. Audit Committee of Listed Registrants.** 

Not applicable for semi-annual reports.

**Item 6. Investments.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Schedule of Investments is included as part of the Report to Shareholders filed under Item 7(a) of this
 Form.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not applicable.

**Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's Financial Statements are attached herewith.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) The registrant's Financial Highlights are included as part of the Financial Statements filed under Item
 7(a) of this Form.

![](fp0097833-1_01.jpg)

**Semi-Annual Financial Statements and Other Information**

(Unaudited)

December 31, 2025

**GMO Beyond China ETF**

**GMO Domestic Resilience ETF**

**GMO Dynamic Allocation ETF**

**GMO International Quality ETF**

**GMO International Value ETF**

**GMO Systematic Investment Grade Credit ETF**

**GMO Ultra-Short Income ETF**

**GMO U.S. Quality ETF**

**GMO U.S. Value ETF**

For a free copy of the Funds' proxy voting guidelines, shareholders may call 1-844 761-1102 (toll-free), 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 or at www.gmo.com.

Information regarding how often shares of the Funds are traded on the New York Stock Exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds can be found 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 GMO ETF Trust (formerly known as The 2023 ETF Series Trust II), which contains a complete discussion of the risks associated with an investment in these Funds and other important information. GMO ETF Trust prospectus can be obtained at www.gmo.com or by calling toll-free 1-844 761-1102 (toll-free). GMO ETF Trust Statement of Additional Information includes additional information about the Trustees of GMO ETF Trust and is available without charge, upon request, by calling 1-844 761-1102 (toll-free).

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, focused investment risk, ETF risks, limited authorized participants, market makers and liquidity providers risk, new/smaller funds risk and market disruption.

**Table of Contents**

---

| | |
|:---|:---|
|  | **<u>Page</u>** |
| GMO Beyond China ETF |  |
| &nbsp;&nbsp;&nbsp;Schedule of Investments | 1 |
| GMO Domestic Resilience ETF |  |
| &nbsp;&nbsp;&nbsp;Schedule of Investments | 3 |
| GMO Dynamic Allocation ETF |  |
| &nbsp;&nbsp;&nbsp;Schedule of Investments | 4 |
| GMO International Quality ETF |  |
| &nbsp;&nbsp;&nbsp;Schedule of Investments | 5 |
| GMO International Value ETF |  |
| &nbsp;&nbsp;&nbsp;Schedule of Investments | 6 |
| GMO Systematic Investment Grade Credit ETF |  |
| &nbsp;&nbsp;&nbsp;Schedule of Investments | 9 |
| GMO Ultra-Short Income ETF |  |
| &nbsp;&nbsp;&nbsp;Schedule of Investments | 12 |
| GMO U.S. Quality ETF |  |
| &nbsp;&nbsp;&nbsp;Schedule of Investments | 14 |
| GMO U.S. Value ETF |  |
| &nbsp;&nbsp;&nbsp;Schedule of Investments | 16 |
| Portfolio Abbreviations | 19 |
| Fund Financial Statements: |  |
| &nbsp;&nbsp;&nbsp;Statements of Assets and Liabilities | 20 |
| &nbsp;&nbsp;&nbsp;Statements of Operations | 23 |
| &nbsp;&nbsp;&nbsp;Statements of Changes in Net Assets | 26 |
| Financial Highlights | 31 |
| Notes to Financial Statements | 40 |
| Board Review of Investment Management Agreements | 55 |

---

**GMO Beyond China ETF**

**Schedule of Investments**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 100.2%** |  |
|  | **Brazil — 1.5%** |  |
| 20660 | WEG SA | 182895 |
|  | **Czeck Republic — 0.5%** |  |
| 6450 | Moneta Money Bank AS | 60680 |
|  | **Greece — 0.5%** |  |
| 2040 | Jumbo SA | 66888 |
|  | **India — 26.5%** |  |
| 1133 | ABB India Ltd. | 65140 |
| 1809 | Amara Raja Energy & Mobility Ltd. | 18313 |
| 7257 | Asian Paints Ltd. | 223670 |
| 8597 | AU Small Finance Bank Ltd. | 95306 |
| 31847 | Bajaj Finance Ltd. | 349547 |
| 1890 | Balkrishna Industries Ltd. | 48497 |
| 21711 | Castrol India Ltd. | 46524 |
| 2021 | Ceat Ltd. | 85448 |
| 10242 | Chambal Fertilisers & Chemicals Ltd. | 54982 |
| 2490 | Coromandel International Ltd. | 62832 |
| 3181 | Cummins India Ltd. | 156687 |
| 3780 | Deepak Fertilisers & Petrochemicals Corp. Ltd. | 54253 |
| 479 | Dixon Technologies India Ltd. | 64277 |
| 4271 | Eicher Motors Ltd. | 347556 |
| 1790 | Finolex Cables Ltd. | 14957 |
| 19400 | Firstsource Solutions Ltd. | 72416 |
| 8214 | HBL Engineering Ltd. | 84535 |
| 5722 | Hero MotoCorp Ltd. | 366827 |
| 21259 | Hindalco Industries Ltd. | 209564 |
| 9608 | ICICI Bank Ltd. –ADR | 286318 |
| 17371 | IRCON International Ltd. | 34315 |
| 10059 | JM Financial Ltd. | 16842 |
| 653 | KEI Industries Ltd. | 32343 |
| 1089 | Kirloskar Brothers Ltd. | 19519 |
| 14393 | Manappuram Finance Ltd. | 49474 |
| 194 | Maruti Suzuki India Ltd. | 36020 |
| 1043 | Navin Fluorine International Ltd. | 68646 |
| 6953 | Nippon Life India Asset Management Ltd. | 68231 |
| 9377 | Paradeep Phosphates Ltd. | 17225 |
| 7763 | PCBL Chemical Ltd. | 26080 |
| 8427 | Shriram Finance Ltd. | 93459 |
| 1770 | SRF Ltd. | 60412 |
|  | Total India | 3230215 |
|  | **Indonesia — 6.9%** |  |
| 600900 | Aneka Tambang Tbk. PT | 113513 |
| 197700 | Astra International Tbk. PT | 79436 |
| 801000 | Bank Central Asia Tbk. PT | 387891 |
| 469000 | Bank Mandiri Persero Tbk. PT | 143442 |
| 427000 | Bank Negara Indonesia Persero Tbk. PT | 111903 |
|  | Total Indonesia | 836185 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Malaysia — 1.1%** | |
| 56600 | Gamuda Bhd. | 69460 |
| 47468 | Westports Holdings Bhd. | 66324 |
|  | Total Malaysia | 135784 |
|  | **Mexico — 5.6%** |  |
| 9650 | Arca Continental SAB de CV | 104230 |
| 13900 | Banco del Bajio SA | 35168 |
| 8430 | Cemex SAB de CV –ADR | 96861 |
| 17582 | Corp. Inmobiliaria Vesta SAB de CV | 53778 |
| 608 | Fomento Economico Mexicano SAB de CV –ADR | 61450 |
| 45747 | Gentera SAB de CV | 116759 |
| 2340 | Gruma SAB de CV –Class B | 40223 |
| 2682 | Grupo Financiero Banorte SAB de CV –ADR | 124502 |
| 18008 | Wal-Mart de Mexico SAB de CV | 56012 |
|  | Total Mexico | 688983 |
|  | **Poland — 2.6%** |  |
| 2740 | Bank Polska Kasa Opieki SA | 156539 |
| 8647 | Powszechny Zaklad Ubezpieczen SA | 160752 |
|  | Total Poland | 317291 |
|  | **South Korea — 10.1%** |  |
| 946 | DB HiTek Co. Ltd. | 44392 |
| 5045 | HMM Co. Ltd. | 71794 |
| 2757 | Hyundai Engineering & Construction Co. Ltd. | 134161 |
| 1299 | Hyundai Glovis Co. Ltd. | 162854 |
| 743 | LS Electric Co. Ltd. | 237257 |
| 7053 | Samsung Electronics Co. Ltd. | 587036 |
|  | Total South Korea | 1237494 |
|  | **Taiwan — 25.8%** |  |
| 6210 | Advantech Co. Ltd. | 56921 |
| 7145 | Bizlink Holding, Inc. | 345647 |
| 3296 | Chroma ATE, Inc. | 81297 |
| 15415 | Delta Electronics, Inc. | 472451 |
| 17417 | Lite-On Technology Corp. | 90631 |
| 8130 | MediaTek, Inc. | 370010 |
| 3111 | Parade Technologies Ltd. | 57823 |
| 3513 | Phison Electronics Corp. | 162119 |
| 30529 | Radiant Opto-Electronics Corp. | 120482 |
| 8808 | Realtek Semiconductor Corp. | 137080 |
| 7913 | Sinbon Electronics Co. Ltd. | 48479 |
| 3961 | Taiwan Semiconductor Manufacturing Co. |  |
|  | Ltd. –ADR | 1203708 |
|  | Total Taiwan | 3146648 |
|  | **Thailand — 7.7%** |  |
| 58600 | Amata Corp. PCL –NVDR | 30876 |
| 264000 | AP Thailand PCL –NVDR | 72065 |
| 5500 | Bangkok Bank PCL –NVDR | 29591 |

---

The accompanying notes are an integral part of the financial statements.

**GMO Beyond China ETF**

**Schedule of Investments — (Continued)** 

**(showing percentage of total net assets)** 

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Thailand — continued** |  |
| 18300 | Delta Electronics Thailand PCL –NVDR | 100489 |
| 29900 | Kasikornbank PCL –NVDR | 184591 |
| 431600 | Krung Thai Bank PCL –NVDR | 387008 |
| 15000 | SCB X PCL –NVDR | 66180 |
| 79000 | Supalai PCL –NVDR | 42628 |
| 262400 | WHA Corp. PCL –NVDR | 27319 |
|  | Total Thailand | 940747 |
|  | **Turkey — 1.7%** |  |
| 17027 | Arcelik AS \* | 40066 |
| 12259 | Dogus Otomotiv Servis ve Ticaret AS | 53724 |
| 115340 | Mavi Giyim Sanayi Ve Ticaret |  |
|  | AS –Class B | 116947 |
|  | Total Turkey | 210737 |
|  | **United Arab Emirates — 3.4%** |  |
| 51943 | Aldar Properties PJSC | 123043 |
| 15397 | Emaar Development PJSC | 63512 |
| 58602 | Emaar Properties PJSC | 224180 |
|  | Total United Arab Emirates | 410735 |
|  | **Vietnam — 6.3%** |  |
| 76615 | Gelex Group JSC | 127012 |
| 27600 | Gemadept Corp. | 64015 |
| 48600 | Kinh Bac City Development Holding Corp. \* | 65324 |
| 114700 | Mobile World Investment Corp. | 385532 |
| 14214 | PetroVietnam Gas JSC | 39129 |
| 29500 | Vietnam Dairy Products JSC | 68646 |
| 19900 | Vietnam Prosperity JSC Bank | 21678 |
|  | Total Vietnam | 771336 |
|  | TOTAL COMMON STOCKS |  |
|  | (COST $10,116,567) | 12236618 |
|  | **SHORT-TERM INVESTMENTS — 0.4%** |  |
|  | **Money Market Funds — 0.4%** |  |
| 50869 | State Street Institutional Treasury Money |  |
|  | Market Fund – Premier Class, 3.70% <sup>(a)</sup> | 50869 |
|  | TOTAL SHORT-TERM INVESTMENTS |  |
|  | (COST $50,869) | 50869 |
|  | **TOTAL INVESTMENTS — 100.6%** |  |
|  | (Cost $10,167,436) | **12287487** |
|  | Other Assets and Liabilities (net) — (0.6)% | (76456) |
|  | **TOTAL NET ASSETS — 100.0%** | $**12211031** |

---

**Notes to Schedule of Investments:**

\* Non-income producing security.

<sup>(a)</sup> The rate disclosed is the 7 day net yield as of December 31, 2025.

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 19.

The accompanying notes are an integral part of the financial statements.

**GMO Domestic Resilience ETF**

**Schedule of Investments**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 98.4%** |  |
|  | **Capital Goods — 49.8%** |  |
| 1725 | Acuity, Inc. | 621069 |
| 3062 | AECOM | 291900 |
| 2415 | Allegion PLC | 384516 |
| 3335 | Applied Industrial Technologies, Inc. | 856328 |
| 7705 | Arcosa, Inc. | 819196 |
| 3450 | Carlisle Cos., Inc. | 1103517 |
| 7203 | Fastenal Co. | 289056 |
| 2530 | Ferguson Enterprises, Inc. | 563254 |
| 20240 | Fluor Corp. \* | 802111 |
| 1380 | Hubbell, Inc. | 612872 |
| 1610 | Huntington Ingalls Industries, Inc. | 547513 |
| 6758 | Jacobs Solutions, Inc. | 895165 |
| 1955 | L3Harris Technologies, Inc. | 573929 |
| 1495 | Lockheed Martin Corp. | 723087 |
| 3680 | MYR Group, Inc. \* | 804080 |
| 1955 | Northrop Grumman Corp. | 1114760 |
| 4025 | Regal Rexnord Corp. | 564788 |
| 2070 | Rockwell Automation, Inc. | 805375 |
| 722 | United Rentals, Inc. | 584329 |
| 2863 | WESCO International, Inc. | 700404 |
| 52637 | WillScot Holdings Corp. | 991155 |
|  | Total Capital Goods | 14648404 |
|  | **Commercial & Professional Services — 4.0%** |  |
| 4945 | Clean Harbors, Inc. \* | 1159504 |
|  | **Energy — 7.8%** |  |
| 8740 | ConocoPhillips | 818151 |
| 7245 | EOG Resources, Inc. | 760798 |
| 13110 | EQT Corp. | 702696 |
|  | Total Energy | 2281645 |
|  | **Materials — 15.7%** |  |
| 3680 | Eagle Materials, Inc. | 760582 |
| 1840 | Martin Marietta Materials, Inc. | 1145694 |
| 5413 | Nucor Corp. | 882915 |
| 4452 | Steel Dynamics, Inc. | 754391 |
| 3795 | Vulcan Materials Co. | 1082410 |
|  | Total Materials | 4625992 |
|  | **Transportation — 21.1%** |  |
| 2185 | CH Robinson Worldwide, Inc. | 351261 |
| 34617 | CSX Corp. | 1254866 |
| 16889 | Knight-Swift Transportation Holdings, Inc. | 882957 |
| 4140 | Old Dominion Freight Line, Inc. | 649152 |
| 1955 | Saia, Inc. \* | 638347 |
| 8050 | TFI International, Inc. | 831967 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Transportation — continued** |  |
| 6899 | Union Pacific Corp. | 1595877 |
|  | Total Transportation | 6204427 |
|  | TOTAL COMMON STOCKS |  |
|  | (COST $28,619,084) | 28919972 |
|  | **SHORT-TERM INVESTMENTS — 1.6%** |  |
|  | **Money Market Funds — 1.6%** |  |
| 473777 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% <sup>(a)</sup> | 473777 |
|  | TOTAL SHORT-TERM INVESTMENTS |  |
|  | (COST $473,777) | 473777 |
|  | **TOTAL INVESTMENTS — 100.0%** |  |
|  | (Cost $29,092,861) | **29393749** |
|  | Other Assets and Liabilities (net) — 0.0% | 665 |
|  | **TOTAL NET ASSETS — 100.0%** | $**29394414** |

---

**Notes to Schedule of Investments:**

\* Non-income producing security.

<sup>(a)</sup> The rate disclosed is the 7 day net yield as of December 31, 2025.

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 19.

The accompanying notes are an integral part of the financial statements.

**GMO Dynamic Allocation ETF**

**Schedule of Investments**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **INVESTMENT FUNDS — 99.6%** |  |
|  | **United States — 99.6%** |  |
| 21830 | GMO Domestic Resilience ETF <sup>(a)</sup> | 558165 |
| 36055 | GMO International Quality ETF <sup>(a)</sup> | 959063 |
| 56070 | GMO International Value ETF <sup>(a)</sup> | 1882831 |
| 49728 | GMO U.S. Quality ETF <sup>(a)</sup> | 1912539 |
| 68184 | GMO U.S. Value ETF <sup>(a)</sup> | 1874378 |
| 61796 | Invesco National AMT-Free Municipal Bond ETF | 1433049 |
| 14302 | iShares 3-7 Year Treasury Bond ETF | 1706944 |
| 17424 | iShares Core MSCI Emerging Markets ETF | 1171241 |
| 13959 | iShares Core MSCI International Developed Markets ETF | 1151338 |
| 4810 | iShares MSCI EAFE Small-Cap ETF | 372919 |
| 10656 | iShares MSCI Emerging Markets ex China ETF | 774478 |
| 19314 | iShares MSCI Japan Value ETF | 767195 |
| 44874 | Schwab Intermediate-Term U.S. Treasury ETF | 1125440 |
| 39004 | State Street SPDR Portfolio Intermediate Term Treasury ETF | 1124875 |
| 25037 | Vanguard Intermediate-Term Treasury ETF | 1500467 |
| 9592 | Vanguard Short-Term Treasury ETF | 563338 |
|  | TOTAL INVESTMENT FUNDS (COST $18,628,687) | 18878260 |
|  | **SHORT-TERM INVESTMENTS — 0.4%** |  |
|  | **Money Market Funds — 0.4%** |  |
| 80550 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% <sup>(b)</sup> | 80550 |
|  | TOTAL SHORT-TERM INVESTMENTS |  |
|  | (COST $80,550) | 80550 |
|  | **TOTAL INVESTMENTS — 100.0% (Cost $18,709,237)** | **18958810** |
|  | Other Assets and Liabilities (net) — (0.0%) | (1598) |
|  | **TOTAL NET ASSETS — 100.0%** | $**18957212** |

---

**Notes to Schedule of Investments:**

<sup>(a)</sup> Affiliated company (Note 8).

<sup>(b)</sup> The rate disclosed is the 7 day net yield as of December 31, 2025.

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 19.

The accompanying notes are an integral part of the financial statements.

**GMO International Quality ETF**

**Schedule of Investments**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.3%** |  |
|  | **Capital Goods — 13.1%** |  |
| 163400 | Assa Abloy AB – Class B | 6369876 |
| 58896 | Knorr-Bremse AG | 6585767 |
| 73921 | Kone OYJ – Class B | 5260966 |
| 102955 | Safran SA – ADR | 8962233 |
| 105841 | Schneider Electric SE – ADR | 5814322 |
|  | Total Capital Goods | 32993164 |
|  | **Commercial & Professional Services — 2.2%** |  |
| 370500 | Brambles Ltd. | 5676933 |
|  | **Consumer Discretionary Distribution & Retail — 5.4%** |  |
| 206348 | Industria de Diseno Textil SA | 13662459 |
|  | **Consumer Durables & Apparel — 5.3%** |  |
| 88564 | LVMH Moet Hennessy Louis Vuitton SE – ADR | 13356337 |
|  | **Consumer Services — 7.7%** |  |
| 143663 | Amadeus IT Group SA | 10609450 |
| 277232 | Compass Group PLC – ADR | 8868652 |
|  | Total Consumer Services | 19478102 |
|  | **Food, Beverage & Tobacco — 13.6%** |  |
| 730795 | Davide Campari-Milano NV | 4756202 |
| 75606 | Diageo PLC – ADR | 6522530 |
| 46930 | Fomento Economico Mexicano SAB de CV – ADR | 4743215 |
| 97845 | Kerry Group PLC – Class A | 8969021 |
| 31858 | Magnum Ice Cream Co. NV \* | 504949 |
| 88530 | Nestle SA –ADR | 8744993 |
|  | Total Food, Beverage & Tobacco | 34240910 |
|  | **Health Care Equipment & Services — 3.7%** |  |
| 28119 | BioMerieux | 3644913 |
| 38000 | Hoya Corp. | 5745850 |
|  | Total Health Care Equipment & Services | 9390763 |
|  | **Household & Personal Products — 7.4%** |  |
| 111726 | L'Oreal SA –ADR | 9569332 |
| 137780 | Unilever PLC – ADR | 9010812 |
|  | Total Household & Personal Products | 18580144 |
|  | **Materials — 5.0%** |  |
| 183911 | Air Liquide SA –ADR | 6907697 |
| 370512 | Shin-Etsu Chemical Co. Ltd. – ADR | 5742936 |
|  | Total Materials | 12650633 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 15.4%** |  |
| 963099 | Haleon PLC – ADR | 9736931 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — continued** |  |
| 67280 | Novartis AG – ADR | 9275894 |
| 133170 | Novo Nordisk AS – ADR | 6775690 |
| 182387 | Roche Holding AG – ADR | 9405697 |
| 15009 | Sartorius Stedim Biotech | 3704101 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 38898313 |
|  | **Semiconductors & Semiconductor Equipment — 10.9%** |  |
| 9506 | ASML Holding NV – NY Reg Shares | 10170089 |
| 43689 | Taiwan Semiconductor Manufacturing Co. <br>Ltd. – ADR | 13276650 |
| 19000 | Tokyo Electron Ltd. | 4162922 |
|  | Total Semiconductors & Semiconductor Equipment | 27609661 |
|  | **Software & Services — 7.1%** |  |
| 239583 | Dassault Systemes SE | 6712341 |
| 46360 | SAP SE – ADR | 11261308 |
|  | Total Software & Services | 17973649 |
|  | **Transportation — 2.5%** |  |
| 87398 | Ryanair Holdings PLC – ADR | 6309262 |
|  | TOTAL COMMON STOCKS |  |
|  | (COST $242,504,359) | 250820330 |
|  | **SHORT-TERM INVESTMENTS — 0.7%** |  |
|  | **Money Market Funds — 0.7%** |  |
| 1676352 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% <sup>(a)</sup> | 1676352 |
|  | TOTAL SHORT-TERM INVESTMENTS |  |
|  | (COST $1,676,352) | 1676352 |
|  | **TOTAL INVESTMENTS — 100.0%** |  |
|  | (Cost $244,180,711) | **252496682** |
|  | Other Assets and Liabilities (net) — (0.0)% | (65479) |
|  | **TOTAL NET ASSETS — 100.0%** | $**252431203** |

---

**Notes to Schedule of Investments:**

\* Non-income producing security.

<sup>(a)</sup> The rate disclosed is the 7 day net yield as of December 31, 2025.

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 19.

The accompanying notes are an integral part of the financial statements.

**GMO International Value ETF**

**Schedule of Investments**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.8%** |  |
|  | **Australia — 5.4%** |  |
| 87131 | Aurizon Holdings Ltd. | 212236 |
| 130841 | BHP Group Ltd. –ADR | 7898871 |
| 4608 | BlueScope Steel Ltd. | 74019 |
| 215478 | Fortescue Ltd. | 3165021 |
| 4093 | Rio Tinto Ltd. | 401034 |
| 52057 | Woodside Energy Group Ltd. –ADR | 811569 |
|  | Total Australia | 12562750 |
|  | **Austria — 1.1%** |  |
| 27995 | OMV AG | 1563395 |
| 23178 | Raiffeisen Bank International AG | 1043245 |
|  | Total Austria | 2606640 |
|  | **Belgium — 0.3%** |  |
| 10074 | Ageas SA | 707970 |
|  | **Canada — 14.9%** |  |
| 3454 | Alimentation Couche-Tard, Inc. | 188636 |
| 18425 | Bank of Montreal | 2392814 |
| 107246 | Bank of Nova Scotia | 7902958 |
| 7561 | Canadian Imperial Bank of Commerce | 685102 |
| 8598 | Empire Co. Ltd. –Class A | 298930 |
| 290 | Fairfax Financial Holdings Ltd. | 553325 |
| 6194 | IGM Financial, Inc. | 278934 |
| 2069 | Imperial Oil Ltd. | 178749 |
| 21208 | Magna International, Inc. | 1130386 |
| 139310 | Manulife Financial Corp. | 5054167 |
| 31723 | Parex Resources, Inc. | 426425 |
| 31773 | Power Corp. of Canada | 1688711 |
| 4058 | Russel Metals, Inc. | 129497 |
| 74101 | Sun Life Financial, Inc. | 4623902 |
| 3954 | Suncor Energy, Inc. | 175399 |
| 92502 | Toronto-Dominion Bank | 8718122 |
|  | Total Canada | 34426057 |
|  | **Denmark — 0.9%** |  |
| 247 | AP Moller - Maersk AS –Class A | 568955 |
| 568 | AP Moller - Maersk AS –Class B | 1308367 |
| 21300 | H Lundbeck AS | 144644 |
|  | Total Denmark | 2021966 |
|  | **Finland — 0.3%** |  |
| 19465 | Valmet OYJ | 648056 |
|  | **France — 9.6%** |  |
| 929 | Arkema SA | 56935 |
| 12875 | AXA SA | 619753 |
| 65170 | BNP Paribas SA | 6187527 |
| 1337 | Capgemini SE | 223509 |
| 38382 | Carrefour SA | 641866 |
| 15541 | Credit Agricole SA | 320529 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **France — continued** |  |
| 98171 | Sanofi SA –ADR | 4757367 |
| 8772 | Societe Generale SA | 708424 |
| 4021 | Teleperformance SE | 292224 |
| 115775 | TotalEnergies SE | 7574001 |
| 66046 | Valeo SE | 903077 |
|  | Total France | 22285212 |
|  | **Germany — 7.5%** |  |
| 25309 | Bayerische Motoren Werke AG | 2770276 |
| 28188 | Daimler Truck Holding AG | 1236282 |
| 49281 | Deutsche Bank AG | 1917567 |
| 59046 | Deutsche Post AG | 3242635 |
| 91825 | Deutsche Telekom AG –ADR | 3002677 |
| 3877 | DWS Group GmbH & Co. KGaA | 257428 |
| 8363 | Evonik Industries AG | 131305 |
| 27754 | Fresenius Medical Care AG | 1329448 |
| 6748 | Henkel AG & Co. KGaA | 515466 |
| 40934 | Mercedes-Benz Group AG | 2889706 |
|  | Total Germany | 17292790 |
|  | **Hong Kong — 2.1%** |  |
| 143000 | CK Asset Holdings Ltd. | 722469 |
| 232000 | CK Hutchison Holdings Ltd. | 1578424 |
| 34000 | Kerry Properties Ltd. | 88597 |
| 128500 | Sun Hung Kai Properties Ltd. | 1563590 |
| 892500 | WH Group Ltd. | 994253 |
|  | Total Hong Kong | 4947333 |
|  | **Ireland — 0.4%** |  |
| 47996 | AIB Group PLC | 518925 |
| 15234 | Bank of Ireland Group PLC | 293162 |
|  | Total Ireland | 812087 |
|  | **Israel — 1.4%** |  |
| 48850 | Bank Hapoalim BM | 1105224 |
| 28435 | Bank Leumi Le-Israel BM | 626819 |
| 42988 | ICL Group Ltd. | 247030 |
| 65647 | Israel Discount Bank Ltd. –Class A | 697173 |
| 4455 | Mizrahi Tefahot Bank Ltd. | 311125 |
| 15030 | ZIM Integrated Shipping Services Ltd. | 319087 |
|  | Total Israel | 3306458 |
|  | **Italy — 2.0%** |  |
| 23756 | Banco BPM SpA | 363493 |
| 12043 | BPER Banca SpA | 164174 |
| 2406 | Buzzi SpA | 147032 |
| 46280 | Intesa Sanpaolo SpA | 322033 |
| 133732 | Stellantis NV | 1486908 |
| 249429 | Telecom Italia SpA \* | 150610 |
| 24439 | Tenaris SA –ADR | 939679 |
| 40434 | Unipol Assicurazioni SpA | 977446 |
|  | Total Italy | 4551375 |

---

The accompanying notes are an integral part of the financial statements.

**GMO International Value ETF**

**Schedule of Investments — (Continued)**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Japan — 20.3%** | |
| 51000 | Asahi Group Holdings Ltd. | 533800 |
| 56800 | Asahi Kasei Corp. | 503672 |
| 34100 | Brother Industries Ltd. | 679649 |
| 1700 | Credit Saison Co. Ltd. | 45669 |
| 8300 | Dai Nippon Printing Co. Ltd. | 142749 |
| 14400 | Daito Trust Construction Co. Ltd. | 274505 |
| 58400 | Daiwa House Industry Co. Ltd. | 1937967 |
| 49400 | Denso Corp. | 680575 |
| 18200 | Hitachi Construction Machinery Co. Ltd. | 537960 |
| 134603 | Honda Motor Co. Ltd. –ADR | 3968097 |
| 166600 | Inpex Corp. | 3325831 |
| 40900 | Isuzu Motors Ltd. | 636974 |
| 131200 | Japan Post Holdings Co. Ltd. | 1382441 |
| 12800 | Kawasaki Kisen Kaisha Ltd. | 178223 |
| 73000 | Kirin Holdings Co. Ltd. | 1094254 |
| 71900 | Komatsu Ltd. | 2295072 |
| 97453 | Kubota Corp. | 1378987 |
| 14700 | Mazda Motor Corp. | 114398 |
| 152400 | Mitsui & Co. Ltd. | 4517321 |
| 13200 | Mitsui OSK Lines Ltd. | 396910 |
| 8000 | MS&AD Insurance Group Holdings, Inc. | 188100 |
| 61700 | Nippon Yusen KK | 2000208 |
| 8000 | Niterra Co. Ltd. | 351941 |
| 9500 | Nitto Denko Corp. | 225310 |
| 4050300 | NTT, Inc. | 4077709 |
| 49700 | Ono Pharmaceutical Co. Ltd. | 689308 |
| 70600 | ORIX Corp. | 2052556 |
| 2900 | Otsuka Holdings Co. Ltd. | 164273 |
| 227600 | Panasonic Holdings Corp. | 2940172 |
| 16900 | Renesas Electronics Corp. \* | 230886 |
| 8000 | Seiko Epson Corp. | 101277 |
| 32000 | Sekisui Chemical Co. Ltd. | 538304 |
| 31900 | Sekisui House Ltd. | 712374 |
| 56600 | Shionogi & Co. Ltd. | 1026562 |
| 16100 | Sojitz Corp. | 500247 |
| 23600 | Subaru Corp. | 511504 |
| 50600 | Sumitomo Corp. | 1748258 |
| 29500 | Sumitomo Forestry Co. Ltd. | 302175 |
| 11900 | Suntory Beverage & Food Ltd. | 359112 |
| 36400 | Suzuki Motor Corp. | 542491 |
| 19400 | Tosoh Corp. | 291297 |
| 17900 | Toyo Tire Corp. | 495381 |
| 50400 | Toyota Tsusho Corp. | 1696946 |
| 90000 | Yamaha Motor Co. Ltd. | 666209 |
|  | Total Japan | 47037654 |
|  | **Netherlands — 2.4%** |  |
| 24113 | ABN AMRO Bank NV | 844177 |
| 5436 | EXOR NV | 462839 |
| 86660 | ING Groep NV –ADR | 2426480 |
| 7978 | JDE Peet's NV | 298711 |
| 12093 | Koninklijke Ahold Delhaize NV | 495562 |
| 3611 | NN Group NV | 278977 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Netherlands — continued** |  |
| 31152 | Signify NV | 767342 |
|  | Total Netherlands | 5574088 |
|  | **Norway — 2.2%** |  |
| 194425 | Equinor ASA –ADR | 4594263 |
| 52252 | Orkla ASA | 583170 |
|  | Total Norway | 5177433 |
|  | **Singapore — 0.8%** |  |
| 63100 | Oversea-Chinese Banking Corp. Ltd. | 970014 |
| 33300 | United Overseas Bank Ltd. | 908276 |
|  | Total Singapore | 1878290 |
|  | **Spain — 5.6%** |  |
| 16467 | Acerinox SA | 244997 |
| 340125 | Banco Bilbao Vizcaya Argentaria |  |
|  | SA –ADR | 7928314 |
| 191586 | Banco Santander SA | 2267279 |
| 128475 | Repsol SA | 2404417 |
|  | Total Spain | 12845007 |
|  | **Sweden — 3.4%** |  |
| 23927 | Essity AB –Class B | 689235 |
| 27247 | Husqvarna AB –Class B | 137648 |
| 6033 | Investor AB –Class B | 216510 |
| 75057 | SSAB AB –Class B | 567911 |
| 28439 | Swedbank AB –Class A | 991882 |
| 235334 | Telefonaktiebolaget LM Ericsson –ADR | 2270973 |
| 90059 | Volvo AB –Class B | 2894527 |
|  | Total Sweden | 7768686 |
|  | **Switzerland — 7.2%** |  |
| 25788 | Adecco Group AG | 752706 |
| 36043 | Nestle SA –ADR | 3560328 |
| 40712 | Novartis AG –ADR | 5612963 |
| 1446 | Roche Holding AG <sup>(a)</sup> | 611917 |
| 12626 | Roche Holding AG <sup>(a)</sup> | 5231477 |
| 8549 | Sandoz Group AG –ADR | 622154 |
| 470 | Swisscom AG | 341478 |
|  | Total Switzerland | 16733023 |
|  | **United Kingdom — 10.0%** |  |
| 17622 | 3i Group PLC | 775080 |
| 123556 | Aberdeen Group PLC | 342421 |
| 20033 | Associated British Foods PLC | 574364 |
| 4691 | Berkeley Group Holdings PLC | 246859 |
| 565536 | BT Group PLC | 1403040 |
| 7439 | Coca-Cola HBC AG | 385253 |
| 10673 | DCC PLC | 666103 |
| 16567 | Drax Group PLC | 186915 |
| 136220 | GSK PLC –ADR | 6680229 |
| 28018 | HSBC Holdings PLC –ADR | 2204176 |

---

The accompanying notes are an integral part of the financial statements.

**GMO International Value ETF**

**Schedule of Investments — (Continued)**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **United Kingdom — continued** |  |
| 22819 | IG Group Holdings PLC | 404479 |
| 419542 | ITV PLC | 465707 |
| 89128 | J Sainsbury PLC | 390455 |
| 296510 | Kingfisher PLC | 1249802 |
| 80627 | Rio Tinto PLC –ADR | 6452579 |
| 113322 | Schroders PLC | 621703 |
|  | Total United Kingdom | 23049165 |
|  | TOTAL COMMON STOCKS |  |
|  | (COST $192,792,044) | 226232040 |
|  | **PREFERRED STOCKS <sup>(b)</sup> — 1.5%** |  |
|  | **Germany — 1.5%** |  |
| 1995 | Bayerische Motoren Werke AG | 214524 |
| 15341 | Volkswagen AG | 1866876 |
| 16769 | Henkel AG & Co. KGaA | 1371208 |
|  | Total Germany | 3452608 |
|  | TOTAL PREFERRED STOCKS |  |
|  | (COST $3,123,241) | 3452608 |
|  | **SHORT-TERM INVESTMENTS — 0.6%** |  |
|  | **Money Market Funds — 0.6%** |  |
| 1440316 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% <sup>(c)</sup> | 1440316 |
|  | TOTAL SHORT-TERM INVESTMENTS |  |
|  | (COST $1,440,316) | 1440316 |
|  | **TOTAL INVESTMENTS — 99.9%** |  |
|  | (Cost $197,355,601) | **231124964** |
|  | Other Assets and Liabilities (net) — 0.1% | 199061 |
|  | **TOTAL NET ASSETS — 100.0%** | $**231324025** |

---

**Notes to Schedule of Investments:**

\* Non-income producing security.

<sup>(a)</sup> Securities are traded on separate exchanges for the same entity.

<sup>(b)</sup> Preferred dividend rates are disclosed to the extent that a stated rate exists.

<sup>(c)</sup> The rate disclosed is the 7 day net yield as of December 31, 2025.

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 19.

The accompanying notes are an integral part of the financial statements.

**GMO Systematic Investment Grade Credit ETF**

**Schedule of Investments**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 98.1%** |  |
|  | **Australia — 0.3%** |  |
|  | **Corporate Debt — 0.3%** |  |
| 30000 | Westpac Banking Corp., 5.46%, due 11/18/27 | 30924 |
| 30000 | Westpac Banking Corp., 3.40%, due 01/25/28 | 29761 |
|  | Total Australia | 60685 |
|  | **Canada — 8.6%** |  |
|  | **Corporate Debt — 8.6%** |  |
| 56000 | Bank of Nova Scotia, Variable Rate, 1 day USD SOFR + 0.89%, 4.93%, due 02/14/29 | 57076 |
| 156000 | Bank of Nova Scotia, Variable Rate, 1 day USD SOFR + 1.07%, 5.13%, due 02/14/31 | 160723 |
| 195000 | Brookfield Finance, Inc., 5.33%, due 01/15/36 | 195278 |
| 180000 | Brookfield Finance, Inc., 4.70%, due 09/20/47 | 155753 |
| 107000 | Canadian Imperial Bank of Commerce, Variable Rate, 1 day USD SOFR + 1.34%, 4.63%, due 09/11/30 | 108465 |
| 176000 | Canadian Imperial Bank of Commerce, Variable Rate, 1 day USD SOFR Index + 1.17%, 4.58%, due 09/08/31 | 177341 |
| 206000 | Cenovus Energy, Inc., 5.40%, due 06/15/47 | 187752 |
| 185000 | Rogers Communications, Inc., 5.30%, due 02/15/34 | 186406 |
| 199000 | Rogers Communications, Inc., 4.50%, due 03/15/42 | 170091 |
| 25000 | South Bow USA Infrastructure Holdings LLC, 6.18%, due 10/01/54 | 24016 |
| 52000 | Toronto-Dominion Bank, 5.30%, due 01/30/32 | 54307 |
| 191000 | Toronto-Dominion Bank, 3.20%, due 03/10/32 | 178013 |
|  | Total Canada | 1655221 |
|  | **Germany — 0.9%** |  |
|  | **Corporate Debt — 0.9%** |  |
| 175000 | Deutsche Bank AG, Variable Rate, 1 day |  |
|  | USD SOFR + 3.043%, 3.55%, due 09/18/31 | 167008 |
|  | **United Kingdom — 4.4%** |  |
|  | **Corporate Debt — 4.4%** |  |
| 154000 | BAT Capital Corp., 7.08%, due 08/02/43 | 172975 |
| 152000 | BAT Capital Corp., 4.54%, due 08/15/47 | 126088 |
| 180000 | nVent Finance SARL, 5.65%, due 05/15/33 | 187713 |
| 216000 | Smith & Nephew PLC, 2.03%, due 10/14/30 | 194226 |
| 156000 | Smith & Nephew PLC, 5.40%, due 03/20/34 | 161108 |
|  | Total United Kingdom | 842110 |

---

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | **Value ($)** |
|  | **United States — 83.9%** |  |
|  | **Corporate Debt — 83.9%** |  |
| 52000 | 3M Co., 3.38%, due 03/01/29 | 50959 |
| 77000 | Advanced Micro Devices, Inc., 4.32%, due 03/24/28 | 77813 |
| 186000 | AEP Texas, Inc., 5.70%, due 05/15/34 | 193877 |
| 95000 | AES Corp., 5.80%, due 03/15/32 | 97421 |
| 167000 | AGCO Corp., 5.80%, due 03/21/34 | 174811 |
| 175000 | Albemarle Corp., 4.65%, due 06/01/27 | 176071 |
| 175000 | Albemarle Corp., 5.05%, due 06/01/32 | 176180 |
| 125000 | Ally Financial, Inc., Variable Rate, 1 day USD SOFR + 1.78%, 5.55%, due 07/31/33 | 125915 |
| 126000 | Ally Financial, Inc., Variable Rate, 1 day USD SOFR + 2.29%, 6.18%, due 07/26/35 | 130586 |
| 136000 | Alphabet, Inc., 5.30%, due 05/15/65 | 127906 |
| 203000 | Altria Group, Inc., 3.40%, due 02/04/41 | 156968 |
| 248000 | Altria Group, Inc., 3.88%, due 09/16/46 | 186386 |
| 52000 | American Express Co., Variable Rate, 1 day USD SOFR + 1.42%, 5.28%, due 07/26/35 | 53585 |
| 52000 | American Express Co., Variable Rate, 1 day USD SOFR + 1.79%, 5.67%, due 04/25/36 | 54905 |
| 60000 | Amphenol Corp., 2.20%, due 09/15/31 | 53591 |
| 152000 | Apple, Inc., 4.25%, due 02/09/47 | 130390 |
| 170000 | AppLovin Corp., 5.38%, due 12/01/31 | 176285 |
| 185000 | AppLovin Corp., 5.95%, due 12/01/54 | 183224 |
| 111000 | Aptiv Swiss Holdings Ltd., 4.15%, due 05/01/52 | 85359 |
| 52000 | Bank of New York Mellon Corp., Variable Rate, 1 day USD SOFR Index + 2.07%, 5.83%, due 10/25/33 | 56068 |
| 127000 | Bank of New York Mellon Corp., Variable Rate, 1 day USD SOFR + 1.85%, 6.47%, due 10/25/34 | 142076 |
| 200000 | Bio-Rad Laboratories, Inc., 3.70%, due 03/15/32 | 188821 |
| 125000 | BorgWarner, Inc., 4.95%, due 08/15/29 | 127897 |
| 155000 | BorgWarner, Inc., 5.40%, due 08/15/34 | 159834 |
| 180000 | Boston Properties LP, 6.50%, due 01/15/34 | 193760 |
| 185000 | Boston Properties LP, 5.75%, due 01/15/35 | 190255 |
| 23000 | Capital One Financial Corp., Variable Rate, 1 day USD SOFR Index + 3.37%, 7.96%, due 11/02/34 | 27117 |
| 185000 | CH Robinson Worldwide, Inc., 4.20%, due 04/15/28 | 185420 |
| 52000 | Charles Schwab Corp., Variable Rate, 1 day USD SOFR + 2.50%, 5.85%, due 05/19/34 | 55702 |
| 52000 | Charles Schwab Corp., Variable Rate, 1 day USD SOFR + 2.01%, 6.14%, due 08/24/34 | 56679 |
| 26000 | Citigroup, Inc., Variable Rate, 3 mo. USD Term SOFR + 1.65%, 3.67%, due 07/24/28 | 25835 |
| 181000 | Citizens Financial Group, Inc., Variable Rate, 1 day USD SOFR + 1.91%, 5.72%, due 07/23/32 | 189762 |

---

The accompanying notes are an integral part of the financial statements.

**GMO Systematic Investment Grade Credit ETF**

**Schedule of Investments — (Continued)**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | **Value ($)** |
|  | **United States — continued** |  |
|  | **Corporate Debt — continued** |  |
| 156000 | Citizens Financial Group, Inc., Variable Rate, 1 day USD SOFR + 2.33%, 6.65%, due 04/25/35 | 171533 |
| 69000 | Comerica, Inc., Variable Rate, 1 day USD SOFR + 2.16%, 5.98%, due 01/30/30 | 71982 |
| 177000 | Corning, Inc., 5.35%, due 11/15/48 | 171442 |
| 239000 | Corning, Inc., 4.38%, due 11/15/57 | 192797 |
| 186000 | Cummins, Inc., 4.70%, due 02/15/31 | 189905 |
| 180000 | Cummins, Inc., 5.30%, due 05/09/35 | 186655 |
| 91000 | CVS Health Corp., 5.13%, due 07/20/45 | 82155 |
| 167000 | CVS Health Corp., 5.05%, due 03/25/48 | 147219 |
| 220000 | eBay, Inc., 2.70%, due 03/11/30 | 206732 |
| 42000 | Edison International, 6.95%, due 11/15/29 | 44727 |
| 174000 | Estee Lauder Cos., Inc., 4.38%, due 05/15/28 | 175684 |
| 193000 | Estee Lauder Cos., Inc., 2.60%, due 04/15/30 | 181207 |
| 145000 | Flex Ltd., 4.88%, due 06/15/29 | 146989 |
| 130000 | General Electric Co., 4.30%, due 07/29/30 | 131105 |
| 169000 | General Electric Co., 4.90%, due 01/29/36 | 171581 |
| 180000 | General Motors Co., 6.25%, due 04/15/35 | 190871 |
| 175000 | General Motors Co., 6.75%, due 04/01/46 | 187460 |
| 52000 | Goldman Sachs Group, Inc., Variable Rate, 3 mo. USD Term SOFR + 1.77%, 3.69%, due 06/05/28 | 51723 |
| 77000 | Goldman Sachs Group, Inc., Variable Rate, 3 mo. USD Term SOFR + 1.69%, 4.41%, due 04/23/39 | 71139 |
| 179000 | Hasbro, Inc., 3.90%, due 11/19/29 | 176039 |
| 168000 | Hasbro, Inc., 6.05%, due 05/14/34 | 178214 |
| 191000 | HCA, Inc., 5.25%, due 06/15/49 | 172621 |
| 189000 | HCA, Inc., 6.10%, due 04/01/64 | 187225 |
| 197000 | Howmet Aerospace, Inc., 3.00%, due 01/15/29 | 191085 |
| 52000 | Howmet Aerospace, Inc., 4.85%, due 10/15/31 | 53355 |
| 77000 | Huntington Ingalls Industries, Inc., 5.75%, due 01/15/35 | 81421 |
| 182000 | Illumina, Inc., 5.75%, due 12/13/27 | 187453 |
| 328000 | Intel Corp., 3.10%, due 02/15/60 | 183250 |
| 195000 | Intel Corp., 5.90%, due 02/10/63 | 182345 |
| 50000 | Interstate Power & Light Co., 5.60%, due 06/29/35 | 52036 |
| 185000 | IQVIA, Inc., 6.25%, due 02/01/29 | 195012 |
| 182000 | Jacobs Engineering Group, Inc., 6.35%, due 08/18/28 | 191457 |
| 169000 | Jacobs Engineering Group, Inc., 5.90%, due 03/01/33 | 178019 |
| 169000 | Johnson Controls International PLC/Tyco Fire & Security Finance SCA, 5.50%, due 04/19/29 | 175757 |
| 166000 | Johnson Controls International PLC/Tyco Fire & Security Finance SCA, 4.90%, due 12/01/32 | 168767 |
| 120000 | L3Harris Technologies, Inc., 5.35%, due 06/01/34 | 124220 |

---

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | **Value ($)** |
|  | **United States — continued** |  |
|  | **Corporate Debt — continued** |  |
| 182000 | Las Vegas Sands Corp., 6.00%, due 08/15/29 | 189965 |
| 182000 | Las Vegas Sands Corp., 6.20%, due 08/15/34 | 191284 |
| 170000 | Marathon Petroleum Corp., 5.70%, due 03/01/35 | 174936 |
| 169000 | MasTec, Inc., 5.90%, due 06/15/29 | 176070 |
| 125000 | Micron Technology, Inc., 5.88%, due 02/09/33 | 132955 |
| 185000 | Micron Technology, Inc., 5.80%, due 01/15/35 | 194959 |
| 160000 | Morgan Stanley, Variable Rate, 1 day USD SOFR + 1.58%, 5.83%, due 04/19/35 | 170025 |
| 167000 | Morgan Stanley, Variable Rate, 1 day USD SOFR + 1.56%, 5.32%, due 07/19/35 | 171910 |
| 77000 | MPLX LP, 4.70%, due 04/15/48 | 63996 |
| 52000 | MPLX LP, 5.50%, due 02/15/49 | 47752 |
| 235000 | Mylan, Inc., 5.20%, due 04/15/48 | 190950 |
| 170000 | NetApp, Inc., 5.50%, due 03/17/32 | 176834 |
| 195000 | Oncor Electric Delivery Co. LLC, 4.65%, due 11/01/29 | 198182 |
| 155000 | Oracle Corp., 6.90%, due 11/09/52 | 153159 |
| 219000 | Oracle Corp., 5.50%, due 09/27/64 | 174774 |
| 207000 | Paramount Global, 4.20%, due 05/19/32 | 187026 |
| 242000 | Paramount Global, 4.95%, due 05/19/50 | 169468 |
| 70000 | Phillips 66 Co., 4.90%, due 10/01/46 | 61009 |
| 206000 | Phillips 66 Co., 5.50%, due 03/15/55 | 189749 |
| 169000 | Polaris, Inc., 6.95%, due 03/15/29 | 179188 |
| 192000 | Polaris, Inc., 5.60%, due 03/01/31 | 194005 |
| 130000 | Qorvo, Inc., 4.38%, due 10/15/29 | 128103 |
| 77000 | RTX Corp., 3.50%, due 03/15/27 | 76628 |
| 52000 | RTX Corp., 6.10%, due 03/15/34 | 56893 |
| 180000 | Santander Holdings USA, Inc., Variable Rate, 1 day USD SOFR + 1.88%, 5.74%, due 03/20/31 | 186261 |
| 180000 | Santander Holdings USA, Inc., Variable Rate, 1 day USD SOFR + 2.14%, 6.34%, due 05/31/35 | 193013 |
| 171000 | Simon Property Group LP, 5.85%, due 03/08/53 | 173643 |
| 170000 | Simon Property Group LP, 6.65%, due 01/15/54 | 189933 |
| 147000 | Sun Communities Operating LP, 4.20%, due 04/15/32 | 142690 |
| 171000 | Synchrony Financial, Variable Rate, 1 day USD SOFR Index + 2.13%, 5.94%, due 08/02/30 | 178212 |
| 185000 | Synchrony Financial, Variable Rate, 1 day USD SOFR + 2.07%, 6.00%, due 07/29/36 | 189892 |
| 141000 | System Energy Resources, Inc., 5.30%, due 12/15/34 | 142519 |
| 147000 | Take-Two Interactive Software, Inc., 3.70%, due 04/14/27 | 146404 |
| 52000 | Take-Two Interactive Software, Inc., 4.95%, due 03/28/28 | 53007 |
| 174000 | Tapestry, Inc., 5.10%, due 03/11/30 | 178629 |

---

The accompanying notes are an integral part of the financial statements.

**GMO Systematic Investment Grade Credit ETF**

**Schedule of Investments — (Continued)**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Par Value+ /**<br>**Shares** | <br>**Description** |<br>**Value ($)** |
|  | **United States — continued** |  |
|  | **Corporate Debt — continued** |  |
| 174000 | Tapestry, Inc., 5.50%, due 03/11/35 | 177893 |
| 229000 | Utah Acquisition Sub, Inc., 5.25%, due 06/15/46 | 188087 |
| 201000 | Valero Energy Corp., 2.15%, due 09/15/27 | 194650 |
| 183000 | Ventas Realty LP, 5.63%, due 07/01/34 | 191213 |
| 207000 | VMware LLC, 1.80%, due 08/15/28 | 195745 |
| 173000 | VMware LLC, 4.70%, due 05/15/30 | 175749 |
| 168000 | Western Midstream Operating LP, 5.30%, due 03/01/48 | 144855 |
|  | Total United States | 16154855 |
|  | TOTAL DEBT OBLIGATIONS |  |
|  | (COST $18,952,551) | 18879879 |
|  | **SHORT-TERM INVESTMENTS — 0.6%** |  |
|  | **Money Market Funds — 0.6%** |  |
| 105374 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% <sup>(a)</sup> | 105374 |
|  | TOTAL SHORT-TERM INVESTMENTS |  |
|  | (COST $105,374) | 105374 |
|  | **TOTAL INVESTMENTS — 98.7%** |  |
|  | (Cost $19,057,925) | **18985253** |
|  | Other Assets and Liabilities (net) — 1.3% | 257214 |
|  | **TOTAL NET ASSETS — 100.0%** | $**19242467** |

---

**Notes to Schedule of Investments:**

<sup>+</sup> Denominated in U.S. Dollar, unless otherwise indicated.

<sup>(a)</sup> The rate disclosed is the 7 day net yield as of December 31, 2025.

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 19.

The accompanying notes are an integral part of the financial statements.

**GMO Ultra-Short Income ETF**

**Schedule of Investments**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 95.5%** |  |
|  | **Asset-Backed Securities — 78.0%** |  |
|  | **Collateralized Loan Obligations — 78.0%** |  |
| 124412 | Apidos CLO XXX, Series XXXA, A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.08%, 4.96%, due 10/18/31 | 124428 |
| 244624 | ARES LII CLO Ltd., Series 2019-52A, A1RR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.88%, 4.74%, due 04/22/31 | 244444 |
| 232838 | Bain Capital Credit CLO Ltd., Series 2019-2A, AR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.92%, 4.80%, due 10/17/32 | 232886 |
| 245924 | Battalion CLO XV Ltd., Series 2020-15A, A1RR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.98%, 4.86%, due 01/17/33 | 245763 |
| 241922 | Black Diamond CLO Ltd., Series 2016-1A, A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.29%, 5.15%, due 04/26/31 | 242084 |
| 61828 | BlueMountain CLO XXII Ltd., Series 2018-22A, A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.34%, 5.25%, due 07/15/31 | 61855 |
| 245072 | Buttermilk Park CLO Ltd., Series 2018-1A, A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.08%, 4.99%, due 10/15/31 | 245071 |
| 140057 | California Street CLO IX LP, Series 2012-9A, AR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.26%, due 07/16/32 | 140170 |
| 232157 | CarVal CLO III Ltd., Series 2019-2A, AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.99%, 4.87%, due 07/20/32 | 232177 |
| 158051 | Dryden 40 Senior Loan Fund, Series 2015-40A, AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.15%, 5.00%, due 08/15/31 | 158115 |
| 292315 | Dryden 45 Senior Loan Fund, Series 2016-45A, A1RR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.08%, 4.99%, due 10/15/30 | 292369 |
| 241420 | Dryden 54 Senior Loan Fund, Series 2017-54A, AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.15%, 5.03%, due 10/19/29 | 241434 |
| 288400 | Dryden 55 CLO Ltd., Series 2018-55A, A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 5.19%, due 04/15/31 | 288607 |
| 100000 | Fortress Credit BSL X Ltd., Series 2021-1A, AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.10%, 5.01%, due 04/20/33 | 99920 |
| 117938 | ICG U.S. CLO Ltd., Series 2015-2RA, A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.99%, 4.88%, due 01/16/33 | 117896 |
| 199970 | Jefferson Mill CLO Ltd., Series 2015-1A, ARR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 5.11%, due 10/20/31 | 200017 |
| 150000 | LCM 31 Ltd., Series 31A, AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 5.16%, due 07/20/34 | 150042 |

---

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** |  |
|  | **Collateralized Loan Obligations — continued** |  |
| 387298 | Madison Park Funding XIV Ltd., Series 2014-14A, AR4, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.96%, 4.82%, due 10/22/30 | 387427 |
| 214862 | Mountain View CLO LLC, Series 2016-1A, AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.26%, 5.17%, due 04/14/33 | 214864 |
| 195379 | OZLM XV Ltd., Series 2016-15A, A1R3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.05%, 4.93%, due 04/20/33 | 195378 |
| 65365 | OZLM XXIV Ltd., Series 2019-24A, A1AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.42%, 5.31%, due 07/20/32 | 65365 |
| 432857 | Regatta XX Funding Ltd., Series 2021-2A, X, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.97%, 4.88%, due 01/15/38 | 432859 |
| 108824 | Romark CLO II Ltd., Series 2018-2A, A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.14%, 5.00%, due 07/25/31 | 108778 |
| 142471 | Sound Point CLO II Ltd., Series 2013-1A, A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 5.19%, due 01/26/31 | 142503 |
| 239383 | Symphony CLO XV Ltd., Series 2014-15A, AR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.34%, 5.22%, due 01/17/32 | 239450 |
| 34809 | TCI-Symphony CLO Ltd., Series 2016-1A, AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.28%, 5.19%, due 10/13/32 | 34829 |
| 214154 | Trinitas CLO XII Ltd., Series 2020-12A, A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.05%, 4.91%, due 04/25/33 | 214331 |
| 125814 | Venture 32 CLO Ltd., Series 2018-32A, A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.25%, due 07/18/31 | 125984 |
| 28516 | Venture XXVII CLO Ltd., Series 2017-27A, AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.31%, 5.20%, due 07/20/30 | 28519 |
| 106328 | Voya CLO Ltd., Series 2016-1A, A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 5.22%, due 01/20/31 | 106336 |
| 229167 | Voya CLO Ltd., Series 2025-1A, X, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.90%, 4.78%, due 04/20/38 | 229166 |
|  | Total Collateralized Loan Obligations | 5843067 |
|  | **U.S. Government — 17.5%** |  |
| 149000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.79%, due 10/31/27 | 149104 |
| 17657 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 07/15/26 | 17554 |
| 17872 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 10/15/26 | 17706 |
| 17522 | U.S. Treasury Inflation-Indexed Notes, 0.38%, due 01/15/27 | 17305 |
| 56000 | U.S. Treasury Notes, 4.62%, due 06/30/26 | 56291 |

---

The accompanying notes are an integral part of the financial statements.

**GMO Ultra-Short Income ETF**

**Schedule of Investments — (Continued)**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Par Value+ /**<br>**Shares** | <br>**Description** |<br>**Value ($)** |
| 139000 | U.S. Treasury Notes, 4.37%, due 07/31/26 | 139648 |
| 169000 | U.S. Treasury Notes, 3.50%, due 09/30/26 | 168876 |
| 249000 | U.S. Treasury Notes, 4.12%, due 10/31/26 | 250064 |
| 246000 | U.S. Treasury Notes, 4.12%, due 01/31/27 | 247528 |
| 255000 | U.S. Treasury Notes, 1.88%, due 02/28/27 | 250288 |
|  | Total U.S. Government | 1314364 |
|  | TOTAL DEBT OBLIGATIONS |  |
|  | (COST $7,158,961) | 7157431 |
|  | **SHORT-TERM INVESTMENTS — 3.5%** |  |
|  | **Money Market Funds — 0.1%** |  |
| 9710 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% <sup>(a)</sup> | 9710 |
|  | **U.S. Government — 3.4%** |  |
| 55000 | U.S. Treasury Bills, 3 mo. USD Term SOFR + 1.31%, 0.00%, due 01/29/26 | 54855 |
| 101000 | U.S. Treasury Bills, 3 mo. USD Term SOFR + 0.90%, 0.00%, due 02/10/26 | 100613 |
| 101000 | U.S. Treasury Bills, 3 mo. USD Term SOFR + 1.33%, 0.00%, due 03/26/26 | 100181 |
|  | Total U.S. Government | 255649 |
|  | TOTAL SHORT-TERM INVESTMENTS |  |
|  | (COST $265,322) | 265359 |
|  | **TOTAL INVESTMENTS— 99.0%** |  |
|  | (Cost $7,424,283) | 7422790 |
|  | Other Assets and Liabilities (net) — 1.0% | 71245 |
|  | **TOTAL NET ASSETS — 100.0%** | 7494035 |

---

**Notes to Schedule of Investments:**

<sup>+</sup> Denominated in U.S. Dollar, unless otherwise indicated.

<sup>(a)</sup> The rate disclosed is the 7 day net yield as of December 31, 2025.

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 19.

The accompanying notes are an integral part of the financial statements.

**GMO U.S. Quality ETF**

**Schedule of Investments**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.5%** |  |
|  | **Banks — 4.1%** |  |
| 1466055 | U.S. Bancorp | 78228695 |
| 504902 | Wells Fargo & Co. | 47056866 |
|  | Total Banks | 125285561 |
|  | **Capital Goods — 1.6%** |  |
| 151287 | General Electric Co. | 46600935 |
|  | **Consumer Discretionary Distribution & Retail — 5.0%** |  |
| 438311 | Amazon.com, Inc. \* | 101170945 |
| 326604 | TJX Cos., Inc. | 50169640 |
|  | Total Consumer Discretionary Distribution & Retail | 151340585 |
|  | **Consumer Services — 4.6%** |  |
| 1524352 | Aramark | 56187615 |
| 293310 | Hilton Worldwide Holdings, Inc. | 84253297 |
|  | Total Consumer Services | 140440912 |
|  | **Financial Services — 3.3%** |  |
| 235384 | Tradeweb Markets, Inc. – Class A | 25313195 |
| 213149 | Visa, Inc. – Class A | 74753486 |
|  | Total Financial Services | 100066681 |
|  | **Food, Beverage & Tobacco — 5.2%** |  |
| 1013145 | Brown-Forman Corp. – Class B | 26402559 |
| 638108 | Coca-Cola Co. | 44610130 |
| 361775 | Constellation Brands, Inc. – Class A | 49910479 |
| 688873 | Mondelez International, Inc. – Class A | 37082034 |
|  | Total Food, Beverage & Tobacco | 158005202 |
|  | **Health Care Equipment & Services — 12.0%** |  |
| 813048 | Abbott Laboratories | 101866784 |
| 146314 | Cigna Group | 40270002 |
| 197663 | Elevance Health, Inc. | 69290765 |
| 96017 | Intuitive Surgical, Inc. \* | 54380188 |
| 142766 | Quest Diagnostics, Inc. | 24774184 |
| 217555 | UnitedHealth Group, Inc. | 71817081 |
|  | Total Health Care Equipment & Services | 362399004 |
|  | **Household & Personal Products — 2.3%** |  |
| 490606 | Procter & Gamble Co. | 70308746 |
|  | **Media & Entertainment — 10.2%** |  |
| 526363 | Alphabet, Inc. – Class A | 164751619 |
| 218017 | Meta Platforms, Inc. – Class A | 143910841 |
|  | Total Media & Entertainment | 308662460 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 13.2%** |  |
| 93217 | Eli Lilly & Co. | 100178446 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — continued** |  |
| 645510 | Johnson & Johnson | 133588294 |
| 504638 | Merck & Co., Inc. | 53118196 |
| 195113 | Thermo Fisher Scientific, Inc. | 113058228 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 399943164 |
|  | **Semiconductors & Semiconductor Equipment — 16.8%** |  |
| 402733 | Broadcom, Inc. | 139385891 |
| 97362 | KLA Corp. | 118302619 |
| 979864 | Lam Research Corp. | 167733119 |
| 489885 | Texas Instruments, Inc. | 84990149 |
|  | Total Semiconductors & Semiconductor Equipment | 510411778 |
|  | **Software & Services — 15.3%** |  |
| 423351 | Accenture PLC – Class A | 113585073 |
| 419790 | Microsoft Corp. | 203018840 |
| 151457 | PTC, Inc. \* | 26385324 |
| 457756 | Salesforce, Inc. | 121264142 |
|  | Total Software & Services | 464253379 |
|  | **Technology Hardware & Equipment — 4.7%** |  |
| 525441 | Apple, Inc. | 142846390 |
|  | **Transportation — 1.2%** |  |
| 458760 | Uber Technologies, Inc. \* | 37485280 |
|  | TOTAL COMMON STOCKS |  |
|  | (COST $2,649,545,732) | 3018050077 |
|  | **SHORT-TERM INVESTMENTS — 0.5%** |  |
|  | **Money Market Funds — 0.5%** |  |
| 13645727 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% <sup>(a)</sup> | 13645727 |
|  | TOTAL SHORT-TERM INVESTMENTS |  |
|  | (COST $13,645,727) | 13645727 |
|  | **TOTAL INVESTMENTS — 100.0%** |  |
|  | (Cost $2,663,191,459) | **3031695804** |
|  | Other Assets and Liabilities (net) — 0.0% | 1133560 |
|  | **TOTAL NET ASSETS — 100.0%** | $**3032829364** |

---

**Notes to Schedule of Investments:**

\* Non-income producing security.

<sup>(a)</sup> The rate disclosed is the 7 day net yield as of December 31, 2025.

The accompanying notes are an integral part of the financial statements.

**GMO U.S. Quality ETF**

**Schedule of Investments — (Continued)**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

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 19.

The accompanying notes are an integral part of the financial statements.

**GMO U.S. Value ETF**

**Schedule of Investments**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 99.3%** |  |
|  | **Automobiles & Components — 2.7%** |  |
| 1397 | Aptiv PLC \* | 106298 |
| 2745 | BorgWarner, Inc. | 123690 |
| 32432 | Ford Motor Co. | 425508 |
| 9994 | General Motors Co. | 812712 |
| 2941 | Lear Corp. | 337038 |
|  | Total Automobiles & Components | 1805246 |
|  | **Banks — 9.6%** |  |
| 24411 | Bank of America Corp. | 1342605 |
| 8785 | Citigroup, Inc. | 1025122 |
| 1332 | Fifth Third Bancorp | 62351 |
| 7762 | Huntington Bancshares, Inc. | 134671 |
| 3921 | JPMorgan Chase & Co. | 1263425 |
| 1403 | M&T Bank Corp. | 282676 |
| 3380 | PNC Financial Services Group, Inc. | 705507 |
| 3349 | Regions Financial Corp. | 90758 |
| 6807 | Truist Financial Corp. | 334972 |
| 15720 | U.S. Bancorp | 838819 |
| 3920 | Wells Fargo & Co. | 365344 |
|  | Total Banks | 6446250 |
|  | **Capital Goods — 3.8%** |  |
| 2222 | A.O. Smith Corp. | 148607 |
| 2518 | Carrier Global Corp. | 133051 |
| 686 | Cummins, Inc. | 350169 |
| 473 | EnerSys | 69413 |
| 1874 | Honeywell International, Inc. | 365598 |
| 797 | Mueller Industries, Inc. | 91495 |
| 1051 | Northrop Grumman Corp. | 599291 |
| 2076 | Oshkosh Corp. | 260808 |
| 448 | Owens Corning | 50136 |
| 2682 | PACCAR, Inc. | 293706 |
| 793 | Textron, Inc. | 69126 |
| 655 | Timken Co. | 55105 |
| 710 | Toro Co. | 55891 |
|  | Total Capital Goods | 2542396 |
|  | **Commercial & Professional Services — 0.3%** |  |
| 1701 | Concentrix Corp. | 70728 |
| 2266 | Genpact Ltd. | 106003 |
| 318 | Leidos Holdings, Inc. | 57367 |
|  | Total Commercial & Professional Services | 234098 |
|  | **Consumer Discretionary Distribution & Retail — 2.7%** |  |
| 3927 | Academy Sports & Outdoors, Inc. | 196193 |
| 1157 | AutoNation, Inc. \* | 238897 |
| 3421 | Bath & Body Works, Inc. | 68694 |
| 1055 | Best Buy Co., Inc. | 70611 |
| 6306 | eBay, Inc. | 549253 |
| 613 | Group 1 Automotive, Inc. | 241093 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Consumer Discretionary Distribution & Retail — continued** |  |
| 3034 | LKQ Corp. | 91627 |
| 10986 | Macy's, Inc. | 242241 |
| 1549 | Signet Jewelers Ltd. | 128381 |
|  | Total Consumer Discretionary Distribution & Retail | 1826990 |
|  | **Consumer Durables & Apparel — 3.2%** |  |
| 3348 | Crocs, Inc. \* | 286321 |
| 2548 | DR Horton, Inc. | 366989 |
| 4554 | KB Home | 256891 |
| 2203 | Lennar Corp. – Class A | 226468 |
| 291 | M/I Homes, Inc. \* | 37234 |
| 2791 | Mattel, Inc. \* | 55373 |
| 2392 | Meritage Homes Corp. | 157394 |
| 375 | Mohawk Industries, Inc. \* | 40988 |
| 1596 | NIKE, Inc. – Class B | 101681 |
| 1840 | PulteGroup, Inc. | 215758 |
| 2429 | PVH Corp. | 162792 |
| 984 | Steven Madden Ltd. | 40974 |
| 282 | Toll Brothers, Inc. | 38132 |
| 3039 | Tri Pointe Homes, Inc. \* | 95637 |
| 1890 | YETI Holdings, Inc. \* | 83481 |
|  | Total Consumer Durables & Apparel | 2166113 |
|  | **Consumer Services — 0.9%** |  |
| 11969 | H&R Block, Inc. | 521609 |
| 3159 | Perdoceo Education Corp. | 92654 |
|  | Total Consumer Services | 614263 |
|  | **Consumer Staples Distribution & Retail — 2.3%** |  |
| 5729 | Albertsons Cos., Inc. – Class A | 98367 |
| 1097 | Dollar General Corp. | 145649 |
| 8644 | Kroger Co. | 540077 |
| 564 | Sysco Corp. | 41561 |
| 6990 | Target Corp. | 683272 |
|  | Total Consumer Staples Distribution & Retail | 1508926 |
|  | **Energy — 8.6%** |  |
| 5536 | APA Corp. | 135411 |
| 9417 | Chevron Corp. | 1435245 |
| 5756 | ConocoPhillips | 538819 |
| 8539 | EOG Resources, Inc. | 896680 |
| 20215 | Exxon Mobil Corp. | 2432673 |
| 1533 | Halliburton Co. | 43323 |
| 9290 | Kinder Morgan, Inc. | 255382 |
| 319 | Marathon Petroleum Corp. | 51879 |
|  | Total Energy | 5789412 |
|  | **Equity Real Estate Investment Trusts (REITs) — 0.5%** |  |
| 12514 | VICI Properties, Inc. | 351894 |

---

The accompanying notes are an integral part of the financial statements.

**GMO U.S. Value ETF**

**Schedule of Investments — (Continued)**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Financial Services — 9.8%** |  |
| 613 | Affiliated Managers Group, Inc. | 176716 |
| 742 | American Express Co. | 274503 |
| 150 | Ameriprise Financial, Inc. | 73551 |
| 1457 | Bank of New York Mellon Corp. | 169143 |
| 3861 | Blue Owl Capital Corp. | 47992 |
| 2790 | Bread Financial Holdings, Inc. | 206544 |
| 3476 | Capital One Financial Corp. | 842443 |
| 1476 | Enova International, Inc. \* | 232027 |
| 1811 | Federated Hermes, Inc. | 94299 |
| 8087 | Franklin Resources, Inc. | 193199 |
| 768 | Goldman Sachs Group, Inc. | 675072 |
| 11674 | Invesco Ltd. | 306676 |
| 4161 | Janus Henderson Group PLC | 197939 |
| 14410 | MGIC Investment Corp. | 421060 |
| 746 | Morgan Stanley | 132437 |
| 11850 | PayPal Holdings, Inc. | 691803 |
| 11606 | Radian Group, Inc. | 417700 |
| 2869 | Sixth Street Specialty Lending, Inc. | 62315 |
| 5393 | SLM Corp. | 145935 |
| 3808 | State Street Corp. | 491270 |
| 3273 | Synchrony Financial | 273066 |
| 2545 | T. Rowe Price Group, Inc. | 260557 |
| 16143 | Western Union Co. | 150291 |
|  | Total Financial Services | 6536538 |
|  | **Food, Beverage & Tobacco — 3.1%** |  |
| 3291 | Altria Group, Inc. | 189759 |
| 3222 | Archer-Daniels-Midland Co. | 185233 |
| 990 | Bunge Global SA | 88189 |
| 7266 | General Mills, Inc. | 337869 |
| 6688 | Keurig Dr. Pepper, Inc. | 187331 |
| 6261 | Mondelez International, Inc. – Class A | 337030 |
| 4889 | PepsiCo, Inc. | 701669 |
| 797 | Tyson Foods, Inc. – Class A | 46720 |
|  | Total Food, Beverage & Tobacco | 2073800 |
|  | **Health Care Equipment & Services — 5.3%** |  |
| 3690 | Cigna Group | 1015599 |
| 11724 | CVS Health Corp. | 930417 |
| 1383 | Edwards Lifesciences Corp. \* | 117901 |
| 1948 | Elevance Health, Inc. | 682871 |
| 1824 | GE HealthCare Technologies, Inc. | 149604 |
| 1900 | Humana, Inc. | 486647 |
| 1689 | Medtronic PLC | 162245 |
|  | Total Health Care Equipment & Services | 3545284 |
|  | **Household & Personal Products — 2.0%** |  |
| 1075 | Colgate-Palmolive Co. | 84947 |
| 16086 | Kenvue, Inc. | 277483 |
| 2922 | Kimberly-Clark Corp. | 294801 |
| 4919 | Procter & Gamble Co. | 704942 |
|  | Total Household & Personal Products | 1362173 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Insurance — 6.9%** |  |
| 4703 | Aflac, Inc. | 518600 |
| 2646 | Allstate Corp. | 550765 |
| 2186 | American International Group, Inc. | 187012 |
| 4008 | Arch Capital Group Ltd. \* | 384447 |
| 2293 | Chubb Ltd. | 715691 |
| 4658 | Hartford Insurance Group, Inc. | 641873 |
| 3121 | MetLife, Inc. | 246372 |
| 535 | Principal Financial Group, Inc. | 47192 |
| 3866 | Progressive Corp. | 880366 |
| 1540 | Travelers Cos., Inc. | 446692 |
|  | Total Insurance | 4619010 |
|  | **Materials — 1.5%** |  |
| 545 | CF Industries Holdings, Inc. | 42150 |
| 2002 | Commercial Metals Co. | 138578 |
| 412 | CRH PLC | 51418 |
| 3654 | Mosaic Co. | 88025 |
| 86 | NewMarket Corp. | 59104 |
| 2274 | Nucor Corp. | 370912 |
| 1137 | PPG Industries, Inc. | 116497 |
| 3492 | Sealed Air Corp. | 144674 |
|  | Total Materials | 1011358 |
|  | **Media & Entertainment — 8.7%** |  |
| 5617 | Alphabet, Inc. – Class A | 1758121 |
| 1054 | Alphabet, Inc. – Class C | 330745 |
| 45063 | Comcast Corp. – Class A | 1346933 |
| 2945 | Fox Corp. – Class A | 215191 |
| 2263 | Fox Corp. – Class B | 146937 |
| 8663 | Match Group, Inc. | 279728 |
| 2551 | Meta Platforms, Inc. – Class A | 1683890 |
| 1164 | Omnicom Group, Inc. | 93993 |
|  | Total Media & Entertainment | 5855538 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 13.0%** |  |
| 25821 | Bristol-Myers Squibb Co. | 1392785 |
| 5111 | Gilead Sciences, Inc. | 627324 |
| 11334 | Johnson & Johnson | 2345571 |
| 18503 | Merck & Co., Inc. | 1947626 |
| 22131 | Organon & Co. | 158679 |
| 59110 | Pfizer, Inc. | 1471839 |
| 992 | Regeneron Pharmaceuticals, Inc. | 765695 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 8709519 |
|  | **Semiconductors & Semiconductor Equipment — 3.1%** |  |
| 713 | Applied Materials, Inc. | 183234 |
| 1086 | NXP Semiconductors NV | 235727 |
| 9254 | QUALCOMM, Inc. | 1582897 |

---

The accompanying notes are an integral part of the financial statements.

**GMO U.S. Value ETF**

**Schedule of Investments — (Continued)**

**(showing percentage of total net assets)**

**December 31, 2025 (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Semiconductors & Semiconductor Equipment — continued** |  |
| 787 | Skyworks Solutions, Inc. | 49903 |
|  | Total Semiconductors & Semiconductor Equipment | 2051761 |
|  | **Software & Services — 1.5%** |  |
| 679 | Akamai Technologies, Inc. \* | 59243 |
| 8708 | Cognizant Technology Solutions Corp. – Class A | 722764 |
| 2360 | Zoom Communications, Inc. \* | 203644 |
|  | Total Software & Services | 985651 |
|  | **Technology Hardware & Equipment — 4.2%** |  |
| 1452 | Arrow Electronics, Inc. \* | 159981 |
| 6996 | Avnet, Inc. | 336368 |
| 21826 | Cisco Systems, Inc. | 1681257 |
| 14704 | Hewlett Packard Enterprise Co. | 353190 |
| 9863 | HP, Inc. | 219748 |
| 1408 | Vontier Corp. | 52349 |
|  | Total Technology Hardware & Equipment | 2802893 |
|  | **Telecommunication Services — 3.5%** |  |
| 31816 | AT&T, Inc. | 790309 |
| 38213 | Verizon Communications, Inc. | 1556416 |
|  | Total Telecommunication Services | 2346725 |
|  | **Transportation — 2.1%** |  |
| 1749 | CSX Corp. | 63401 |
| 2383 | Delta Air Lines, Inc. | 165380 |
| 2138 | FedEx Corp. | 617583 |
| 5502 | United Parcel Service, Inc. – Class B | 545744 |
|  | Total Transportation | 1392108 |
|  | TOTAL COMMON STOCKS |  |
|  | (COST $63,099,468) | 66577946 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.6%** |  |
|  | **Money Market Funds — 0.6%** |  |
| 397490 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.70% <sup>(a)</sup> | 397490 |
|  | TOTAL SHORT-TERM INVESTMENTS |  |
|  | (COST $397,490) | 397490 |
|  | **TOTAL INVESTMENTS — 99.9%** |  |
|  | (Cost $63,496,958) | **66975436** |
|  | Other Assets and Liabilities (net) — 0.1% | 59682 |
|  | **TOTAL NET ASSETS — 100.0%** | $**67035118** |

---

**Notes to Schedule of Investments:**

\* Non-income producing security.

<sup>(a)</sup> The rate disclosed is the 7 day net yield as of December 31, 2025.

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 19.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**December 31, 2025 (Unaudited)**

**Portfolio Abbreviations:**

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

ADR – American Depositary Receipt

JSC – Joint-Stock Company

NVDR – Non-Voting Depositary Receipt

PJSC – Private Joint-Stock Company

SOFR – Secured Overnight Financing Rate

USD – United States Dollar

The rates shown on variable rate notes are the current interest rates at December 31, 2025, which are subject to change based on the terms of the security.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Assets and Liabilities — December 31, 2025 (Unaudited)**

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Beyond** <br> **China ETF** | **GMO Domestic** <br> **Resilience ETF** | **GMO Dynamic** <br> **Allocation ETF** |
| **Assets** |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments in affiliated issuers, at value (Note 8) <sup>(a)</sup> | $— | $— | $7186976 |
| &nbsp;&nbsp;&nbsp;Investments in unaffiliated issuers, at value (Note 8)<sup>(b)</sup> | 12287487 | 29393749 | 11771834 |
| &nbsp;&nbsp;&nbsp;Foreign currency, at value<sup>(c)</sup> | 10806 |  |  |
| &nbsp;&nbsp;&nbsp;Receivable for Fund shares sold |  |  | 256179 |
| &nbsp;&nbsp;&nbsp;Dividends and interest receivable | 8090 | 13040 | 354 |
| &nbsp;&nbsp;&nbsp;Receivable for expenses reimbursed and/or waived by GMO (Note 3) |  |  | 3851 |
| **Total assets** | 12306383 | 29406789 | 19219194 |
| **Liabilities** |  |  |  |
| &nbsp;&nbsp;&nbsp;Payable for investments purchased |  |  | 255043 |
| &nbsp;&nbsp;&nbsp;Accrued foreign capital gains tax payable | 76111 |  |  |
| &nbsp;&nbsp;&nbsp;Accrued advisory fee (Note 3) | 6726 | 12375 | 6939 |
| &nbsp;&nbsp;&nbsp;Accrued expenses | 12515 |  |  |
| **Total liabilities** | 95352 | 12375 | 261982 |
| **Net assets** | $12211031 | $29394414 | $18957212 |
| **Net assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid in capital | $10183052 | $29105776 | $18731745 |
| &nbsp;&nbsp;&nbsp;Distributable earnings (accumulated loss) | 2027979 | 288638 | 225467 |
| **Net assets** | $12211031 | $29394414 | $18957212 |
| Net asset value, offering and redemption price per share | $30.53 | $25.56 | $25.62 |
| Shares outstanding (unlimited authorized - no par value) | 400000 | 1150000 | 740000 |
| <sup>(a)</sup> Cost of investments – affiliated issuers: | $— | $— | $6963687 |
| <sup>(b)</sup> Cost of investments – unaffiliated issuers: | $10167436 | $29092861 | $11745550 |
| <sup>(c)</sup> Cost of foreign currency: | $10820 | $— | $— |

---

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Assets and Liabilities — December 31, 2025 (Unaudited) — (Continued)**

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO International** <br> **Quality ETF** | **GMO International** <br> **Value ETF** | **GMO Systematic <br> Investment Grade <br> Credit ETF** |
| **Assets** |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments in unaffiliated issuers, at value (Note 8)<sup>(a)</sup> | $252496682 | $231124964 | $18985253 |
| &nbsp;&nbsp;&nbsp;Foreign currency, at value<sup>(b)</sup> | 3362 | 8291 |  |
| &nbsp;&nbsp;&nbsp;Cash |  | 36906 | 214 |
| &nbsp;&nbsp;&nbsp;Dividends and interest receivable | 28314 | 231889 | 261301 |
| &nbsp;&nbsp;&nbsp;Dividend withholding tax receivable | 5165 | 37020 |  |
| **Total assets** | 252533523 | 231439070 | 19246768 |
| **Liabilities** |  |  |  |
| &nbsp;&nbsp;&nbsp;Accrued advisory fee (Note 3) | 102320 | 115045 | 4301 |
| **Total liabilities** | 102320 | 115045 | 4301 |
| **Net assets** | $252431203 | $231324025 | $19242467 |
| **Net assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid in capital | $244693960 | $199058036 | $19280158 |
| &nbsp;&nbsp;&nbsp;Distributable earnings (accumulated loss) | 7737243 | 32265989 | (37691) |
| **Net assets** | $252431203 | $231324025 | $19242467 |
| Net asset value, offering and redemption price per share | $26.57 | $33.53 | $25.66 |
| Shares outstanding (unlimited authorized - no par value) | 9500000 | 6900000 | 750000 |
| <sup>(a)</sup> Cost of investments – unaffiliated issuers: | $244180711 | $197355601 | $19057925 |
| <sup>(b)</sup> Cost of foreign currency: | $3337 | $8196 | $— |

---

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Assets and Liabilities — December 31, 2025 (Unaudited) — (Continued)**

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Ultra-Short Income ETF** | **GMO U.S. Quality ETF** | **GMO U.S. Value ETF** |
| **Assets** |  |  |  |
| &nbsp;&nbsp;&nbsp;Investments in unaffiliated issuers, at value (Note 8)<sup>(a)</sup> | $7422790 | $3031695804 | $66975436 |
| &nbsp;&nbsp;&nbsp;Receivable for Fund shares sold |  | 3459330 |  |
| &nbsp;&nbsp;&nbsp;Dividends and interest receivable | 72377 | 2387944 | 86936 |
| &nbsp;&nbsp;&nbsp;**Total assets** | 7495167 | 3037543078 | 67062372 |
| **Liabilities** |  |  |  |
| &nbsp;&nbsp;&nbsp;Payable for investments purchased |  | 3445953 |  |
| &nbsp;&nbsp;&nbsp;Accrued advisory fee (Note 3) | 1132 | 1267761 | 27254 |
| **Total liabilities** | 1132 | 4713714 | 27254 |
| **Net assets** | $7494035 | $3032829364 | $67035118 |
| **Net assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Paid in capital | $7504903 | $2681049837 | $65149910 |
| &nbsp;&nbsp;&nbsp;Distributable earnings (accumulated loss) | (10868) | 351779527 | 1885208 |
| **Net assets** | $7494035 | $3032829364 | $67035118 |
| Net asset value, offering and redemption price per share | $49.96 | $38.44 | $27.47 |
| Shares outstanding (unlimited authorized - no par value) | 150000 | 78904000 | 2440000 |
| <sup>(a)</sup> Cost of investments – unaffiliated issuers: | $7424283 | $2663191459 | $63496958 |

---

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Operations — For the Period Ended December 31, 2025 (Unaudited)**

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Beyond** <br> **China ETF** | **GMO Domestic** <br> **Resilience ETF\*** | **GMO Dynamic** <br> **Allocation ETF\*\*** |
| **Investment income:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividends from affiliated issuers (Note 8) | $— | $— | $35275 |
| &nbsp;&nbsp;&nbsp;Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)<sup>(a)</sup> | 113017 | 83006 | 125793 |
| &nbsp;&nbsp;&nbsp;Interest | 11 |  |  |
| &nbsp;&nbsp;&nbsp;Other income | 1 |  |  |
| **Total investment income** | 113029 | 83006 | 161068 |
| **Expenses:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Advisory fee (Note 3) | 38262 | 30054 | 11284 |
| &nbsp;&nbsp;&nbsp;Miscellaneous | 3 |  | 211 |
| Total expenses | 38265 | 30054 | 11495 |
| &nbsp;&nbsp;&nbsp;Indirectly incurred management fees waived or borne by GMO (Note 3) |  |  | (6246) |
| **Net expenses** | 38265 | 30054 | 5249 |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | 74764 | 52952 | 155819 |
| **Realized and unrealized gain (loss):** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(b)</sup> | 166865 | (112) | (7917) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In-kind redemptions |  | 240059 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency and foreign currency related transactions | (3153) |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | 163712 | 239947 | (7917) |
| &nbsp;&nbsp;&nbsp;Change in net unrealized appreciation (depreciation) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2)<sup>(c)</sup> | 1518305 | 300888 | 26284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in affiliated issuers |  |  | 223289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency and foreign currency related transactions | (838) |  |  |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) | 1517467 | 300888 | 249573 |
| Net realized and unrealized gain (loss) | 1681179 | 540835 | 241656 |
| **Net increase (decrease) in net assets resulting from operations** | $1755943 | $593787 | $397475 |
| <sup>(a)</sup> Withholding tax: | $18226 | $568 | $— |
| <sup>(b)</sup> Foreign capital gains tax (benefit) on net realized gain (loss): | $213 | $— | $— |
| <sup>(c)</sup> Foreign capital gains tax (benefit) on change in net unrealized appreciation (depreciation): | $46566 | $— | $— |

---

\* The Fund commenced operations on October 1, 2025.

\*\* The Fund commenced operations on October 14, 2025.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Operations** — **For the Period Ended December 31, 2025 (Unaudited) — (Continued)**

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO International** <br> **Quality ETF** | **GMO International** <br> **Value ETF** | **GMO Systematic <br> Investment Grade <br> Credit ETF** |
| **Investment income:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)<sup>(a)</sup> | $513110 | $2609715 | $1900 |
| &nbsp;&nbsp;&nbsp;Interest |  |  | 308271 |
| &nbsp;&nbsp;&nbsp;Other income | 84 | 535 | 839 |
| **Total investment income** | 513194 | 2610250 | 311010 |
| **Expenses:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Advisory fee (Note 3) | 291975 | 571358 | 15526 |
| &nbsp;&nbsp;&nbsp;Miscellaneous | 43 |  |  |
| Total expenses | 292018 | 571358 | 15526 |
| Net investment income (loss) | 221176 | 2038892 | 295484 |
| **Realized and unrealized gain (loss):** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2) | (313240) | 10235 | 83976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In-kind redemptions | 782195 | 9808543 | 73548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency and foreign currency related transactions | (2426) | 2456 |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | 466529 | 9821234 | 157524 |
| &nbsp;&nbsp;&nbsp;Change in net unrealized appreciation (depreciation) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2) | 5823773 | 20866500 | (179950) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foreign currency and foreign currency related transactions | (236) | (1991) |  |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) | 5823537 | 20864509 | (179950) |
| Net realized and unrealized gain (loss) | 6290066 | 30685743 | (22426) |
| **Net increase (decrease) in net assets resulting from operations** | $6511242 | $32724635 | $273058 |
| <sup>(a)</sup> Withholding tax: | $54729 | $278641 | $— |

---

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Operations — For the Period Ended December 31, 2025 (Unaudited) — (Continued)**

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Ultra-Short** <br> **Income ETF\*** | **GMO U.S.** <br> **Quality ETF** | **GMO U.S.** <br> **Value ETF** |
| **Investment income:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)<sup>(a)</sup> | $146 | $17622729 | $760412 |
| &nbsp;&nbsp;&nbsp;Interest | 45608 |  |  |
| &nbsp;&nbsp;&nbsp;Other income | 3127 |  |  |
| **Total investment income** | 48881 | 17622729 | 760412 |
| **Expenses:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Advisory fee (Note 3) | 1908 | 6484568 | 141066 |
| Total expenses | 1908 | 6484568 | 141066 |
| Net investment income (loss) | 46973 | 11138161 | 619346 |
| **Realized and unrealized gain (loss):** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2) | (83) | (2701959) | (518154) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;In-kind redemptions |  | 111655928 | 2371289 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (83) | 108953969 | 1853135 |
| &nbsp;&nbsp;&nbsp;Change in net unrealized appreciation (depreciation) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments in unaffiliated issuers (net of foreign capital gains tax) (Note 2) | (1493) | 194784050 | 3168069 |
| Net realized and unrealized gain (loss) | (1576) | 303738019 | 5021204 |
| **Net increase (decrease) in net assets resulting from operations** | $45397 | $314876180 | $5640550 |
| <sup>(a)</sup> Withholding tax: | $— | $— | $228 |

---

\* The Fund commenced operations on October 28, 2025.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Changes in Net Assets (Unaudited)**

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Beyond China ETF** | **GMO Beyond China ETF** | **GMO Domestic Resilience ETF** |
|  | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Period Ended** <br> **June 30, 2025\*** | **Period Ended <br> December 31, 2025\*\* <br> (Unaudited)** |
| **Increase (decrease) in net assets:**<br> Operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $74764 | $117396 | $52952 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | 163712 | 76152 | 239947 |
| &nbsp;&nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 1517467 | 526528 | 300888 |
| Net increase (decrease) in net assets from operations | 1755943 | 720076 | 593787 |
| Distributions to shareholders | (448040) |  | (65090) |
| Capital share transactions: |  |  |  |
| &nbsp;&nbsp;&nbsp;Subscriptions |  | 10183052 | 30152177 |
| &nbsp;&nbsp;&nbsp;Redemptions |  |  | (1286460) |
| Increase (decrease) in net assets from capital transactions |  | 10183052 | 28865717 |
| Total increase (decrease) in net assets | 1307903 | 10903128 | 29394414 |
| **Net assets:** |  |  |  |
| Beginning of period | 10903128 |  |  |
| End of period | $12211031 | $10903128 | $29394414 |

---

\* The Fund commenced operations on February 13, 2025.

\*\* The Fund commenced operations on October 1, 2025.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Changes in Net Assets (Unaudited) — (Continued)**

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Dynamic Allocation ETF** | **GMO International Quality ETF** | **GMO International Quality ETF** |
|  | **Period Ended <br> December 31, 2025\* <br> (Unaudited)** | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Period Ended <br> June 30, 2025\*\*** |
| **Increase (decrease) in net assets:** <br> Operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $155819 | $221176 | $312172 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (7917) | 466529 | (157885) |
| &nbsp;&nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 249573 | 5823537 | 2492459 |
| Net increase (decrease) in net assets from operations | 397475 | 6511242 | 2646746 |
| Distributions to shareholders | (172008) | (629950) | (8600) |
| Capital share transactions: |  |  |  |
| &nbsp;&nbsp;&nbsp;Subscriptions | 18731745 | 192660035 | 53808320 |
| &nbsp;&nbsp;&nbsp;Redemptions |  | (2556590) |  |
| Increase (decrease) in net assets from capital transactions | 18731745 | 190103445 | 53808320 |
| Total increase (decrease) in net assets | 18957212 | 195984737 | 56446466 |
| **Net assets:** |  |  |  |
| Beginning of period |  | 56446466 |  |
| End of period | $18957212 | $252431203 | $56446466 |

---

\* The Fund commenced operations on October 14, 2025.

\*\* The Fund commenced operations on October 29, 2024.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Changes in Net Assets (Unaudited) — (Continued)**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **GMO International Value ETF** | **GMO International Value ETF** | **GMO Systematic Investment Grade Credit ETF** | **GMO Systematic Investment Grade Credit ETF** |
|  | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Period Ended <br> June 30, 2025\*** | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Period Ended <br> June 30, 2025\*\*** |
| **Increase (decrease) in net assets:** <br> Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $2038892 | $3087975 | $295484 | $23676 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | 9821234 | 2907763 | 157524 |  |
| &nbsp;&nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 20864509 | 12905682 | (179950) | 107278 |
| Net increase (decrease) in net assets from operations | 32724635 | 18901420 | 273058 | 130954 |
| Distributions to shareholders | (5768340) | (216070) | (368155) |  |
| Capital share transactions: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Subscriptions | 82196620 | 161307200 | 16826085 | 6249850 |
| &nbsp;&nbsp;&nbsp;Redemptions | (40882760) | (16938680) | (3869325) |  |
| Increase (decrease) in net assets from capital transactions | 41313860 | 144368520 | 12956760 | 6249850 |
| Total increase (decrease) in net assets | 68270155 | 163053870 | 12861663 | 6380804 |
| **Net assets:** |  |  |  |  |
| Beginning of period | 163053870 |  | 6380804 |  |
| End of period | $231324025 | $163053870 | $19242467 | $6380804 |

---

\* The Fund commenced operations on October 29, 2024.

\*\* The Fund commenced operations on June 4, 2025.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Changes in Net Assets (Unaudited) — (Continued)**

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Ultra-Short Income ETF** | **GMO U.S. Quality ETF** | **GMO U.S. Quality ETF** |
|  | **Period Ended <br> December 31, 2025\* <br> (Unaudited)** | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Year Ended<br> June 30, 2025** |
| **Increase (decrease) in net assets:** <br> Operations: |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $46973 | $11138161 | $13249067 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | (83) | 108953969 | 41289206 |
| &nbsp;&nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (1493) | 194784050 | 114330870 |
| Net increase (decrease) in net assets from operations | 45397 | 314876180 | 168869143 |
| Distributions to shareholders | (56265) | (16215144) | (8909490) |
| Capital share transactions: |  |  |  |
| &nbsp;&nbsp;&nbsp;Subscriptions | 7504903 | 1017655542 | 1280273679 |
| &nbsp;&nbsp;&nbsp;Redemptions |  | (293761519) | (260762382) |
| Increase (decrease) in net assets from capital transactions | 7504903 | 723894023 | 1019511297 |
| Total increase (decrease) in net assets | 7494035 | 1022555059 | 1179470950 |
| **Net assets:** |  |  |  |
| Beginning of period |  | 2010274305 | 830803355 |
| End of period | $7494035 | $3032829364 | $2010274305 |

---

\* The Fund commenced operations on October 28, 2025.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Statements of Changes in Net Assets (Unaudited) — (Continued)**

---

| | | |
|:---|:---|:---|
|  | **GMO U.S. Value ETF** | **GMO U.S. Value ETF** |
|  | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Period Ended June 30, 2025\*** |
| **Increase (decrease) in net assets:** <br> Operations: |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $619346 | $624638 |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) | 1853135 | (766763) |
| &nbsp;&nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 3168069 | 310409 |
| Net increase (decrease) in net assets from operations | 5640550 | 168284 |
| Distributions to shareholders | (960252) | (299112) |
| Capital share transactions: |  |  |
| &nbsp;&nbsp;&nbsp;Subscriptions | 24468320 | 61325856 |
| &nbsp;&nbsp;&nbsp;Redemptions | (14660564) | (8647964) |
| Increase (decrease) in net assets from capital transactions | 9807756 | 52677892 |
| Total increase (decrease) in net assets | 14488054 | 52547064 |
| **Net assets:** |  |  |
| Beginning of period | 52547064 |  |
| End of period | $67035118 | $52547064 |

---

\* The Fund commenced operations on October 29, 2024.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Financial Highlights**

**(For a share outstanding throughout each period)**

**GMO BEYOND CHINA ETF**

---

| | | |
|:---|:---|:---|
|  | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Period from <br> February 13, 2025 <br> (commencement <br> of operations) <br> through <br> June 30, 2025** |
| **Net asset value, beginning of period** | $27.26 | $25.00 |
| **Income (loss) from investment operations:** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(a)</sup> | 0.19 | 0.37 |
| &nbsp;&nbsp;&nbsp;Net realized & unrealized gain (loss) | 4.20 | 1.89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 4.39 | 2.26 |
| **Less distributions to shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.54) |  |
| &nbsp;&nbsp;&nbsp;From net realized gains | (0.58) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (1.12) |  |
| **Net asset value, end of period** | $30.53 | $27.26 |
| **Total return on net asset value**<sup>(b)</sup> \*\*** | 16.32% | 9.03% |
| **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp;Net assets, end of period (000's) | $12211 | $10903 |
| &nbsp;&nbsp;&nbsp;Net operating expenses to average daily net assets<sup>(c)</sup> \* | 0.65% | 0.65% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) to average daily net assets\* | 1.27% | 3.90% |
| &nbsp;&nbsp;&nbsp;Portfolio turnover rate<sup>(d)</sup> \*\* | 16% | 13% |

---

<sup>(a)</sup> Calculated based on average shares outstanding during the period.

<sup>(b)</sup> Total return on net asset value is based on the change in net asset value ("NAV") of a share during the period and assumes reinvestment of dividends and distributions at NAV. The return shown does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The NAV return is based on the start of day values on February 13, 2025.

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

<sup>(d)</sup> Portfolio turnover rate excludes in-kind transactions, if any.

\* Annualized.

\*\* Not annualized.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Financial Highlights — (Continued)**

**(For a share outstanding throughout each period)**

**GMO DOMESTIC RESILIENCE ETF**

---

| | |
|:---|:---|
|  | **Period from <br> October 1, 2025 <br> (commencement <br> of operations) <br> through <br> December 31, 2025 <br> (Unaudited)** |
| **Net asset value, beginning of period** | $25.00 |
| **Income (loss) from investment operations:** |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(a)</sup> | 0.05 |
| &nbsp;&nbsp;&nbsp;Net realized & unrealized gain (loss) | 0.57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.62 |
| **Less distributions to shareholders:** |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.06) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.06) |
| **Net asset value, end of period** | $25.56 |
| **Total return on net asset value**<sup>(b)</sup> \*\*** | 2.47% |
| **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp;Net assets, end of period (000's) | $29394 |
| &nbsp;&nbsp;&nbsp;Net operating expenses to average daily net assets<sup>(c)</sup> \* | 0.50% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) to average daily net assets\* | 0.88% |
| &nbsp;&nbsp;&nbsp;Portfolio turnover rate<sup>(d)</sup> \*\* | 0% |

---

<sup>(a)</sup> Calculated based on average shares outstanding during the period.

<sup>(b)</sup> Total return on net asset value is based on the change in net asset value ("NAV") of a share during the period and assumes reinvestment of dividends and distributions at NAV. The return shown does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The NAV return is based on the start of day values on October 1, 2025.

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

<sup>(d)</sup> Portfolio turnover rate excludes in-kind transactions, if any.

\* Annualized.

\*\* Not annualized.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Financial Highlights — (Continued)**

**(For a share outstanding throughout each period)**

**GMO DYNAMIC ALLOCATION ETF**

---

| | |
|:---|:---|
|  | **Period from <br> October 14, 2025 <br> (commencement <br> of operations) <br> through <br> December 31, 2025 <br> (Unaudited)** |
| **Net asset value, beginning of period** | $25.00 |
| **Income (loss) from investment operations:** |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(a)</sup> | 0.37 |
| &nbsp;&nbsp;&nbsp;Net realized & unrealized gain (loss) | 0.49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.86 |
| **Less distributions to shareholders:** |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.24) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.24) |
| **Net asset value, end of period** | $25.62 |
| **Total return on net asset value**<sup>(b)</sup> \*\*** | 4.08% |
| **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp;Net assets, end of period (000's) | $18957 |
| &nbsp;&nbsp;&nbsp;Net operating expenses to average daily net assets<sup>(c)</sup> \* | 0.23% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) to average daily net assets\* | 6.90% |
| &nbsp;&nbsp;&nbsp;Portfolio turnover rate<sup>(d)</sup> \*\* | 9% |
| &nbsp;&nbsp;&nbsp;Fees and expenses reimbursed and/or waived by GMO to average daily net assets:<sup>(e)</sup> | 0.28% |

---

<sup>(a)</sup> Calculated based on average shares outstanding during the period.

<sup>(b)</sup> Total return on net asset value is based on the change in net asset value ("NAV") of a share during the period and assumes reinvestment of dividends and distributions at NAV. The return shown does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The NAV return is based on the start of day values on October 14, 2025.

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

<sup>(d)</sup> Portfolio turnover rate excludes in-kind transactions, if any.

<sup>(e)</sup> Ratio includes indirect fees waived or borne by GMO.

\* Annualized.

\*\* Not annualized.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Financial Highlights — (Continued)**

**(For a share outstanding throughout each period)**

**GMO INTERNATIONAL QUALITY ETF**

---

| | | |
|:---|:---|:---|
|  | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Period from <br> October 29, 2024 <br> (commencement <br> of operations) <br> through <br> June 30, 2025** |
| **Net asset value, beginning of period** | $25.66 | $25.00 |
| **Income (loss) from investment operations:** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(a)</sup> | 0.06 | 0.34 |
| &nbsp;&nbsp;&nbsp;Net realized & unrealized gain (loss) | 0.99 | 0.36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 1.05 | 0.70 |
| **Less distributions to shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.14) | (0.04) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.14) | (0.04) |
| **Net asset value, end of period** | $26.57 | $25.66 |
| **Total return on net asset value**<sup>(b)</sup> \*\*** | 4.12% | 2.82% |
| **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp;Net assets, end of period (000's) | $252431 | $56446 |
| &nbsp;&nbsp;&nbsp;Net operating expenses to average daily net assets<sup>(c)</sup> \* | 0.60% | 0.60% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) to average daily net assets\* | 0.45% | 2.08% |
| &nbsp;&nbsp;&nbsp;Portfolio turnover rate<sup>(d)</sup> \*\* | 5% | 9% |

---

<sup>(a)</sup> Calculated based on average shares outstanding during the period.

<sup>(b)</sup> Total return on net asset value is based on the change in net asset value ("NAV") of a share during the period and assumes reinvestment of dividends and distributions at NAV. The return shown does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The NAV return is based on the start of day values on October 29, 2024.

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

<sup>(d)</sup> Portfolio turnover rate excludes in-kind transactions, if any.

\* Annualized.

\*\* Not annualized.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Financial Highlights — (Continued)**

**(For a share outstanding throughout each period)**

**GMO INTERNATIONAL VALUE ETF**

---

| | | |
|:---|:---|:---|
|  | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Period from <br> October 29, 2024 <br> (commencement <br> of operations) <br> through <br> June 30, 2025** |
| **Net asset value, beginning of period** | $29.12 | $25.00 |
| **Income (loss) from investment operations:** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(a)</sup> | 0.34 | 1.00 |
| &nbsp;&nbsp;&nbsp;Net realized & unrealized gain (loss) | 4.99 | 3.25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 5.33 | 4.25 |
| **Less distributions to shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.92) | (0.13) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.92) | (0.13) |
| **Net asset value, end of period** | $33.53 | $29.12 |
| **Total return on net asset value**<sup>(b)</sup> \*\*** | 18.48% | 17.09% |
| **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp;Net assets, end of period (000's) | $231324 | $163054 |
| &nbsp;&nbsp;&nbsp;Net operating expenses to average daily net assets<sup>(c)</sup> \* | 0.60% | 0.60% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) to average daily net assets\* | 2.14% | 5.66% |
| &nbsp;&nbsp;&nbsp;Portfolio turnover rate<sup>(d)</sup> \*\* | 4% | 25% |

---

<sup>(a)</sup> Calculated based on average shares outstanding during the period.

<sup>(b)</sup> Total return on net asset value is based on the change in net asset value ("NAV") of a share during the period and assumes reinvestment of dividends and distributions at NAV. The return shown does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The NAV return is based on the start of day values on October 29, 2024.

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

<sup>(d)</sup> Portfolio turnover rate excludes in-kind transactions, if any.

\* Annualized.

\*\* Not annualized.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Financial Highlights — (Continued)**

**(For a share outstanding throughout each period)**

**GMO SYSTEMATIC INVESTMENT GRADE CREDIT ETF**

---

| | | |
|:---|:---|:---|
|  | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Period from<br> June 4, 2025<br> (commencement<br> of operations)**<br> **through<br> June 30, 2025** |
| **Net asset value, beginning of period** | $25.52 | $25.00 |
| **Income (loss) from investment operations:** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(a)</sup> | 0.61 | 0.10 |
| &nbsp;&nbsp;&nbsp;Net realized & unrealized gain (loss)<sup>(b)</sup> | 0.26 | 0.42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.87 | 0.52 |
| **Less distributions to shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.66) |  |
| &nbsp;&nbsp;&nbsp;From net realized gains | (0.07) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.73) |  |
| **Net asset value, end of period** | $25.66 | $25.52 |
| **Total return on net asset value**<sup>(c)</sup> \*\*** | 3.38% | 2.09% |
| **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp;Net assets, end of period (000's) | $19242 | $6381 |
| &nbsp;&nbsp;&nbsp;Net operating expenses to average daily net assets<sup>(d)</sup> \* | 0.25% | 0.25% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) to average daily net assets\* | 4.76% | 5.31% |
| &nbsp;&nbsp;&nbsp;Portfolio turnover rate<sup>(e)</sup> \*\* | 50% | —% |

---

<sup>(a)</sup> Calculated based on average shares outstanding during the period.

<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> Total return on net asset value is based on the change in net asset value ("NAV") of a share during the period and assumes reinvestment of dividends and distributions at NAV. The return shown does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The NAV return is based on the start of day values on June 4, 2025.

<sup>(d)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

<sup>(e)</sup> Portfolio turnover rate excludes in-kind transactions, if any.

\* Annualized.

\*\* Not annualized.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Financial Highlights — (Continued)**

**(For a share outstanding throughout each period)**

**GMO ULTRA-SHORT INCOME ETF**

---

| | |
|:---|:---|
|  | **Period from <br> October 28, 2025 <br> (commencement <br> of operations) <br> through <br> December 31, 2025 <br> (Unaudited)** |
| **Net asset value, beginning of period** | $50.00 |
| **Income (loss) from investment operations:** |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(a)</sup> | 0.43 |
| &nbsp;&nbsp;&nbsp;Net realized & unrealized gain (loss) | (0.05) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 0.38 |
| **Less distributions to shareholders:** |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.42) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.42) |
| **Net asset value, end of period** | $49.96 |
| **Total return on net asset value**<sup>(b)</sup> \*\*** | 0.77% |
| **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp;Net assets, end of period (000's) | $7494 |
| &nbsp;&nbsp;&nbsp;Net operating expenses to average daily net assets<sup>(c)</sup> \* | 0.20% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) to average daily net assets\* | 4.92% |
| &nbsp;&nbsp;&nbsp;Portfolio turnover rate<sup>(d)</sup> \*\* | 2% |

---

<sup>(a)</sup> Calculated based on average shares outstanding during the period.

<sup>(b)</sup> Total return on net asset value is based on the change in net asset value ("NAV") of a share during the period and assumes reinvestment of dividends and distributions at NAV. The return shown does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The NAV return is based on the start of day values on October 28, 2025.

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

<sup>(d)</sup> Portfolio turnover rate excludes in-kind transactions, if any.

\* Annualized.

\*\* Not annualized.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Financial Highlights — (Continued)**

**(For a share outstanding throughout each period)**

**GMO U.S. QUALITY ETF**

---

| | | | |
|:---|:---|:---|:---|
|  | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Year Ended <br> June 30, 2025** | **Period from <br> November 14, 2023 <br> (commencement <br> of operations) <br> through <br> June 30, 2024** |
| **Net asset value, beginning of period** | $34.25 | $31.01 | $25.00 |
| **Income (loss) from investment operations:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(a)</sup> | 0.16 | 0.30 | 0.19 |
| &nbsp;&nbsp;&nbsp;Net realized & unrealized gain (loss) | 4.26 | 3.14 | 5.96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 4.42 | 3.44 | 6.15 |
| **Less distributions to shareholders:** |  |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.23 | (0.20) | (0.14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.23 | (0.20) | (0.14 |
| **Net asset value, end of period** | $38.44 | $34.25 | $31.01 |
| **Total return on net asset value**<sup>(b)</sup>** | 12.94 | 11.16% | 24.62 |
| **Ratios/Supplemental Data:** |  |  |  |
| &nbsp;&nbsp;&nbsp;Net assets, end of period (000's) | $3032829 | $2010274 | $830803 |
| &nbsp;&nbsp;&nbsp;Net operating expenses to average daily net assets<sup>(c)</sup> | 0.50 | 0.50% | 0.50 |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) to average daily net assets | 0.86 | 0.93% | 1.01 |
| &nbsp;&nbsp;&nbsp;Portfolio turnover rate<sup>(d)</sup> | 4 | 15% | 7 |

---

<sup>(a)</sup> Calculated based on average shares outstanding during the period.

<sup>(b)</sup> Total return on net asset value is based on the change in net asset value ("NAV") of a share during the period and assumes reinvestment of dividends and distributions at NAV. The return shown does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The NAV return is based on the start of day values on November 14, 2023.

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

<sup>(d)</sup> Portfolio turnover rate excludes in-kind transactions, if any.

\* Annualized.

\*\* Not annualized.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Financial Highlights — (Continued)**

**(For a share outstanding throughout each period)**

**GMO U.S. VALUE ETF**

---

| | | |
|:---|:---|:---|
|  | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Period from <br> October 29, 2024 <br> (commencement <br> of operations) <br> through <br> June 30, 2025** |
| **Net asset value, beginning of period** | $25.26 | $25.00 |
| **Income (loss) from investment operations:** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss)<sup>(a)</sup> | 0.29 | 0.40 |
| &nbsp;&nbsp;&nbsp;Net realized & unrealized gain (loss) | 2.36 | 0.04 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total from investment operations | 2.65 | 0.44 |
| **Less distributions to shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp;From net investment income | (0.44) | (0.18) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Total distributions | (0.44) | (0.18) |
| **Net asset value, end of period** | $27.47 | $25.26 |
| **Total return on net asset value**<sup>(b)</sup> \*\*** | 10.56% | 1.78% |
| **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp;Net assets, end of period (000's) | $67035 | $52547 |
| &nbsp;&nbsp;&nbsp;Net operating expenses to average daily net assets<sup>(c)</sup> \* | 0.50% | 0.50% |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) to average daily net assets\* | 2.20% | 2.48% |
| &nbsp;&nbsp;&nbsp;Portfolio turnover rate<sup>(d)</sup> \*\* | 22% | 53% |

---

<sup>(a)</sup> Calculated based on average shares outstanding during the period.

<sup>(b)</sup> Total return on net asset value is based on the change in net asset value ("NAV") of a share during the period and assumes reinvestment of dividends and distributions at NAV. The return shown does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The NAV return is based on the start of day values on October 29, 2024.

<sup>(c)</sup> Net expenses exclude expenses incurred indirectly through investment in the underlying funds, if any.

<sup>(d)</sup> Portfolio turnover rate excludes in-kind transactions, if any.

\* Annualized.

\*\* Not annualized.

The accompanying notes are an integral part of the financial statements.

**GMO ETF Trust**

**Notes to Financial Statements December 31, 2025 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;**1.** **Organization** 

Each of GMO Beyond China ETF, GMO Domestic Resilience ETF (commenced operations on October 1, 2025), GMO Dynamic Allocation ETF (commenced operations on October 14, 2025), GMO International Quality ETF, GMO International Value ETF, GMO Systematic Investment Grade Credit ETF, GMO Ultra-Short Income ETF (commenced operations on October 28, 2025), GMO U.S. Quality ETF and GMO U.S. Value ETF (each a "Fund" and collectively the "Funds") is an exchange-traded fund ("ETF") and a separate operating series of GMO ETF Trust (the "Trust") (formerly known as The 2023 ETF Series Trust II), a Delaware statutory trust since June 13, 2023 that is registered with the Securities and Exchange Commission as an open-end management investment company. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC ("GMO") an investment adviser registered under the Investment Advisers Act of 1940, as amended, and serves as the Funds' investment adviser (the "Adviser").

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

---

| | | |
|:---|:---|:---|
| **Fund Name** | **Benchmark** | **Investment Objective** |
| GMO Beyond China ETF | Not Applicable | Total return |
| GMO Domestic Resilience ETF | Not Applicable | Total return |
| GMO Dynamic Allocation ETF | Not Applicable | Positive total return |
| GMO International Quality ETF | Not Applicable | Total return |
| GMO International Value ETF | Not Applicable | Total return |
| GMO Systematic Investment Grade Credit ETF | Bloomberg U.S. Corporate Index | Total return in excess of its benchmark |
| GMO Ultra-Short Income ETF | Not Applicable | Current income consistent with preservation of capital |
| GMO U.S. Quality ETF | Not Applicable | Total return |
| GMO U.S. Value ETF | Not Applicable | Total return |

---

&nbsp;&nbsp;&nbsp;&nbsp;**2.** **Summary of Significant Accounting Policies** 

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."

The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("U.S. GAAP") requires management to make estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates.

The Funds' policies are in conformity with U.S. GAAP and have been consistently followed by the Funds in preparing the financial statements. The accompanying financial statements have been prepared in accordance with U.S. GAAP on the accrual basis of accounting.

**Security Valuation**

In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Funds disclose fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

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

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

Level 3: Valuations based primarily on inputs that are unobservable and significant.

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

The valuation techniques used by the Funds to measure fair value during the period ended December 31, 2025 maximized the use of observable inputs and minimized the use of unobservable inputs.

Exchange-traded securities 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). Shares of underlying funds and open-end registered investment companies are valued at their most recent net asset value.

Typically, the Funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO (if a

reliable updated price for a fixed income security is not available when a Fund calculates its NAV, the Fund will generally use the most recent reliable price to value that security).

The Funds' Board of Trustees (the "Board") has designated the Adviser as the valuation designee for the Funds under Rule 2a-5 of the Investment Company Act of 1940 (the "1940 Act"), subject to its oversight. The Adviser has adopted procedures and methodologies to fair value each Funds' investments whose market prices are not readily available or are deemed to be unreliable. Fair value determinations are made in good faith and in accordance with the fair value methodologies included in the Adviser-adopted valuation procedures. Due to the subjective and variable nature of fair value pricing, there can be no assurance that the Adviser will be able to obtain the fair value assigned to the investment upon the sale of such investment.

The following is a summary of the respective levels assigned to the Funds' securities and derivatives, if any, as of December 31, 2025:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **GMO Beyond China ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | $12236618 | $— | $— | $12236618 |
| Short-Term Investments | 50869 |  |  | 50869 |
| Total Investments | 12287487 |  |  | 12287487 |
| Total | $12287487 | $— | $— | $12287487 |
| **GMO Domestic Resilience ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | $28919972 | $— | $— | $28919972 |
| Short-Term Investments | 473777 |  |  | 473777 |
| Total Investments | 29393749 |  |  | 29393749 |
| Total | $29393749 | $— | $— | $29393749 |
| **GMO Dynamic Allocation ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Investment Funds | $18878260 | $— | $— | $18878260 |
| Short-Term Investments | 80550 |  |  | 80550 |
| Total Investments | 18958810 |  |  | 18958810 |
| Total | $18958810 | $— | $— | $18958810 |
| **GMO International Quality ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | $250820330 | $— | $— | $250820330 |
| Short-Term Investments | 1676352 |  |  | 1676352 |
| Total Investments | 252496682 |  |  | 252496682 |
| Total | $252496682 | $— | $— | $252496682 |

---

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **GMO International Value ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | $226232040 | $— | $— | $226232040 |
| Preferred Stocks | 3452608 |  |  | 3452608 |
| Short-Term Investments | 1440316 |  |  | 1440316 |
| Total Investments | 231124964 |  |  | 231124964 |
| Total | $231124964 | $— | $— | $231124964 |
| **GMO Systematic Investment Grade Credit ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Debt Obligations |  |  |  |  |
| Corporate Debt | $— | $18879879 | $— | $18879879 |
| TOTAL DEBT OBLIGATIONS |  | 18879879 |  | 18879879 |
| Short-Term Investments | 105374 |  |  | 105374 |
| Total Investments | 105374 | 18879879 |  | 18985253 |
| Total | $105374 | $18879879 | $— | $18985253 |
| **GMO Ultra-Short Income ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Debt Obligations |  |  |  |  |
| Asset-Backed Securities | $— | $5843067 | $— | $5843067 |
| U.S. Government | 1261799 | 52565 |  | 1314364 |
| TOTAL DEBT OBLIGATIONS | 1261799 | 5895632 |  | 7157431 |
| Short-Term Investments | 265359 |  |  | 265359 |
| Total Investments | 1527158 | 5895632 |  | 7422790 |
| Total | $1527158 | $5895632 | $— | $7422790 |
| **GMO U.S. Quality ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | $3018050077 | $— | $— | $3018050077 |
| Short-Term Investments | 13645727 |  |  | 13645727 |
| Total Investments | 3031695804 |  |  | 3031695804 |
| Total | $3031695804 | $— | $— | $3031695804 |
| **GMO U.S. Value ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | $66577946 | $— | $— | $66577946 |
| Short-Term Investments | 397490 |  |  | 397490 |
| Total Investments | 66975436 |  |  | 66975436 |
| Total | $66975436 | $— | $— | $66975436 |

---

For the six months ended December 31, 2025, there were no transfers into or out of Level 3 for the Funds.

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

**Share Valuation**

The net asset value ("NAV") per share of each Fund is determined by dividing the value of the net assets of each of the Funds (i.e., the total value of a Fund's portfolio investments and other assets, less any liabilities) by the total number of shares outstanding of each Fund, rounded to the nearest cent. The NAV per share of each Fund is determined as of the close of regular trading on the New York Stock Exchange ("NYSE"), generally at 4:00 p.m. Eastern time. Any assets or liabilities denominated in currencies other than the U.S. dollar are typically translated into U.S. dollars at the close of regular trading on the NYSE, generally at 4:00 p.m. Eastern time, at then current exchange rates or at such other rates as deemed appropriate.

**Security Transactions and Investment Income**

Security transactions are accounted for in the financial statements on trade date. Throughout the reporting period, investment transactions are generally accounted for no later than one business day following the trade date. Costs used in determining realized gains and losses on the sale of investment securities are based on specific identification. Dividend income is recorded on the ex-dividend date or, if later, when the Funds are informed of the ex-dividend date. Interest income is recognized on an accrual basis. Withholding taxes and reclaims on foreign dividends, if any, have been provided for in accordance with the Funds' understanding of the applicable country's tax rules and rates.

**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.

**Dividends and Distributions**

GMO Beyond China ETF, GMO Dynamic Allocation ETF, GMO International Quality ETF and GMO International Value ETF pay out dividends from net investment income, if any, at least annually. GMO Domestic Resilience ETF, GMO U.S. Quality ETF and GMO U.S. Value ETF pay out dividends from net investment income, if any, quarterly. GMO Systematic Investment Grade Credit ETF and GMO Ultra-Short Income ETF pay out dividends from its net investment income, if any, monthly. Distributions of net realized capital gains, if any, generally are declared and paid at least annually, but a fund may make distributions on a more frequent basis for a fund to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the "Code") in all events in a manner consistent with the provisions of the Investment Company Act of 1940 (the "1940 Act"). Brokers may make available to their customers who own shares of each Fund the Depository Trust Company book-entry dividend reinvestment service. If this service is available and used, dividend distributions of both income and capital gains will automatically be reinvested in additional whole shares of each Fund purchased on the secondary market. Without this service, investors would receive their distributions in cash.

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.

**Federal Income and Foreign Tax Information**

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each year as a separate regulated investment company under Subchapter M of 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.

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 each 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 six months ended December 31, 2025, if any, are reflected as part of Net realized gain (loss) on investments 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 Net change in unrealized appreciation (depreciation) on investments in the Statements of Operations.

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

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.

Distributions in excess of a Fund's tax basis earnings and profits, if significant, are reported in the Funds' financial statements as a return of capital.

As of June 30, 2025, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the <u>Code. Net</u> 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 June 30, 2025, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds' capital loss carryforwards are as follows:

---

| | | |
|:---|:---|:---|
| **Fund Name** | **Short-Term ($)** | **Long-Term ($)** |
| GMO Beyond China ETF |  |  |
| GMO International Quality ETF | (146776) |  |
| GMO International Value ETF | (623382) |  |
| GMO Systematic Investment Grade Credit ETF |  |  |
| GMO U.S. Quality ETF | (12869030) |  |
| GMO U.S. Value ETF | (809409) |  |

---

As of December 31, 2025, the approximate total cost, aggregate investment-level gross/net unrealized appreciation (depreciation) in the value of total investments, 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** | **Outstanding <br> Financial <br> Instruments** |
| **Fund Name** | **Aggregate <br> Cost ($)** | **Gross Unrealized Appreciation ($)** | **Gross Unrealized (Depreciation) ($)** | **Net Unrealized <br> Appreciation <br> (Depreciation) ($)** | **Net Unrealized <br> Appreciation <br> (Depreciation) ($)** |
| GMO Beyond China ETF | 10219091 | 2385997 | (317601) | 2068396 |  |
| GMO Domestic Resilience ETF | 29092861 | 1173450 | (872562) | 300888 |  |
| GMO Dynamic Allocation ETF | 18709237 | 270900 | (21327) | 249573 |  |
| GMO International Quality ETF | 244182912 | 11580723 | (3266953) | 8313770 |  |
| GMO International Value ETF | 198077318 | 33896805 | (849159) | 33047646 |  |
| GMO Systematic Investment Grade Credit ETF | 19057925 | 70569 | (143241) | (72672) |  |
| GMO Ultra-Short Income ETF | 7424306 | 1902 | (3418) | (1516) |  |
| GMO U.S. Quality ETF | 2663669946 | 473391003 | (105365145) | 368025858 |  |
| GMO U.S. Value ETF | 64414786 | 4703857 | (2143207) | 2560650 |  |

---

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 December 31, 2025, 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.

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

**Purchase and Sale of Fund Shares**

Shares of each Fund are listed on NYSE Arca, Inc. (the "Exchange"), a national securities exchange and trade in the secondary market, where most investors may buy and sell them at market prices that change throughout the day. Such market prices may be lower, higher or equal to NAV. Accordingly, when transacting in the secondary market, investors may pay more than NAV when purchasing shares and receive less than NAV when selling shares. They may also be subject to brokerage commissions and charges. The Funds issue and redeem shares at NAV only in aggregations of a specified number of shares ("Creation Units"), generally in exchange for a basket of securities ("Basket"), together with a specified cash payment or, in certain circumstances, for an all cash payment. Unlike mutual funds, shares are not individually redeemable.

**Indemnification**

Under the Funds' organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to Funds. The Funds may enter into contracts that contain representations and that provide general indemnifications. The Funds' maximum liability exposure under these arrangements is unknown, as future claims that have not yet occurred may be made against the Funds.

**Segment Reporting**

The Funds adopted Fund Accounting Standards Board Accounting Standards Update 2023-07, "*Segment Reporting (Topic 280) – Improvements to Reportable Segment Disclosures*" ("ASU 2023-07"). Adoption of the new standard impacted financial statement disclosures only and did not affect the Funds' financial position or its results of operations. 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.

**Recently-Issued Accounting Guidance**

In December 2023, the FASB issued a new Accounting Standards Update, 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. GMO is currently evaluating the impact, if any, of the new disclosure requirements on the financial statements for the Funds with annual periods beginning prior to December 15, 2024. Adoption of the new standard by GMO Beyond China ETF and GMO Systematic Investment Grade Credit ETF impacted financial statement disclosures only and did not affect the Funds' financial position or results of operations.

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;**3.** **Investment Advisory Agreement and Other Services** 

Under an investment advisory agreement between the Trust, on behalf of the Funds, and the Adviser (the "Advisory Agreement"), the Adviser provides investment advisory services to the Funds. For such investment advisory services, the Funds have agreed to pay the Adviser a unitary advisory fee payable at the annual rate equal to the percentage of each of the respective Funds' average daily net assets set forth in the table below:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **GMO Beyond China ETF** | **GMO Domestic Resilience ETF** | **GMO Dynamic Allocation ETF** | **GMO International Quality ETF** | **GMO International Value ETF** | **GMO Systematic Investment Grade Credit ETF** | **GMO Ultra-Short Income ETF** | **GMO U.S. Quality ETF** | **GMO U.S. Value ETF** |
| Advisory fee | 0.65% | 0.50% | 0.50%\* | 0.60% | 0.60% | 0.25% | 0.20% | 0.50% | 0.50% |

---

\* GMO has contractually agreed to waive or reduce its management fee, through at least November 2, 2026, to the extent necessary to offset the management fees that are borne by the Fund as a result of the Fund's investment in underlying funds.

In addition, the Adviser has contractually agreed to pay all expenses incurred by, and appropriately allocated to, the Funds except for the advisory fee; investment-related costs (such as interest charges on any borrowings, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments); taxes; proxy and shareholder meeting expenses (unless the need for a shareholder meeting is caused by the Adviser, such as a change of control of the Adviser); fees and expenses related to the provision of securities lending services; acquired fund fees and expenses (other than management and shareholder service fees paid to the Adviser attributable to the Funds' investment in such acquired funds); legal fees or expenses in connection with any arbitration, litigation, or pending or threatened arbitration or litigation, including any settlements in connection therewith; legal fees incurred at the request or direction of a Fund service provider other than the Adviser; extraordinary (as mutually determined by the Board and the Adviser) or non-recurring expenses not incurred in the ordinary course of the Funds' business; and distribution fees and expenses paid by the Funds under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act.

GMO Dynamic Allocation ETF incur fees and expenses indirectly as a shareholder in the underlying funds. For the period ended December 31, 2025, the Fund had annualized indirect fees and expenses of 0.28% of the Fund's average daily net assets.

The Funds have adopted a Plan of Distribution (the "Distribution Plan") that allows the Funds to pay distribution fees to Foreside Fund Services, LLC (the "Distributor") and other firms that provide distribution services ("Service Providers"). Under the Distribution Plan, if a Service Provider provides distribution services, the Funds would pay distribution fees to the Distributor at an annual rate not to exceed 0.25% of a Fund's average daily net assets, pursuant to Rule 12b-1 under the 1940 Act. The Distributor would, in turn, pay the Service Provider out of its fees. The Board currently has determined not to implement any 12b-1 fees pursuant to the Plan. 12b-1 fees may only be imposed after approval by the Board.

State Street Bank & Trust Company ("State Street") serves as administrator, custodian and transfer agent for the Funds. State Street maintains all necessary records of the Funds.

&nbsp;&nbsp;&nbsp;&nbsp;**4.** **Organizational Expenses and Offering Costs** 

The Adviser (and not the Funds) has agreed to pay all of the Funds' organizational expenses and offering costs appropriately allocated to them. As a result, organizational expenses and offering costs of the Funds are not reflected in the Funds' Statements of Assets and Liabilities or Statements of Operations. The Funds are not obligated to repay any such organizational expenses or offering costs paid by the Adviser.

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;**5.** **Investment Transactions** 

Purchases and sales of investments in securities, excluding in-kind transactions and short-term securities, for the six months ended December 31, 2025 were as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Purchases ($)** | **Sales ($)** |
| **Fund Name** | **U.S. Government <br> Securities** | **Investment (Non-U.S. <br> Government Securities)** | **Investment (Non-U.S.<br> Government Securities)** |
| GMO Beyond China ETF |  | 1831703 | 2112316 |
| GMO Domestic Resilience ETF |  | 911407 | 9929 |
| GMO Dynamic Allocation ETF |  | 1416715 | 1121798 |
| GMO International Quality ETF |  | 8220964 | 5490118 |
| GMO International Value ETF |  | 45413580 | 7749385 |
| GMO Systematic Investment Grade Credit ETF |  | 7446483 | 6107978 |
| GMO Ultra-Short Income ETF | 715255 | 5947265 | 101285 |
| GMO U.S. Quality ETF |  | 299582307 | 92557030 |
| GMO U.S. Value ETF |  | 20486100 | 12673122 |

---

In-kind transactions associated with creations and redemptions, for the six months ended December 31, 2025 were as follows:

---

| | | |
|:---|:---|:---|
| **Fund Name** | **Creations ($)** | **Redemptions ($)** |
| GMO Beyond China ETF |  |  |
| GMO Domestic Resilience ETF | 28780964 | 1303305 |
| GMO Dynamic Allocation ETF | 18341688 |  |
| GMO International Quality ETF | 188270276 | 2262202 |
| GMO International Value ETF | 40227400 | 38792162 |
| GMO Systematic Investment Grade Credit ETF | 15110939 | 3780480 |
| GMO Ultra-Short Income ETF |  |  |
| GMO U.S. Quality ETF | 799867448 | 287052133 |
| GMO U.S. Value ETF | 15777800 | 13888092 |

---

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;**6.** **Principal Risks** 

The following chart identifies the principal 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.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | **GMO Beyond China ETF** | **GMO Domestic Resilience ETF** | **GMO Dynamic Allocation ETF** | **GMO International Quality ETF** | **GMO International Value ETF** | **GMO Systematic Investment Grade Credit ETF** | **GMO Ultra-Short Income ETF** | **GMO U.S. Quality ETF** | **GMO U.S. Value ETF** |
| Management and Operational Risk | **●** | **●** | **●** | ● | ● | ● | **●** | ● | ● |
| Market Risk – Equities | ● | **●** | **●** | ● | ● | | | ● | ● |
| Market Disruption and Geopolitical Risk | ● | **●** | **●** | ● | ● | ● | **●** | ● | ● |
| ETF Risks | ● | **●** | **●** | ● | ● | ● | **●** | ● | ● |
| Focused Investment Risk | ● | **●** | **●** | ● | ● | ● | | ● | ● |
| Illiquidity Risk | ● | **●** | **●** | | ● | ● | | | ● |
| Smaller Company Risk | ● | **●** | **●** | ● | ● | ● | | | ● |
| Non-U.S. Investment Risk | ● | | **●** | ● | ● | ● | | | |
| New/Smaller Fund Risk | ● | **●** | **●** | ● | ● | ● | **●** | | ● |
| Currency Risk | ● | | **●** | ● | ● | | | | |
| Market Risk - Fixed Income | | | **●** | | | ● | **●** | | |
| Fund of Funds Risk | **●** | | **●** | **●** | | | | **●** | |
| Credit Risk | | | **●** | | | ● | **●** | | |
| Counterparty Risk | **●** | | **●** | | | ● | **●** | | |
| Derivatives and Short Sales Risk | **●** | | **●** | | | ● | | | |
| Futures Contracts Risk | | | **●** | | | ● | | | |
| Leveraging Risk | **●** | | **●** | | | ● | | | |
| Market Risk - Asset-Backed Securities | | | **●** | | | | **●** | | |
| Commodities Risk | | | **●** | | | | | | |
| Large Shareholder Risk | | | | | | ● | | | |
| Value Investing Risk | | | **●** | | | | | | |
| National Closed Market Trading Risk | ● | | **●** | ● | **●** | | | | |
| Non-Diversified Fund | | | | **●** | | | **●** | | |

---

Investing in an ETF involves many risks. The risks of investing in the Funds depend on the types of investments in its portfolio and the investment strategies GMO employs on its behalf. This section does not describe every potential risk of investing in the Funds. The Funds could be subject to additional risks because of the types of investments they make and market conditions, which may change over time. The Statement of Additional Information includes more information about the Funds, their investments, and the related risks.

An investment in the Funds is not a bank deposit and, therefore, is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

&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 some 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;**·**  ***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, a 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 a Fund's shares.

 ****

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**·**  ***Market Disruption and Geopolitical Risk.*** Geopolitical and other events (e.g., wars, pandemics, sanctions, terrorism) 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 a Fund's investments.

 ****

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**·**  ***ETF Risks.*** Each Fund is an ETF and, as a result of this structure, is exposed to the following risks:

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**·**  ***Costs of Buying or Selling Shares Risk.*** Due to the costs of buying or selling Fund shares, including brokerage commissions imposed by brokers and the variance in bid-ask spreads, frequent trading of Fund shares may significantly reduce investment results and an investment in Fund shares may not be advisable for investors who anticipate regularly making small investments.

 ****

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**·**  ***Limited Authorized Participants, Market Makers and Liquidity Providers Risk.*** Because a Fund is an ETF, typically only a limited number of institutional investors (known as "Authorized Participants") are authorized to purchase and redeem shares directly from a Fund. Retail investors cannot transact directly with a Fund. In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace to transact in Fund shares, there may be demand for Fund shares thereby increasing the market price above NAV, or lack of demand, which may decrease the market price below NAV, or in stressed market conditions, the market for Fund shares may become less liquid in response to deteriorating liquidity in the markets for a Fund's underlying portfolio holdings. As a result of these considerations, Fund shares may trade at a material premium or discount to net asset value ("NAV") or these factors may, in turn, lead to wider spreads between the bid and ask price of Fund shares. In addition, a Fund may face possible delisting if: (i) Authorized Participants exit the business or otherwise become unable to process creation and/or redemption orders and no other Authorized Participants step forward to perform these services, or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions.

 ****

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**·**  ***Trading Risk.*** Shares of a Fund may trade on the NYSE Arca, Inc. (the "Exchange") above (premium) or below (discount) their NAV. In stressed market conditions, the market for Fund shares may become less liquid in response to deteriorating liquidity in the markets for a Fund's underlying portfolio holdings, which may increase the variance between the market price of the Fund shares and the value of its underlying holdings. This can be reflected as a spread between the bid and ask prices for the Fund shares quoted during the day or a premium or discount in the closing price from a Fund's NAV. In addition, although a Fund's shares are currently listed on the Exchange, there can be no assurance that an active trading market for Fund shares will develop or be maintained. Trading in Fund shares may be halted due to market conditions or for reasons that, in the view of the Exchange, make trading in shares of a Fund inadvisable.

 ****

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**·**  ***Cash Transactions Risk.*** A Fund may effect some of its creations and redemptions for cash, rather than in-kind securities. As a result, a Fund may have to sell portfolio securities at inopportune times in order to obtain the cash needed to meet redemption orders. This may cause a Fund to sell a security and recognize a capital gain or loss that might not have been incurred if it had made a redemption in-kind. The use of cash creations and redemptions may also cause a Fund's shares to trade in the market at wider bid-ask spreads or greater premiums or discounts to a Fund's NAV. In effecting creations and redemptions in exchange for cash, a Fund may incur certain costs, including brokerage costs in connection with investing cash received and may recognize capital gains in connection with cash redemptions, unlike an ETF that effects creations and redemptions only in-kind. In addition, costs could be imposed on a Fund which would have the effect of decreasing a Fund's NAV to the extent the costs are not offset by a transaction fee payable by an Authorized Participant.

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**·**  ***National Closed Market Trading Risk.*** To the extent that the underlying securities or other instruments held by a Fund trade on foreign exchanges or in foreign markets that may be closed when the securities exchange on which a Fund's shares trade is open, there are likely to be deviations between the current price of such an underlying security and the last quoted price for the underlying security (i.e., the Fund's quote from the closed foreign market). The impact of a closed foreign market on a Fund is likely to be greater where a large portion of a Fund's underlying securities or other instruments trade on that closed foreign market or when the foreign market is closed for unscheduled reasons. These deviations could result in premiums or discounts to a Fund's NAV that may be greater than those experienced by other ETFs.

 ****

&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;**·**  ***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;**·**  ***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 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;**·**  ***New/Smaller Fund Risk.*** A new or smaller fund is subject to the risk that its performance may not represent how the fund is expected to or may perform in the long term. In addition, new funds have limited operating histories for investors to evaluate and new and smaller funds may not attract sufficient assets to achieve investment and trading efficiencies. There can be no assurance that a Fund will achieve an economically viable size, in which case it could ultimately liquidate.

 ****

&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;**·**  ***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).

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

&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. In addition, a Fund indirectly bears its pro rata portion of an underlying fund's fees and expenses in addition to the fees and expenses borne by the Fund. As a result, shareholders will be subject to two layers of fees and expenses when the Fund invests in underlying funds.

 ****

&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 its obligation to pay principal and interest or otherwise to honor its 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 a failure.

 ****

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;**·**  ***Counterparty Risk.*** A Fund runs the risk that the counterparty to a derivatives contract or a clearing member used by a Fund to hold a cleared derivatives contract is unable or unwilling to make timely settlement payments, return a Fund's collateral or otherwise honor its obligations.

 ****

&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;**·**  ***Futures Contracts Ris***k. 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 a 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 a 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;**·**  ***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 a Fund's assets declines between the time a redemption request is treated as being received by a Fund and the time a 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.

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

&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;**·**  ***Large Shareholder 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, a Fund is subject to the risk that a redemption by that shareholder or group will require a Fund to sell investments at disadvantageous prices, disrupt a Fund's operations, or force a Fund's liquidation.

 ****

&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 Fund.*** Each of GMO International Quality ETF and GMO Ultra-Short Income ETF is not a "diversified" investment company within the meaning of the 1940 Act. This means that the Fund 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 the Fund's performance.

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&nbsp;&nbsp;&nbsp;&nbsp;**7.** **Capital Share Transactions** 

Each of the Funds shares are listed and traded on the Exchange each day that the Exchange is open for business ("Business Day"). Individual shares of the Funds may only be purchased and sold on the Exchange through a broker-dealer at market price. Because shares of the Funds trade at market prices rather than at NAV, shares of the Funds may trade at a price equal to NAV, greater than NAV (premium) or less than NAV (discount). The Funds issue their shares to and redeem their shares from, on a continuous basis, certain institutional investors known as "Authorized Participants" (typically market makers or other broker-dealers) only in large blocks of the Funds' shares known as Creation Units. Creation Unit transactions are generally conducted in exchange for the deposit or delivery of a portfolio of in-kind securities designated by the Funds and as needed, a specified amount of cash.

Most retail investors will not qualify as Authorized Participants, therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares of the Funds in the secondary market with the assistance of a broker, which will be subject to customary brokerage commissions or fees.

A purchase (i.e., creation) transaction fee may be imposed for the transfer and other transaction costs associated with the purchase of Creation Units. The Funds may adjust the creation transaction fee from time to time. In addition, a variable fee may be imposed for cash purchases, non-standard orders, or partial cash purchases of Creation Units. The variable fee is primarily designed to cover non-standard charges, e.g., brokerage, taxes, foreign exchange, execution, market impact, and other costs and expenses related to the execution of trades resulting from such transaction. The Funds may determine not to charge a variable fee on certain orders when the Adviser has determined that doing so is in the best interests of Fund shareholders. Investors who use the services of an Authorized Participant, broker or other such intermediary may be charged a fee for such services which may include an amount for the creation transaction fee and non-standard charges. Investors are responsible for the costs of transferring the securities constituting the deposit securities to the account of the Trust. The Adviser may retain all or a portion of the transaction fee to the extent the Adviser bears the expenses that otherwise would be borne by the Trust in connection with the issuance of a Creation Unit, which the transaction fee is designed to cover.

A redemption transaction fee may be imposed for the transfer and other transaction costs associated with the redemption of Creation Units. The Funds may adjust the redemption transaction fee from time to time. In addition, a variable fee, payable to the Funds, may be imposed for cash redemptions, non-standard orders, or partial cash redemptions for the Funds. The variable fee is primarily designed to cover non-standard charges, e.g., brokerage, taxes, foreign exchange, execution, market impact, and other costs and expenses related to the execution of trades resulting from such transaction. The Funds may determine not to charge a variable fee on certain orders when the Adviser has determined that doing so is in the best interests of the Funds' shareholders. Investors who use the services of an Authorized Participant, broker or other such intermediary may be charged a fee for such services which may include an amount for the redemption transaction fee and non-standard charges. Investors are responsible for the costs of transferring the securities constituting the Funds' securities to the account of the Trust.

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

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:

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six Months Ended** | **Six Months Ended** | | |
|  | **December 31, 2025** | **December 31, 2025** | **Year Ended** | **Year Ended** |
|  | **(Unaudited)** | **(Unaudited)** | **June** | **30, 2025** |
|  | **Shares** | **Amount** | **Shares** | **Amount** |
| **GMO Beyond China ETF<sup>(a)</sup>** |  |  |  |  |
| Shares sold |  | $— | 400000 | $10183052 |
| Net increase (decrease) |  | $— | 400000 | $10183052 |
| **GMO Domestic Resilience ETF<sup>(b)</sup>** |  |  |  |  |
| Shares sold | 1200000 | $30152177 |  |  |
| Shares repurchased | (50000) | (1286460) |  |  |
| Net increase (decrease) | 1150000 | $28865717 |  |  |
| **GMO Dynamic Allocation ETF<sup>(c)</sup>** |  |  |  |  |
| Shares sold | 740000 | $18731745 |  |  |
| Net increase (decrease) | 740000 | $18731745 |  |  |
| **GMO International Quality ETF <sup>(d)</sup>** |  |  |  |  |
| Shares sold | 7400000 | $192660035 | 2200000 | $53808320 |
| Shares repurchased | (100000) | (2556590) |  |  |
| Net increase (decrease) | 7300000 | $190103445 | 2200000 | $53808320 |
| **GMO International Value ETF <sup>(d)</sup>** |  |  |  |  |
| Shares sold | 2600000 | $82196620 | 6200000 | $161307200 |
| Shares repurchased | (1300000) | (40882760) | (600000) | (16938680) |
| Net increase (decrease) | 1300000 | $41313860 | 5600000 | $144368520 |
| **GMO Systematic Investment Grade Credit ETF <sup>(e)</sup>** |  |  |  |  |
| Shares sold | 650000 | $16826085 | 250000 | $6249850 |
| Shares repurchased | (150000) | (3869325) |  |  |
| Net increase (decrease) | 500000 | $12956760 | 250000 | $6249850 |
| **GMO Ultra-Short Income ETF<sup>(f)</sup>** |  |  |  |  |
| Shares sold | 150000 | $7504903 |  |  |
| Net increase (decrease) | 150000 | $7504903 |  |  |
| **GMO U.S. Quality ETF** |  |  |  |  |
| Shares sold | 28310000 | $1017655542 | 40110000 | $1280273679 |
| Shares repurchased | (8100000) | (293761519) | (8210000) | (260762382) |
| Net increase (decrease) | 20210000 | $723894023 | 31900000 | $1019511297 |

---

**GMO ETF Trust**

**Notes to Financial Statements — (Continued) December 31, 2025 (Unaudited)**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Six Months Ended <br> December 31, 2025 <br> (Unaudited)** | **Year Ended <br> June 30, 2025** | **Year Ended <br> June 30, 2025** |
| | **Shares** | **Amount** | **Shares** | **Amount** |
| **GMO U.S. Value ETF <sup>(d)</sup>** |  |  |  |  |
| Shares sold | 920000 | $24468320 | 2440000 | $61325856 |
| Shares repurchased | (560000) | (14660564) | (360000) | (8647964) |
| Net increase (decrease) | 360000 | $9807756 | 2080000 | $52677892 |

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<sup>(a)</sup> The period under the heading "Year Ended June 30, 2025" represents the period from February 13, 2025 (commencement of operations) through June 30, 2025.

<sup>(b)</sup> The period under the heading "Six Months Ended December 31, 2025" represents the period from October 1, 2025 (commencement of operations) through December 31, 2025.

<sup>(c)</sup> The period under the heading "Six Months Ended December 31, 2025" represents the period from October 14, 2025 (commencement of operations) through December 31, 2025.

<sup>(d)</sup> The period under the heading "Year Ended June 30, 2025" represents the period from October 29, 2024 (commencement of operations) through June 30, 2025.

<sup>(e)</sup> The period under the heading "Year Ended June 30, 2025" represents the period from June 4, 2025 (commencement of operations) through June 30, 2025.

<sup>(f)</sup> The period under the heading "Six Months Ended December 31, 2025" represents the period from October 28, 2025 (commencement of operations) through December 31, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;**8.** **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 ETF Trust or other funds managed by GMO. A summary of the Funds' transactions involving companies that are or were affiliates during the period ended December 31, 2025 is set forth below:

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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)** | **Net Increase/**<br> **Decrease in**<br> **Unrealized**<br> **Appreciation/**<br> **Depreciation** | **Value, end of**<br> **period** |
| **Dynamic Allocation ETF** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;GMO Domestic Resilience ETF | $&nbsp;&nbsp;&nbsp;&nbsp; — | $550607 | $&nbsp;&nbsp;&nbsp;&nbsp; — | $1202 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp; — | $7558 | $558165 |
| &nbsp;&nbsp;&nbsp;GMO International Quality ETF |  | 937125 |  | 1144 |  |  | 21938 | 959063 |
| &nbsp;&nbsp;&nbsp;GMO International Value ETF |  | 1793361 |  | 19018 |  |  | 89470 | 1882831 |
| &nbsp;&nbsp;&nbsp;GMO U.S. Quality ETF |  | 1866966 |  | 4127 |  |  | 45573 | 1912539 |
| &nbsp;&nbsp;&nbsp;GMO U.S. Value ETF |  | 1815628 |  | 9784 |  |  | 58750 | 1874378 |
| Totals | $— | $6963687 | $— | $35275 | $— | $— | $223289 | $7186976 |

---

&nbsp;&nbsp;&nbsp;&nbsp;**9.** **Subsequent Events** 

Effective January 1, 2026, the fiscal year end of the GMO ETF Trust Funds is February 28th.

**Board Review of Investment Management Agreements December 31, 2025 (Unaudited)**

**GMO Horizons ETF, GMO Dynamic Allocation ETF, GMO Domestic Resilience ETF and GMO Ultra-Short Income ETF**

At a meeting held on August 18-19, 2025 (the "Meeting"), the Board of Trustees (the "Board") of The 2023 ETF Series Trust II ("Trust") considered and approved, for an initial two year term, the Investment Advisory Agreement (the "Agreement") between the Trust and Grantham, Mayo, Van Otterloo & Co. ("GMO") with respect to the GMO Horizons ETF, GMO Dynamic Allocation ETF, GMO Domestic Resilience ETF and GMO Ultra-Short Income ETF (each, a "Fund," and collectively, the "Funds") pursuant to which GMO will provide advisory services to the Funds, each of which is a new series of the Trust. The Board, which was comprised solely of Trustees who are not "interested persons" of the Trust within the meaning of the Investment Company Act of 1940 (the "Independent Trustees"), were advised by legal counsel throughout the process.

To evaluate the Agreement, the Board requested, and GMO, the Funds' investment adviser, provided such materials as the Board, with the advice of counsel, deemed reasonably necessary. The Board also met with representatives of GMO at the Meeting, during which the Independent Trustees and GMO representatives discussed the materials that had been provided as well as other related matters concerning the Funds. In determining whether to approve the Agreement, the Board considered various factors, including (i) the nature, extent and quality of services to be provided by GMO to the Funds; (ii) the investment objective and strategy for each Fund and, because the Funds are new and therefore have no performance record, how each Fund's strategy might be expected to perform in the future; (iii) the profits anticipated to be realized by GMO from providing advisory services to the Funds; (iv) fees charged to comparable funds; (v) the extent to which economies of scale would be shared as each Fund grows; and (vi) other factors the Board deemed to be relevant.

*Nature, Extent and Quality of Services*

 

The Board considered the nature, extent and quality of services to be provided by GMO. The Board reviewed the Agreement and GMO's anticipated responsibilities with respect to providing investment advisory services to the Funds, including developing, implementing, and maintaining each Fund's investment program; portfolio management, including evaluating and selecting investments for the Funds; trading portfolio securities and other investment instruments on behalf of the Funds; selecting broker-dealers to execute purchase and sale transactions; overseeing general portfolio compliance with relevant law; monitoring compliance with various policies and procedures and applicable securities regulations; periodic reporting to the Board; and implementing Board directives as they relate to the Funds.

The Board considered the background, sophistication and experience of GMO's senior management, including those individuals responsible for portfolio management and regulatory compliance of the Funds. The Board also considered GMO's extensive administrative and compliance infrastructures. The Board appreciated the fact that GMO has deep experience and expertise serving as the investment adviser to other registered investment companies and manages other exchange-traded funds overseen by the Board.

The Board considered GMO's portfolio management resources, structures and practices, including those associated with monitoring and seeking to ensure each Fund's compliance with its investment objective and policies and with applicable laws and regulations. The Board also considered information about GMO's overall investment management business, including the financial resources available to it needed to deliver high quality advisory services to the Funds.

*Investment Performance*

 

Because the Funds are new and had not yet commenced operations, the Board noted that there was no historical performance record to consider. The Board discussed with representatives of GMO the proposed portfolio management team and the investment strategy to be employed in the management of each Fund's assets. The Board considered GMO's reputation and experience, including its experience managing other registered investment companies and took into account its experience and familiarity with GMO providing investment advisory services to other series of the Trust.

*Fees Charged to Comparable Funds*

 

The Board reviewed the advisory fee to be paid by each Fund to GMO under the Agreement. The Board reviewed a report prepared by Broadridge, an independent third-party, comparing each Fund's advisory fee to those paid by a group of peer funds. The Board took into consideration that the advisory fee for each Fund is a "unitary fee," meaning that the Funds pay no expenses other than the advisory fee and certain expenses customarily excluded from unitary fee arrangements, such as brokerage commissions, taxes, and interest. The Board noted that, under the Agreement, GMO is responsible for compensating the Funds' other service providers and paying the Funds' other expenses out of its own fee and resources.

**Board Review of Investment Management Agreements — (Continued) December 31, 2025 (Unaudited)**

*Profitability and Economies of Scale*

 

The Board considered information concerning the anticipated profitability of GMO from managing the Funds. The Board appreciated that, because the Funds are new, information concerning GMO's profitability from a Fund was based on estimates and therefore, to a large degree, speculative. The Board noted that it will have opportunities in the future to consider and evaluate GMO's profitability from managing the Funds after the Funds commence operations and GMO begins receiving advisory fees. The Board also considered whether economies of scale or other efficiencies might result as a Fund's assets grow. As the Funds had not yet commenced operations, the Board observed that it is difficult to draw any meaningful conclusions. However, the Board noted the commitment being made by GMO by structuring its advisory fee as a unitary fee, which effectively acts as a cap on each Fund's total expense ratio. The Board noted that it intends to monitor for the existence of economies of scale with respect to the management of the Funds.

*Other Benefits*

 

The Board considered other benefits that might be derived by GMO from its relationship with the Funds. The Board noted that GMO has the ability to realize soft dollar benefits from its relationship with the Funds. The Board also considered the potential benefits flowing to GMO from sponsoring a family of exchange-traded funds.

*Conclusion*

 

After reviewing these and other factors, the Board concluded, in the context of its overall review of the Agreement, that the nature, extent and quality of services to be provided supported its approval of the Agreement and that the fee to be charged under the Agreement was reasonable. In the Independent Trustees' deliberations, each Trustee gave specific factors the weight that Trustee thought appropriate. No single factor was determinative of the Board's decision to approve the Agreement on behalf of the Funds; rather, the Board based its determination on the total mix of information available to it.

**GMO U.S. Quality ETF**

At a meeting held on August 19, 2025 (the "Meeting"), the Board of Trustees (the "Board") of The 2023 ETF Series Trust II (the "Trust") considered and approved the continuance of the Investment Advisory Agreement (the "Agreement") between the Trust and Grantham, Mayo, Van Otterloo & Co. LLC ("GMO") with respect to the GMO U.S. Quality ETF (the "Fund") pursuant to which GMO provides advisory services to the Fund. The Board, which was comprised solely of Trustees who are not "interested persons" of the Trust (the "Independent Trustees") within the meaning of the Investment Company Act of 1940 (the "1940 Act"), were advised by legal counsel throughout the process.

Pursuant to Section 15 of the 1940 Act, the continuation of the Agreement must be approved by a vote of (i) the Trustees or the shareholders of the Fund and (ii) a majority of the Independent Trustees cast in person at a meeting called for the purpose of voting on such approval. In connection with its consideration of such approval, the Board must request and evaluate, and GMO is required to furnish, such information as may be reasonably necessary to evaluate the terms of the Agreement.

Consistent with these responsibilities, prior to the Meeting, the Board reviewed materials from GMO, and at the Meeting representatives from GMO presented additional information to help the Board evaluate the Agreement. Among other things, representatives from GMO provided an overview of its advisory business, including investment personnel and investment processes. During the Meeting, the Board discussed the materials it received, including a memorandum from legal counsel on the responsibilities of Trustees in considering the approval of investment advisory agreements under the 1940 Act, considered GMO's oral presentation, and deliberated on the approval of the Agreement in light of this information. Throughout the process, the Independent Trustees were afforded the opportunity to ask questions of, and request additional materials from, GMO. The Independent Trustees were assisted in their review by counsel and met with counsel separately and without management present.

**Board Review of Investment Management Agreements — (Continued) December 31, 2025 (Unaudited)**

In considering whether to approve the continuance of the Agreement, the Board considered various factors, including (i) the nature, extent and quality of services provided by GMO to the Fund; (ii) the investment objective and strategy for the Fund and the Fund's performance record; (iii) the profits realized by GMO from providing advisory services to the Fund; (iv) fees charged to comparable funds; (v) the extent to which the advisory fee for the Fund reflects economies of scale shared with Fund shareholders; and (vi) other factors the Board deemed to be relevant.

*Nature, Extent and Quality of Services*

 

With respect to the nature, extent and quality of services provided by GMO to the Fund, the Board considered GMO's responsibilities with respect to providing investment advisory services to the Fund, including developing, implementing, and maintaining the Fund's investment program; portfolio management, including evaluating and selecting investments for the Fund; trading portfolio securities and other investment instruments on behalf of the Fund; selecting broker-dealers to execute purchase and sale transactions; overseeing general portfolio compliance with relevant law; monitoring compliance with various policies and procedures and applicable securities regulations; periodic reporting to the Board; and implementing Board directives as they relate to the Fund. The Board noted that it had been provided with GMO's registration form on Form ADV as well as GMO's responses to a detailed series of questions, which included a description of GMO's operations, services, personnel, compliance program, risk management program, and financial condition, and whether there had been material changes to such information since it was last presented to the Board.

The Board considered the background, sophistication and experience of GMO's senior management, including those individuals responsible for portfolio management and regulatory compliance of the Fund. The Board also considered GMO's extensive administrative and compliance infrastructures. The Board appreciated the fact that GMO has deep experience and expertise serving as the investment adviser to other registered investment companies and manages other exchange-traded funds overseen by the Board.

The Board further considered GMO's portfolio management resources, structures and practices, including those associated with monitoring and seeking to ensure the Fund's compliance with its investment objective and policies and with applicable laws and regulations. The Board also considered information about GMO's overall investment management business, including the financial resources available to it needed to deliver high quality advisory services to the Fund.

*Investment Performance*

 

The Board reviewed the Fund's performance in light of its stated investment objective, noting that the Fund is actively managed. The Board was provided reports regarding the Fund's past performance, including a report prepared by an independent third-party comparing the Fund's performance to various benchmarks for the one-year and since inception periods ended June 30, 2025. In considering the Fund's performance over these time periods, the Board took into account that the Fund has had a relatively short operating history over which to judge performance. The Board also considered information that was provided to it regarding factors impacting the performance of the Fund, noting that it also received regular reports regarding the Fund's performance at its quarterly meetings.

*Fees Charged to Comparable Funds*

 

The Board reviewed the advisory fee paid by the Fund to GMO under the Agreement. The Board reviewed a report prepared by Broadridge, an independent third-party, comparing the Fund's advisory fee to those paid by a group of peer funds. The Board noted that the Fund's advisory fee was within the range of its Peer Group. The Board took into consideration that the advisory fee for the Fund is a "unitary fee," meaning that the Fund pays no expenses other than the advisory fee and certain expenses customarily excluded from unitary fee arrangements, such as brokerage commissions, taxes, and interest. The Board noted that, under the Agreement, GMO is responsible for compensating the Fund's other service providers and paying the Fund's other expenses out of its own fee and resources. The Board also took into consideration GMO's commitment of extensive resources to service the Fund and provide an investment program. The Board also noted that the advisory fee charged to the Fund is generally consistent with the fees charged by GMO to its other clients.

*Profitability and Economies of Scale*

 

The Board considered information concerning the profitability of GMO from managing the Fund. The Board reviewed information provided about the costs and expenses incurred by GMO in providing advisory services, evaluated the compensation and benefits received by GMO from its relationship with the Fund, and reviewed a profitability analysis from GMO with respect to the Fund. The Board also considered whether economies of scale have been realized with respect to the Fund, or whether other efficiencies resulted as the Fund's assets grow. The Board observed the Fund had experienced asset growth since launch, but was satisfied that no significant economies of scale have been realized, noting GMO's assertion that, through the unitary fee structure, GMO is responsible for paying the Fund's operating expenses, which effectively caps the Fund's total expense ratio, and GMO's stated commitment to reinvesting in its advisory business to ensure the continued provision of high quality services. The Board also acknowledged that it will have the opportunity to periodically reexamine whether economies have been achieved.

**Board Review of Investment Management Agreements — (Continued) December 31, 2025 (Unaudited)**

*Conclusion*

 

After reviewing these and other factors, the Board concluded, in the context of its overall review of the Agreement, that the nature, extent and quality of services provided supported its approval of the continuance of the Agreement and that the fee charged thereunder was reasonable. In the Independent Trustees' deliberations, each Trustee gave specific factors the weight that Trustee thought appropriate. No single factor was determinative of the Board's decision of whether to approve the continuance of the Agreement on behalf of the Fund; rather, the Board based its determination on the total mix of information available to it. Based on a consideration of all the factors in their totality, the Board determined that the approval of the continuance of the Agreement was in the best interests of the Fund and its shareholders.

---

| | |
|:---|:---|
| **<u>Investment Adviser</u>** | **<u>Distributor</u>** |
| Grantham, Mayo, Van Otterloo & Co. LLC | Foreside Fund Services, LLC |
| 53 State Street | Three Canal Plaza, Suite 100 |
| Boston, MA 02109 | Portland, ME 04101 |
| **<u>Administrator, Transfer Agent and Custodian</u>** | **<u>Independent Registered Public Accounting Firm</u>** |
| State Street Bank & Trust Company | PricewaterhouseCoopers, LLP |
| One Congress Street, Suite 1 | 101 Seaport Boulevard, Suite 500 |
| Boston, MA 02114 | Boston MA 02210 |
|  | **<u>Legal Counsel</u>** |
|  | Ropes & Gray LLP |
|  | Prudential Tower |
|  | 800 Boylston Street |
|  | Boston, MA 02199 |

---

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.**

Not applicable.

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.**

A special meeting of the shareholders of The 2023 ETF Series Trust II (the "Trust") was held on October 16, 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 the 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 | 43400433.655 | 99.530% | 53.210% |
|  | WITHHELD | 204992.583 | 0.470% | 0.251% |
| Peter Tufano | FOR | 43384559.544 | 99.494% | 53.191% |
|  | WITHHELD | 220866.694 | 0.506% | 0.270% |
| Enrique Chang | FOR | 43394943.094 | 99.518% | 53.203% |
|  | WITHHELD | 210483.144 | 0.482% | 0.258% |
| Dina Santoro | FOR | 43401346.482 | 99.532% | 53.211% |
|  | WITHHELD | 204079.756 | 0.468% | 0.250% |

---

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.**

Not applicable.

**Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.**

Filed under item 7 of this Form.

**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 have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees.

**Item 16. Controls and Procedures.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's principal executive officer and principal financial officer have evaluated the registrant's
 disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) within 90 days of
 the filing date and have concluded that the registrant's disclosure controls and procedures were effective, as of that date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) There were no changes to the registrant's internal control over financial reporting (as defined in Rule
 30a-3(d) under the Investment Company Act of 1940, as amended) 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 - Not applicable for semi-annual reports.

(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant's securities are listed – Not applicable.

---

| | |
|:---|:---|
| [(a)(3)](fp0097833-1_ex99cert.htm) | [A separate certification for 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, as amended (17 CFR 270.30a-2(a)), are filed herewith.](fp0097833-1_ex99cert.htm) |

---

(a)(4) Any written solicitation to purchase securities under Rule 23c-1 – Not applicable.

(a)(5) Change in Registrant's independent public accountant – Not applicable.

[(b)](fp0097833-1_ex99906cert.htm) [The 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.](fp0097833-1_ex99906cert.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.

GMO ETF Trust

---

| | |
|:---|:---|
| By: | /s/Tara Pari |
|  | Tara Pari |
|  | Principal Executive Officer |
| Date: | March 5, 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: | /s/Tara Pari |
|  | Tara Pari |
|  | Principal Executive Officer |
| Date: | March 5, 2026 |

---

---

| | |
|:---|:---|
| By: | /s/ Betty Maganzini |
|  | Betty Maganzini |
|  | Principal Financial Officer |
| Date: | March 5, 2026 |

---

## Ex-99.Cert

**Exhibit 19(a)(3)(1)**

**Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act**

I, Tara Pari, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of GMO ETF Trust;

&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer 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;(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;(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;(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;(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;5. The registrant's other certifying officer 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;(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.

---

| | |
|:---|:---|
| By: | /s/ Tara Pari |
|  | Tara Pari |
|  | Principal Executive Officer |
| Date: | March 5, 2026 |

---

**Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act**

I, Betty Maganzini, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. I have reviewed this report on Form N-CSR of GMO ETF Trust;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. The registrant's other certifying officer 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;(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;(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;(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;(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;5. The registrant's other certifying officer 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;(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.

---

| | |
|:---|:---|
| By: | /s/ Betty Maganzini |
|  | Betty Maganzini |
|  | Principal Financial Officer |
| Date: | March 5, 2026 |

---

## Exhibit 99.906

**Exhibit 19(b)**

**Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act**

This certification is furnished pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended December 31, 2025 of GMO ETF Trust (the "Company").

I, Tara Pari, Principal Executive Officer of the Company, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) the Form N-CSR fully complies with the requirements of Section 13(a) or Section 15(d), as applicable, of the Securities Exchange Act
of 1934 (15 U.S.C. 78m or 78o(d)); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations
of the Company.

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic form of this written statement required by Section 906, has been provided to the Company and will be retained by the Company and furnished to the Securities and Exchange Commission or its staff upon request.

---

| | |
|:---|:---|
| Dated: | March 5, 2026 |
| By: | /s/ Tara Pari |
|  | Tara Pari |
|  | Principal Executive Officer |

---

**Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act**

This certification is furnished pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. § 1350, and accompanies the report on Form N-CSR for the period ended December 31, 2025 of GMO ETF Trust (the "Company").

I, Betty Maganzini, Principal Financial Officer of the Company, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) the Form N-CSR fully complies with the requirements of Section 13(a) or Section 15(d), as applicable of the Securities Exchange Act
of 1934 (15 U.S.C. 78m or 78o(d)); and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations
of the Company.

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic form of this written statement required by Section 906, has been provided to the Company and will be retained by the Company and furnished to the Securities and Exchange Commission or its staff upon request.

---

| | |
|:---|:---|
| Dated: | March 5, 2026 |
| By: | /s/ Betty Maganzini |
|  | Betty Maganzini |
|  | Principal Financial Officer |

---