# EDGAR Filing Document

**Accession Number:** 0001981627
**File Stem:** 0001193125-26-239064
**Filing Date:** 2026-5
**Character Count:** 257763
**Document Hash:** 3c991f0b8ec02124f7c202f4bdc8d003
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-26-239064.hdr.sgml**: 20260526

**ACCESSION NUMBER**: 0001193125-26-239064

**CONFORMED SUBMISSION TYPE**: N-CSR/A

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260526

**DATE AS OF CHANGE**: 20260526

**EFFECTIVENESS DATE**: 20260526

**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-CSR/A
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23895
- **FILM NUMBER:** 261019501

**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            |

**UNITED STATES** 

**SECURITIES AND EXCHANGE COMMISSION** 

**Washington, D.C. 20549** 

**FORM N-CSR** 

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED** 

**MANAGEMENT INVESTMENT COMPANIES** 

**Investment Company Act file number: 811-23895** 

## GMO ETF TRUST
**(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** 

**Wilmington, Delaware 19801** 

**(Name and address of agent for service)** 

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

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

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

**Explanatory Note** 

The Registrant is filing this amendment to its Form N-CSR for the period ended February 28, 2026, originally filed with the Securities and Exchange Commission on May 7, 2026 (<u>[Inline Viewer: GMO ETF Trust N-CSR 2026-02-28](http://www.sec.gov/Archives/edgar/data/../../../ix?doc=/Archives/edgar/data/1981627/000119312526211651/d73434dncsr.htm)</u>). The purpose of this amendment is to revise a clerical error in the Report of Independent Registered Public Accounting Firm, which was issued on April 24, 2026. The Report of Independent Registered Public Accounting Firm is located within the Annual Financial Statements and Other Information on page 57. Except as set forth above, this amendment does not amend, update or change any other items or disclosures found in the original Form N-CSR filing.

------

**Item 1. Reports to Stockholders.** 

(a) Incorporated by reference to the Form N-CSR originally filed with the Securities and Exchange Commission on May
7, 2026 ([Inline Viewer: GMO ETF Trust N-CSR 2026-02-28](http://www.sec.gov/Archives/edgar/data/../../../ix?doc=/Archives/edgar/data/1981627/000119312526211651/d73434dncsr.htm)).

------

(b) Not applicable.

**Item 2. Code of Ethics.** 

(a) The Registrant, as of the end of the period covered by the report, has adopted a Code of Ethics that applies to
the Registrant's Principal Executive Officer and Principal Financial Officer pursuant to the Sarbanes-Oxley Act of 2002 (the "Code of Ethics").

(b) No disclosures are required by this Item 2(b).

(c) During the period covered by this report, there were no substantive amendments to the provisions of the Code of
Ethics adopted in 2(a) above.

(d) During the period covered by this report, no implicit or explicit waivers to the provisions of the Code of
Ethics adopted in 2(a) above were granted.

(e) Not applicable.

(f) Incorporated by reference to the Form N-CSR originally filed with the
Securities and Exchange Commission on May 
7, 2026 ([Inline Viewer: GMO ETF Trust N-CSR 2026-02-28](http://www.sec.gov/Archives/edgar/data/../../../ix?doc=/Archives/edgar/data/1981627/000119312526211651/d73434dncsr.htm)).

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

(a)(1) The Registrant's Board of Trustees has determined that the Registrant does not have an "audit committee financial expert" (as such term has been defined in Form N-CSR) serving on its audit committee.

(a)(2) Not applicable.

---

| | |
|:---|:---|
| (a)(3) | The Registrant's Board believes that, although none of its members individually meets all required elements of the definition of an "audit committee financial expert", the members of the Registrant's audit committee collectively possess the knowledge and experience necessary to execute all of the audit committee's functions, duties and powers.  |

---

------

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

<u>Audit Fees</u> 

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $389,506
for 2026 and $264,200 for 2025.

Effective January 1, 2026, each Fund changed its fiscal year end from June 30 to February 28.

<u>Audit-Related Fees</u> 

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the
principal accountant that are reasonably related to the performance of the audit of the Registrant's financial statements and are not reported under paragraph (a) of this Item were $0 for 2026 and $0 for 2025.

<u>Tax Fees</u> 

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and tax planning were $95,881 for 2026 and $39,517 for 2025. Services for which fees in the Tax Fees category are billed include PricewaterhouseCoopers LLP's ("PwC") review of
the registrant's U.S. federal income tax returns and the required state corporate income tax returns, as well as PwC's review of excise tax distribution calculations and identification and analyzation of the passive foreign investment
company status of foreign corporate equities.

<u>All Other Fees</u> 

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the
principal accountant, other than the services reported in paragraphs (a) through (c) of this item were $0 for 2026 and $0 for 2025.

---

| | |
|:---|:---|
| (e)(1) | The Audit Committee has adopted an Audit and Non-Audit Services Pre-Approval Policy (the "Policy"), which sets forth the procedures and the conditions pursuant to which services to be performed by the independent auditor are to be preapproved. Under the Policy, the Audit Committee pre-approves, on an annual basis, the following services: (1) the engagement, scope and terms of the annual audit; (2) certain audit-related services; (3) certain tax services that the Committee believes would not impair, and are consistent with the SEC's rules on auditor independence; and (4) certain permissible non-audit services that the Committee believes are routine and recurring services and that would not impair, and are consistent with  |

---

------

the SEC's rules on auditor independence, subject to certain limitations on the projected fees associated with each service. All other types of services not included on the schedule to the policy, or for which the projected fees exceed those provided in the schedule, require the specific pre-approval by the Audit Committee or the Chairperson of the Committee (if timing necessitates that preapproval is required before the Committee's next regularly scheduled meeting) if they are to be provided by the independent auditor.

(e)(2) None.

(f) Not applicable.

(g) The aggregate non-audit fees billed by the Registrant's principal
accountant for the last two fiscal years were $95,881 for 2026 and $35,000 for 2025.

(h) Not applicable.

(i) Not applicable.

(j) Not applicable.

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

(a) Not applicable.

(b) Not applicable.

**Item 6. Investments.** 

(a) The Schedule of Investments is included as part of the Financial Statements filed under Item 7(a) of this Form.

(b) Not applicable.

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

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

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

------

![](g100539imgfe13db2e1.jpg)

**Annual Financial Statements and Other Information** <br>

February 28, 2026

---

| |
|:---|
| **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 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**](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_toc_1)** 

---

| | |
|:---|:---|
|  | **<u>Page</u>** |
| [GMO Beyond China ETF](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_1) |  |
| &nbsp;&nbsp;&nbsp; [Schedule of Investments](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_1) | &nbsp;&nbsp; 1 |
| [GMO Domestic Resilience ETF](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_3) |  |
| &nbsp;&nbsp;&nbsp; [Schedule of Investments](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_3) | &nbsp;&nbsp; 3 |
| [GMO Dynamic Allocation ETF](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_4) |  |
| &nbsp;&nbsp;&nbsp; [Schedule of Investments](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_4) | &nbsp;&nbsp; 4 |
| [GMO International Quality ETF](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_5) |  |
| &nbsp;&nbsp;&nbsp; [Schedule of Investments](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_5) | &nbsp;&nbsp; 5 |
| [GMO International Value ETF](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_6) |  |
| &nbsp;&nbsp;&nbsp; [Schedule of Investments](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_6) | &nbsp;&nbsp; 6 |
| [GMO Systematic Investment Grade Credit ETF](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_9)  |  |
| &nbsp;&nbsp;&nbsp; [Schedule of Investments](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_9) | &nbsp;&nbsp; 9 |
| [GMO Ultra-Short Income ETF](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_12) |  |
| &nbsp;&nbsp;&nbsp; [Schedule of Investments](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_12) | &nbsp;&nbsp; 12 |
| [GMO U.S. Quality ETF](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_14) |  |
| &nbsp;&nbsp;&nbsp; [Schedule of Investments](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_14) | &nbsp;&nbsp; 14 |
| [GMO U.S. Value ETF](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_16) |  |
| &nbsp;&nbsp;&nbsp; [Schedule of Investments](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_16) | &nbsp;&nbsp; 16 |
| [Portfolio Abbreviations](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soi-placeholder_19) | &nbsp;&nbsp; 19 |
| [Fund Financial Statements:](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_fs-placeholder-572_1) |  |
| &nbsp;&nbsp;&nbsp; [Statements of Assets and Liabilities](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_fs-placeholder-572_1) | &nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; [Statements of Operations](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_sop-placeholder-572_1) | &nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; [Statements of Changes in Net Assets](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_soc-placeholder-572_1) | &nbsp;&nbsp; 26 |
| [Financial Highlights](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_fh-placeholder-572_1) | &nbsp;&nbsp; 31 |
| [Notes to Financial Statements](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_ntf-placeholder-572_1) | &nbsp;&nbsp; 40 |
| [Report of Independent Registered Public Accounting Firm](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_ar1-placeholder-572_1) | &nbsp;&nbsp; 57 |
| [Tax Information](#xx_e9ee75be-0324-476d-841d-f720ab98aa65_tax-placeholder-572_1) | &nbsp;&nbsp; 59 |

---

------

**GMO Beyond China ETF**

**Schedule of Investments**

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

**February 28, 2026** 

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **COMMON STOCKS — 100.1%** | **COMMON STOCKS — 100.1%** |
|  | **Brazil — 1.4%** | **Brazil — 1.4%** |
| 24860 | WEG SA  | 241011 |
|  | **Czech Republic — 0.4%** | **Czech Republic — 0.4%** |
| 7740 | Moneta Money Bank AS  | 74350 |
|  | **Greece — 0.4%** | **Greece — 0.4%** |
| 2448 | Jumbo SA  | 71793 |
|  | **Hungary — 0.3%** | **Hungary — 0.3%** |
| 385 | OTP Bank Nyrt  | 47456 |
|  | **India — 22.2%** | **India — 22.2%** |
| 1359 | ABB India Ltd.  | 90823 |
| 2171 | Amara Raja Energy & Mobility Ltd.  | 20222 |
| 8709 | Asian Paints Ltd.  | 227374 |
| 10317 | AU Small Finance Bank Ltd.  | 108073 |
| 33247 | Bajaj Finance Ltd.  | 364259 |
| 2268 | Balkrishna Industries Ltd.  | 59258 |
| 26053 | Castrol India Ltd.  | 53577 |
| 2425 | Ceat Ltd.  | 93931 |
| 12290 | Chambal Fertilisers & Chemicals Ltd.  | 61864 |
| 2988 | Coromandel International Ltd.  | 72880 |
| 3817 | Cummins India Ltd.  | 205962 |
| 4536 | Deepak Fertilisers & Petrochemicals Corp. <br> Ltd. <br>| 49610 |
| 575 | Dixon Technologies India Ltd.  | 66490 |
| 5125 | Eicher Motors Ltd.  | 451456 |
| 2148 | Finolex Cables Ltd.  | 21533 |
| 23280 | Firstsource Solutions Ltd.  | 54543 |
| 9856 | HBL Engineering Ltd.  | 74102 |
| 7379 | Hero MotoCorp Ltd.  | 463538 |
| 25511 | Hindalco Industries Ltd.  | 259495 |
| 4972 | ICICI Bank Ltd. –ADR | 151696 |
| 20845 | IRCON International Ltd.  | 32893 |
| 12071 | JM Financial Ltd.  | 17050 |
| 783 | KEI Industries Ltd.  | 43713 |
| 1307 | Kirloskar Brothers Ltd.  | 22700 |
| 17271 | Manappuram Finance Ltd.  | 53630 |
| 232 | Maruti Suzuki India Ltd.  | 37823 |
| 701 | Muthoot Finance Ltd.  | 25790 |
| 24061 | National Aluminium Co. Ltd.  | 93770 |
| 1251 | Navin Fluorine International Ltd.  | 86011 |
| 8343 | Nippon Life India Asset Management Ltd.  | 85377 |
| 11253 | Paradeep Phosphates Ltd.  | 14967 |
| 9315 | PCBL Chemical Ltd.  | 31618 |
| 20857 | Shriram Finance Ltd.  | 247484 |
| 2124 | SRF Ltd.  | 59908 |
|  | Total India | 3803420 |
|  | **Indonesia — 4.2%** | **Indonesia — 4.2%** |
| 493100 | Aneka Tambang Tbk. PT  | 127944 |
| 209700 | Astra International Tbk. PT  | 83493 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Indonesia — continued** | **Indonesia — continued** |
| 690800 | Bank Central Asia Tbk. PT  | 295645 |
| 376000 | Bank Mandiri Persero Tbk. PT  | 118306 |
| 342200 | Bank Negara Indonesia Persero Tbk. PT  | 89811 |
|  | Total Indonesia | 715199 |
|  | **Malaysia — 0.9%** | **Malaysia — 0.9%** |
| 68000 | Gamuda Bhd.  | 73225 |
| 56868 | Westports Holdings Bhd.  | 89884 |
|  | Total Malaysia | 163109 |
|  | **Mexico — 7.7%** | **Mexico — 7.7%** |
| 2375 | Arca Continental SAB de CV  | 28670 |
| 16700 | Banco del Bajio SA  | 55689 |
| 40883 | Cemex SAB de CV –ADR | 511446 |
| 21182 | Corp. Inmobiliaria Vesta SAB de CV  | 77806 |
| 730 | Fomento Economico Mexicano SAB de <br> CV –ADR<br>| 81994 |
| 61236 | Gentera SAB de CV  | 177749 |
| 2810 | Gruma SAB de CV –Class B | 50666 |
| 13410 | Grupo Financiero Banorte SAB de <br> CV –Class O<br>| 152484 |
| 8350 | Grupo Mexico SAB de CV –Class B | 105822 |
| 21608 | Wal-Mart de Mexico SAB de CV  | 70136 |
|  | Total Mexico | 1312462 |
|  | **Poland — 2.8%** | **Poland — 2.8%** |
| 3288 | Bank Polska Kasa Opieki SA  | 208149 |
| 381 | KGHM Polska Miedz SA \* | 35774 |
| 12037 | Powszechny Zaklad Ubezpieczen SA  | 227861 |
|  | Total Poland | 471784 |
|  | **South Korea — 14.5%** | **South Korea — 14.5%** |
| 1729 | DB HiTek Co. Ltd.  | 115026 |
| 1559 | Hyundai Glovis Co. Ltd.  | 313751 |
| 324 | LS Electric Co. Ltd.  | 177260 |
| 12411 | Samsung Electronics Co. Ltd.  | 1867905 |
|  | Total South Korea | 2473942 |
|  | **Taiwan — 26.6%** | **Taiwan — 26.6%** |
| 7452 | Advantech Co. Ltd.  | 80343 |
| 7696 | Bizlink Holding, Inc.  | 347677 |
| 3956 | Chroma ATE, Inc.  | 174915 |
| 16202 | Delta Electronics, Inc.  | 742330 |
| 12722 | Greatek Electronics, Inc.  | 39090 |
| 20901 | Lite-On Technology Corp.  | 115853 |
| 9756 | MediaTek, Inc.  | 607972 |
| 3733 | Parade Technologies Ltd.  | 65185 |
| 3601 | Phison Electronics Corp.  | 218061 |
| 30578 | Radiant Opto-Electronics Corp.  | 119526 |
| 8401 | Realtek Semiconductor Corp.  | 129604 |
| 9495 | Sinbon Electronics Co. Ltd.  | 74230 |

---

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)**

**February 28, 2026** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Taiwan — continued** | **Taiwan — continued** |
| 4876 | Taiwan Semiconductor Manufacturing Co. <br> Ltd. –ADR<br>| 1826452 |
|  | Total Taiwan | 4541238 |
|  | **Thailand — 8.0%** | **Thailand — 8.0%** |
| 70400 | Amata Corp. PCL –NVDR | 44163 |
| 316800 | AP Thailand PCL –NVDR | 93761 |
| 6700 | Bangkok Bank PCL –NVDR | 38258 |
| 21900 | Delta Electronics Thailand PCL –NVDR | 196561 |
| 35900 | Kasikornbank PCL –NVDR | 232134 |
| 518000 | Krung Thai Bank PCL –NVDR | 570742 |
| 18000 | SCB X PCL –NVDR | 85990 |
| 94800 | Supalai PCL –NVDR | 54285 |
| 314800 | WHA Corp. PCL –NVDR | 44154 |
|  | Total Thailand | 1360048 |
|  | **Turkey — 1.4%** | **Turkey — 1.4%** |
| 6800 | Arcelik AS \* | 17830 |
| 14711 | Dogus Otomotiv Servis ve Ticaret AS  | 73331 |
| 138408 | Mavi Giyim Sanayi Ve Ticaret <br> AS –Class B<br>| 143026 |
|  | Total Turkey | 234187 |
|  | **United Arab Emirates — 3.4%** | **United Arab Emirates — 3.4%** |
| 62331 | Aldar Properties PJSC  | 183274 |
| 18477 | Emaar Development PJSC  | 97339 |
| 70322 | Emaar Properties PJSC  | 310155 |
|  | Total United Arab Emirates | 590768 |
|  | **Vietnam — 5.9%** | **Vietnam — 5.9%** |
| 92015 | Gelex Group JSC  | 139727 |
| 33200 | Gemadept Corp.  | 107586 |
| 58400 | Kinh Bac City Development Holding <br> Corp. \*<br>| 79376 |
| 137640 | Mobile World Investment Corp.  | 492006 |
| 17014 | PetroVietnam Gas JSC  | 70486 |
| 35500 | Vietnam Dairy Products JSC  | 92958 |
| 23880 | Vietnam Prosperity JSC Bank  | 26544 |
|  | Total Vietnam | 1008683 |
|  | TOTAL COMMON STOCKS<br> (COST $12,897,901)<br>| 17109450 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.4%** | **SHORT-TERM INVESTMENTS — 0.4%** |
|  | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
| 65875 | State Street Institutional Treasury Money <br> Market Fund – Premier Class, 3.61% <sup>(a)</sup> <br>| 65875 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $65,875)<br>| 65875 |
|  | **TOTAL INVESTMENTS — 100.5%**<br> (Cost $12,963,776)<br>| **17175325** |
|  | Other Assets and Liabilities (net) — (0.5)% | (80308)<br>|
|  | **TOTAL NET ASSETS — 100.0%** | **$17095017** |

---

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

---

| | |
|:---|:---|
| **Notes to Schedule of Investments:** | **Notes to Schedule of Investments:** |
| \* | Non-income producing security. |
| <sup>(a)</sup> | The rate disclosed is the 7 day net yield as of February 28, 2026. |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 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)**

**February 28, 2026** 

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **COMMON STOCKS — 98.4%** | **COMMON STOCKS — 98.4%** |
|  | **Capital Goods — 48.9%** | **Capital Goods — 48.9%** |
| 2731 | Acuity, Inc.  | 823642 |
| 7133 | AECOM  | 698891 |
| 2604 | Allegion PLC  | 419635 |
| 3596 | Applied Industrial Technologies, Inc.  | 1016158 |
| 8308 | Arcosa, Inc.  | 892944 |
| 3720 | Carlisle Cos., Inc.  | 1468544 |
| 7770 | Fastenal Co.  | 357731 |
| 2728 | Ferguson Enterprises, Inc.  | 711353 |
| 21824 | Fluor Corp. \* | 1141614 |
| 1488 | Hubbell, Inc.  | 761306 |
| 1736 | Huntington Ingalls Industries, Inc.  | 771687 |
| 7948 | Jacobs Solutions, Inc.  | 1095711 |
| 2108 | L3Harris Technologies, Inc.  | 768450 |
| 1612 | Lockheed Martin Corp.  | 1060825 |
| 3968 | MYR Group, Inc. \* | 1071201 |
| 2108 | Northrop Grumman Corp.  | 1526993 |
| 4340 | Regal Rexnord Corp.  | 959053 |
| 2232 | Rockwell Automation, Inc.  | 909428 |
| 776 | United Rentals, Inc.  | 651840 |
| 3088 | WESCO International, Inc.  | 893976 |
| 56759 | WillScot Holdings Corp.  | 1226562 |
|  | Total Capital Goods | 19227544 |
|  | **Commercial & Professional Services — 4.0%** | **Commercial & Professional Services — 4.0%** |
| 5332 | Clean Harbors, Inc. \* | 1563342 |
|  | **Energy — 9.1%** | **Energy — 9.1%** |
| 12933 | ConocoPhillips  | 1467378 |
| 7812 | EOG Resources, Inc.  | 969313 |
| 18708 | EQT Corp.  | 1149046 |
|  | Total Energy | 3585737 |
|  | **Materials — 14.3%** | **Materials — 14.3%** |
| 4751 | Eagle Materials, Inc.  | 1063274 |
| 1984 | Martin Marietta Materials, Inc.  | 1342315 |
| 5836 | Nucor Corp.  | 1032272 |
| 4803 | Steel Dynamics, Inc.  | 927603 |
| 4092 | Vulcan Materials Co.  | 1268520 |
|  | Total Materials | 5633984 |
|  | **Software & Services — 1.9%** | **Software & Services — 1.9%** |
| 2097 | Roper Technologies  | 733384 |
|  | **Transportation — 20.2%** | **Transportation — 20.2%** |
| 2356 | CH Robinson Worldwide, Inc.  | 436449 |
| 37326 | CSX Corp.  | 1593447 |
| 18212 | Knight-Swift Transportation Holdings, Inc.  | 1145899 |
| 4464 | Old Dominion Freight Line, Inc.  | 906415 |
| 2108 | Saia, Inc. \* | 854562 |
| 8680 | TFI International, Inc.  | 1039170 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Transportation — continued** | **Transportation — continued** |
| 7439 | Union Pacific Corp.  | 1971186 |
|  | Total Transportation | 7947128 |
|  | TOTAL COMMON STOCKS<br> (COST $33,516,678)<br>| 38691119 |
|  | **SHORT-TERM INVESTMENTS — 1.5%** | **SHORT-TERM INVESTMENTS — 1.5%** |
|  | **Money Market Funds — 1.5%** | **Money Market Funds — 1.5%** |
| 582323 | State Street Institutional Treasury Money <br> Market Fund – Premier Class, 3.61% <sup>(a)</sup> <br>| 582323 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $582,323)<br>| 582323 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $34,099,001)<br>| **39273442** |
|  | Other Assets and Liabilities (net) — 0.1% | 32282 |
|  | **TOTAL NET ASSETS — 100.0%** | **$39305724** |

---

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

---

| | |
|:---|:---|
| **Notes to Schedule of Investments:** | **Notes to Schedule of Investments:** |
| \* | Non-income producing security. |
| <sup>(a)</sup> | The rate disclosed is the 7 day net yield as of February 28, 2026. |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 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)**

**February 28, 2026** 

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **INVESTMENT FUNDS — 99.6%** | **INVESTMENT FUNDS — 99.6%** |
|  | **United States — 99.6%** | **United States — 99.6%** |
| 35455 | GMO Domestic Resilience ETF <sup>(a)</sup> <br>| 1054786 |
| 62840 | GMO International Quality ETF <sup>(a)</sup> <br>| 1762662 |
| 94980 | GMO International Value ETF <sup>(a)</sup> <br>| 3609240 |
| 86688 | GMO U.S. Quality ETF <sup>(a)</sup> <br>| 3357426 |
| 118839 | GMO U.S. Value ETF <sup>(a)</sup> <br>| 3478418 |
| 72615 | Invesco National AMT-Free Municipal <br> Bond ETF<br>| 1713714 |
| 26185 | iShares 3-7 Year Treasury Bond ETF | 3161053 |
| 28106 | iShares Core MSCI Emerging Markets ETF | 2157417 |
| 24354 | iShares Core MSCI International <br> Developed Markets ETF<br>| 2206959 |
| 8385 | iShares MSCI EAFE Small-Cap ETF | 718762 |
| 16365 | iShares MSCI Emerging Markets ex China <br> ETF<br>| 1434883 |
| 30795 | iShares MSCI Japan Value ETF | 1422113 |
| 110244 | Schwab Intermediate-Term U.S. Treasury <br> ETF<br>| 2800198 |
| 84716 | State Street SPDR Portfolio Intermediate <br> Term Treasury ETF<br>| 2475402 |
| 44900 | Vanguard Intermediate-Term Treasury ETF | 2726777 |
| 16742 | Vanguard Short-Term Treasury ETF | 987778 |
|  | TOTAL INVESTMENT FUNDS<br> (COST $33,252,289)<br>| 35067588 |
|  | **SHORT-TERM INVESTMENTS — 0.4%** | **SHORT-TERM INVESTMENTS — 0.4%** |

---

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

---

| | | |
|:---|:---|:---|
|  | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
| 132959 | State Street Institutional Treasury Money <br> Market Fund – Premier Class, 3.61% <sup>(b)</sup> <br>| 132959 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $132,959)<br>| 132959 |
|  | **TOTAL INVESTMENTS — 100.0%** <br> (Cost $33,385,248)<br>| **35200547** |
|  | Other Assets and Liabilities (net) — (0.0%) | (3958)<br>|
|  | **TOTAL NET ASSETS — 100.0%** | **$35196589** |

---

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

---

| | |
|:---|:---|
| **Notes to Schedule of Investments:** | **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 February 28, 2026. |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 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)**

**February 28, 2026** 

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **COMMON STOCKS — 99.6%** | **COMMON STOCKS — 99.6%** |
|  | **Capital Goods — 14.1%** | **Capital Goods — 14.1%** |
| 176282 | Assa Abloy AB – Class B  | 7529614 |
| 63540 | Knorr-Bremse AG  | 8371294 |
| 79748 | Kone OYJ – Class B  | 6032620 |
| 111073 | Safran SA – ADR  | 11173944 |
| 114184 | Schneider Electric SE – ADR  | 7445939 |
|  | Total Capital Goods | 40553411 |
|  | **Commercial & Professional Services — 2.5%** | **Commercial & Professional Services — 2.5%** |
| 399710 | Brambles Ltd.  | 7134097 |
|  | **Consumer Discretionary Distribution & Retail —** <br> **5.2%** | **Consumer Discretionary Distribution & Retail —** <br> **5.2%** |
| 222616 | Industria de Diseno Textil SA  | 14946109 |
|  | **Consumer Durables & Apparel — 4.3%** | **Consumer Durables & Apparel — 4.3%** |
| 95544 | LVMH Moet Hennessy Louis Vuitton SE – <br> ADR <br>| 12200969 |
|  | **Consumer Services — 6.6%** | **Consumer Services — 6.6%** |
| 154987 | Amadeus IT Group SA  | 9658416 |
| 299087 | Compass Group PLC – ADR  | 9187953 |
|  | Total Consumer Services | 18846369 |
|  | **Food, Beverage & Tobacco — 13.7%** | **Food, Beverage & Tobacco — 13.7%** |
| 788405 | Davide Campari-Milano NV  | 5941614 |
| 81568 | Diageo PLC – ADR  | 7300336 |
| 50629 | Fomento Economico Mexicano SAB de CV <br> – ADR <br>| 5686649 |
| 105560 | Kerry Group PLC – Class A  | 9392147 |
| 34374 | Magnum Ice Cream Co. NV \* | 545515 |
| 95510 | Nestle SA – ADR  | 10414411 |
|  | Total Food, Beverage & Tobacco | 39280672 |
|  | **Health Care Equipment & Services — 3.8%** | **Health Care Equipment & Services — 3.8%** |
| 30335 | BioMerieux  | 3584384 |
| 41000 | Hoya Corp.  | 7420773 |
|  | Total Health Care Equipment & Services | 11005157 |
|  | **Household & Personal Products — 7.7%** | **Household & Personal Products — 7.7%** |
| 120534 | L'Oreal SA – ADR  | 11266313 |
| 148641 | Unilever PLC – ADR  | 10962274 |
|  | Total Household & Personal Products | 22228587 |
|  | **Materials — 5.6%** | **Materials — 5.6%** |
| 198411 | Air Liquide SA – ADR  | 8333262 |
| 399722 | Shin-Etsu Chemical Co. Ltd. – ADR  | 7850540 |
|  | Total Materials | 16183802 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences** <br> **— 15.4%** | **Pharmaceuticals, Biotechnology & Life Sciences** <br> **— 15.4%** |
| 1039015 | Haleon PLC – ADR  | 11501896 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Pharmaceuticals, Biotechnology & Life Sciences** <br> **— continued** | **Pharmaceuticals, Biotechnology & Life Sciences** <br> **— continued** |
| 72582 | Novartis AG – ADR  | 12238777 |
| 143671 | Novo Nordisk AS – ADR  | 5380479 |
| 196767 | Roche Holding AG – ADR  | 11717475 |
| 16192 | Sartorius Stedim Biotech  | 3503155 |
|  | Total Pharmaceuticals, Biotechnology & <br> Life Sciences<br>| 44341782 |
|  | **Semiconductors & Semiconductor Equipment —** <br> **11.4%** | **Semiconductors & Semiconductor Equipment —** <br> **11.4%** |
| 8404 | ASML Holding NV – NY Reg Shares  | 12190506 |
| 41371 | Taiwan Semiconductor Manufacturing Co. <br> Ltd. – ADR <br>| 15496749 |
| 17800 | Tokyo Electron Ltd.  | 5016348 |
|  | Total Semiconductors & Semiconductor <br> Equipment<br>| 32703603 |
|  | **Software & Services — 7.1%** | **Software & Services — 7.1%** |
| 8178 | Capgemini SE  | 1033471 |
| 884 | Constellation Software, Inc.  | 1633564 |
| 278463 | Dassault Systemes SE  | 6103542 |
| 58188 | SAP SE – ADR  | 11726628 |
|  | Total Software & Services | 20497205 |
|  | **Transportation — 2.2%** | **Transportation — 2.2%** |
| 94288 | Ryanair Holdings PLC – ADR  | 6363497 |
|  | TOTAL COMMON STOCKS<br> (COST $265,056,484)<br>| 286285260 |
|  | **SHORT-TERM INVESTMENTS — 0.4%** | **SHORT-TERM INVESTMENTS — 0.4%** |
|  | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
| 1053795 | State Street Institutional Treasury Money <br> Market Fund – Premier Class, 3.61% <sup>(a)</sup> <br>| 1053795 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $1,053,795)<br>| 1053795 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $266,110,279)<br>| **287339055** |
|  | Other Assets and Liabilities (net) — 0.0% | 128706 |
|  | **TOTAL NET ASSETS — 100.0%** | **$287467761** |

---

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

---

| | |
|:---|:---|
| **Notes to Schedule of Investments:** | **Notes to Schedule of Investments:** |
| \* | Non-income producing security. |
| <sup>(a)</sup> | The rate disclosed is the 7 day net yield as of February 28, 2026. |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 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)**

**February 28, 2026** 

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **COMMON STOCKS — 97.9%** | **COMMON STOCKS — 97.9%** |
|  | **Australia — 5.5%** | **Australia — 5.5%** |
| 189823 | Aurizon Holdings Ltd.  | 560613 |
| 189458 | BHP Group Ltd. –ADR | 15454089 |
| 375372 | Fortescue Ltd.  | 5647202 |
| 6982 | Rio Tinto Ltd.  | 831420 |
| 107464 | Woodside Energy Group Ltd. –ADR | 2200863 |
|  | Total Australia | 24694187 |
|  | **Austria — 1.2%** | **Austria — 1.2%** |
| 47874 | OMV AG  | 3099922 |
| 41686 | Raiffeisen Bank International AG  | 2081566 |
|  | Total Austria | 5181488 |
|  | **Belgium — 0.2%** | **Belgium — 0.2%** |
| 13413 | Ageas SA  | 996890 |
|  | **Canada — 13.3%** | **Canada — 13.3%** |
| 11461 | Alimentation Couche-Tard, Inc.  | 695533 |
| 39019 | Bank of Montreal  | 5615498 |
| 176833 | Bank of Nova Scotia  | 13395100 |
| 17389 | Canadian Imperial Bank of Commerce  | 1755593 |
| 14718 | Empire Co. Ltd. –Class A | 522017 |
| 509 | Fairfax Financial Holdings Ltd.  | 875981 |
| 13464 | IGM Financial, Inc.  | 669819 |
| 20559 | Magna International, Inc.  | 1296245 |
| 197229 | Manulife Financial Corp.  | 7009519 |
| 10908 | Nutrien Ltd.  | 818864 |
| 16008 | Open Text Corp.  | 396518 |
| 54246 | Parex Resources, Inc.  | 848656 |
| 20342 | Power Corp. of Canada  | 1021835 |
| 9317 | Russel Metals, Inc.  | 328132 |
| 131999 | Sun Life Financial, Inc.  | 8652534 |
| 6745 | Suncor Energy, Inc.  | 381227 |
| 157862 | Toronto-Dominion Bank  | 15378251 |
|  | Total Canada | 59661322 |
|  | **Denmark — 0.9%** | **Denmark — 0.9%** |
| 424 | AP Moller - Maersk AS –Class A | 1039282 |
| 1059 | AP Moller - Maersk AS –Class B | 2625059 |
| 48726 | H Lundbeck AS  | 298508 |
|  | Total Denmark | 3962849 |
|  | **Finland — 0.3%** | **Finland — 0.3%** |
| 35018 | Valmet OYJ  | 1178011 |
|  | **France — 9.8%** | **France — 9.8%** |
| 4583 | Arkema SA  | 335476 |
| 24639 | AXA SA  | 1207043 |
| 124465 | BNP Paribas SA  | 14044981 |
| 2268 | Capgemini SE  | 286612 |
| 39094 | Carrefour SA  | 741174 |
| 26558 | Credit Agricole SA  | 589491 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **France — continued** | **France — continued** |
| 177624 | Sanofi SA –ADR | 8643184 |
| 8576 | Teleperformance SE  | 521668 |
| 199063 | TotalEnergies SE  | 15992721 |
| 112904 | Valeo SE  | 1639577 |
|  | Total France | 44001927 |
|  | **Germany — 7.1%** | **Germany — 7.1%** |
| 40734 | Bayerische Motoren Werke AG  | 4305826 |
| 52967 | Daimler Truck Holding AG  | 2693068 |
| 63835 | Deutsche Bank AG  | 2285074 |
| 95448 | Deutsche Post AG  | 5650346 |
| 190885 | Deutsche Telekom AG –ADR | 7688848 |
| 8224 | DWS Group GmbH & Co. KGaA  | 583535 |
| 14288 | Evonik Industries AG  | 249695 |
| 51082 | Fresenius Medical Care AG  | 2381143 |
| 12136 | Henkel AG & Co. KGaA  | 1100587 |
| 70923 | Mercedes-Benz Group AG  | 4944355 |
|  | Total Germany | 31882477 |
|  | **Hong Kong — 2.6%** | **Hong Kong — 2.6%** |
| 273000 | CK Asset Holdings Ltd.  | 1737089 |
| 421000 | CK Hutchison Holdings Ltd.  | 3465552 |
| 58500 | Kerry Properties Ltd.  | 188584 |
| 230000 | Sun Hung Kai Properties Ltd.  | 4292251 |
| 1648000 | WH Group Ltd.  | 2072797 |
|  | Total Hong Kong | 11756273 |
|  | **Ireland — 0.3%** | **Ireland — 0.3%** |
| 82062 | AIB Group PLC  | 858136 |
| 26055 | Bank of Ireland Group PLC  | 509056 |
|  | Total Ireland | 1367192 |
|  | **Israel — 1.5%** | **Israel — 1.5%** |
| 104740 | Bank Hapoalim BM  | 2641069 |
| 48608 | Bank Leumi Le-Israel BM  | 1175710 |
| 73492 | ICL Group Ltd.  | 347448 |
| 112211 | Israel Discount Bank Ltd. –Class A | 1357952 |
| 7637 | Mizrahi Tefahot Bank Ltd.  | 571934 |
| 25704 | ZIM Integrated Shipping Services Ltd.  | 741046 |
|  | Total Israel | 6835159 |
|  | **Italy — 1.8%** | **Italy — 1.8%** |
| 22729 | Banco BPM SpA  | 336647 |
| 4120 | Buzzi SpA  | 238444 |
| 79134 | Intesa Sanpaolo SpA  | 545600 |
| 65175 | MFE-MediaForEurope NV –Class A | 238272 |
| 131714 | Stellantis NV  | 1080251 |
| 534608 | Telecom Italia SpA \* | 401883 |
| 60920 | Tenaris SA –ADR | 3314048 |
| 71167 | Unipol Assicurazioni SpA  | 1779364 |
|  | Total Italy | 7934509 |

---

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)**

**February 28, 2026** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Japan — 22.2%** | **Japan — 22.2%** |
| 132200 | Asahi Group Holdings Ltd.  | 1438696 |
| 96000 | Asahi Kasei Corp.  | 1133878 |
| 43900 | Brother Industries Ltd.  | 908557 |
| 4800 | Credit Saison Co. Ltd.  | 146676 |
| 7600 | Daikin Industries Ltd.  | 969193 |
| 47900 | Daito Trust Construction Co. Ltd.  | 1104217 |
| 104600 | Daiwa House Industry Co. Ltd.  | 3779706 |
| 116100 | Denso Corp.  | 1672750 |
| 19000 | FUJIFILM Holdings Corp.  | 394685 |
| 32900 | Hitachi Construction Machinery Co. Ltd.  | 1480410 |
| 251462 | Honda Motor Co. Ltd. –ADR | 7584094 |
| 291000 | Inpex Corp.  | 7080972 |
| 55600 | Isuzu Motors Ltd.  | 1039084 |
| 230700 | Japan Post Holdings Co. Ltd.  | 3007749 |
| 22600 | Kawasaki Kisen Kaisha Ltd.  | 363678 |
| 84800 | Kirin Holdings Co. Ltd.  | 1469943 |
| 126700 | Komatsu Ltd.  | 6111684 |
| 175153 | Kubota Corp.  | 3562168 |
| 35900 | Mazda Motor Corp.  | 319195 |
| 225600 | Mitsui & Co. Ltd.  | 8482843 |
| 21300 | Mitsui OSK Lines Ltd.  | 790813 |
| 12900 | MS&AD Insurance Group Holdings, Inc.  | 361479 |
| 111300 | Nippon Yusen KK  | 3826528 |
| 8300 | Niterra Co. Ltd.  | 420036 |
| 8438600 | NTT, Inc.  | 8283785 |
| 84000 | Ono Pharmaceutical Co. Ltd.  | 1438594 |
| 123100 | ORIX Corp.  | 4369374 |
| 6500 | Otsuka Holdings Co. Ltd.  | 445778 |
| 396800 | Panasonic Holdings Corp.  | 6446269 |
| 26500 | Ricoh Co. Ltd.  | 249448 |
| 38900 | Seiko Epson Corp.  | 527460 |
| 66000 | Sekisui Chemical Co. Ltd.  | 1288598 |
| 56400 | Sekisui House Ltd.  | 1381785 |
| 98500 | Shionogi & Co. Ltd.  | 2311043 |
| 19500 | Sojitz Corp.  | 884065 |
| 42200 | Subaru Corp.  | 801628 |
| 84000 | Sumitomo Corp.  | 3583978 |
| 60600 | Sumitomo Forestry Co. Ltd.  | 657747 |
| 27000 | Suntory Beverage & Food Ltd.  | 850120 |
| 60900 | Suzuki Motor Corp.  | 924429 |
| 38000 | Tosoh Corp.  | 664176 |
| 31000 | Toyo Tire Corp.  | 958198 |
| 12379 | Toyota Motor Corp.  | 3000422 |
| 45700 | Toyota Tsusho Corp.  | 2044963 |
| 125500 | Yamaha Motor Co. Ltd.  | 998921 |
|  | Total Japan | 99559815 |
|  | **Netherlands — 2.1%** | **Netherlands — 2.1%** |
| 66930 | ABN AMRO Bank NV  | 2242836 |
| 133310 | ING Groep NV –ADR | 3835329 |
| 43465 | Koninklijke Ahold Delhaize NV  | 2145234 |
| 60508 | Signify NV  | 1409906 |
|  | Total Netherlands | 9633305 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Norway — 2.5%** | **Norway — 2.5%** |
| 338078 | Equinor ASA –ADR | 10084867 |
| 89317 | Orkla ASA  | 1222105 |
|  | Total Norway | 11306972 |
|  | **Singapore — 0.7%** | **Singapore — 0.7%** |
| 107200 | Oversea-Chinese Banking Corp. Ltd.  | 1816188 |
| 44400 | United Overseas Bank Ltd.  | 1297706 |
|  | Total Singapore | 3113894 |
|  | **Spain — 4.9%** | **Spain — 4.9%** |
| 579997 | Banco Bilbao Vizcaya Argentaria <br> SA –ADR<br>| 13415331 |
| 192172 | Banco Santander SA  | 2450090 |
| 262160 | Repsol SA  | 5890244 |
|  | Total Spain | 21755665 |
|  | **Sweden — 3.2%** | **Sweden — 3.2%** |
| 40917 | Essity AB –Class B | 1302168 |
| 96450 | Husqvarna AB –Class B | 464750 |
| 25065 | Investor AB –Class B | 1048817 |
| 95072 | SSAB AB –Class B | 841237 |
| 33350 | Swedbank AB –Class A | 1284852 |
| 402336 | Telefonaktiebolaget LM Ericsson –ADR | 4667098 |
| 124889 | Volvo AB –Class B | 4866847 |
|  | Total Sweden | 14475769 |
|  | **Switzerland — 7.6%** | **Switzerland — 7.6%** |
| 44100 | Adecco Group AG  | 1236647 |
| 78661 | Nestle SA –ADR | 8577196 |
| 68571 | Novartis AG –ADR | 11562442 |
| 19448 | Roche Holding AG  | 9283236 |
| 2474 | Roche Holding AG – Class BR | 1227266 |
| 15372 | Sandoz Group AG –ADR | 1353043 |
| 813 | Swisscom AG  | 762931 |
|  | Total Switzerland | 34002761 |
|  | **United Kingdom — 10.2%** | **United Kingdom — 10.2%** |
| 63881 | 3i Group PLC  | 2859886 |
| 211237 | Aberdeen Group PLC  | 625713 |
| 45507 | Associated British Foods PLC  | 1212446 |
| 5434 | Berkeley Group Holdings PLC  | 316652 |
| 989317 | BT Group PLC  | 2890494 |
| 12727 | Coca-Cola HBC AG –Class DI | 824990 |
| 18262 | DCC PLC  | 1276070 |
| 35043 | Drax Group PLC  | 418892 |
| 238162 | GSK PLC –ADR | 14082519 |
| 36545 | HSBC Holdings PLC –ADR | 3404532 |
| 23406 | IG Group Holdings PLC  | 410376 |
| 717215 | ITV PLC  | 771794 |
| 152376 | J Sainsbury PLC  | 716670 |
| 464176 | Kingfisher PLC  | 2317652 |
| 124693 | Rio Tinto PLC –ADR | 12387003 |

---

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)**

**February 28, 2026** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **United Kingdom — continued** | **United Kingdom — continued** |
| 177300 | Schroders PLC  | 1400180 |
|  | Total United Kingdom | 45915869 |
|  | TOTAL COMMON STOCKS<br> (COST $370,022,582)<br>| 439216334 |

---

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

---

| | | |
|:---|:---|:---|
|  | **PREFERRED STOCKS** <sup>(a)</sup> **— 1.4%** | **PREFERRED STOCKS** <sup>(a)</sup> **— 1.4%** |
|  | **Germany — 1.4%** | **Germany — 1.4%** |
| 4397 | Bayerische Motoren Werke AG  | 461879 |
| 26583 | Volkswagen AG  | 3178740 |
| 29218 | Henkel AG & Co. KGaA  | 2871706 |
|  | Total Germany | 6512325 |
|  | TOTAL PREFERRED STOCKS<br> (COST $5,859,540)<br>| 6512325 |

---

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

---

| | | |
|:---|:---|:---|
|  | **SHORT-TERM INVESTMENTS — 0.6%** | **SHORT-TERM INVESTMENTS — 0.6%** |
|  | **Money Market Funds — 0.6%** | **Money Market Funds — 0.6%** |
| 2635456 | State Street Institutional Treasury Money <br> Market Fund – Premier Class, 3.61% <sup>(b)</sup> <br>| 2635456 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $2,635,456)<br>| 2635456 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $378,517,578)<br>| **448364115** |
|  | Other Assets and Liabilities (net) — 0.1% | 401191 |
|  | **TOTAL NET ASSETS — 100.0%** | **$448765306** |

---

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

---

| | |
|:---|:---|
| **Notes to Schedule of Investments:** | **Notes to Schedule of Investments:** |
| \* | Non-income producing security. |
| <sup>(a)</sup> | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| <sup>(b)</sup> | The rate disclosed is the 7 day net yield as of February 28, 2026. |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 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)**

**February 28, 2026** 

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

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | <br> **Value ($)** |
|  | **DEBT OBLIGATIONS — 97.8%** | **DEBT OBLIGATIONS — 97.8%** |
|  | **Australia — 1.0%** | **Australia — 1.0%** |
|  | **Corporate Debt — 1.0%** | **Corporate Debt — 1.0%** |
| 250000 | AngloGold Ashanti Holdings PLC, 3.38%, <br> due 11/01/28<br>| 243337 |
|  | **Canada — 6.7%** | **Canada — 6.7%** |
|  | **Corporate Debt — 6.7%** | **Corporate Debt — 6.7%** |
| 70000 | Bank of Nova Scotia, Variable Rate, 1 day <br> USD SOFR + 0.89%, 4.93%, due 02/14/29<br>| 71273 |
| 198000 | Bank of Nova Scotia, Variable Rate, 1 day <br> USD SOFR + 1.07%, 5.13%, due 02/14/31<br>| 205014 |
| 247000 | Brookfield Finance, Inc., 5.33%, due <br> 01/15/36<br>| 246503 |
| 228000 | Brookfield Finance, Inc., 4.70%, due <br> 09/20/47<br>| 196588 |
| 135000 | Canadian Imperial Bank of Commerce, <br> Variable Rate, 1 day USD SOFR + 1.34%, <br> 4.63%, due 09/11/30<br>| 137423 |
| 222000 | Canadian Imperial Bank of Commerce, <br> Variable Rate, 1 day USD SOFR Index + <br> 1.17%, 4.58%, due 09/08/31<br>| 225285 |
| 260000 | Cenovus Energy, Inc., 5.40%, due 06/15/47 | 244493 |
| 31000 | South Bow USA Infrastructure <br> Holdings LLC, 6.18%, due 10/01/54<br>| 30376 |
| 66000 | Toronto-Dominion Bank, 5.30%, due <br> 01/30/32<br>| 69470 |
| 241000 | Toronto-Dominion Bank, 3.20%, due <br> 03/10/32<br>| 227329 |
|  | Total Canada | 1653754 |
|  | **Germany — 0.7%** | **Germany — 0.7%** |
|  | **Corporate Debt — 0.7%** | **Corporate Debt — 0.7%** |
| 175000 | Deutsche Bank AG, Variable Rate, 1 day <br> USD SOFR + 3.043%, 3.55%, due <br> 09/18/31<br>| 168094 |
|  | **United Kingdom — 5.1%** | **United Kingdom — 5.1%** |
|  | **Corporate Debt — 5.1%** | **Corporate Debt — 5.1%** |
| 196000 | BAT Capital Corp., 7.08%, due 08/02/43 | 222808 |
| 192000 | BAT Capital Corp., 4.54%, due 08/15/47 | 162056 |
| 215000 | HSBC Holdings PLC, Variable Rate, 1 day <br> USD SOFR + 1.56%, 5.45%, due 03/03/36<br>| 223590 |
| 200000 | HSBC Holdings PLC, Variable Rate, 1 day <br> USD SOFR + 1.88%, 5.79%, due 05/13/36<br>| 212603 |
| 228000 | nVent Finance SARL, 5.65%, due 05/15/33 | 240948 |
| 198000 | Smith & Nephew PLC, 5.40%, due <br> 03/20/34<br>| 206163 |
|  | Total United Kingdom | 1268168 |
|  | **United States — 84.3%** | **United States — 84.3%** |
|  | **Corporate Debt — 84.3%** | **Corporate Debt — 84.3%** |
| 97000 | Advanced Micro Devices, Inc., 4.32%, due <br> 03/24/28<br>| 98228 |
| 236000 | AEP Texas, Inc., 5.70%, due 05/15/34 | 249986 |
| 221000 | Albemarle Corp., 4.65%, due 06/01/27 | 222617 |

---

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | <br> **Value ($)** |
|  | **United States — continued** | **United States — continued** |
|  | **Corporate Debt — continued** | **Corporate Debt — continued** |
| 221000 | Albemarle Corp., 5.05%, due 06/01/32 | 225065 |
| 159000 | Ally Financial, Inc., Variable Rate, 1 day <br> USD SOFR + 1.78%, 5.55%, due 07/31/33<br>| 160418 |
| 160000 | Ally Financial, Inc., Variable Rate, 1 day <br> USD SOFR + 2.29%, 6.18%, due 07/26/35<br>| 165156 |
| 240000 | Alphabet, Inc., 5.35%, due 11/15/45 | 241037 |
| 260000 | Alphabet, Inc., 5.30%, due 05/15/65 | 246532 |
| 257000 | Altria Group, Inc., 3.40%, due 02/04/41 | 201549 |
| 314000 | Altria Group, Inc., 3.88%, due 09/16/46 | 241707 |
| 66000 | American Express Co., Variable Rate, 1 <br> day USD SOFR + 1.42%, 5.28%, due <br> 07/26/35<br>| 68531 |
| 66000 | American Express Co., Variable Rate, 1 <br> day USD SOFR + 1.79%, 5.67%, due <br> 04/25/36<br>| 69895 |
| 76000 | Amphenol Corp., 2.20%, due 09/15/31 | 68902 |
| 192000 | Apple, Inc., 4.25%, due 02/09/47 | 167622 |
| 216000 | AppLovin Corp., 5.38%, due 12/01/31 | 222626 |
| 235000 | AppLovin Corp., 5.95%, due 12/01/54 | 225813 |
| 108000 | Aptiv Swiss Holdings Ltd., 4.15%, due <br> 05/01/52<br>| 83723 |
| 66000 | Bank of New York Mellon Corp., Variable <br> Rate, 1 day USD SOFR Index + 2.07%, <br> 5.83%, due 10/25/33<br>| 71474 |
| 161000 | Bank of New York Mellon Corp., Variable <br> Rate, 1 day USD SOFR + 1.85%, 6.47%, <br> due 10/25/34<br>| 180487 |
| 228000 | Biogen, Inc., 6.45%, due 05/15/55 | 244610 |
| 254000 | Bio-Rad Laboratories, Inc., 3.70%, due <br> 03/15/32<br>| 242112 |
| 159000 | BorgWarner, Inc., 4.95%, due 08/15/29 | 163413 |
| 197000 | BorgWarner, Inc., 5.40%, due 08/15/34 | 204704 |
| 228000 | Boston Properties LP, 6.50%, due 01/15/34 | 244484 |
| 235000 | Boston Properties LP, 5.75%, due 01/15/35 | 239407 |
| 259000 | Centene Corp., 2.45%, due 07/15/28 | 244072 |
| 259000 | Centene Corp., 3.38%, due 02/15/30 | 240169 |
| 235000 | CH Robinson Worldwide, Inc., 4.20%, due <br> 04/15/28<br>| 235547 |
| 66000 | Charles Schwab Corp., Variable Rate, 1 <br> day USD SOFR + 2.50%, 5.85%, due <br> 05/19/34<br>| 70965 |
| 66000 | Charles Schwab Corp., Variable Rate, 1 <br> day USD SOFR + 2.01%, 6.14%, due <br> 08/24/34<br>| 72133 |
| 57000 | Citigroup, Inc., Variable Rate, 3 mo. USD <br> Term SOFR + 1.65%, 3.67%, due 07/24/28<br>| 56730 |
| 229000 | Citizens Financial Group, Inc., Variable <br> Rate, 1 day USD SOFR + 1.91%, 5.72%, <br> due 07/23/32<br>| 241238 |
| 198000 | Citizens Financial Group, Inc., Variable <br> Rate, 1 day USD SOFR + 2.33%, 6.65%, <br> due 04/25/35<br>| 219150 |
| 225000 | Corning, Inc., 5.35%, due 11/15/48 | 223583 |
| 303000 | Corning, Inc., 4.38%, due 11/15/57 | 253216 |
| 236000 | Cummins, Inc., 4.70%, due 02/15/31 | 242853 |
| 228000 | Cummins, Inc., 5.30%, due 05/09/35 | 239130 |
| 211000 | CVS Health Corp., 5.05%, due 03/25/48 | 188149 |

---

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)**

**February 28, 2026** 

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | <br> **Value ($)** |
|  | **United States — continued** | **United States — continued** |
|  | **Corporate Debt — continued** | **Corporate Debt — continued** |
| 225000 | Edison International, 6.95%, due 11/15/29 | 242097 |
| 200000 | Edison International, 6.25%, due 03/15/30 | 211538 |
| 220000 | Estee Lauder Cos., Inc., 4.38%, due <br> 05/15/28<br>| 222382 |
| 245000 | Estee Lauder Cos., Inc., 2.60%, due <br> 04/15/30<br>| 232299 |
| 105000 | FedEx Corp., 4.75%, due 11/15/45 | 94165 |
| 87000 | Fifth Third Financial Corp., Variable Rate, <br> 1 day USD SOFR + 2.16%, 5.98%, due <br> 01/30/30<br>| 91195 |
| 164000 | General Electric Co., 4.30%, due 07/29/30 | 166600 |
| 215000 | General Electric Co., 4.90%, due 01/29/36 | 220538 |
| 228000 | General Motors Co., 6.25%, due 04/15/35 | 244757 |
| 221000 | General Motors Co., 6.75%, due 04/01/46 | 238975 |
| 66000 | Goldman Sachs Group, Inc., Variable Rate, <br> 3 mo. USD Term SOFR + 1.77%, 3.69%, <br> due 06/05/28<br>| 65690 |
| 97000 | Goldman Sachs Group, Inc., Variable Rate, <br> 3 mo. USD Term SOFR + 1.69%, 4.41%, <br> due 04/23/39<br>| 90320 |
| 227000 | Hasbro, Inc., 3.90%, due 11/19/29 | 225050 |
| 212000 | Hasbro, Inc., 6.05%, due 05/14/34 | 227642 |
| 266000 | HCA, Inc., 5.25%, due 06/15/49 | 243863 |
| 239000 | HCA, Inc., 6.10%, due 04/01/64 | 239269 |
| 247000 | Helmerich & Payne, Inc., 5.50%, due <br> 12/01/34<br>| 249361 |
| 249000 | Howmet Aerospace, Inc., 3.00%, due <br> 01/15/29<br>| 243012 |
| 235000 | Huntington Ingalls Industries, Inc., 5.35%, <br> due 01/15/30<br>| 243844 |
| 97000 | Huntington Ingalls Industries, Inc., 5.75%, <br> due 01/15/35<br>| 103760 |
| 230000 | Illumina, Inc., 5.75%, due 12/13/27 | 236752 |
| 240000 | Illumina, Inc., 4.75%, due 12/12/30 | 243820 |
| 416000 | Intel Corp., 3.10%, due 02/15/60 | 238058 |
| 247000 | Intel Corp., 5.90%, due 02/10/63 | 237658 |
| 64000 | Interstate Power & Light Co., 5.60%, due <br> 06/29/35<br>| 67347 |
| 235000 | IQVIA, Inc., 6.25%, due 02/01/29 | 246993 |
| 215000 | Jacobs Engineering Group, Inc., 5.90%, <br> due 03/01/33<br>| 226809 |
| 235000 | JB Hunt Transport Services, Inc., 4.90%, <br> due 03/15/30<br>| 241535 |
| 215000 | Johnson Controls International PLC/Tyco <br> Fire & Security Finance SCA, 5.50%, due <br> 04/19/29<br>| 224866 |
| 210000 | Johnson Controls International PLC/Tyco <br> Fire & Security Finance SCA, 4.90%, due <br> 12/01/32<br>| 215985 |
| 25000 | KLA Corp., 4.70%, due 02/01/34 | 25381 |
| 260000 | KLA Corp., 5.25%, due 07/15/62 | 245549 |
| 160000 | L3Harris Technologies, Inc., 5.40%, due <br> 07/31/33<br>| 168568 |
| 237000 | L3Harris Technologies, Inc., 5.35%, due <br> 06/01/34<br>| 247295 |
| 230000 | Las Vegas Sands Corp., 6.00%, due <br> 08/15/29<br>| 240683 |

---

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | <br> **Value ($)** |
|  | **United States — continued** | **United States — continued** |
|  | **Corporate Debt — continued** | **Corporate Debt — continued** |
| 230000 | Las Vegas Sands Corp., 6.20%, due <br> 08/15/34<br>| 242870 |
| 215000 | MasTec, Inc., 5.90%, due 06/15/29 | 225662 |
| 159000 | Micron Technology, Inc., 5.88%, due <br> 02/09/33<br>| 171243 |
| 235000 | Micron Technology, Inc., 5.80%, due <br> 01/15/35<br>| 251664 |
| 202000 | Morgan Stanley, Variable Rate, 1 day USD <br> SOFR + 1.58%, 5.83%, due 04/19/35<br>| 215860 |
| 211000 | Morgan Stanley, Variable Rate, 1 day USD <br> SOFR + 1.56%, 5.32%, due 07/19/35<br>| 218480 |
| 66000 | MPLX LP, 4.70%, due 04/15/48 | 55669 |
| 66000 | MPLX LP, 5.50%, due 02/15/49 | 61783 |
| 297000 | Mylan, Inc., 5.20%, due 04/15/48 | 247319 |
| 263000 | Paramount Global, 4.20%, due 05/19/32 | 231591 |
| 344000 | Paramount Global, 4.95%, due 05/19/50 | 217394 |
| 31000 | Phillips 66 Co., 4.90%, due 10/01/46 | 27735 |
| 215000 | Polaris, Inc., 6.95%, due 03/15/29 | 228073 |
| 244000 | Polaris, Inc., 5.60%, due 03/01/31 | 248451 |
| 97000 | RTX Corp., 3.50%, due 03/15/27 | 96713 |
| 66000 | RTX Corp., 6.10%, due 03/15/34 | 72972 |
| 228000 | Santander Holdings USA, Inc., Variable <br> Rate, 1 day USD SOFR + 1.88%, 5.74%, <br> due 03/20/31<br>| 237459 |
| 228000 | Santander Holdings USA, Inc., Variable <br> Rate, 1 day USD SOFR + 2.14%, 6.34%, <br> due 05/31/35<br>| 245568 |
| 217000 | Simon Property Group LP, 5.85%, due <br> 03/08/53<br>| 225436 |
| 216000 | Simon Property Group LP, 6.65%, due <br> 01/15/54<br>| 245301 |
| 228000 | Southwest Airlines Co., 5.25%, due <br> 11/15/35<br>| 226135 |
| 187000 | Sun Communities Operating LP, 4.20%, <br> due 04/15/32<br>| 183336 |
| 235000 | Synchrony Financial, Variable Rate, 1 day <br> USD SOFR + 2.07%, 6.00%, due 07/29/36<br>| 239495 |
| 179000 | System Energy Resources, Inc., 5.30%, due <br> 12/15/34<br>| 182737 |
| 187000 | Take-Two Interactive Software, Inc., <br> 3.70%, due 04/14/27<br>| 186500 |
| 66000 | Take-Two Interactive Software, Inc., <br> 4.95%, due 03/28/28<br>| 67129 |
| 220000 | Tapestry, Inc., 5.10%, due 03/11/30 | 227149 |
| 220000 | Tapestry, Inc., 5.50%, due 03/11/35 | 228197 |
| 291000 | Utah Acquisition Sub, Inc., 5.25%, due <br> 06/15/46<br>| 245158 |
| 255000 | Valero Energy Corp., 2.15%, due 09/15/27 | 248365 |
| 231000 | Ventas Realty LP, 5.63%, due 07/01/34 | 243522 |
| 263000 | VMware LLC, 1.80%, due 08/15/28 | 250101 |
| 219000 | VMware LLC, 4.70%, due 05/15/30 | 223904 |

---

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)**

**February 28, 2026** 

---

| | | |
|:---|:---|:---|
| **Par Value+ /**<br> **Shares** | **Description** | <br> **Value ($)** |
|  | **United States — continued** | **United States — continued** |
|  | **Corporate Debt — continued** | **Corporate Debt — continued** |
| 212000 | Western Midstream Operating LP, 5.30%, <br> due 03/01/48<br>| 187264 |
|  | Total United States | 20786924 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $23,989,651)<br>| 24120277 |

---

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

---

| | | |
|:---|:---|:---|
|  | **SHORT-TERM INVESTMENTS — 0.9%** | **SHORT-TERM INVESTMENTS — 0.9%** |
|  | **Money Market Funds — 0.9%** | **Money Market Funds — 0.9%** |
| 234991 | State Street Institutional Treasury Money <br> Market Fund – Premier Class, 3.61% <sup>(a)</sup> <br>| 234991 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $234,991)<br>| 234991 |
|  | **TOTAL INVESTMENTS — 98.7%**<br> (Cost $24,224,642)<br>| **24355268** |
|  | Other Assets and Liabilities (net) — 1.3% | 317984 |
|  | **TOTAL NET ASSETS — 100.0%** | **$24673252** |

---

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

---

| | |
|:---|:---|
| **Notes to Schedule of Investments:** | **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 February 28, 2026. |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 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)**

**February 28, 2026** 

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

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | <br> **Value ($)** |
|  | **DEBT OBLIGATIONS — 98.4%** | **DEBT OBLIGATIONS — 98.4%** |
|  | **Asset-Backed Securities — 71.5%** | **Asset-Backed Securities — 71.5%** |
|  | **Collateralized Loan Obligations — 71.5%** | **Collateralized Loan Obligations — 71.5%** |
| 200000 | 37 Capital CLO 3 Ltd., Series 2023-1A, <br> Class XR, 144A, Variable Rate, 3 mo. USD <br> Term SOFR + 1.00%, 4.67%, due 07/15/38<br>| 200013 |
| 29903 | Apidos CLO XXX, Series XXXA, <br> Class A1AR, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.08%, 4.75%, due <br> 10/18/31<br>| 29912 |
| 206984 | Bain Capital Credit CLO Ltd., Series <br> 2019-2A, Class AR3, 144A, Variable Rate, <br> 3 mo. USD Term SOFR + 0.92%, 4.59%, <br> due 10/17/32<br>| 207113 |
| 208368 | Battalion CLO XV Ltd., Series 2020-15A, <br> Class A1RR, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 0.98%, 4.65%, due <br> 01/17/33<br>| 208374 |
| 81198 | Black Diamond CLO Ltd., Series 2016-1A, <br> Class A1AR, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.29%, 4.96%, due <br> 04/26/31<br>| 81281 |
| 36532 | BlueMountain CLO XXII Ltd., Series <br> 2018-22A, Class A1, 144A, Variable Rate, <br> 3 mo. USD Term SOFR + 1.34%, 5.01%, <br> due 07/15/31<br>| 36567 |
| 100664 | California Street CLO IX LP, Series <br> 2012-9A, Class AR3, 144A, Variable Rate, <br> 3 mo. USD Term SOFR + 1.36%, 5.03%, <br> due 07/16/32<br>| 100804 |
| 290431 | Canyon Capital CLO Ltd., Series 2017-1A, <br> Class AR, 144A, Variable Rate, 3 mo. USD <br> Term SOFR + 1.26%, 4.93%, due 07/15/30<br>| 290509 |
| 211047 | CarVal CLO III Ltd., Series 2019-2A, <br> Class AR2, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 0.99%, 4.66%, due <br> 07/20/32<br>| 211131 |
| 370134 | Dryden 40 Senior Loan Fund, Series <br> 2015-40A, Class AR2, 144A, Variable <br> Rate, 3 mo. USD Term SOFR + 1.15%, <br> 4.80%, due 08/15/31<br>| 370498 |
| 144060 | Dryden 45 Senior Loan Fund, Series <br> 2016-45A, Class A1RR, 144A, Variable <br> Rate, 3 mo. USD Term SOFR + 1.08%, <br> 4.75%, due 10/15/30<br>| 144147 |
| 25081 | Dryden 54 Senior Loan Fund, Series <br> 2017-54A, Class AR, 144A, Variable Rate, <br> 3 mo. USD Term SOFR + 1.15%, 4.82%, <br> due 10/19/29<br>| 25086 |
| 177485 | Dryden 55 CLO Ltd., Series 2018-55A, <br> Class A1, 144A, Variable Rate, 3 mo. USD <br> Term SOFR + 1.28%, 4.95%, due 04/15/31<br>| 177745 |
| 303947 | Dryden 72 CLO Ltd., Series 2019-72A, <br> Class ARR, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.10%, 4.75%, due <br> 05/15/32<br>| 304486 |
| 550375 | Elmwood CLO X Ltd., Series 2021-3A, <br> Class X, 144A, Variable Rate, 3 mo. USD <br> Term SOFR + 0.95%, 4.62%, due 07/20/38<br>| 550356 |

---

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | <br> **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Collateralized Loan Obligations — continued** | **Collateralized Loan Obligations — continued** |
| 71119 | Fortress Credit BSL X Ltd., Series <br> 2021-1A, Class AR, 144A, Variable Rate, 3 <br> mo. USD Term SOFR + 1.10%, 4.77%, due <br> 04/20/33<br>| 71124 |
| 163913 | Greywolf CLO III Ltd., Series 2020-3RA, <br> Class A1R2, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.23%, 4.90%, due <br> 04/22/33<br>| 164091 |
| 408012 | ICG U.S. CLO Ltd., Series 2015-2RA, <br> Class A1R, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 0.99%, 4.66%, due <br> 01/16/33<br>| 408080 |
| 113863 | Jefferson Mill CLO Ltd., Series 2015-1A, <br> Class ARR, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.23%, 4.90%, due <br> 10/20/31<br>| 113924 |
| 150000 | LCM 31 Ltd., Series 31A, Class AR, 144A, <br> Variable Rate, 3 mo. USD Term SOFR + <br> 1.28%, 4.95%, due 07/20/34<br>| 150092 |
| 220938 | Madison Park Funding XIV Ltd., Series <br> 2014-14A, Class AR4, 144A, Variable <br> Rate, 3 mo. USD Term SOFR + 0.96%, <br> 4.63%, due 10/22/30<br>| 221122 |
| 273000 | Mountain View CLO 2016-1, Series <br> 2016-1A, Class AR3, 4.55%, due 04/14/33<br>| 272999 |
| 191401 | Mountain View CLO LLC, Series <br> 2016-1A, Class AR2, 144A, Variable Rate, <br> 3 mo. USD Term SOFR + 1.26%, 4.93%, <br> due 04/14/33<br>| 191401 |
| 403790 | Northwoods Capital XIV-B Ltd., Series <br> 2018-14BA, Class AR, 144A, Variable <br> Rate, 3 mo. USD Term SOFR + 1.25%, <br> 4.88%, due 11/13/31<br>| 404813 |
| 161586 | OZLM XV Ltd., Series 2016-15A, <br> Class A1R3, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.05%, 4.72%, due <br> 04/20/33<br>| 161661 |
| 41345 | OZLM XXIV Ltd., Series 2019-24A, <br> Class A1AR, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.42%, 5.09%, due <br> 07/20/32<br>| 41355 |
| 346286 | Regatta XX Funding Ltd., Series 2021-2A, <br> Class X, 144A, Variable Rate, 3 mo. USD <br> Term SOFR + 0.97%, 4.64%, due 01/15/38<br>| 346283 |
| 290664 | Rockford Tower CLO Ltd., Series <br> 2018-2A, Class A, 144A, Variable Rate, 3 <br> mo. USD Term SOFR + 1.42%, 5.09%, due <br> 10/20/31<br>| 290868 |
| 434678 | Rockford Tower CLO Ltd., Series <br> 2019-2A, Class AR2, 144A, Variable Rate, <br> 3 mo. USD Term SOFR + 1.13%, 4.78%, <br> due 08/20/32<br>| 435368 |
| 54894 | Romark CLO II Ltd., Series 2018-2A, <br> Class A1R, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.14%, 4.81%, due <br> 07/25/31<br>| 54894 |
| 229521 | Sound Point CLO II Ltd., Series 2013-1A, <br> Class A2R, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.71%, 5.38%, due <br> 01/26/31<br>| 229725 |

---

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)**

**February 28, 2026** 

---

| | | |
|:---|:---|:---|
| **Par Value+** | **Description** | <br> **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
|  | **Collateralized Loan Obligations — continued** | **Collateralized Loan Obligations — continued** |
| 201906 | Sound Point CLO IX Ltd., Series 2015-2A, <br> Class ARRR, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.47%, 5.14%, due <br> 07/20/32<br>| 202020 |
| 267617 | Sound Point CLO V-R Ltd., Series <br> 2014-1RA, Class A, 144A, Variable Rate, 3 <br> mo. USD Term SOFR + 1.41%, 5.08%, due <br> 07/18/31<br>| 267891 |
| 105736 | Symphony CLO XX Ltd., Series <br> 2018-20A, Class AR2, 144A, Variable <br> Rate, 3 mo. USD Term SOFR + 1.10%, <br> 4.77%, due 01/16/32<br>| 106013 |
| 49751 | TCI-Symphony CLO Ltd., Series 2017-1A, <br> Class AR, 144A, Variable Rate, 3 mo. USD <br> Term SOFR + 1.19%, 4.86%, due 07/15/30<br>| 49774 |
| 19518 | TCI-Symphony CLO Ltd., Series 2016-1A, <br> Class AR2, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.28%, 4.93%, due <br> 10/13/32<br>| 19539 |
| 500000 | THL Credit Wind River CLO Ltd., Series <br> 2017-3A, Class AR2, 144A, Variable Rate, <br> 1 day USD SOFR + 1.20%, 4.87%, due <br> 04/15/35<br>| 500442 |
| 178025 | Trinitas CLO XII Ltd., Series 2020-12A, <br> Class A1R2, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.05%, 4.72%, due <br> 04/25/33<br>| 178129 |
| 80265 | Venture 32 CLO Ltd., Series 2018-32A, <br> Class A1, 144A, Variable Rate, 3 mo. USD <br> Term SOFR + 1.36%, 5.03%, due 07/18/31<br>| 80412 |
| 98305 | Venture 38 CLO Ltd., Series 2019-38A, <br> Class ARR, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.00%, 4.67%, due <br> 07/30/32<br>| 98359 |
| 747365 | Venture XIX CLO Ltd., Series 2014-19A, <br> Class ARR, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.52%, 5.19%, due <br> 01/15/32<br>| 748001 |
| 7425 | Voya CLO Ltd., Series 2016-1A, <br> Class A1R, 144A, Variable Rate, 3 mo. <br> USD Term SOFR + 1.33%, 5.00%, due <br> 01/20/31<br>| 7426 |
| 461685 | Voya CLO Ltd., Series 2019-2A, Class AR, <br> 144A, Variable Rate, 3 mo. USD Term <br> SOFR + 1.20%, 4.87%, due 07/20/32<br>| 462049 |
| 208333 | Voya CLO Ltd., Series 2025-1A, Class X, <br> 144A, Variable Rate, 3 mo. USD Term <br> SOFR + 0.90%, 4.57%, due 04/20/38<br>| 208331 |
|  | Total Collateralized Loan Obligations | 9424208 |
|  | **U.S. Government — 26.9%** | **U.S. Government — 26.9%** |
| 390000 | U.S. Treasury Floating Rate Notes, <br> Variable Rate, 3 mo. Treasury money <br> market yield + 0.19%, 3.81%, due 10/31/27<br>| 390634 |
| 17575 | U.S. Treasury Inflation-Indexed Notes, <br> 0.13%, due 07/15/26<br>| 17667 |
| 17788 | U.S. Treasury Inflation-Indexed Notes, <br> 0.13%, due 10/15/26<br>| 17820 |
| 17440 | U.S. Treasury Inflation-Indexed Notes, <br> 0.38%, due 01/15/27<br>| 17392 |

---

---

| | | |
|:---|:---|:---|
| **Par Value+ /**<br> **Shares** | **Description** | <br> **Value ($)** |
| 56000 | U.S. Treasury Notes, 4.62%, due 06/30/26 | 56173 |
| 570000 | U.S. Treasury Notes, 4.12%, due 10/31/26 | 571777 |
| 609000 | U.S. Treasury Notes, 4.12%, due 01/31/27 | 612145 |
| 664000 | U.S. Treasury Notes, 1.88%, due 02/28/27 | 653308 |
| 647000 | U.S. Treasury Notes, 3.62%, due 08/31/27 | 648693 |
| 557000 | U.S. Treasury Notes, 3.38%, due 11/30/27 | 556652 |
|  | Total U.S. Government | 3542261 |
|  | TOTAL DEBT OBLIGATIONS<br> (COST $12,964,991)<br>| 12966469 |

---

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

---

| | |
|:---|:---|
|  | **SHORT-TERM INVESTMENTS — 3.5%** |
|  | **Money Market Funds — 0.8%** |
| 106059<br> State Street Institutional Treasury Money <br> Market Fund – Premier Class, 3.61% <sup>(a)</sup> <br>| 106059 |

---

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

---

| | | |
|:---|:---|:---|
|  | **U.S. Government — 2.7%** | **U.S. Government — 2.7%** |
| 115000 | U.S. Treasury Bills, 3.34%, due 03/31/26  | 114663 |
| 115000 | U.S. Treasury Bills, 3.48%, due 04/23/26  | 114400 |
| 127000 | U.S. Treasury Bills, 3.58%, due 06/23/26  | 125571 |
|  | Total U.S. Government | 354634 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $460,663)<br>| 460693 |
|  | **TOTAL INVESTMENTS**— **101.9**% <br>(Cost $13,425,654)<br>| 13427162 |
|  | Other Assets and Liabilities (net) — (1.9)% | (245422)<br>|
|  | **TOTAL NET ASSETS** — **100.0**% | 13181740 |

---

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

---

| | |
|:---|:---|
| **Notes to Schedule of Investments:** | **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 February 28, 2026. |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 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)**

**February 28, 2026** 

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **COMMON STOCKS — 99.8%** | **COMMON STOCKS — 99.8%** |
|  | **Banks — 3.7%** | **Banks — 3.7%** |
| 1660809 | U.S. Bancorp  | 90779820 |
| 461737 | Wells Fargo & Co.  | 37608479 |
|  | Total Banks | 128388299 |
|  | **Capital Goods — 1.7%** | **Capital Goods — 1.7%** |
| 171218 | General Electric Co.  | 58601073 |
|  | **Consumer Discretionary Distribution & Retail —** <br> **4.9%** | **Consumer Discretionary Distribution & Retail —** <br> **4.9%** |
| 518642 | Amazon.com, Inc. \* | 108914820 |
| 369603 | TJX Cos., Inc.  | 59750021 |
|  | Total Consumer Discretionary Distribution <br> & Retail<br>| 168664841 |
|  | **Consumer Services — 5.1%** | **Consumer Services — 5.1%** |
| 1726459 | Aramark  | 72252309 |
| 332101 | Hilton Worldwide Holdings, Inc.  | 103542450 |
|  | Total Consumer Services | 175794759 |
|  | **Financial Services — 4.2%** | **Financial Services — 4.2%** |
| 69013 | Mastercard – Class A  | 35694214 |
| 266832 | Tradeweb Markets, Inc. – Class A  | 32888378 |
| 241450 | Visa, Inc. – Class A  | 77297803 |
|  | Total Financial Services | 145880395 |
|  | **Food, Beverage & Tobacco — 6.4%** | **Food, Beverage & Tobacco — 6.4%** |
| 1147296 | Brown-Forman Corp. – Class B  | 33110963 |
| 827747 | Coca-Cola Co.  | 67511045 |
| 409940 | Constellation Brands, Inc. – Class A  | 64713128 |
| 927419 | Mondelez International, Inc. – Class A  | 57110462 |
|  | Total Food, Beverage & Tobacco | 222445598 |
|  | **Health Care Equipment & Services — 11.6%** | **Health Care Equipment & Services — 11.6%** |
| 962169 | Abbott Laboratories  | 111948363 |
| 166028 | Cigna Group  | 48118235 |
| 223878 | Elevance Health, Inc.  | 71640960 |
| 108605 | Intuitive Surgical, Inc. \* | 54683703 |
| 161648 | Quest Diagnostics, Inc.  | 34254828 |
| 277599 | UnitedHealth Group, Inc.  | 81411459 |
|  | Total Health Care Equipment & Services | 402057548 |
|  | **Household & Personal Products — 2.9%** | **Household & Personal Products — 2.9%** |
| 606292 | Procter & Gamble Co.  | 101372022 |
|  | **Media & Entertainment — 10.6%** | **Media & Entertainment — 10.6%** |
| 596407 | Alphabet, Inc. – Class A  | 185935846 |
| 253646 | Meta Platforms, Inc. – Class A  | 164408264 |
| 184152 | Netflix  | 17722789 |
|  | Total Media & Entertainment | 368066899 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Pharmaceuticals, Biotechnology & Life Sciences** <br> **— 13.6%** | **Pharmaceuticals, Biotechnology & Life Sciences** <br> **— 13.6%** |
| 105805 | Eli Lilly & Co.  | 111305802 |
| 694877 | Johnson & Johnson  | 172628293 |
| 571675 | Merck & Co., Inc.  | 70784798 |
| 221316 | Thermo Fisher Scientific, Inc.  | 115329981 |
|  | Total Pharmaceuticals, Biotechnology & <br> Life Sciences<br>| 470048874 |
|  | **Semiconductors & Semiconductor Equipment —** <br> **16.1%** | **Semiconductors & Semiconductor Equipment —** <br> **16.1%** |
| 430527 | Broadcom, Inc.  | 137574903 |
| 85286 | KLA Corp.  | 130022771 |
| 729703 | Lam Research Corp.  | 170670235 |
| 554834 | Texas Instruments, Inc.  | 117685840 |
|  | Total Semiconductors & Semiconductor <br> Equipment<br>| 555953749 |
|  | **Software & Services — 13.1%** | **Software & Services — 13.1%** |
| 551863 | Accenture PLC – Class A  | 115184846 |
| 475365 | Microsoft Corp.  | 186694850 |
| 171388 | PTC, Inc. \* | 26837647 |
| 633689 | Salesforce, Inc.  | 123436280 |
|  | Total Software & Services | 452153623 |
|  | **Technology Hardware & Equipment — 4.5%** | **Technology Hardware & Equipment — 4.5%** |
| 595485 | Apple, Inc.  | 157315227 |
|  | **Transportation — 1.4%** | **Transportation — 1.4%** |
| 645067 | Uber Technologies, Inc. \* | 48650953 |
|  | TOTAL COMMON STOCKS<br> (COST $3,144,763,951)<br>| 3455393860 |
|  | **SHORT-TERM INVESTMENTS — 0.7%** | **SHORT-TERM INVESTMENTS — 0.7%** |
|  | **Money Market Funds — 0.7%** | **Money Market Funds — 0.7%** |
| 25611015 | State Street Institutional Treasury Money <br> Market Fund – Premier Class, 3.61% <sup>(a)</sup> <br>| 25611015 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $25,611,015)<br>| 25611015 |
|  | **TOTAL INVESTMENTS — 100.5%**<br> (Cost $3,170,374,966)<br>| **3481004875** |
|  | Other Assets and Liabilities (net) — (0.5)% | (17330550)<br>|
|  | **TOTAL NET ASSETS — 100.0%** | **$3463674325** |

---

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

---

| | |
|:---|:---|
| **Notes to Schedule of Investments:** | **Notes to Schedule of Investments:** |
| \* | Non-income producing security. |
| <sup>(a)</sup> | The rate disclosed is the 7 day net yield as of February 28, 2026. |

---

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)**

**February 28, 2026** 

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 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)**

**February 28, 2026** 

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

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **COMMON STOCKS — 99.4%** | **COMMON STOCKS — 99.4%** |
|  | **Automobiles & Components — 2.9%** | **Automobiles & Components — 2.9%** |
| 1581 | Aptiv PLC \* | 116267 |
| 2530 | BorgWarner, Inc.  | 145652 |
| 44617 | Ford Motor Co.  | 628654 |
| 11955 | General Motors Co.  | 940978 |
| 3665 | Lear Corp.  | 481031 |
|  | Total Automobiles & Components | 2312582 |
|  | **Banks — 9.7%** | **Banks — 9.7%** |
| 37041 | Bank of America Corp.  | 1845753 |
| 8979 | Citigroup, Inc.  | 989396 |
| 2554 | Fifth Third Bancorp  | 126346 |
| 9665 | Huntington Bancshares, Inc.  | 162372 |
| 4469 | JPMorgan Chase & Co.  | 1342041 |
| 2261 | M&T Bank Corp.  | 490592 |
| 4577 | PNC Financial Services Group, Inc.  | 971926 |
| 3789 | Regions Financial Corp.  | 105448 |
| 12119 | Truist Financial Corp.  | 597588 |
| 16723 | U.S. Bancorp  | 914079 |
| 3219 | Wells Fargo & Co.  | 262187 |
|  | Total Banks | 7807728 |
|  | **Capital Goods — 3.0%** | **Capital Goods — 3.0%** |
| 3162 | Carrier Global Corp.  | 203633 |
| 4857 | Fortune Brands Innovations, Inc.  | 263929 |
| 1544 | Honeywell International, Inc.  | 376103 |
| 802 | Northrop Grumman Corp.  | 580953 |
| 2597 | Oshkosh Corp.  | 441542 |
| 1167 | PACCAR, Inc.  | 147147 |
| 127 | Snap-on, Inc.  | 48923 |
| 857 | Terex Corp.  | 58953 |
| 897 | Textron, Inc.  | 88489 |
| 972 | Timken Co.  | 105345 |
| 806 | Toro Co.  | 79681 |
|  | Total Capital Goods | 2394698 |
|  | **Commercial & Professional Services — 0.2%** | **Commercial & Professional Services — 0.2%** |
| 2286 | Concentrix Corp.  | 74981 |
| 2562 | Genpact Ltd.  | 101762 |
|  | Total Commercial & Professional Services | 176743 |
|  | **Consumer Discretionary Distribution & Retail —** <br> **2.8%** | **Consumer Discretionary Distribution & Retail —** <br> **2.8%** |
| 479 | Abercrombie & Fitch Co. – Class A \* | 46846 |
| 4897 | Academy Sports & Outdoors, Inc.  | 294457 |
| 1187 | AutoNation, Inc. \* | 231655 |
| 3869 | Bath & Body Works, Inc.  | 88058 |
| 1939 | Best Buy Co., Inc.  | 120160 |
| 7130 | eBay, Inc.  | 647832 |
| 3080 | Gap, Inc.  | 86363 |
| 425 | Group 1 Automotive, Inc.  | 138440 |
| 3434 | LKQ Corp.  | 113700 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Consumer Discretionary Distribution & Retail —** <br> **continued** | **Consumer Discretionary Distribution & Retail —** <br> **continued** |
| 15859 | Macy's, Inc.  | 313691 |
| 1923 | Signet Jewelers Ltd.  | 184973 |
|  | Total Consumer Discretionary Distribution <br> & Retail<br>| 2266175 |
|  | **Consumer Durables & Apparel — 3.4%** | **Consumer Durables & Apparel — 3.4%** |
| 4003 | Crocs, Inc. \* | 363112 |
| 3449 | DR Horton, Inc.  | 553185 |
| 5379 | KB Home  | 341997 |
| 1793 | Lennar Corp. – Class A  | 205047 |
| 331 | M/I Homes, Inc. \* | 47055 |
| 3159 | Mattel, Inc. \* | 53545 |
| 2980 | Meritage Homes Corp.  | 224752 |
| 1804 | NIKE, Inc. – Class B  | 112173 |
| 2292 | PulteGroup, Inc.  | 314462 |
| 3023 | PVH Corp.  | 207378 |
| 322 | Toll Brothers, Inc.  | 50631 |
| 3439 | Tri Pointe Homes, Inc. \* | 159226 |
| 2503 | YETI Holdings, Inc. \* | 109406 |
|  | Total Consumer Durables & Apparel | 2741969 |
|  | **Consumer Services — 0.7%** | **Consumer Services — 0.7%** |
| 507 | Covista, Inc. \* | 49686 |
| 14194 | H&R Block, Inc.  | 434621 |
| 3575 | Perdoceo Education Corp.  | 119226 |
|  | Total Consumer Services | 603533 |
|  | **Consumer Staples Distribution & Retail — 2.6%** | **Consumer Staples Distribution & Retail — 2.6%** |
| 10087 | Albertsons Cos., Inc. – Class A  | 180557 |
| 1364 | Dollar General Corp.  | 213111 |
| 8364 | Kroger Co.  | 570759 |
| 636 | Sysco Corp.  | 57978 |
| 9550 | Target Corp.  | 1086695 |
|  | Total Consumer Staples Distribution & <br> Retail<br>| 2109100 |
|  | **Energy — 10.8%** | **Energy — 10.8%** |
| 10258 | APA Corp.  | 311535 |
| 10493 | Chevron Corp.  | 1959673 |
| 7788 | ConocoPhillips  | 883626 |
| 1477 | Devon Energy Corp.  | 64294 |
| 9846 | EOG Resources, Inc.  | 1221692 |
| 21913 | Exxon Mobil Corp.  | 3341733 |
| 4663 | Halliburton Co.  | 167868 |
| 5578 | Kinder Morgan, Inc.  | 185580 |
| 1197 | Marathon Petroleum Corp.  | 237257 |
| 6418 | SLB Ltd.  | 329500 |
|  | Total Energy | 8702758 |
|  | **Equity Real Estate Investment Trusts (REITs) —** <br> **0.3%** | **Equity Real Estate Investment Trusts (REITs) —** <br> **0.3%** |
| 6990 | VICI Properties, Inc.  | 211168 |

---

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)**

**February 28, 2026** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Financial Services — 7.4%** | **Financial Services — 7.4%** |
| 1105 | American Express Co.  | 341335 |
| 138 | Ameriprise Financial, Inc.  | 64877 |
| 1811 | Bank of New York Mellon Corp.  | 215690 |
| 4490 | Blue Owl Capital Corp.  | 50692 |
| 2433 | Bread Financial Holdings, Inc.  | 172402 |
| 4347 | Capital One Financial Corp.  | 850447 |
| 1843 | Enova International, Inc. \* | 256269 |
| 2051 | Federated Hermes, Inc.  | 114877 |
| 12447 | Franklin Resources, Inc.  | 330343 |
| 560 | Goldman Sachs Group, Inc.  | 481359 |
| 2718 | Invesco Ltd.  | 71375 |
| 5183 | Janus Henderson Group PLC  | 270034 |
| 11865 | MGIC Investment Corp.  | 314779 |
| 13402 | PayPal Holdings, Inc.  | 619307 |
| 11133 | Radian Group, Inc.  | 384311 |
| 2543 | Sixth Street Specialty Lending, Inc.  | 44045 |
| 6691 | SLM Corp.  | 125389 |
| 4138 | State Street Corp.  | 532230 |
| 2922 | Synchrony Financial  | 201939 |
| 3108 | T. Rowe Price Group, Inc.  | 294110 |
| 27472 | Western Union Co.  | 264555 |
|  | Total Financial Services | 6000365 |
|  | **Food, Beverage & Tobacco — 3.3%** | **Food, Beverage & Tobacco — 3.3%** |
| 3945 | Altria Group, Inc.  | 272363 |
| 4007 | Archer-Daniels-Midland Co.  | 276643 |
| 1118 | Bunge Global SA  | 134887 |
| 7597 | General Mills, Inc.  | 343612 |
| 6820 | Keurig Dr. Pepper, Inc.  | 206510 |
| 7817 | Mondelez International, Inc. – Class A  | 481371 |
| 5145 | PepsiCo, Inc.  | 873312 |
| 901 | Tyson Foods, Inc. – Class A  | 58556 |
|  | Total Food, Beverage & Tobacco | 2647254 |
|  | **Health Care Equipment & Services — 5.0%** | **Health Care Equipment & Services — 5.0%** |
| 4397 | Cigna Group  | 1274339 |
| 12068 | CVS Health Corp.  | 964233 |
| 1696 | Elevance Health, Inc.  | 542720 |
| 1421 | GE HealthCare Technologies, Inc.  | 119748 |
| 926 | Humana, Inc.  | 176440 |
| 1550 | Medtronic PLC  | 151373 |
| 423 | ResMed, Inc.  | 108398 |
| 2346 | UnitedHealth Group, Inc.  | 688011 |
|  | Total Health Care Equipment & Services | 4025262 |
|  | **Household & Personal Products — 3.6%** | **Household & Personal Products — 3.6%** |
| 2374 | Colgate-Palmolive Co.  | 235358 |
| 20023 | Kenvue, Inc.  | 382840 |
| 3934 | Kimberly-Clark Corp.  | 438405 |
| 11314 | Procter & Gamble Co.  | 1891701 |
|  | Total Household & Personal Products | 2948304 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Insurance — 6.4%** | **Insurance — 6.4%** |
| 4707 | Aflac, Inc.  | 531561 |
| 3312 | Allstate Corp.  | 710490 |
| 1959 | American International Group, Inc.  | 157680 |
| 4536 | Arch Capital Group Ltd. \* | 454280 |
| 2004 | Chubb Ltd.  | 683083 |
| 770 | Fidelity National Financial, Inc.  | 40718 |
| 5266 | Hartford Insurance Group, Inc.  | 741611 |
| 1334 | Lincoln National Corp.  | 45756 |
| 3941 | MetLife, Inc.  | 284028 |
| 4203 | Progressive Corp.  | 898013 |
| 641 | Prudential Financial, Inc.  | 63062 |
| 1740 | Travelers Cos., Inc.  | 537034 |
|  | Total Insurance | 5147316 |
|  | **Materials — 1.2%** | **Materials — 1.2%** |
| 1749 | Commercial Metals Co.  | 128201 |
| 6558 | Mosaic Co.  | 182575 |
| 94 | NewMarket Corp.  | 58845 |
| 2183 | Nucor Corp.  | 386129 |
| 1707 | PPG Industries, Inc.  | 210422 |
|  | Total Materials | 966172 |
|  | **Media & Entertainment — 6.2%** | **Media & Entertainment — 6.2%** |
| 7678 | Alphabet, Inc. – Class A  | 2393693 |
| 2982 | Fox Corp. – Class A  | 168006 |
| 2109 | Fox Corp. – Class B  | 109099 |
| 10826 | Match Group, Inc.  | 342102 |
| 2175 | Meta Platforms, Inc. – Class A  | 1409791 |
| 3022 | Omnicom Group, Inc.  | 257746 |
| 8757 | Paramount Skydance Corp. – Class B  | 118307 |
| 1853 | Walt Disney Co.  | 196492 |
|  | Total Media & Entertainment | 4995236 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences** <br> **— 13.3%** | **Pharmaceuticals, Biotechnology & Life Sciences** <br> **— 13.3%** |
| 24520 | Bristol-Myers Squibb Co.  | 1529312 |
| 4176 | Gilead Sciences, Inc.  | 622015 |
| 12597 | Johnson & Johnson  | 3129473 |
| 20286 | Merck & Co., Inc.  | 2511812 |
| 31172 | Organon & Co.  | 227244 |
| 66177 | Pfizer, Inc.  | 1829794 |
| 1092 | Regeneron Pharmaceuticals, Inc.  | 853584 |
|  | Total Pharmaceuticals, Biotechnology & <br> Life Sciences<br>| 10703234 |
|  | **Semiconductors & Semiconductor Equipment —** <br> **2.9%** | **Semiconductors & Semiconductor Equipment —** <br> **2.9%** |
| 1364 | NXP Semiconductors NV  | 309642 |
| 11009 | QUALCOMM, Inc.  | 1567241 |
| 8548 | Skyworks Solutions, Inc.  | 509290 |
|  | Total Semiconductors & Semiconductor <br> Equipment<br>| 2386173 |

---

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)**

**February 28, 2026** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | <br> **Value ($)** |
|  | **Software & Services — 1.2%** | **Software & Services — 1.2%** |
| 767 | Akamai Technologies, Inc. \* | 75465 |
| 8929 | Cognizant Technology Solutions Corp. – <br> Class A <br>| 575296 |
| 3812 | Dropbox, Inc. – Class A \* | 95262 |
| 2895 | Zoom Communications, Inc. \* | 214056 |
|  | Total Software & Services | 960079 |
|  | **Technology Hardware & Equipment — 3.6%** | **Technology Hardware & Equipment — 3.6%** |
| 1261 | Arrow Electronics, Inc. \* | 191874 |
| 7291 | Avnet, Inc.  | 480039 |
| 16536 | Cisco Systems, Inc.  | 1313951 |
| 1678 | Dell Technologies, Inc. – Class C  | 248478 |
| 15523 | Hewlett Packard Enterprise Co.  | 333279 |
| 10195 | HP, Inc.  | 193603 |
| 1217 | NetApp, Inc.  | 120519 |
| 1592 | Vontier Corp.  | 65145 |
|  | Total Technology Hardware & Equipment | 2946888 |
|  | **Telecommunication Services — 6.4%** | **Telecommunication Services — 6.4%** |
| 48971 | AT&T, Inc.  | 1371678 |
| 53500 | Comcast Corp. – Class A  | 1656360 |
| 43221 | Verizon Communications, Inc.  | 2167101 |
|  | Total Telecommunication Services | 5195139 |
|  | **Transportation — 2.5%** | **Transportation — 2.5%** |
| 591 | Delta Air Lines, Inc.  | 38829 |
| 2415 | FedEx Corp.  | 934605 |
| 9067 | United Parcel Service, Inc. – Class B  | 1051409 |
|  | Total Transportation | 2024843 |
|  | TOTAL COMMON STOCKS<br> (COST $74,268,083)<br>| 80272719 |
|  | **SHORT-TERM INVESTMENTS — 0.4%** | **SHORT-TERM INVESTMENTS — 0.4%** |
|  | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
| 315100 | State Street Institutional Treasury Money <br> Market Fund – Premier Class, 3.61% <sup>(a)</sup> <br>| 315100 |
|  | TOTAL SHORT-TERM INVESTMENTS<br> (COST $315,100)<br>| 315100 |
|  | **TOTAL INVESTMENTS — 99.8%**<br> (Cost $74,583,183)<br>| **80587819** |
|  | Other Assets and Liabilities (net) — 0.2% | 146660 |
|  | **TOTAL NET ASSETS — 100.0%** | **$80734479** |

---

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

---

| | |
|:---|:---|
| **Notes to Schedule of Investments:** | **Notes to Schedule of Investments:** |
| \* | Non-income producing security. |
| <sup>(a)</sup> | The rate disclosed is the 7 day net yield as of February 28, 2026. |

---

For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 19.

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

------

**GMO ETF Trust**

**February 28, 2026** 

------

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

---

| |
|:---|
| **Portfolio Abbreviations:** |
| 144A – Securities exempt from registration under Rule 144A of the Securities Act of <br> 1933. These securities may be resold in transactions exempt from registration, <br> normally to qualified institutional investors. <br>|
| ADR – American Depositary Receipt |
| ETF – Exchange-Traded Fund |
| JSC – Joint-Stock Company |
| NVDR – Non-Voting Depositary Receipt |

---

PJSC – Private Joint-Stock Company <br> SOFR – Secured Overnight Financing Rate <br> USD – United States Dollar

The rates shown on variable rate notes are the current interest rates at February 28, 2026, which are subject to change based on the terms of the security.

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

------

**GMO ETF Trust**

**Statements of Assets and Liabilities — February 28, 2026** 

------

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

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Beyond** <br>**China ETF**<br>| **GMO Domestic** <br>**Resilience ETF**<br>| **GMO Dynamic** <br>**Allocation ETF**<br>|
| **Assets** |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments in affiliated issuers, at value (Notes 2 and 8)<sup>(a)</sup> <br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $13262532 |
| &nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(b)</sup> <br>| &nbsp;&nbsp; 17175325 | &nbsp;&nbsp; 39273442 | &nbsp;&nbsp; 21938015 |
| &nbsp;&nbsp;&nbsp; Foreign currency, at value (Note 2)<sup>(c)</sup> <br>| &nbsp;&nbsp; 11822 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 272842 |
| &nbsp;&nbsp;&nbsp; Dividends and interest receivable | &nbsp;&nbsp; 13414 | &nbsp;&nbsp; 45911 | &nbsp;&nbsp; 352 |
| &nbsp;&nbsp;&nbsp; Receivable for expenses reimbursed and/or waived by GMO (Note 3) | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 6361 |
| **Total assets** | &nbsp;&nbsp; 17200561 | &nbsp;&nbsp; 39319353 | &nbsp;&nbsp; 35480102 |
| **Liabilities** |  |  |  |
| &nbsp;&nbsp;&nbsp; Payable for investments purchased | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 271910 |
| &nbsp;&nbsp;&nbsp; Accrued foreign capital gains tax payable (Note 2)  | &nbsp;&nbsp; 97856 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Accrued advisory fee (Note 3)  | &nbsp;&nbsp; 7688 | &nbsp;&nbsp; 13629 | &nbsp;&nbsp; 11603 |
| **Total liabilities** | &nbsp;&nbsp; 105544 | &nbsp;&nbsp; 13629 | &nbsp;&nbsp; 283513 |
| **Net assets**  | &nbsp;&nbsp; $17095017 | &nbsp;&nbsp; $39305724 | &nbsp;&nbsp; $35196589 |
| **Net assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp; Paid in capital | &nbsp;&nbsp; $12856000 | &nbsp;&nbsp; $34106780 | &nbsp;&nbsp; $33380320 |
| &nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | &nbsp;&nbsp; 4239017 | &nbsp;&nbsp; 5198944 | &nbsp;&nbsp; 1816269 |
| **Net assets** | &nbsp;&nbsp; $17095017 | &nbsp;&nbsp; $39305724 | &nbsp;&nbsp; $35196589 |
| Net asset value, offering and redemption price per share | &nbsp;&nbsp; $35.61 | &nbsp;&nbsp; $29.78 | &nbsp;&nbsp; $27.28 |
| Shares outstanding (unlimited authorized - no par value) | &nbsp;&nbsp; 480000 | &nbsp;&nbsp; 1320000 | &nbsp;&nbsp; 1290000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (a) <br>Cost of investments – affiliated issuers: | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $12385703 |
| &nbsp;&nbsp;&nbsp;&nbsp; (b) <br>Cost of investments – unaffiliated issuers: | &nbsp;&nbsp; $12963776 | &nbsp;&nbsp; $34099001 | &nbsp;&nbsp; $20999545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (c) <br>Cost of foreign currency: | &nbsp;&nbsp; $11805 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |

---

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

------

**GMO ETF Trust**

**Statements of Assets and Liabilities — February 28, 2026 — (Continued)**

------

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

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO International** <br>**Quality ETF** <br>| **GMO International** <br>**Value ETF** <br>| **GMO Systematic** <br>**Investment Grade** <br>**Credit ETF**<br>|
| **Assets** |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(a)</sup> <br>| &nbsp;&nbsp; $287339055 | &nbsp;&nbsp; $448364115 | &nbsp;&nbsp; $24355268 |
| &nbsp;&nbsp;&nbsp; Foreign currency, at value (Note 2)<sup>(b)</sup> <br>| &nbsp;&nbsp; 1297 | &nbsp;&nbsp; 43857 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Cash | &nbsp;&nbsp; — | &nbsp;&nbsp; 86672 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | &nbsp;&nbsp; — | &nbsp;&nbsp; 3803110 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Dividends and interest receivable | &nbsp;&nbsp; 246866 | &nbsp;&nbsp; 396775 | &nbsp;&nbsp; 322696 |
| &nbsp;&nbsp;&nbsp; Dividend withholding tax receivable | &nbsp;&nbsp; 8801 | &nbsp;&nbsp; 37796 | &nbsp;&nbsp; — |
| **Total assets** | &nbsp;&nbsp; 287596019 | &nbsp;&nbsp; 452732325 | &nbsp;&nbsp; 24677964 |
| **Liabilities** |  |  |  |
| &nbsp;&nbsp;&nbsp; Payable for investments purchased | &nbsp;&nbsp; — | &nbsp;&nbsp; 3781970 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Accrued advisory fee (Note 3)  | &nbsp;&nbsp; 128258 | &nbsp;&nbsp; 185049 | &nbsp;&nbsp; 4712 |
| **Total liabilities** | &nbsp;&nbsp; 128258 | &nbsp;&nbsp; 3967019 | &nbsp;&nbsp; 4712 |
| **Net assets**  | &nbsp;&nbsp; $287467761 | &nbsp;&nbsp; $448765306 | &nbsp;&nbsp; $24673252 |
| **Net assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp; Paid in capital | &nbsp;&nbsp; $266366383 | &nbsp;&nbsp; $380220529 | &nbsp;&nbsp; $24439448 |
| &nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | &nbsp;&nbsp; 21101378 | &nbsp;&nbsp; 68544777 | &nbsp;&nbsp; 233804 |
| **Net assets** | &nbsp;&nbsp; $287467761 | &nbsp;&nbsp; $448765306 | &nbsp;&nbsp; $24673252 |
| Net asset value, offering and redemption price per share | &nbsp;&nbsp; $28.05 | &nbsp;&nbsp; $38.03 | &nbsp;&nbsp; $25.97 |
| Shares outstanding (unlimited authorized - no par value) | &nbsp;&nbsp; 10250000 | &nbsp;&nbsp; 11800000 | &nbsp;&nbsp; 950000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (a) <br>Cost of investments – unaffiliated issuers: | &nbsp;&nbsp; $266110279 | &nbsp;&nbsp; $378517578 | &nbsp;&nbsp; $24224642 |
| &nbsp;&nbsp;&nbsp;&nbsp; (b) <br>Cost of foreign currency: | &nbsp;&nbsp; $1219 | &nbsp;&nbsp; $43787 | &nbsp;&nbsp; $— |

---

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

------

**GMO ETF Trust**

**Statements of Assets and Liabilities — February 28, 2026 — (Continued)**

------

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

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Ultra-Short** <br>**Income ETF**<br>| **GMO U.S.** <br>**Quality ETF**<br>| **GMO U.S.** <br>**Value ETF**<br>|
| **Assets** |  |  |  |
| &nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers, at value (Note 2)<sup>(a)</sup> <br>| &nbsp;&nbsp; $13427162 | &nbsp;&nbsp; $3481004875 | &nbsp;&nbsp; $80587819 |
| &nbsp;&nbsp;&nbsp; Receivable for investments sold | &nbsp;&nbsp; — | &nbsp;&nbsp; 33586347 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Receivable for Fund shares sold | &nbsp;&nbsp; — | &nbsp;&nbsp; 7361645 | &nbsp;&nbsp; 1170064 |
| &nbsp;&nbsp;&nbsp; Dividends and interest receivable | &nbsp;&nbsp; 79967 | &nbsp;&nbsp; 2489822 | &nbsp;&nbsp; 170291 |
| **Total assets** | &nbsp;&nbsp; 13507129 | &nbsp;&nbsp; 3524442689 | &nbsp;&nbsp; 81928174 |
| **Liabilities** |  |  |  |
| &nbsp;&nbsp;&nbsp; Due to Custodian  | &nbsp;&nbsp; 50411 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Payable for investments purchased | &nbsp;&nbsp; 273000 | &nbsp;&nbsp; 24997779 | &nbsp;&nbsp; 1163806 |
| &nbsp;&nbsp;&nbsp; Accrued advisory fee (Note 3)  | &nbsp;&nbsp; 1978 | &nbsp;&nbsp; 1287090 | &nbsp;&nbsp; 29889 |
| &nbsp;&nbsp;&nbsp; Payable for Fund shares repurchased | &nbsp;&nbsp; — | &nbsp;&nbsp; 34483495 | &nbsp;&nbsp; — |
| **Total liabilities** | &nbsp;&nbsp; 325389 | &nbsp;&nbsp; 60768364 | &nbsp;&nbsp; 1193695 |
| **Net assets**  | &nbsp;&nbsp; $13181740 | &nbsp;&nbsp; $3463674325 | &nbsp;&nbsp; $80734479 |
| **Net assets consist of:** |  |  |  |
| &nbsp;&nbsp;&nbsp; Paid in capital | &nbsp;&nbsp; $13138416 | &nbsp;&nbsp; $3166840768 | &nbsp;&nbsp; $75945200 |
| &nbsp;&nbsp;&nbsp; Distributable earnings (accumulated loss) | &nbsp;&nbsp; 43324 | &nbsp;&nbsp; 296833557 | &nbsp;&nbsp; 4789279 |
| **Net assets** | &nbsp;&nbsp; $13181740 | &nbsp;&nbsp; $3463674325 | &nbsp;&nbsp; $80734479 |
| Net asset value, offering and redemption price per share | &nbsp;&nbsp; $50.22 | &nbsp;&nbsp; $38.75 | &nbsp;&nbsp; $29.25 |
| Shares outstanding (unlimited authorized - no par value) | &nbsp;&nbsp; 262500 | &nbsp;&nbsp; 89394000 | &nbsp;&nbsp; 2760000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (a) <br>Cost of investments – unaffiliated issuers: | &nbsp;&nbsp; $13425654 | &nbsp;&nbsp; $3170374966  | &nbsp;&nbsp; $74583183  |

---

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

------

**GMO ETF Trust**

**Statements of Operations**

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **GMO Beyond** <br>**China ETF** | **GMO Beyond** <br>**China ETF** | **GMO Domestic** <br>**Resilience ETF**<br>| **GMO Dynamic** <br>**Allocation ETF**<br>|
|  | **Period Ended** <br>**February 28, 2026\***<br>| **Period Ended** <br>**June 30, 2025\*\***<br>| **Period Ended** <br>**February 28, 2026\*\*\***<br>| **Period Ended** <br>**February 28, 2026\*\*\*\***<br>|
| **Investment income:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers (Net of withholding tax) (Note 2)<sup>(a)</sup> <br>| &nbsp;&nbsp; $137774 | &nbsp;&nbsp; $135038 | &nbsp;&nbsp; $146706 | &nbsp;&nbsp; $165457 |
| &nbsp;&nbsp;&nbsp; Dividends from affiliated issuers (Note 8)  | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 35275 |
| &nbsp;&nbsp;&nbsp; Interest | &nbsp;&nbsp; 10 | &nbsp;&nbsp; 1841 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Other income | &nbsp;&nbsp; — | &nbsp;&nbsp; 79 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| **Total investment income**  | &nbsp;&nbsp; 137784 | &nbsp;&nbsp; 136958 | &nbsp;&nbsp; 146706 | &nbsp;&nbsp; 200732 |
| **Expenses:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Advisory fee (Note 3)  | &nbsp;&nbsp; 52963 | &nbsp;&nbsp; 19562 | &nbsp;&nbsp; 57001 | &nbsp;&nbsp; 31968 |
| Total expenses | &nbsp;&nbsp; 52963 | &nbsp;&nbsp; 19562 | &nbsp;&nbsp; 57001 | &nbsp;&nbsp; 31968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indirectly incurred management fees waived or borne by GMO<br> (Note 3)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; (17603)<br>|
| **Net expenses** | &nbsp;&nbsp; 52963 | &nbsp;&nbsp; 19562 | &nbsp;&nbsp; 57001 | &nbsp;&nbsp; 14365 |
| Net investment income (loss) | &nbsp;&nbsp; 84821 | &nbsp;&nbsp; 117396 | &nbsp;&nbsp; 89705 | &nbsp;&nbsp; 186367 |
| **Realized and unrealized gain (loss):** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains <br> tax) (Note 2)<sup>(b)</sup> <br>| &nbsp;&nbsp; 299695 | &nbsp;&nbsp; 22784 | &nbsp;&nbsp; (112)<br>| &nbsp;&nbsp; (13389)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; In-kind redemptions | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 240059 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | &nbsp;&nbsp; — | &nbsp;&nbsp; 77228 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions  | &nbsp;&nbsp; (5407)<br>| &nbsp;&nbsp; (23860)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | &nbsp;&nbsp; 294288 | &nbsp;&nbsp; 76152 | &nbsp;&nbsp; 239947 | &nbsp;&nbsp; (13389)<br>|
| &nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) on: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign capital gains <br> tax) (Note 2)<sup>(c)</sup> <br>| &nbsp;&nbsp; 3588058 | &nbsp;&nbsp; 525635 | &nbsp;&nbsp; 5174441 | &nbsp;&nbsp; 938470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in affiliated issuers | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 876829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign currency related transactions  | &nbsp;&nbsp; (498)<br>| &nbsp;&nbsp; 893 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | &nbsp;&nbsp; 3587560 | &nbsp;&nbsp; 526528 | &nbsp;&nbsp; 5174441 | &nbsp;&nbsp; 1815299 |
| Net realized and unrealized gain (loss) | &nbsp;&nbsp; 3881848 | &nbsp;&nbsp; 602680 | &nbsp;&nbsp; 5414388 | &nbsp;&nbsp; 1801910 |
| **Net increase (decrease) in net assets resulting from operations** | &nbsp;&nbsp; $**3966669** | &nbsp;&nbsp; $**720076** | &nbsp;&nbsp; $**5504093** | &nbsp;&nbsp; $**1988277** |
| (a)Withholding tax: | &nbsp;&nbsp; $23675 | &nbsp;&nbsp; $19334 | &nbsp;&nbsp; $568 | &nbsp;&nbsp; $— |
| (b)Foreign capital gains tax (benefit) on net realized gain (loss): | &nbsp;&nbsp; $213 | &nbsp;&nbsp; $817 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (c)Foreign capital gains tax (benefit) on change in net unrealized <br> appreciation (depreciation):<br>| &nbsp;&nbsp; $68311 | &nbsp;&nbsp; $29545 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |

---

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

---

| | |
|:---|:---|
| \* | For the period July 1, 2025 through February 28, 2026. |
| \*\* | For the period February 13, 2025 (commencement of operations) through June 30, 2025. |
| \*\*\* | For the period September 30, 2025 (commencement of operations) through February 28, 2026. |
| \*\*\*\* | For the period October 13, 2025 (commencement of operations) through February 28, 2026. |

---

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

------

**GMO ETF Trust**

**Statements of Operations — (Continued)**

------

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | **GMO International** <br>**Quality ETF**  | **GMO International** <br>**Quality ETF**  | **GMO International** <br>**Value ETF**  | **GMO International** <br>**Value ETF**  | **GMO Systematic** <br>**Investment Grade** <br>**Credit ETF** | **GMO Systematic** <br>**Investment Grade** <br>**Credit ETF** |
|  | **Period Ended** <br>**February 28, 2026\***<br>| **Period Ended** <br>**June 30, 2025\*\***<br>| **Period Ended** <br>**February 28, 2026\***<br>| **Period Ended** <br>**June 30, 2025\*\***<br>| **Period Ended** <br>**February 28, 2026\***<br>| **Period Ended** <br>**June 30, 2025\*\*\***<br>|
| **Investment income:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers <br> (Net of withholding <br> tax) (Note 2)<sup>(a)</sup> <br>| &nbsp;&nbsp; $941266 | &nbsp;&nbsp; $402117 | &nbsp;&nbsp; $3338631 | &nbsp;&nbsp; $3414853 | &nbsp;&nbsp; $2873 | &nbsp;&nbsp; $223 |
| &nbsp;&nbsp;&nbsp; Interest | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 10 | &nbsp;&nbsp; 491821 | &nbsp;&nbsp; 23942 |
| &nbsp;&nbsp;&nbsp; Other income | &nbsp;&nbsp; 498 | &nbsp;&nbsp; 25 | &nbsp;&nbsp; 624 | &nbsp;&nbsp; 462 | &nbsp;&nbsp; 878 | &nbsp;&nbsp; 625 |
| **Total investment income**  | &nbsp;&nbsp; 941764 | &nbsp;&nbsp; 402142 | &nbsp;&nbsp; 3339255 | &nbsp;&nbsp; 3415325 | &nbsp;&nbsp; 495572 | &nbsp;&nbsp; 24790 |
| **Expenses:** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Advisory fee (Note 3)  | &nbsp;&nbsp; 552945 | &nbsp;&nbsp; 89970 | &nbsp;&nbsp; 892341 | &nbsp;&nbsp; 327330 | &nbsp;&nbsp; 24480 | &nbsp;&nbsp; 1114 |
| &nbsp;&nbsp;&nbsp; Miscellaneous | &nbsp;&nbsp; 43 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 20 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| Total expenses | &nbsp;&nbsp; 552988 | &nbsp;&nbsp; 89970 | &nbsp;&nbsp; 892341 | &nbsp;&nbsp; 327350 | &nbsp;&nbsp; 24480 | &nbsp;&nbsp; 1114 |
| Net investment income (loss) | &nbsp;&nbsp; 388776 | &nbsp;&nbsp; 312172 | &nbsp;&nbsp; 2446914 | &nbsp;&nbsp; 3087975 | &nbsp;&nbsp; 471092 | &nbsp;&nbsp; 23676 |
| **Realized and unrealized gain** <br> **(loss):**<br>|  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated <br> issuers (net of foreign capital <br> gains tax) (Note 2)<br>| &nbsp;&nbsp; (29469)<br>| &nbsp;&nbsp; (149034)<br>| &nbsp;&nbsp; (244140)<br>| &nbsp;&nbsp; (667095)<br>| &nbsp;&nbsp; 50570 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; In-kind redemptions | &nbsp;&nbsp; 1952428 | &nbsp;&nbsp; — | &nbsp;&nbsp; 16962130 | &nbsp;&nbsp; 3567113 | &nbsp;&nbsp; 73548 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign <br> currency related transactions <br>| &nbsp;&nbsp; (2568)<br>| &nbsp;&nbsp; (8851)<br>| &nbsp;&nbsp; 23395 | &nbsp;&nbsp; 7745 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | &nbsp;&nbsp; 1920391 | &nbsp;&nbsp; (157885)<br>| &nbsp;&nbsp; 16741385 | &nbsp;&nbsp; 2907763 | &nbsp;&nbsp; 124118 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized <br> appreciation (depreciation) on:<br>|  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated <br> issuers (net of foreign capital <br> gains tax) (Note 2)<br>| &nbsp;&nbsp; 18736578 | &nbsp;&nbsp; 2492198 | &nbsp;&nbsp; 56943674 | &nbsp;&nbsp; 12902863 | &nbsp;&nbsp; 23348 | &nbsp;&nbsp; 107278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency and foreign <br> currency related transactions <br>| &nbsp;&nbsp; (135)<br>| &nbsp;&nbsp; 261 | &nbsp;&nbsp; (1427)<br>| &nbsp;&nbsp; 2819 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized <br> appreciation (depreciation)<br>| &nbsp;&nbsp; 18736443 | &nbsp;&nbsp; 2492459 | &nbsp;&nbsp; 56942247 | &nbsp;&nbsp; 12905682 | &nbsp;&nbsp; 23348 | &nbsp;&nbsp; 107278 |
| &nbsp;&nbsp;&nbsp; Net realized and unrealized gain <br> (loss)<br>| &nbsp;&nbsp; 20656834 | &nbsp;&nbsp; 2334574 | &nbsp;&nbsp; 73683632 | &nbsp;&nbsp; 15813445 | &nbsp;&nbsp; 147466 | &nbsp;&nbsp; 107278 |
| **Net increase (decrease) in net assets** <br> **resulting from operations**<br>| &nbsp;&nbsp; $**21045610** | &nbsp;&nbsp; $**2646746** | &nbsp;&nbsp; $**76130546** | &nbsp;&nbsp; $**18901420** | &nbsp;&nbsp; $**618558** | &nbsp;&nbsp; $**130954** |
| (a)Withholding tax: | &nbsp;&nbsp; $80420 | &nbsp;&nbsp; $96711 | &nbsp;&nbsp; $397220 | &nbsp;&nbsp; $580175 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— |

---

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

\* For the period July 1, 2025 through February 28, 2026. <br> \*\* For the period October 29, 2024 (commencement of operations) through June 30, 2025. <br> \*\*\* For the period June 4, 2025 (commencement of operations) through June 30, 2025.

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

------

**GMO ETF Trust**

**Statements of Operations — (Continued)**

------

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **GMO Ultra-Short** <br>**Income ETF**<br>| **GMO U.S.** <br>**Quality ETF** | **GMO U.S.** <br>**Quality ETF** | **GMO U.S.** <br>**Value ETF** | **GMO U.S.** <br>**Value ETF** |
|  | **Period Ended** <br>**February 28, 2026\***<br>| **Period Ended** <br>**February 28, 2026\*\***<br>| **Year Ended** <br>**June 30, 2025\*\*\***<br>| **Period Ended** <br>**February 28, 2026\***<br>| **Period Ended** <br>**June 30, 2025\*\*\*\***<br>|
| **Investment income:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dividends from unaffiliated issuers (Net of <br> withholding tax) (Note 2)<sup>(a)</sup> <br>| &nbsp;&nbsp; $836 | &nbsp;&nbsp; $23454488 | &nbsp;&nbsp; $20335864 | &nbsp;&nbsp; $1140331 | &nbsp;&nbsp; $750373 |
| &nbsp;&nbsp;&nbsp; Interest | &nbsp;&nbsp; 123284 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Other income | &nbsp;&nbsp; 5943 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| **Total investment income**  | &nbsp;&nbsp; 130063 | &nbsp;&nbsp; 23454488 | &nbsp;&nbsp; 20335864 | &nbsp;&nbsp; 1140331 | &nbsp;&nbsp; 750373 |
| **Expenses:** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Advisory fee (Note 3)  | &nbsp;&nbsp; 5369 | &nbsp;&nbsp; 9123118 | &nbsp;&nbsp; 7086797 | &nbsp;&nbsp; 200712 | &nbsp;&nbsp; 125735 |
| Total expenses | &nbsp;&nbsp; 5369 | &nbsp;&nbsp; 9123118 | &nbsp;&nbsp; 7086797 | &nbsp;&nbsp; 200712 | &nbsp;&nbsp; 125735 |
| Net investment income (loss) | &nbsp;&nbsp; 124694 | &nbsp;&nbsp; 14331370 | &nbsp;&nbsp; 13249067 | &nbsp;&nbsp; 939619 | &nbsp;&nbsp; 624638 |
| **Realized and unrealized gain (loss):** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) on: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign <br> capital gains tax) (Note 2)<br>| &nbsp;&nbsp; (2248)<br>| &nbsp;&nbsp; (2966701)<br>| &nbsp;&nbsp; (13580408)<br>| &nbsp;&nbsp; (603653)<br>| &nbsp;&nbsp; (1115833)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; In-kind redemptions | &nbsp;&nbsp; — | &nbsp;&nbsp; 186556777 | &nbsp;&nbsp; 54869614 | &nbsp;&nbsp; 4052562 | &nbsp;&nbsp; 349070 |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | &nbsp;&nbsp; (2248)<br>| &nbsp;&nbsp; 183590076 | &nbsp;&nbsp; 41289206 | &nbsp;&nbsp; 3448909 | &nbsp;&nbsp; (766763)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Change in net unrealized appreciation <br> (depreciation) on:<br>|  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in unaffiliated issuers (net of foreign <br> capital gains tax) (Note 2)<br>| &nbsp;&nbsp; 1508 | &nbsp;&nbsp; 136909614 | &nbsp;&nbsp; 114330870 | &nbsp;&nbsp; 5694227 | &nbsp;&nbsp; 310409 |
| Net realized and unrealized gain (loss) | &nbsp;&nbsp; (740)<br>| &nbsp;&nbsp; 320499690 | &nbsp;&nbsp; 155620076 | &nbsp;&nbsp; 9143136 | &nbsp;&nbsp; (456354)<br>|
| **Net increase (decrease) in net assets resulting from** <br> **operations**<br>| &nbsp;&nbsp; $**123954** | &nbsp;&nbsp; $**334831060** | &nbsp;&nbsp; $**168869143** | &nbsp;&nbsp; $**10082755** | &nbsp;&nbsp; $**168284** |
| (a)Withholding tax: | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $228 | &nbsp;&nbsp; $— |

---

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

---

| | |
|:---|:---|
| \* | For the period October 27, 2025 (commencement of operations) through February 28, 2026. |
| \*\* | For the period July 1, 2025 through February 28, 2026. |
| \*\*\* | For the year July 1, 2024 through June 30, 2025. |
| \*\*\*\* | For the period October 29, 2024 (commencement of operations) through June 30, 2025. |

---

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

------

**GMO ETF Trust**

**Statements of Changes in Net Assets** 

------

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

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Beyond China ETF** | **GMO Beyond China ETF** | **GMO Domestic Resilience ETF** |
|  | **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**February 13, 2025** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2025**<br>| **Period from** <br>**September 30, 2025** <br>**(commencement** <br>**of operations)** <br>**through** <br>**February 28, 2026**<br>|
| **Increase (decrease) in net assets:** |  |  |  |
| Operations: |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss) | &nbsp;&nbsp; $84821 | &nbsp;&nbsp; $117396 | &nbsp;&nbsp; $89705 |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | &nbsp;&nbsp; 294288 | &nbsp;&nbsp; 76152 | &nbsp;&nbsp; 239947 |
| &nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | &nbsp;&nbsp; 3587560 | &nbsp;&nbsp; 526528 | &nbsp;&nbsp; 5174441 |
| Net increase (decrease) in net assets from operations | &nbsp;&nbsp; 3966669 | &nbsp;&nbsp; 720076 | &nbsp;&nbsp; 5504093 |
| Distributions to shareholders | &nbsp;&nbsp; (448040)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (65090)<br>|
| Capital share transactions: |  |  |  |
| &nbsp;&nbsp;&nbsp; Subscriptions | &nbsp;&nbsp; 2673260 | &nbsp;&nbsp; 10183052 | &nbsp;&nbsp; 35153181 |
| &nbsp;&nbsp;&nbsp; Redemptions | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; (1286460)<br>|
| Increase (decrease) in net assets from capital transactions | &nbsp;&nbsp; 2673260 | &nbsp;&nbsp; 10183052 | &nbsp;&nbsp; 33866721 |
| Total increase (decrease) in net assets | &nbsp;&nbsp; 6191889 | &nbsp;&nbsp; 10903128 | &nbsp;&nbsp; 39305724 |
| **Net assets:** |  |  |  |
| Beginning of period  | &nbsp;&nbsp; 10903128 | &nbsp;&nbsp; — | &nbsp;&nbsp; — |
| End of period | &nbsp;&nbsp; $17095017 | &nbsp;&nbsp; $10903128 | &nbsp;&nbsp; $39305724 |

---

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

------

**GMO ETF Trust**

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

------

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

---

| | | | |
|:---|:---|:---|:---|
|  | **GMO Dynamic Allocation ETF** | **GMO International Quality ETF** | **GMO International Quality ETF** |
|  | **Period from** <br>**October 13, 2025** <br>**(commencement** <br>**of operations)** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**October 29, 2024** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2025**<br>|
| **Increase (decrease) in net assets:** |  |  |  |
| Operations: |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss) | &nbsp;&nbsp; $186367 | &nbsp;&nbsp; $388776 | &nbsp;&nbsp; $312172 |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | &nbsp;&nbsp; (13389)<br>| &nbsp;&nbsp; 1920391 | &nbsp;&nbsp; (157885)<br>|
| &nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | &nbsp;&nbsp; 1815299 | &nbsp;&nbsp; 18736443 | &nbsp;&nbsp; 2492459 |
| Net increase (decrease) in net assets from operations | &nbsp;&nbsp; 1988277 | &nbsp;&nbsp; 21045610 | &nbsp;&nbsp; 2646746 |
| Distributions to shareholders | &nbsp;&nbsp; (172008)<br>| &nbsp;&nbsp; (629950)<br>| &nbsp;&nbsp; (8600)<br>|
| Capital share transactions: |  |  |  |
| &nbsp;&nbsp;&nbsp; Subscriptions | &nbsp;&nbsp; 33380320 | &nbsp;&nbsp; 215884485 | &nbsp;&nbsp; 53808320 |
| &nbsp;&nbsp;&nbsp; Redemptions | &nbsp;&nbsp; — | &nbsp;&nbsp; (5278850)<br>| &nbsp;&nbsp; — |
| Increase (decrease) in net assets from capital transactions | &nbsp;&nbsp; 33380320 | &nbsp;&nbsp; 210605635 | &nbsp;&nbsp; 53808320 |
| Total increase (decrease) in net assets | &nbsp;&nbsp; 35196589 | &nbsp;&nbsp; 231021295 | &nbsp;&nbsp; 56446466 |
| **Net assets:** |  |  |  |
| Beginning of period  | &nbsp;&nbsp; — | &nbsp;&nbsp; 56446466 | &nbsp;&nbsp; — |
| End of period | &nbsp;&nbsp; $35196589 | &nbsp;&nbsp; $287467761 | &nbsp;&nbsp; $56446466 |

---

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

------

**GMO ETF Trust**

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

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **GMO International Value ETF** | **GMO International Value ETF** | **GMO Systematic Investment Grade Credit ETF**  | **GMO Systematic Investment Grade Credit ETF**  |
|  | **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**October 29, 2024** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2025**<br>| **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**June 4, 2025** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2025**<br>|
| **Increase (decrease) in net assets:** |  |  |  |  |
| Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss) | &nbsp;&nbsp; $2446914 | &nbsp;&nbsp; $3087975 | &nbsp;&nbsp; $471092 | &nbsp;&nbsp; $23676 |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | &nbsp;&nbsp; 16741385 | &nbsp;&nbsp; 2907763 | &nbsp;&nbsp; 124118 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | &nbsp;&nbsp; 56942247 | &nbsp;&nbsp; 12905682 | &nbsp;&nbsp; 23348 | &nbsp;&nbsp; 107278 |
| Net increase (decrease) in net assets from operations | &nbsp;&nbsp; 76130546 | &nbsp;&nbsp; 18901420 | &nbsp;&nbsp; 618558 | &nbsp;&nbsp; 130954 |
| Distributions to shareholders | &nbsp;&nbsp; (5768340)<br>| &nbsp;&nbsp; (216070)<br>| &nbsp;&nbsp; (442160)<br>| &nbsp;&nbsp; — |
| Capital share transactions: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Subscriptions | &nbsp;&nbsp; 281564840 | &nbsp;&nbsp; 161307200 | &nbsp;&nbsp; 21985375 | &nbsp;&nbsp; 6249850 |
| &nbsp;&nbsp;&nbsp; Redemptions | &nbsp;&nbsp; (66215610)<br>| &nbsp;&nbsp; (16938680)<br>| &nbsp;&nbsp; (3869325)<br>| &nbsp;&nbsp; — |
| Increase (decrease) in net assets from capital transactions | &nbsp;&nbsp; 215349230 | &nbsp;&nbsp; 144368520 | &nbsp;&nbsp; 18116050 | &nbsp;&nbsp; 6249850 |
| Total increase (decrease) in net assets | &nbsp;&nbsp; 285711436 | &nbsp;&nbsp; 163053870 | &nbsp;&nbsp; 18292448 | &nbsp;&nbsp; 6380804 |
| **Net assets:** |  |  |  |  |
| Beginning of period  | &nbsp;&nbsp; 163053870 | &nbsp;&nbsp; — | &nbsp;&nbsp; 6380804 | &nbsp;&nbsp; — |
| End of period | &nbsp;&nbsp; $448765306 | &nbsp;&nbsp; $163053870 | &nbsp;&nbsp; $24673252 | &nbsp;&nbsp; $6380804 |

---

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

------

**GMO ETF Trust**

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

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **GMO Ultra-Short Income ETF** | **GMO U.S. Quality ETF** | **GMO U.S. Quality ETF** | **GMO U.S. Quality ETF** |
|  | **Period from** <br>**October 27, 2025** <br>**(commencement** <br>**of operations)** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Year Ended** <br>**June 30, 2025**<br>| **Period from** <br>**November 14, 2023** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2024**<br>|
| **Increase (decrease) in net assets:** |  |  |  |  |
| Operations: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss) | &nbsp;&nbsp; $124694 | &nbsp;&nbsp; $14331370 | &nbsp;&nbsp; $13249067 | &nbsp;&nbsp; $2253575 |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | &nbsp;&nbsp; (2248)<br>| &nbsp;&nbsp; 183590076 | &nbsp;&nbsp; 41289206 | &nbsp;&nbsp; 2717467 |
| &nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | &nbsp;&nbsp; 1508 | &nbsp;&nbsp; 136909614 | &nbsp;&nbsp; 114330870 | &nbsp;&nbsp; 59389425 |
| Net increase (decrease) in net assets from operations | &nbsp;&nbsp; 123954 | &nbsp;&nbsp; 334831060 | &nbsp;&nbsp; 168869143 | &nbsp;&nbsp; 64360467 |
| Distributions to shareholders | &nbsp;&nbsp; (78280)<br>| &nbsp;&nbsp; (16215144)<br>| &nbsp;&nbsp; (8909490)<br>| &nbsp;&nbsp; (2130949)<br>|
| Capital share transactions: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Subscriptions | &nbsp;&nbsp; 13136066 | &nbsp;&nbsp; 1557147863 | &nbsp;&nbsp; 1280273679 | &nbsp;&nbsp; 779492154 |
| &nbsp;&nbsp;&nbsp; Redemptions | &nbsp;&nbsp; — | &nbsp;&nbsp; (422363759)<br>| &nbsp;&nbsp; (260762382)<br>| &nbsp;&nbsp; (10918317)<br>|
| Increase (decrease) in net assets from capital transactions | &nbsp;&nbsp; 13136066 | &nbsp;&nbsp; 1134784104 | &nbsp;&nbsp; 1019511297 | &nbsp;&nbsp; 768573837 |
| Total increase (decrease) in net assets | &nbsp;&nbsp; 13181740 | &nbsp;&nbsp; 1453400020 | &nbsp;&nbsp; 1179470950 | &nbsp;&nbsp; 830803355 |
| **Net assets:** |  |  |  |  |
| Beginning of period  | &nbsp;&nbsp; — | &nbsp;&nbsp; 2010274305 | &nbsp;&nbsp; 830803355 | &nbsp;&nbsp; — |
| End of period | &nbsp;&nbsp; $13181740 | &nbsp;&nbsp; $3463674325 | &nbsp;&nbsp; $2010274305 | &nbsp;&nbsp; $830803355 |

---

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

------

**GMO ETF Trust**

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

------

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

---

| | | |
|:---|:---|:---|
|  | **GMO U.S. Value ETF** | **GMO U.S. Value ETF** |
|  | **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**October 29, 2024** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2025**<br>|
| **Increase (decrease) in net assets:** |  |  |
| Operations: |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss) | &nbsp;&nbsp; $939619 | &nbsp;&nbsp; $624638 |
| &nbsp;&nbsp;&nbsp; Net realized gain (loss) | &nbsp;&nbsp; 3448909 | &nbsp;&nbsp; (766763)<br>|
| &nbsp;&nbsp;&nbsp; Change in net unrealized appreciation (depreciation) | &nbsp;&nbsp; 5694227 | &nbsp;&nbsp; 310409 |
| Net increase (decrease) in net assets from operations | &nbsp;&nbsp; 10082755 | &nbsp;&nbsp; 168284 |
| Distributions to shareholders | &nbsp;&nbsp; (960252)<br>| &nbsp;&nbsp; (299112)<br>|
| Capital share transactions: |  |  |
| &nbsp;&nbsp;&nbsp; Subscriptions | &nbsp;&nbsp; 44003868 | &nbsp;&nbsp; 61325856 |
| &nbsp;&nbsp;&nbsp; Redemptions | &nbsp;&nbsp; (24938956)<br>| &nbsp;&nbsp; (8647964)<br>|
| Increase (decrease) in net assets from capital transactions | &nbsp;&nbsp; 19064912 | &nbsp;&nbsp; 52677892 |
| Total increase (decrease) in net assets | &nbsp;&nbsp; 28187415 | &nbsp;&nbsp; 52547064 |
| **Net assets:** |  |  |
| Beginning of period  | &nbsp;&nbsp; 52547064 | &nbsp;&nbsp; — |
| End of period | &nbsp;&nbsp; $80734479 | &nbsp;&nbsp; $52547064 |

---

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** 

---

| | | |
|:---|:---|:---|
|  | **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**February 13, 2025** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2025**<br>|
| **Net asset value, beginning of period** | &nbsp;&nbsp;&nbsp;&nbsp; $27.26 | &nbsp;&nbsp;&nbsp;&nbsp; $25.00 |
| **Income (loss) from investment operations:** |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;0.21 | &nbsp;&nbsp;&nbsp;&nbsp;0.37 |
| &nbsp;&nbsp;&nbsp; Net realized & unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;9.26 | &nbsp;&nbsp;&nbsp;&nbsp;1.89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | &nbsp;&nbsp;&nbsp;&nbsp;9.47 | &nbsp;&nbsp;&nbsp;&nbsp;2.26 |
| **Less distributions to shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp; From net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.54)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; From net realized gains | &nbsp;&nbsp;&nbsp;&nbsp; (0.58)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | &nbsp;&nbsp;&nbsp;&nbsp; (1.12)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — |
| **Net asset value, end of period** | &nbsp;&nbsp;&nbsp;&nbsp; $35.61 | &nbsp;&nbsp;&nbsp;&nbsp; $27.26 |
| **Total return on net asset value**<sup>(b)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 35.70<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 9.03 %<sup>(c)</sup><br>|
| **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | &nbsp;&nbsp;&nbsp;&nbsp; $17095 | &nbsp;&nbsp;&nbsp;&nbsp; $10903 |
| &nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(d)</sup> \* | &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.65<br> %<br>|
| &nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets\* | &nbsp;&nbsp;&nbsp;&nbsp; 1.04<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.90<br> %<br>|
| &nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(e)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 30<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 13<br> %<br>|

---

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

(a) Calculated based on average shares outstanding during the period.

(b) 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. 

(c) The NAV return is based on the start of day values on February 13, 2025.

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

(e) 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 the period)**

------

**GMO Domestic Resilience ETF** 

---

| | |
|:---|:---|
|  | **Period from** <br>**September 30, 2025** <br>**(commencement** <br>**of operations)** <br>**through** <br>**February 28, 2026**<br>|
| **Net asset value, beginning of period** | &nbsp;&nbsp;&nbsp;&nbsp; $25.00 |
| **Income (loss) from investment operations:** |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;0.09 |
| &nbsp;&nbsp;&nbsp; Net realized & unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;4.75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | &nbsp;&nbsp;&nbsp;&nbsp;4.84 |
| **Less distributions to shareholders:** |  |
| &nbsp;&nbsp;&nbsp; From net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.06)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | &nbsp;&nbsp;&nbsp;&nbsp; (0.06)<br>|
| **Net asset value, end of period** | &nbsp;&nbsp;&nbsp;&nbsp; $29.78 |
| **Total return on net asset value**<sup>(b)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 19.37<br> %<br>|
| **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | &nbsp;&nbsp;&nbsp;&nbsp; $39306 |
| &nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup> \* | &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> %<br>|
| &nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets\* | &nbsp;&nbsp;&nbsp;&nbsp; 0.79<br> %<br>|
| &nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 0<br> %<br>|

---

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

(a) Calculated based on average shares outstanding during the period.

(b) 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. 

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

(d) 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 the period)**

------

**GMO Dynamic Allocation ETF** 

---

| | |
|:---|:---|
|  | **Period from** <br>**October 13, 2025** <br>**(commencement** <br>**of operations)** <br>**through** <br>**February 28, 2026**<br>|
| **Net asset value, beginning of period** | &nbsp;&nbsp;&nbsp;&nbsp; $24.84 |
| **Income (loss) from investment operations:** |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;0.28 |
| &nbsp;&nbsp;&nbsp; Net realized & unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;2.40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | &nbsp;&nbsp;&nbsp;&nbsp;2.68 |
| **Less distributions to shareholders:** |  |
| &nbsp;&nbsp;&nbsp; From net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.24)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | &nbsp;&nbsp;&nbsp;&nbsp; (0.24)<br>|
| **Net asset value, end of period** | &nbsp;&nbsp;&nbsp;&nbsp; $27.28 |
| **Total return on net asset value**<sup>(b)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 10.85<br> %<br>|
| **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | &nbsp;&nbsp;&nbsp;&nbsp; $35197 |
| &nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup> \* | &nbsp;&nbsp;&nbsp;&nbsp; 0.22<br> %<br>|
| &nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets\* | &nbsp;&nbsp;&nbsp;&nbsp; 2.91<br> %<br>|
| &nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 8<br> %<br>|
| &nbsp;&nbsp;&nbsp; Fees and expenses reimbursed and/or waived by GMO to average daily net assets:<sup>(e)</sup> \* | &nbsp;&nbsp;&nbsp;&nbsp; 0.28<br> %<br>|

---

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

(a) Calculated based on average shares outstanding during the period.

(b) 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. 

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

(d) Portfolio turnover rate excludes in-kind transactions, if any.

(e) 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** 

---

| | | |
|:---|:---|:---|
|  | **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**October 29, 2024** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2025**<br>|
| **Net asset value, beginning of period** | &nbsp;&nbsp;&nbsp;&nbsp; $25.66 | &nbsp;&nbsp;&nbsp;&nbsp; $25.00 |
| **Income (loss) from investment operations:** |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;0.07 | &nbsp;&nbsp;&nbsp;&nbsp;0.34 |
| &nbsp;&nbsp;&nbsp; Net realized & unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;2.46 | &nbsp;&nbsp;&nbsp;&nbsp;0.36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | &nbsp;&nbsp;&nbsp;&nbsp;2.53 | &nbsp;&nbsp;&nbsp;&nbsp;0.70 |
| **Less distributions to shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp; From net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.14)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.04)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | &nbsp;&nbsp;&nbsp;&nbsp; (0.14)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.04)<br>|
| **Net asset value, end of period** | &nbsp;&nbsp;&nbsp;&nbsp; $28.05 | &nbsp;&nbsp;&nbsp;&nbsp; $25.66 |
| **Total return on net asset value**<sup>(b)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 9.89<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.82 %<sup>(c)</sup><br>|
| **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | &nbsp;&nbsp;&nbsp;&nbsp; $287468 | &nbsp;&nbsp;&nbsp;&nbsp; $56446 |
| &nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(d)</sup> \* | &nbsp;&nbsp;&nbsp;&nbsp; 0.60<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.60<br> %<br>|
| &nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets\* | &nbsp;&nbsp;&nbsp;&nbsp; 0.42<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.08<br> %<br>|
| &nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(e)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 5<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 9<br> %<br>|

---

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

(a) Calculated based on average shares outstanding during the period.

(b) 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. 

(c) The NAV return is based on the start of day values on October 29, 2024.

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

(e) 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** 

---

| | | |
|:---|:---|:---|
|  | **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**October 29, 2024** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2025**<br>|
| **Net asset value, beginning of period** | &nbsp;&nbsp;&nbsp;&nbsp; $29.12 | &nbsp;&nbsp;&nbsp;&nbsp; $25.00 |
| **Income (loss) from investment operations:** |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;0.36 | &nbsp;&nbsp;&nbsp;&nbsp;1.00 |
| &nbsp;&nbsp;&nbsp; Net realized & unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;9.47 | &nbsp;&nbsp;&nbsp;&nbsp;3.25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | &nbsp;&nbsp;&nbsp;&nbsp;9.83 | &nbsp;&nbsp;&nbsp;&nbsp;4.25 |
| **Less distributions to shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp; From net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.92)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.13)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | &nbsp;&nbsp;&nbsp;&nbsp; (0.92)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.13)<br>|
| **Net asset value, end of period** | &nbsp;&nbsp;&nbsp;&nbsp; $38.03 | &nbsp;&nbsp;&nbsp;&nbsp; $29.12 |
| **Total return on net asset value**<sup>(b)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 34.40<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 17.09 %<sup>(c)</sup><br>|
| **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | &nbsp;&nbsp;&nbsp;&nbsp; $448765 | &nbsp;&nbsp;&nbsp;&nbsp; $163054 |
| &nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(d)</sup> \* | &nbsp;&nbsp;&nbsp;&nbsp; 0.60<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.60<br> %<br>|
| &nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets\* | &nbsp;&nbsp;&nbsp;&nbsp; 1.65<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5.66<br> %<br>|
| &nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(e)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 4<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 25<br> %<br>|

---

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

(a) Calculated based on average shares outstanding during the period.

(b) 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. 

(c) The NAV return is based on the start of day values on October 29, 2024.

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

(e) 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** 

---

| | | |
|:---|:---|:---|
|  | **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**June 4, 2025** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2025**<br>|
| **Net asset value, beginning of period** | &nbsp;&nbsp;&nbsp;&nbsp; $25.52 | &nbsp;&nbsp;&nbsp;&nbsp; $25.00 |
| **Income (loss) from investment operations:** |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;0.82 | &nbsp;&nbsp;&nbsp;&nbsp;0.10 |
| &nbsp;&nbsp;&nbsp; Net realized & unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;0.43 | &nbsp;&nbsp;&nbsp;&nbsp;0.42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | &nbsp;&nbsp;&nbsp;&nbsp;1.25 | &nbsp;&nbsp;&nbsp;&nbsp;0.52 |
| **Less distributions to shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp; From net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.73)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; From net realized gains | &nbsp;&nbsp;&nbsp;&nbsp; (0.07)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | &nbsp;&nbsp;&nbsp;&nbsp; (0.80)<br>| &nbsp;&nbsp;&nbsp;&nbsp; — |
| **Net asset value, end of period** | &nbsp;&nbsp;&nbsp;&nbsp; $25.97 | &nbsp;&nbsp;&nbsp;&nbsp; $25.52 |
| **Total return on net asset value**<sup>(b)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 4.97<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.09 %<sup>(c)</sup><br>|
| **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | &nbsp;&nbsp;&nbsp;&nbsp; $24673 | &nbsp;&nbsp;&nbsp;&nbsp; $6381 |
| &nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(d)</sup> \* | &nbsp;&nbsp;&nbsp;&nbsp; 0.25<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.25<br> %<br>|
| &nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets\* | &nbsp;&nbsp;&nbsp;&nbsp; 4.81<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5.31<br> %<br>|
| &nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(e)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 65<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; —<br> %<br>|

---

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

(a) Calculated based on average shares outstanding during the period.

(b) 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. 

(c) The NAV return is based on the start of day values on June 4, 2025.

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

(e) 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 the period)**

------

**GMO Ultra-Short Income ETF** 

---

| | |
|:---|:---|
|  | **Period from** <br>**October 27, 2025** <br>**(commencement** <br>**of operations)** <br>**through** <br>**February 28, 2026**<br>|
| **Net asset value, beginning of period** | &nbsp;&nbsp;&nbsp;&nbsp; $50.00 |
| **Income (loss) from investment operations:** |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;0.78 |
| &nbsp;&nbsp;&nbsp; Net realized & unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp; (0.03)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | &nbsp;&nbsp;&nbsp;&nbsp;0.75 |
| **Less distributions to shareholders:** |  |
| &nbsp;&nbsp;&nbsp; From net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.53)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | &nbsp;&nbsp;&nbsp;&nbsp; (0.53)<br>|
| **Net asset value, end of period** | &nbsp;&nbsp;&nbsp;&nbsp; $50.22 |
| **Total return on net asset value**<sup>(b)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 1.49<br> %<br>|
| **Ratios/Supplemental Data:** |  |
| &nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | &nbsp;&nbsp;&nbsp;&nbsp; $13182 |
| &nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(c)</sup> \* | &nbsp;&nbsp;&nbsp;&nbsp; 0.20<br> %<br>|
| &nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets\* | &nbsp;&nbsp;&nbsp;&nbsp; 4.64<br> %<br>|
| &nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(d)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 43<br> %<br>|

---

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

(a) Calculated based on average shares outstanding during the period.

(b) 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. 

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

(d) 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** 

---

| | | | |
|:---|:---|:---|:---|
|  | **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Year Ended** <br>**June 30, 2025**<br>| **Period from** <br>**November 14, 2023** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2024**<br>|
| **Net asset value, beginning of period** | &nbsp;&nbsp;&nbsp;&nbsp; $34.25 | &nbsp;&nbsp;&nbsp;&nbsp; $31.01 | &nbsp;&nbsp;&nbsp;&nbsp; $25.00 |
| **Income (loss) from investment operations:** |  |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;0.19 | &nbsp;&nbsp;&nbsp;&nbsp;0.30 | &nbsp;&nbsp;&nbsp;&nbsp;0.19 |
| &nbsp;&nbsp;&nbsp; Net realized & unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;4.54 | &nbsp;&nbsp;&nbsp;&nbsp;3.14 | &nbsp;&nbsp;&nbsp;&nbsp;5.96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | &nbsp;&nbsp;&nbsp;&nbsp;4.73 | &nbsp;&nbsp;&nbsp;&nbsp;3.44 | &nbsp;&nbsp;&nbsp;&nbsp;6.15 |
| **Less distributions to shareholders:** |  |  |  |
| &nbsp;&nbsp;&nbsp; From net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.23)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.20)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.14)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | &nbsp;&nbsp;&nbsp;&nbsp; (0.23)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.20)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.14)<br>|
| **Net asset value, end of period** | &nbsp;&nbsp;&nbsp;&nbsp; $38.75 | &nbsp;&nbsp;&nbsp;&nbsp; $34.25 | &nbsp;&nbsp;&nbsp;&nbsp; $31.01 |
| **Total return on net asset value**<sup>(b)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 13.85<br> %\*\*<br>| &nbsp;&nbsp;&nbsp;&nbsp; 11.16<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 24.62<br> %<sup>(c)</sup> \*\*<br>|
| **Ratios/Supplemental Data:** |  |  |  |
| &nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | &nbsp;&nbsp;&nbsp;&nbsp; $3463674 | &nbsp;&nbsp;&nbsp;&nbsp; $2010274 | &nbsp;&nbsp;&nbsp;&nbsp; $830803 |
| &nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(d)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> %\*<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> %\*<br>|
| &nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets | &nbsp;&nbsp;&nbsp;&nbsp; 0.79<br> %\*<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.93<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.01<br> %\*<br>|
| &nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(e)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 4<br> %\*\*<br>| &nbsp;&nbsp;&nbsp;&nbsp; 15<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7<br> %\*\*<br>|

---

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

(a) Calculated based on average shares outstanding during the period.

(b) 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. 

(c) The NAV return is based on the start of day values on November 14, 2023.

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

(e) 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** 

---

| | | |
|:---|:---|:---|
|  | **Period from** <br>**July 1, 2025** <br>**through** <br>**February 28, 2026**<br>| **Period from** <br>**October 29, 2024** <br>**(commencement** <br>**of operations)** <br>**through** <br>**June 30, 2025**<br>|
| **Net asset value, beginning of period** | &nbsp;&nbsp;&nbsp;&nbsp; $25.26 | &nbsp;&nbsp;&nbsp;&nbsp; $25.00 |
| **Income (loss) from investment operations:** |  |  |
| &nbsp;&nbsp;&nbsp; Net investment income (loss)<sup>(a)</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp;0.42 | &nbsp;&nbsp;&nbsp;&nbsp;0.40 |
| &nbsp;&nbsp;&nbsp; Net realized & unrealized gain (loss) | &nbsp;&nbsp;&nbsp;&nbsp;4.01 | &nbsp;&nbsp;&nbsp;&nbsp;0.04 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total from investment operations | &nbsp;&nbsp;&nbsp;&nbsp;4.43 | &nbsp;&nbsp;&nbsp;&nbsp;0.44 |
| **Less distributions to shareholders:** |  |  |
| &nbsp;&nbsp;&nbsp; From net investment income | &nbsp;&nbsp;&nbsp;&nbsp; (0.44)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.18)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total distributions | &nbsp;&nbsp;&nbsp;&nbsp; (0.44)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (0.18)<br>|
| **Net asset value, end of period** | &nbsp;&nbsp;&nbsp;&nbsp; $29.25 | &nbsp;&nbsp;&nbsp;&nbsp; $25.26 |
| **Total return on net asset value**<sup>(b)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 17.72<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1.78 %<sup>(c)</sup><br>|
| **Ratios/Supplemental Data:** |  |  |
| &nbsp;&nbsp;&nbsp; Net assets, end of period (000's) | &nbsp;&nbsp;&nbsp;&nbsp; $80734 | &nbsp;&nbsp;&nbsp;&nbsp; $52547 |
| &nbsp;&nbsp;&nbsp; Net operating expenses to average daily net assets<sup>(d)</sup> \* | &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 0.50<br> %<br>|
| &nbsp;&nbsp;&nbsp; Net investment income (loss) to average daily net assets\* | &nbsp;&nbsp;&nbsp;&nbsp; 2.34<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2.48<br> %<br>|
| &nbsp;&nbsp;&nbsp; Portfolio turnover rate<sup>(e)</sup> \*\* | &nbsp;&nbsp;&nbsp;&nbsp; 22<br> %<br>| &nbsp;&nbsp;&nbsp;&nbsp; 53<br> %<br>|

---

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

(a) Calculated based on average shares outstanding during the period.

(b) 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. 

(c) The NAV return is based on the start of day values on October 29, 2024.

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

(e) 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**

**February 28, 2026** 

------

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

**1.** **Organization**

Each of GMO Beyond China ETF, GMO Domestic Resilience ETF (commenced operations on September 30, 2025), GMO Dynamic Allocation ETF (commenced operations on October 13, 2025), GMO International Quality ETF, GMO International Value ETF, GMO Systematic Investment Grade Credit ETF, GMO Ultra-Short Income ETF (commenced operations on October 27, 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").

Effective January 1, 2026 the fiscal year end of the Funds changed from June 30 to February 28/29. Each Fund which commenced operations prior to July 1, 2025 intends to file an automatic approval request with the Internal Revenue Service to adopt a February 28/29 tax year. Accordingly, the Funds' financial statements and related notes include information for the eight-month period ended February 28, 2026 and the one-year period ended June 30 of prior years, if applicable.

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 <br> ETF<br>| Bloomberg U.S. Corporate Index | Total return in excess of its benchmark |
| GMO Ultra-Short Income ETF | Not Applicable | &nbsp;&nbsp; Current income consistent with preservation <br> of capital<br>|
| GMO U.S. Quality ETF | Not Applicable  | Total return |
| GMO U.S. Value ETF | Not Applicable | Total return |

---

**2.** **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.

------

**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

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

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

The valuation techniques used by the Funds to measure fair value during the period ended February 28, 2026 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 February 28, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **GMO Beyond China ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | &nbsp;&nbsp; $17109450 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $17109450 |
| Short-Term Investments | &nbsp;&nbsp; 65875 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 65875 |
| Total Investments | &nbsp;&nbsp; 17175325 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 17175325 |
| Total | &nbsp;&nbsp; $17175325 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $17175325 |
| **GMO Domestic Resilience ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | &nbsp;&nbsp; $38691119 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $38691119 |
| Short-Term Investments | &nbsp;&nbsp; 582323 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 582323 |
| Total Investments | &nbsp;&nbsp; 39273442 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 39273442 |
| Total | &nbsp;&nbsp; $39273442 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $39273442 |
| **GMO Dynamic Allocation ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Investment Funds | &nbsp;&nbsp; $35067588 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $35067588 |
| Short-Term Investments | &nbsp;&nbsp; 132959 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 132959 |
| Total Investments | &nbsp;&nbsp; 35200547 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 35200547 |
| Total | &nbsp;&nbsp; $35200547 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $35200547 |
| **GMO International Quality ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | &nbsp;&nbsp; $286285260 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $286285260 |

---

------

**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **GMO International Quality ETF (continued)** |  |  |  |  |
| **Asset Valuation Inputs (continued)** |  |  |  |  |
| Short-Term Investments | &nbsp;&nbsp; 1053795 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 1053795 |
| Total Investments | &nbsp;&nbsp; 287339055 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 287339055 |
| Total | &nbsp;&nbsp; $287339055 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $287339055 |
| **GMO International Value ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | &nbsp;&nbsp; $439216334 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $439216334 |
| Preferred Stocks | &nbsp;&nbsp; 6512325 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 6512325 |
| Short-Term Investments | &nbsp;&nbsp; 2635456 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 2635456 |
| Total Investments | &nbsp;&nbsp; 448364115 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 448364115 |
| Total | &nbsp;&nbsp; $448364115 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $448364115 |
| **GMO Systematic Investment Grade Credit ETF**  |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Corporate Debt | &nbsp;&nbsp; $— | &nbsp;&nbsp; $24120277 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $24120277 |
| TOTAL DEBT OBLIGATIONS | &nbsp;&nbsp; — | &nbsp;&nbsp; 24120277 | &nbsp;&nbsp; — | &nbsp;&nbsp; 24120277 |
| Short-Term Investments | &nbsp;&nbsp; 234991 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 234991 |
| Total Investments | &nbsp;&nbsp; 234991 | &nbsp;&nbsp; 24120277 | &nbsp;&nbsp; — | &nbsp;&nbsp; 24355268 |
| Total | &nbsp;&nbsp; $234991 | &nbsp;&nbsp; $24120277 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $24355268 |
| **GMO Ultra-Short Income ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; $— | &nbsp;&nbsp; $9424208 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $9424208 |
| &nbsp;&nbsp;&nbsp; U.S. Government | &nbsp;&nbsp; 3489382 | &nbsp;&nbsp; 52879 | &nbsp;&nbsp; — | &nbsp;&nbsp; 3542261 |
| TOTAL DEBT OBLIGATIONS | &nbsp;&nbsp; 3489382 | &nbsp;&nbsp; 9477087 | &nbsp;&nbsp; — | &nbsp;&nbsp; 12966469 |
| Short-Term Investments | &nbsp;&nbsp; 460693 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 460693 |
| Total Investments | &nbsp;&nbsp; 3950075 | &nbsp;&nbsp; 9477087 | &nbsp;&nbsp; — | &nbsp;&nbsp; 13427162 |
| Total | &nbsp;&nbsp; $3950075 | &nbsp;&nbsp; $9477087 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $13427162 |
| **GMO U.S. Quality ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | &nbsp;&nbsp; $3455393860 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $3455393860 |
| Short-Term Investments | &nbsp;&nbsp; 25611015 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 25611015 |
| Total Investments | &nbsp;&nbsp; 3481004875 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 3481004875 |
| Total | &nbsp;&nbsp; $3481004875 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $3481004875 |
| **GMO U.S. Value ETF** |  |  |  |  |
| **Asset Valuation Inputs** |  |  |  |  |
| Common Stocks | &nbsp;&nbsp; $80272719 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $80272719 |

---

------

**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **GMO U.S. Value ETF (continued)** |  |  |  |  |
| **Asset Valuation Inputs (continued)** |  |  |  |  |
| Short-Term Investments | &nbsp;&nbsp; 315100 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 315100 |
| Total Investments | &nbsp;&nbsp; 80587819 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 80587819 |
| Total | &nbsp;&nbsp; $80587819 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $80587819 |

---

During the period from July 1, 2025 through February 28, 2026, there were no transfers into or out of Level 3 for the Funds.

**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.

------

**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These adjustments have no impact on net assets or net asset value per share. Temporary differences that arise from recognizing certain items of income, expense, gain or loss in different periods for financial statement and tax purposes will likely reverse at some time in the future.

Differences in distributable earnings on a U.S. GAAP and tax accounting basis primarily relate to the following:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Differences related to:** | **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** |
| Capital loss carryforwards |  |  |  | X | X |  |  | X | X |
| Dividend income and withholding tax reclaim reserves |  |  |  |  | X |  |  |  |  |
| Interest, accretion and amortization |  |  |  |  |  | X |  |  |  |
| Losses on wash sale transactions | X |  |  |  | X |  |  |  | X |
| Passive foreign investment company transactions | X |  |  |  | X |  |  |  |  |
| Redemption in-kind transactions |  | X |  | X | X | X |  | X | X |

---

**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 a Fund's investments in certain jurisdictions may be higher if a significant portion of the Fund is held by non-U.S. shareholders.

As a result of court cases involving several countries across the European Union, certain Funds have filed tax reclaims in addition to treaty-based claims, in respect of previously withheld taxes on dividends earned ("EU tax reclaims"). These filings are subject to various administrative proceedings by each local jurisdiction's tax authority, as well as judicial proceedings. EU tax reclaim and associated interest entitlements that have been recognized, if any, are reflected as Other income in the Statements of Operations. As a result of its entitlements to EU tax reclaims and related interest amounts, a Fund may incur contingent legal fees. Such fees are presented within Legal fees in the Statements of Operations. Related receivables, if any, are reflected as EU tax reclaims receivable in the Statements of Assets and Liabilities. Generally, unless GMO believes that recovery amounts are collectible and free from significant contingencies, recoveries will not be reflected in a Fund's net asset value. In some cases, the amount of EU tax reclaims could be material to a Fund's net asset value. If a shareholder redeems shares of a Fund before an EU tax reclaim (as finally determined) is reflected in the Fund's net asset value, the shareholder will not realize the benefit of that reclaim. EU tax reclaims and related interest entitlements recognized by a Fund, if any, reduce the amount of foreign taxes, if any, that a Fund may elect to pass-through to its shareholders from a U.S. federal tax perspective. In certain circumstances and to the extent that EU tax reclaims

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**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

recognized by a Fund were previously passed-through as foreign tax credits to its U.S. taxable shareholders, a Fund may enter into a closing agreement with the U.S. Internal Revenue Service. Doing so will enable a Fund to qualify and remit its tax liability, interest charges and related fees related to any recoveries (on behalf of its shareholders).

Each Fund may be subject to taxation on realized capital gains, repatriation proceeds and other transaction-based charges imposed by certain countries in which it invests. Transaction-based charges are generally calculated as a percentage of the transaction amount. Taxes related to capital gains realized during the period ended February 28, 2026, if any, are reflected as part of Net realized gain (loss) in the Statements of Operations. Changes in tax liabilities related to capital gain taxes on unrealized investment gains, if any, are reflected as part of Change in net unrealized appreciation (depreciation) in the Statements of Operations.

Foreign taxes paid by each Fund may be treated, to the extent permissible by the Code (and other applicable U.S. federal tax guidance) and if that Fund so elects, as if paid by U.S. shareholders of that Fund.

The tax character of distributions declared by each Fund to shareholders is as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Name** | **Tax period ended February 28, 2026** | **Tax period ended February 28, 2026** | **Tax period ended February 28, 2026** | **Tax period ended February 28, 2026** | **Tax period/year ended June 30, 2025** | **Tax period/year ended June 30, 2025** | **Tax period/year ended June 30, 2025** | **Tax period/year ended June 30, 2025** |
| **Fund Name** | **Federal** <br>**Exempt** <br>**Interest** <br>**Income ($)**<br>| **Ordinary** <br>**Income** <br>**(including** <br>**any net** <br>**short-term** <br>**capital gain) ($)**<br>| **Net Long-Term** <br>**Capital** <br>**Gain ($)**<br>| **Total** <br>**Distributions ($)**<br>| **Federal** <br>**Exempt** <br>**Interest** <br>**Income ($)**<br>| **Ordinary** <br>**Income** <br>**(including** <br>**any net** <br>**short-term** <br>**capital gain) ($)**<br>| **Net Long-Term** <br>**Capital** <br>**Gain ($)**<br>| **Total** <br>**Distributions ($)**<br>|
| GMO Beyond China ETF |  | 448040 |  | 448040 |  |  |  |  |
| GMO Domestic Resilience ETF |  | 65090 |  | 65090 |  |  |  |  |
| GMO Dynamic Allocation ETF | 7794 | 164214 |  | 172008 |  |  |  |  |
| GMO International Quality ETF  |  | 629950 |  | 629950 |  | 8600 |  | 8600 |
| GMO International Value ETF  |  | 5768340 |  | 5768340 |  | 216070 |  | 216070 |
| &nbsp;&nbsp;&nbsp; GMO Systematic Investment <br> Grade Credit ETF<br>|  | 442160 |  | 442160 |  |  |  |  |
| GMO Ultra-Short Income ETF |  | 78280 |  | 78280 |  |  |  |  |
| GMO U.S. Quality ETF |  | 16215144 |  | 16215144 |  | 8909490 |  | 8909490 |
| GMO U.S. Value ETF |  | 960252 |  | 960252 |  | 299112 |  | 299112 |

---

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

As of February 28, 2026, the components of distributable earnings on a tax basis and certain tax attributes for the Funds consisted of the following:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund Name** | **Undistributed** <br>**Federal Exempt** <br>**Interest Income ($)**<br>| **Undistributed** <br>**Ordinary** <br>**Income** <br>**(including any** <br>**net short-term** <br>**capital gain) ($)**<br>| **Capital Loss** <br>**Carryforwards ($)**<br>| **Post-October** <br>**Capital Losses** <br>**Deferral ($)**<br>|
| GMO Beyond China ETF | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 212052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO Domestic Resilience ETF | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 24615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (112) | &nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO Dynamic Allocation ETF | &nbsp;&nbsp; 8596 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5763 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (13389) | &nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO International Quality ETF | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 121666 | &nbsp;&nbsp;&nbsp;&nbsp; (176231) | &nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO International Value ETF | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 1609635 | &nbsp;&nbsp;&nbsp;&nbsp; (640467) | &nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO Systematic Investment Grade Credit ETF  | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 90925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; (5555) |
| GMO Ultra-Short Income ETF | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 44090 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2259) | &nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO U.S. Quality ETF | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 2578429 | &nbsp;&nbsp; (15896292) | &nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO U.S. Value ETF | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 304285 | &nbsp;&nbsp; (1240980) | &nbsp;&nbsp;&nbsp;&nbsp; — |

---

------

**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

As of February 28, 2026, certain Funds had capital loss carryforwards available to offset future realized gains, if any, to the extent permitted by the Code. Net capital losses are carried forward without expiration and generally retain their short-term and/or long-term tax character, as applicable. Utilization of the capital loss carryforwards, post-October capital losses, late-year ordinary losses, and losses realized subsequent to February 28, 2026, if any, could be subject to further limitations imposed by the Code related to share ownership activity. The Funds' capital loss carryforwards are as follows:

---

| | | |
|:---|:---|:---|
| **Fund Name** | **Short-Term ($)** | **Long-Term ($)** |
| GMO Beyond China ETF |  |  |
| GMO Domestic Resilience ETF | (112) |  |
| GMO Dynamic Allocation ETF | (13389) |  |
| GMO International Quality ETF | (147636) | (28595) |
| GMO International Value ETF | (434882) | (205585) |
| GMO Systematic Investment Grade Credit ETF  |  |  |
| GMO Ultra-Short Income ETF | (2259) |  |
| GMO U.S. Quality ETF | (12658635) | (3237657) |
| GMO U.S. Value ETF | (1167376) | (73604) |

---

As of February 28, 2026, 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:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Fund Name** | **Total Investments** | **Total Investments** | **Total Investments** | **Total Investments** | **Outstanding** <br>**Financial** <br>**Instruments**<br>|
| **Fund Name** | **Aggregate** <br>**Cost ($)**<br>| **Gross Unrealized** <br>**Appreciation ($)**<br>| **Gross Unrealized** <br>**(Depreciation) ($)**<br>| **Net Unrealized** <br>**Appreciation** <br>**(Depreciation) ($)**<br>| **Net Unrealized** <br>**Appreciation** <br>**(Depreciation) ($)**<br>|
| GMO Beyond China ETF | &nbsp;&nbsp;&nbsp;&nbsp; 13046755 | &nbsp;&nbsp;&nbsp; 4489585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (361015) | &nbsp;&nbsp;&nbsp; 4128570 | &nbsp;&nbsp; — |
| GMO Domestic Resilience ETF | &nbsp;&nbsp;&nbsp;&nbsp; 34099001 | &nbsp;&nbsp;&nbsp; 5496998 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (322557) | &nbsp;&nbsp;&nbsp; 5174441 | &nbsp;&nbsp; — |
| GMO Dynamic Allocation ETF | &nbsp;&nbsp;&nbsp;&nbsp; 33385248 | &nbsp;&nbsp;&nbsp; 1815299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1815299 | &nbsp;&nbsp; — |
| GMO International Quality ETF | &nbsp;&nbsp; 266112481 | &nbsp;&nbsp; 34321192 | &nbsp;&nbsp; (13094618) | &nbsp;&nbsp; 21226574 | &nbsp;&nbsp; — |
| GMO International Value ETF | &nbsp;&nbsp; 380513119 | &nbsp;&nbsp; 68959056 | &nbsp;&nbsp;&nbsp; (1108060) | &nbsp;&nbsp; 67850996 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; GMO Systematic Investment Grade <br> Credit ETF <br>| &nbsp;&nbsp;&nbsp;&nbsp; 24206834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 220549 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (72115) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148434 | &nbsp;&nbsp; — |
| GMO Ultra-Short Income ETF | &nbsp;&nbsp;&nbsp;&nbsp; 13425669 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5062 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3569) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1493 | &nbsp;&nbsp; — |
| GMO U.S. Quality ETF | &nbsp;&nbsp; 3170853455 | &nbsp;&nbsp; 494855298 | &nbsp;&nbsp; (184703878) | &nbsp;&nbsp; 310151420 | &nbsp;&nbsp; — |
| GMO U.S. Value ETF | &nbsp;&nbsp;&nbsp;&nbsp; 74861845 | &nbsp;&nbsp;&nbsp; 8068949 | &nbsp;&nbsp;&nbsp; (2342975) | &nbsp;&nbsp;&nbsp; 5725974 | &nbsp;&nbsp; — |

---

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

------

**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. As of February 28, 2026, each Fund has determined that no tax liability is required to be accrued in its financial statements related to uncertain tax positions for any tax years which are subject to examination.

**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 Officers of the Funds act as the Funds' chief operating decision maker ("CODM") assessing performance and making decisions about resource allocation. The CODM has determined that each Fund operates as a single segment. The CODM monitors the operating results of each Fund as a whole and each Fund makes investments in accordance with its investment objective as outlined in its prospectus. The financial information used by the CODM is consistent with that presented in each Fund's Schedule of Investments, Statement of Changes in Net Assets and Financial Highlights.

The accounting policies of the segment are the same as those described in Note 2. Significant Accounting Policies. The financial statements include all the details of the segment assets, segment revenue and expenses, and reflect the financial results of the segment.

**Recently-Issued Accounting Guidance**

In December 2023, the Financial Accounting Standards Board ("FASB") issued a new Accounting Standards Update, ASU 2023-09, "Income Taxes (Topic 740) – Improvements to Income Tax Disclosures" ("ASU 2023-09"). The purpose of ASU 2023-09 is to enhance the transparency of income tax disclosures, including the requirement to disclose income taxes paid disaggregated by jurisdictions. The amendments in ASU 2023-09 are effective for annual periods beginning after December 15, 2024, with early adoption permitted. Adoption of the new standard impacted financial statement disclosures only and did not affect the Funds' financial position or results of operations.

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

---

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

\* 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.

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**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

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 incurs fees and expenses indirectly as a shareholder in the underlying funds. For the period ended February 28, 2026 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.

**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.

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**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

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

**5.** **Investment Transactions**

Purchases and sales of investments in securities, excluding in-kind transactions and short-term securities, for the period July 1, 2025 through February 28, 2026 were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund Name** | **Purchases ($)** | **Purchases ($)** | **Sales ($)** | **Sales ($)** |
| **Fund Name** | **U.S. Government** <br>**Securities**<br>| **Investment (Non-U.S.** <br>**Government Securities)**<br>| **U.S. Government** <br>**Securities**<br>| **Investment (Non-U.S.** <br>**Government Securities)**<br>|
| GMO Beyond China ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 5136699 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 3713745 |
| GMO Domestic Resilience ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 3227311 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9929 |
| GMO Dynamic Allocation ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2517252 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1669800 |
| GMO International Quality ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 13710790 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 7452429 |
| GMO International Value ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 75112331 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 9414072 |
| &nbsp;&nbsp;&nbsp; GMO Systematic Investment Grade Credit <br> ETF <br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 11031518 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 9628877 |
| GMO Ultra-Short Income ETF | &nbsp;&nbsp; 2879787 | &nbsp;&nbsp; 12509739 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 3080528 |
| GMO U.S. Quality ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 448498765 | &nbsp;&nbsp; — | &nbsp;&nbsp; 104345693 |
| GMO U.S. Value ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 31327853 | &nbsp;&nbsp; — | &nbsp;&nbsp; 13278123 |

---

In-kind transactions associated with creations and redemptions, for the period July 1, 2025 through February 28, 2026 were as follows:

---

| | | |
|:---|:---|:---|
| **Fund Name** | **Creations ($)** | **Redemptions ($)** |
| GMO Beyond China ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 946592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO Domestic Resilience ETF | &nbsp;&nbsp;&nbsp;&nbsp; 31362653 | &nbsp;&nbsp;&nbsp; 1303305 |
| GMO Dynamic Allocation ETF | &nbsp;&nbsp;&nbsp;&nbsp; 32418226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO International Quality ETF | &nbsp;&nbsp; 208645804 | &nbsp;&nbsp;&nbsp; 5067124 |
| GMO International Value ETF | &nbsp;&nbsp; 209098266 | &nbsp;&nbsp; 62618118 |
| GMO Systematic Investment Grade Credit ETF  | &nbsp;&nbsp;&nbsp;&nbsp; 20121189 | &nbsp;&nbsp;&nbsp; 3780480 |
| GMO Ultra-Short Income ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO U.S. Quality ETF | &nbsp;&nbsp; 1209604587 | &nbsp;&nbsp; 413334957 |
| GMO U.S. Value ETF | &nbsp;&nbsp;&nbsp;&nbsp; 24916015 | &nbsp;&nbsp; 23690218 |

---

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**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

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&nbsp;&nbsp;&nbsp;&nbsp;&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** <br>**Grade Credit ETF**<br>| **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.

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**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

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

&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, diplomatic tensions, dramatic changes in regulatory and/or foreign policy, cyberattacks, and rapid technological developments such as artificial intelligence) often disrupt securities markets and adversely affect the general economy or particular economies and markets. Those events, as well as other changes in non-U.S. and U.S. economic and political conditions, could exacerbate other risks or otherwise reduce the value of 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:

&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;• ***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;• ***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;• ***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

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**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

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.

&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).

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**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

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

&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 assetbacked securities (particularly below investment

------

**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

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 assetbacked securities whose underlying assets consist of loans, sales contracts, receivables and other obligations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• ***Commodities Risk.*** Commodity prices can be extremely volatile, and exposure to commodities can cause the net asset value of a Fund's shares to decline or fluctuate significantly in a rapid and unpredictable manner.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• ***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.

**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)**

**February 28, 2026** 

------

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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| | | | | |
|:---|:---|:---|:---|:---|
|  | <br>**Period Ended** <br>**February 28, 2026** | <br>**Period Ended** <br>**February 28, 2026** | <br>**Period/Year Ended** <br>**June 30, 2025** | <br>**Period/Year Ended** <br>**June 30, 2025** |
|  | **Shares** | **Amount** | **Shares** | **Amount** |
| **GMO Beyond China ETF**<sup>(a)</sup> <sup>(b)</sup> |  |  |  |  |
| Shares sold | 80000 | &nbsp;&nbsp;&nbsp; $2673260 | &nbsp;&nbsp;&nbsp; 400000 | &nbsp;&nbsp;&nbsp; $10183052 |
| Net increase (decrease) | 80000 | &nbsp;&nbsp;&nbsp; $2673260 | &nbsp;&nbsp;&nbsp; 400000 | &nbsp;&nbsp;&nbsp; $10183052 |
| **GMO Domestic Resilience ETF**<sup>(c)</sup> |  |  |  |  |
| Shares sold | 1370000 | &nbsp;&nbsp;&nbsp; $35153181 |  |  |
| Shares repurchased | (50000)<br>| &nbsp;&nbsp;&nbsp; (1286460)<br>|  |  |
| Net increase (decrease) | 1320000 | &nbsp;&nbsp;&nbsp; $33866721 |  |  |
| **GMO Dynamic Allocation ETF**<sup>(d)</sup> |  |  |  |  |
| Shares sold | 1290000 | &nbsp;&nbsp;&nbsp; $33380320 |  |  |
| Net increase (decrease) | 1290000 | &nbsp;&nbsp;&nbsp; $33380320 |  |  |
| **GMO International Quality ETF**<sup>(b)</sup> <sup>(e)</sup> |  |  |  |  |
| Shares sold | 8250000 | &nbsp;&nbsp;&nbsp; $215884485 | &nbsp;&nbsp;&nbsp; 2200000 | &nbsp;&nbsp;&nbsp; $53808320 |
| Shares repurchased | (200000)<br>| &nbsp;&nbsp;&nbsp; (5278850)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — |
| Net increase (decrease) | 8050000 | &nbsp;&nbsp;&nbsp; $210605635 | &nbsp;&nbsp;&nbsp; 2200000 | &nbsp;&nbsp;&nbsp; $53808320 |
| **GMO International Value ETF**<sup>(b)</sup> <sup>(e)</sup> |  |  |  |  |
| Shares sold | 8200000 | &nbsp;&nbsp;&nbsp; $281564840 | &nbsp;&nbsp;&nbsp; 6200000 | &nbsp;&nbsp;&nbsp; $161307200 |
| Shares repurchased | (2000000)<br>| &nbsp;&nbsp;&nbsp; (66215610)<br>| &nbsp;&nbsp;&nbsp; (600000)<br>| &nbsp;&nbsp;&nbsp; (16938680)<br>|
| Net increase (decrease) | 6200000 | &nbsp;&nbsp;&nbsp; $215349230 | &nbsp;&nbsp;&nbsp; 5600000 | &nbsp;&nbsp;&nbsp; $144368520 |
| **GMO Systematic Investment Grade Credit ETF** <sup>(b)</sup> <sup>(f)</sup> |  |  |  |  |
| Shares sold | 850000 | &nbsp;&nbsp;&nbsp; $21985375 | &nbsp;&nbsp;&nbsp; 250000 | &nbsp;&nbsp;&nbsp; $6249850 |
| Shares repurchased | (150000)<br>| &nbsp;&nbsp;&nbsp; (3869325)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — |
| Net increase (decrease) | 700000 | &nbsp;&nbsp;&nbsp; $18116050 | &nbsp;&nbsp;&nbsp; 250000 | &nbsp;&nbsp;&nbsp; $6249850 |
| **GMO Ultra-Short Income ETF**<sup>(g)</sup> |  |  |  |  |
| Shares sold | 262500 | &nbsp;&nbsp;&nbsp; $13136066 |  |  |
| Net increase (decrease) | 262500 | &nbsp;&nbsp;&nbsp; $13136066 |  |  |

---

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**GMO ETF Trust**

**Notes to Financial Statements — (Continued)**

**February 28, 2026** 

------

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | <br>**Period Ended** <br>**February 28, 2026** | <br>**Period Ended** <br>**February 28, 2026** | <br>**Period/Year Ended** <br>**June 30, 2025** | <br>**Period/Year Ended** <br>**June 30, 2025** | <br>**Period Ended** <br>**June 30, 2024** | <br>**Period Ended** <br>**June 30, 2024** |
|  | **Shares** | **Amount** | **Shares** | **Amount** | **Shares** | **Amount** |
| **GMO U.S. Quality ETF**<sup>(b)</sup> <sup>(h)</sup> |  |  |  |  |  |  |
| Shares sold | 42070000 | &nbsp;&nbsp;&nbsp; $1557147863 | &nbsp;&nbsp;&nbsp; 40110000 | &nbsp;&nbsp;&nbsp; $1280273679 | &nbsp;&nbsp;&nbsp; 27154000 | &nbsp;&nbsp;&nbsp; $779492154 |
| Shares repurchased | (11370000)<br>| &nbsp;&nbsp;&nbsp; (422363759)<br>| &nbsp;&nbsp;&nbsp; (8210000)<br>| &nbsp;&nbsp;&nbsp; (260762382)<br>| &nbsp;&nbsp;&nbsp; (360000)<br>| &nbsp;&nbsp;&nbsp; (10918317)<br>|
| Net increase (decrease) | 30700000 | &nbsp;&nbsp;&nbsp; $1134784104 | &nbsp;&nbsp;&nbsp; 31900000 | &nbsp;&nbsp;&nbsp; $1019511297 | &nbsp;&nbsp;&nbsp; 26794000 | &nbsp;&nbsp;&nbsp; $768573837 |
| **GMO U.S. Value ETF**<sup>(b)</sup> <sup>(e)</sup> |  |  |  |  |  |  |
| Shares sold | 1600000 | &nbsp;&nbsp;&nbsp; $44003868 | &nbsp;&nbsp;&nbsp; 2440000 | &nbsp;&nbsp;&nbsp; $61325856 |  |  |
| Shares repurchased | (920000)<br>| &nbsp;&nbsp;&nbsp; (24938956)<br>| &nbsp;&nbsp;&nbsp; (360000)<br>| &nbsp;&nbsp;&nbsp; (8647964)<br>|  |  |
| Net increase (decrease) | 680000 | &nbsp;&nbsp;&nbsp; $19064912 | &nbsp;&nbsp;&nbsp; 2080000 | &nbsp;&nbsp;&nbsp; $52677892 |  |  |

---

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

<sup>(a)</sup> The period under the heading "Period/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 "Period Ended February 28, 2026" represents the period from July 1, 2025 through February 28, 2026.

<sup>(c)</sup> The period under the heading "Period Ended February 28, 2026" represents the period from September 30, 2025 (commencement of operations) through February 28, 2026. 

<sup>(d)</sup> The period under the heading "Period Ended February 28, 2026" represents the period from October 13, 2025 (commencement of operations) through February 28, 2026.

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

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

<sup>(g)</sup> The period under the heading "Period Ended February 28, 2026" represents the period from October 27, 2025 (commencement of operations) through February 28, 2026.

<sup>(h)</sup> The period under the heading "Period Ended June 30, 2024" represents the period from November 14, 2023 (commencement of operations) through June 30, 2024.

**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 February 28, 2026 is set forth below:

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Affiliate** | **Value,** <br>**beginning of** <br>**period**<br>| **Purchases** | **Sales** <br>**Proceeds**<br>| **Dividend** <br>**Income**<br>| **Distributions** <br>**of Realized** <br>**Gains**<br>| **Net** <br>**Realized** <br>**Gain (Loss)**<br>| **Net Increase/** <br>**Decrease in** <br>**Unrealized** <br>**Appreciation/** <br>**Depreciation**<br>| **Value, end of** <br>**period**<br>|
| **Dynamic Allocation ETF** | **Dynamic Allocation ETF** | **Dynamic Allocation ETF** | **Dynamic Allocation ETF** | **Dynamic Allocation ETF** | **Dynamic Allocation ETF** | **Dynamic Allocation ETF** | **Dynamic Allocation ETF** | **Dynamic Allocation ETF** |
| &nbsp;&nbsp;&nbsp; GMO Domestic Resilience ETF | &nbsp;&nbsp; $— | &nbsp;&nbsp; $935057 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $1202 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $119729 | &nbsp;&nbsp; $1054786 |
| &nbsp;&nbsp;&nbsp; GMO International Quality ETF | &nbsp;&nbsp; — | &nbsp;&nbsp; 1673705 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1144 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 88957 | &nbsp;&nbsp; 1762662 |
| &nbsp;&nbsp;&nbsp; GMO International Value ETF | &nbsp;&nbsp; — | &nbsp;&nbsp; 3196510 | &nbsp;&nbsp; — | &nbsp;&nbsp; 19018 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 412730 | &nbsp;&nbsp; 3609240 |
| &nbsp;&nbsp;&nbsp; GMO U.S. Quality ETF | &nbsp;&nbsp; — | &nbsp;&nbsp; 3313903 | &nbsp;&nbsp; — | &nbsp;&nbsp; 4127 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 43523 | &nbsp;&nbsp; 3357426 |
| &nbsp;&nbsp;&nbsp; GMO U.S. Value ETF | &nbsp;&nbsp; — | &nbsp;&nbsp; 3266528 | &nbsp;&nbsp; — | &nbsp;&nbsp; 9784 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 211890 | &nbsp;&nbsp; 3478418 |
| Totals | &nbsp;&nbsp; $— | &nbsp;&nbsp; $12385703 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $35275 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $— | &nbsp;&nbsp; $876829 | &nbsp;&nbsp; $13262532 |

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**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of GMO ETF Trust and Shareholders of 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 and GMO U.S. Value ETF

***Opinions on the Financial Statements***

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (constituting GMO ETF Trust, hereafter collectively referred to as the "Funds") as of February 28, 2026, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated in the table below (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds listed in the table below as of February 28, 2026, the results of each of their operations, the changes in each of their net assets, and each of the financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

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| | |
|:---|:---|
| GMO Beyond China ETF | &nbsp;&nbsp; Statements of operations and of changes in net assets and the financial <br> highlights for the periods July 1, 2025 through February 28, 2026 and <br> February 13, 2025 (commencement of operations) through June 30, 2025<br>|
| GMO Domestic Resilience ETF | &nbsp;&nbsp; Statements of operations and of changes in net assets and the financial <br> highlights for the period September 30, 2025 (commencement of <br> operations) through February 28, 2026<br>|
| GMO Dynamic Allocation ETF | &nbsp;&nbsp; Statements of operations and of changes in net assets and the financial <br> highlights for the period October 13, 2025 (commencement of operations) <br> through February 28, 2026<br>|
| GMO International Quality ETF, GMO International Value ETF and <br> GMO U.S. Value ETF<br>| &nbsp;&nbsp; Statements of operations and of changes in net assets and the financial <br> highlights for the periods July 1, 2025 through February 28, 2026 and <br> October 29, 2024 (commencement of operations) through June 30, 2025<br>|
| GMO Systematic Investment Grade Credit Fund | &nbsp;&nbsp; Statements of operations and of changes in net assets and the financial <br> highlights for the periods July 1, 2025 through February 28, 2026 and June <br> 4, 2025 (commencement of operations) through June 30, 2025<br>|
| GMO Ultra-Short Income ETF | &nbsp;&nbsp; Statements of operations and of changes in net assets and the financial <br> highlights for the period October 27, 2025 (commencement of operations) <br> through February 28, 2026<br>|
| GMO U.S. Quality ETF | &nbsp;&nbsp; Statements of operations for the periods July 1, 2025 through February 28, <br> 2026 and July 1, 2024 through June 30, 2025 and the statements of <br> changes in net assets and the financial highlights for the periods July 1, <br> 2025 through February 28, 2026, July 1, 2024 through June 30, 2025 and <br> November 14, 2023 (commencement of operations) through June 30, 2024<br>|

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***Basis for Opinions***

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

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Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2026 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/ PricewaterhouseCoopers LLP <br>Boston, MA <br>April 24, 2026

We have served as the auditor of one or more investment companies in the GMO mutual fund complex since 1985.

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**GMO ETF Trust**

**Tax Information for the Tax Period Ended February 28, 2026 (Unaudited)**

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The following information is being provided in order to meet reporting requirements set forth by the Code and/or to meet state-specific requirements. Shareholders should consult their tax advisors.

With respect to distributable earnings on a tax basis, the Fund designates the following amounts (or, if subsequently determined to be different, the maximum amount allowable) for the fiscal period ended February 28, 2026:

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| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Name** | **Dividend** <br>**Received** <br>**Deduction** <br>**(corporate** <br>**shareholders)** <br>**($)**<br>| **Qualified** <br>**Dividend** <br>**Income** <br>**(non-** <br>**corporate** <br>**shareholders)** <br>**($)**<br>| **U.S.** <br>**Government** <br>**Obligation** <br>**Income** <br>**($)**<sup>(1)</sup> <br>| **Interest-** <br>**Related** <br>**Dividend** <br>**Income** <br>**($)**<sup>(2)</sup> <br>| **Short-** <br>**Term** <br>**Capital** <br>**Gain** <br>**Dividends** <br>**($)**<sup>(2)</sup> <br>| **Long-** <br>**Term** <br>**Capital** <br>**Gain** <br>**Distributions** <br>**($)**<br>| **Foreign** <br>**Taxes** <br>**Paid** <br>**($)**<sup>(3)</sup> <br>| **Foreign** <br>**Source** <br>**Income** <br>**($)**<sup>(3)</sup> <br>| **Code** <br>**Section** <br>**163(j)** <br>**Interest-** <br>**Related** <br>**Dividend** <br>**Income** <br>**($)**<sup>(4)</sup> <br>| **Section** <br>**199A** <br>**Dividend** <br>**Income** <br>**(non-** <br>**corporate** <br>**shareholders)** <br>**($)**<sup>(5)</sup> <br>| **Federal** <br>**Exempt-** <br>**Interest** <br>**Dividend** <br>**($)**<sup>(6)</sup> <br>|
| GMO Beyond China ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99687 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 358502 | &nbsp;&nbsp; — | &nbsp;&nbsp; 20854 | &nbsp;&nbsp; 152823 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO Domestic Resilience ETF | &nbsp;&nbsp;&nbsp;&nbsp; 138546 | &nbsp;&nbsp;&nbsp;&nbsp; 143530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO Dynamic Allocation ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74124 | &nbsp;&nbsp; 65457 | &nbsp;&nbsp; 62782 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 8492 | &nbsp;&nbsp;&nbsp;&nbsp; 68412 | &nbsp;&nbsp; 40223 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 16390 |
| GMO International Quality ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 980295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 36158 | &nbsp;&nbsp; 454430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO International Value ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 3391746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 301606 | &nbsp;&nbsp; 3039111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO Systematic Investment Grade Credit ETF  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 391874 | &nbsp;&nbsp; 49050 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 455355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO Ultra-Short Income ETF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 23810 | &nbsp;&nbsp; 94784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 116604 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO U.S. Quality ETF | &nbsp;&nbsp; 21311816 | &nbsp;&nbsp; 22982635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 261160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 261160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| GMO U.S. Value ETF | &nbsp;&nbsp; 1083994 | &nbsp;&nbsp; 1103233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 18629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) All or a portion of these amounts may be exempt from taxation at the state level.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) These amounts are generally exempt from U.S. withholding taxes for non-U.S. shareholders, provided certain conditions are satisfied by both the Funds and the
Funds' shareholders. If applicable, interest-related dividend amounts may
include short-term capital gain distributions received from underlying funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(3) The Funds expect to elect to treat foreign taxes attributed to foreign source income from certain of its investments, as if incurred directly by the Funds'
shareholders.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4) The Funds hereby designate the above business interest-related dividend income pursuant to Section 163(j) of the Code and the regulations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(5) The Funds hereby designate the above qualified business income under Section 199A of the Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(6) The Funds designate these amounts earned during the fiscal period ended February 28, 2026, as federal exempt-interest dividends. A portion of these amounts may be
exempt from taxation at the state level.

In early 2027, the Funds or a financial intermediary will notify applicable shareholders of amounts for use in preparing 2026 U.S. federal income tax forms.

------

**<u>Investment Adviser</u>**

Grantham, Mayo, Van Otterloo & Co. LLC

53 State Street

Boston, MA 02109

**<u>Administrator, Transfer Agent and Custodian</u>**

State Street Bank & Trust Company

One Congress Street, Suite 1

Boston, MA 02114

**<u>Distributor</u>**

Foreside Fund Services, LLC

Three Canal Plaza, Suite 100

Portland, ME 04101

**<u>Independent Registered Public Accounting Firm</u>**

PricewaterhouseCoopers, LLP

101 Seaport Boulevard, Suite 500

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.** 

There were no changes in or disagreements with accountants.

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

A special meeting of the shareholders of 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 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<br>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.** 

Not applicable.

**Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.** 

Not applicable to this registrant.

**Item 13. Portfolio Managers of Closed-End Management Investment Companies.** 

Not applicable to this registrant.

**Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.** 

Not applicable to this registrant.

------

**Item 15. Submission of Matters to a Vote of Security Holders.** 

There 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 concluded as of a date
within 90 days of the filing of this report, based on their evaluation of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) that
the design and operation of such procedures are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized, and
reported within the time periods specified in the Commission's rules and forms.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal
control over financial reporting.

**Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies** 

Not applicable to this registrant.

**Item 18. Recovery of Erroneously Awarded Compensation.** 

Not applicable.

**Item 19. Exhibits.** 

---

| | |
|:---|:---|
| (a)(1) | Incorporated by reference to the Form N-CSR originally filed with the Securities and Exchange Commission on May 7, 2026 ([Inline Viewer: GMO ETF Trust N-CSR 2026-02-28](http://www.sec.gov/Archives/edgar/data/1981627/000119312526211651/d73434dex99codeeth.htm). |
| (a)(2) | Not applicable. |
| (a)(3) | [Certifications by the Principal Executive Officer and the Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.](d100539dex99cert.htm) |
| (a)(4) | Not applicable. |
| (a)(5) | Not applicable. |
| (b) | [Certifications by the registrant's Principal Executive Officer and Principal Financial Officer, as required by Rule 30a-2(b) of the Investment Company Act of 1940, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002 are filed herewith.](d100539dex99906cert.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: | May 26, 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: | May 26, 2026 |
| By: | /s/ Betty Maganzini |
|  | Betty Maganzini |
|  | Principal Financial Officer |
| Date: | May 26, 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, President and Principal Executive Officer of the registrant, 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;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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;&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;&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: | May 26, 2026 |

---

------

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

I, Betty Maganzini, Principal Financial Officer of the registrant, 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;&nbsp;&nbsp;&nbsp;&nbsp;(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Designed such internal control over financial reporting, or caused such internal control over financial
reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this
report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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;&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;&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: | May 26, 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 February 28, 2026 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;(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;(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: | May 26, 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 February 28, 2026 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;(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;(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: | May 26, 2026 |
| By: | /s/ Betty Maganzini |
|  | Betty Maganzini |
|  | Principal Financial Officer |

---