# EDGAR Filing Document

**Accession Number:** 0000772129
**File Stem:** 0001752724-23-016193
**Filing Date:** 2023-1
**Character Count:** 980862
**Document Hash:** 4ae4a1fb5c511803a0cc89b71de6c7f5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016193.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016193

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GMO TRUST
- **CENTRAL INDEX KEY:** 0000772129
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04347
- **FILM NUMBER:** 23561367

**BUSINESS ADDRESS:**
- **STREET 1:** 40 ROWES WHARF
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6173467646

**MAIL ADDRESS:**
- **STREET 1:** 40 ROWES WHARF
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

**GMO Climate Change Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 95.7%** | **COMMON STOCKS — 95.7%** |
| | **Argentina — 0.9%** | **Argentina — 0.9%** |
| 991915 | Adecoagro SA <sup>(a)</sup> | 8193218 |
|  | **Australia — 0.5%** | **Australia — 0.5%** |
| 320055 | Clean TeQ Water Ltd <sup>\*</sup> <sup>(a)</sup> | 83954 |
| 909387 | Sandfire Resources Ltd | 3147654 |
| 1134203 | Sunrise Energy Metals Ltd <sup>\*</sup> <sup>(a)</sup> | 1577867 |
|  | Total Australia | 4809475 |
|  | **Belgium — 0.2%** | **Belgium — 0.2%** |
| 46771 | Umicore SA | 1687934 |
|  | **Brazil — 2.6%** | **Brazil — 2.6%** |
| 759700 | Dexco SA | 1222406 |
| 1635167 | Sao Martinho SA | 9030782 |
| 608420 | SLC Agricola SA | 5261909 |
| 869600 | Suzano SA | 8906557 |
|  | Total Brazil | 24421654 |
|  | **Canada — 10.4%** | **Canada — 10.4%** |
| 476293 | Anaergia Inc <sup>\*</sup> <sup>(a)</sup> | 1529633 |
| 842767 | Canadian Solar Inc <sup>\*</sup> <sup>(a)</sup> | 30213197 |
| 575864 | First Quantum Minerals Ltd <sup>(a)</sup> | 13690763 |
| 1925700 | Greenlane Renewables Inc <sup>\*</sup> <sup>(a)</sup> | 816005 |
| 2810057 | Ivanhoe Mines Ltd – Class A <sup>\*</sup> <sup>(a)</sup> | 25151906 |
| 1008392 | Largo Inc <sup>\* (a)</sup> | 5622377 |
| 1333508 | Li-Cycle Holdings Corp <sup>\*</sup> <sup>(a)</sup> | 8494446 |
| 123700 | NFI Group Inc <sup>(a)</sup> | 915002 |
| 137260 | Nutrien Ltd | 11031616 |
|  | Total Canada | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97464945 |
|  | **China — 2.4%** | **China — 2.4%** |
| 1031000 | Canvest Environmental Protection Group Co Ltd | 581502 |
| 75000 | Chaowei Power Holdings Ltd | 16105 |
| 8528114 | China High Speed Transmission Equipment Group Co Ltd <sup>\*</sup> <sup>(a)</sup> | 3980183 |
| 3654494 | China Water Affairs Group Ltd | 2978246 |
| 225792 | Hollysys Automation Technologies Ltd <sup>(a)</sup> | 3861043 |
| 1737600 | Tianjin Capital Environmental Protection Group Co Ltd – Class A | 1582300 |
| 2606006 | Tianneng Power International Ltd <sup>(a)</sup> | 2814704 |
| 4479352 | Xinjiang Goldwind Science & Technology Co Ltd – Class H | 4854857 |
| 1226576 | Yutong Bus Co Ltd – Class A | 1371775 |
| 126200 | Zhuzhou CRRC Times Electric Co Ltd | 586355 |
|  | Total China | 22627070 |
|  | **Denmark — 3.4%** | **Denmark — 3.4%** |
| 1216605 | Vestas Wind Systems A/S | 31610086 |
|  | **Finland — 1.0%** | **Finland — 1.0%** |
| 372648 | Kemira Oyj | 5403422 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Finland — continued** | **Finland — continued** |
| 62677 | Neste Oyj | 3235171 |
| 44979 | Uponor Oyj | 690015 |
|  | Total Finland | 9328608 |
|  | **France — 6.7%** | **France — 6.7%** |
| 49616 | Alstom SA | 1302716 |
| 148157 | Nexans SA | 13100570 |
| 110474 | STMicroelectronics NV | 4270690 |
| 726264 | Valeo | 13577207 |
| 996287 | Veolia Environnement SA | 25785766 |
| 13327 | Vilmorin & Cie SA | 684142 |
| 114522 | Waga Energy SA <sup>\*</sup> <sup>(a)</sup> | 3813918 |
|  | Total France | 62535009 |
|  | **Germany — 1.8%** | **Germany — 1.8%** |
| 291182 | E.ON SE | 2791721 |
| 139577 | Infineon Technologies AG | 4688454 |
| 33202 | Knorr-Bremse AG | 1892665 |
| 56639 | Siemens AG (Registered) | 7854967 |
|  | Total Germany | 17227807 |
|  | **Italy — 0.3%** | **Italy — 0.3%** |
| 67877 | Prysmian SPA | 2392039 |
|  | **Japan — 4.3%** | **Japan — 4.3%** |
| 263700 | Ebara Corp | 10252587 |
| 240700 | GS Yuasa Corp | 3821990 |
| 41300 | Kurita Water Industries Ltd | 1852049 |
| 9900 | METAWATER Co Ltd | 129660 |
| 151600 | Organo Corp | 3144986 |
| 502800 | Panasonic Holdings Corp <sup>(a)</sup> | 4694979 |
| 995100 | Renesas Electronics Corp <sup>\*</sup> | 9759645 |
| 337200 | Yokogawa Electric Corp | 6359478 |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40015374 |
|  | **Mexico — 2.2%** | **Mexico — 2.2%** |
| 4295205 | Grupo Mexico SAB de CV – Series B | 17475567 |
| 1732800 | Orbia Advance Corp SAB de CV | 3394830 |
|  | Total Mexico | 20870397 |
|  | **Netherlands — 0.5%** | **Netherlands — 0.5%** |
| 119820 | Arcadis NV | 4890970 |
|  | **Norway — 0.7%** | **Norway — 0.7%** |
| 778202 | Austevoll Seafood ASA | 6365082 |
|  | **Pakistan — 0.0%** | **Pakistan — 0.0%** |
| 364949 | Fauji Fertilizer Co Ltd | 167235 |
|  | **Russia — 0.2%** | **Russia — 0.2%** |
| 72215 | MMC Norilsk Nickel PJSC <sup>(b)</sup> | 1183225 |
| 3 | MMC Norilsk Nickel PJSC ADR <sup>\*</sup> <sup>(b)</sup> | 5 |
| 120856 | PhosAgro PJSC <sup>(b)</sup> | 891393 |

---

------

**GMO Climate Change Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Russia — continued** | **Russia — continued** |
| 2335 | PhosAgro PJSC GDR <sup>\*</sup> <sup>(b)</sup> <sup>(c)</sup> | 5753 |
| 169638 | Ros Agro Plc GDR (Registered) <sup>\*</sup> <sup>(b)</sup> | 153270 |
|  | Total Russia | 2233646 |
|  | **South Korea — 6.4%** | **South Korea — 6.4%** |
| 102300 | LG Chem Ltd | 58396070 |
| 2346 | Samsung SDI Co Ltd | 1324382 |
|  | Total South Korea | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59720452 |
|  | **Spain — 0.3%** | **Spain — 0.3%** |
| 146332 | Red Electrica Corp SA | 2562045 |
|  | **Switzerland — 0.2%** | **Switzerland — 0.2%** |
| 17491 | Gurit Holding AG <sup>(a)</sup> | 1797989 |
|  | **Thailand — 0.1%** | **Thailand — 0.1%** |
| 2418500 | SPCG Pcl | 995432 |
|  | **Ukraine — 0.1%** | **Ukraine — 0.1%** |
| 219994 | Kernel Holding SA | 909810 |
|  | **United Kingdom — 1.0%** | **United Kingdom — 1.0%** |
| 616344 | Drax Group Plc | 4559763 |
| 219465 | National Grid Plc | 2699657 |
| 366690 | Renewi Plc <sup>\*</sup> | 2477298 |
|  | Total United Kingdom | 9736718 |
|  | **United States — 49.5%** | **United States — 49.5%** |
| 342762 | Aemetis, Inc. <sup>\*</sup> <sup>(a)</sup> | 1888619 |
| 185792 | AGCO Corp. | 24658314 |
| 307700 | Alcoa Corp. | 15425001 |
| 701560 | Ameresco, Inc. – Class A <sup>\*</sup> <sup>(a)</sup> | 45966211 |
| 687361 | BorgWarner, Inc. | 29219716 |
| 2927838 | Clean Energy Fuels Corp. <sup>\*</sup> | 19792185 |
| 26363 | Consolidated Edison, Inc. | 2584629 |
| 36438 | Constellation Energy Corp. | 3502421 |
| 127724 | Corteva, Inc. | 8577944 |
| 474250 | Darling Ingredients, Inc. <sup>\*</sup> | 34065377 |
| 24822 | Deere & Co. | 10946502 |
| 37466 | Edison International | 2497484 |
| 52691 | EnerSys | 3982386 |
| 57428 | Exelon Corp. | 2375796 |
| 307122 | Freeport-McMoRan, Inc. | 12223456 |
| 1171395 | Gevo, Inc. <sup>\* (a)</sup> | 2553641 |
| 4720192 | GrafTech International Ltd. | 25489037 |
| 669331 | Green Plains, Inc. <sup>\*</sup> | 23132079 |
| 42116 | Johnson Controls International Plc | 2798187 |
| 450737 | Livent Corp. <sup>\* (a)</sup> | 12616129 |
| 9218 | Montauk Renewables, Inc. <sup>\*</sup> | 111261 |
| 403718 | Mosaic Co. (The) | 20710733 |
| 211748 | Mueller Water Products, Inc. – Class A | 2468982 |
| 20787 | MYR Group, Inc. <sup>\*</sup> | 1985782 |
| 78265 | ON Semiconductor Corp. <sup>\*</sup> | 5885528 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **United States — continued** | **United States — continued** |
| 71609 | Owens Corning | 6361744 |
| 29572 | Pentair Plc | 1353510 |
| 162881 | PotlatchDeltic Corp. (REIT) | 7784083 |
| 99023 | Sensata Technologies Holding Plc | 4465937 |
| 185024 | SolarEdge Technologies, Inc. <sup>\*</sup> | 55296273 |
| 1737111 | Sunrun, Inc. <sup>\*</sup> | 56595076 |
| 49653 | TE Connectivity Ltd. | 6262236 |
| 5357 | Valmont Industries, Inc. | 1814202 |
| 87258 | Westinghouse Air Brake Technologies Corp. | 8820910 |
|  | Total United States | 464211371 |
|  | TOTAL COMMON STOCKS<br>(COST $872,805,349) | 896774366 |
|  | **PREFERRED STOCKS <sup>(d)</sup> — 1.4%** | **PREFERRED STOCKS <sup>(d)</sup> — 1.4%** |
|  | **Chile — 1.4%** | **Chile — 1.4%** |
| 131658 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 13055207 |
|  | TOTAL PREFERRED STOCKS<br>(COST $6,029,670) | 13055207 |
|  | **MUTUAL FUNDS — 2.7%** | **MUTUAL FUNDS — 2.7%** |
|  | **United States — 2.7%** | **United States — 2.7%** |
|  | **Affiliated Issuers — 2.7%** | **Affiliated Issuers — 2.7%** |
| 24945517 | GMO U.S. Treasury Fund <sup>(e)</sup> | 24945517 |
|  | Total United States | 24945517 |
|  | TOTAL MUTUAL FUNDS<br>(COST $24,945,517) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24945517 |
|  | **RIGHTS/WARRANTS — 0.0%** | **RIGHTS/WARRANTS — 0.0%** |
|  | **Australia — 0.0%** | **Australia — 0.0%** |
| 103339 | Sandfire Resources Ltd., expires 12/08/22 <sup>\* (f)</sup> |  |
|  | Total Australia |  |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $0) |  |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 465014 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(g)</sup> | 465014 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $465,014) | 465014 |
|  | **TOTAL INVESTMENTS — 99.8%**<br> (Cost $904,245,550) | **935240104** |
|  | Other Assets and Liabilities (net) — 0.2% | 1687045 |
|  | **TOTAL NET ASSETS — 100.0%** | **$936927149** |

---

------

**GMO Climate Change Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2022** |
| PhosAgro PJSC GDR | 08/09/19 | $36037 | 0.0% | $5753 |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

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

(c) The security is restricted as to resale.

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

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

(f) Investment valued using significant unobservable inputs.

(g) The rate disclosed is the 7 day net yield as of November 30, 2022.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 89.7%** | **COMMON STOCKS — 89.7%** |
| | **Brazil — 2.0%** | **Brazil — 2.0%** |
| 36200 | BB Seguridade Participacoes SA | 218483 |
| 51600 | CPFL Energia SA | 347026 |
| 12100 | EDP – Energias do Brasil SA | 49479 |
| 139927 | Enauta Participacoes SA | 361321 |
| 3700 | Engie Brasil Energia SA | 28163 |
| 65104 | Localiza Rent a Car SA | 753996 |
| 199 | Localiza Rent a Car SA GDR <sup>\* (a)</sup> | 2305 |
| 148900 | Transmissora Alianca de Energia Eletrica SA | 991069 |
| 229799 | Vale SA Sponsored ADR – Class B | 3791684 |
|  | Total Brazil | 6543526 |
|  | **Chile — 0.5%** | **Chile — 0.5%** |
| 2150901 | Banco de Chile | 203438 |
| 116506 | Banco Santander Chile | 4536 |
| 2900 | Banco Santander Chile ADR | 45269 |
| 39008 | CAP SA | 286349 |
| 88363 | Cencosud SA | 131746 |
| 55591 | Cencosud Shopping SA | 71037 |
| 29700 | Cia Cervecerias Unidas SA Sponsored ADR | 361746 |
| 3537020 | Colbun SA | 314695 |
| 92049 | Inversiones La Construccion SA | 290671 |
|  | Total Chile | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1709487 |
|  | **Colombia — 0.1%** | **Colombia — 0.1%** |
| 147767 | Ecopetrol SA | 70088 |
| 37179 | Ecopetrol SA Sponsored ADR | 366957 |
|  | Total Colombia | 437045 |
|  | **Czech Republic — 0.2%** | **Czech Republic — 0.2%** |
| 705 | Philip Morris CR AS | 511282 |
|  | **Egypt — 0.4%** | **Egypt — 0.4%** |
| 525037 | Commercial International Bank Egypt SAE | 860512 |
| 937132 | Eastern Co SAE | 492444 |
|  | Total Egypt | 1352956 |
|  | **Greece — 0.0%** | **Greece — 0.0%** |
| 8125 | JUMBO SA | 129765 |
|  | **Hungary — 1.3%** | **Hungary — 1.3%** |
| 111083 | MOL Hungarian Oil & Gas Plc | 804175 |
| 118658 | OTP Bank Nyrt | 3271609 |
| 15538 | Richter Gedeon Nyrt | 334259 |
|  | Total Hungary | 4410043 |
|  | **India — 7.4%** | **India — 7.4%** |
| 11586 | Aurobindo Pharma Ltd | 67209 |
| 20000 | Axis Bank Ltd GDR (Registered) | 1129027 |
| 34200 | Azure Power Global Ltd <sup>\*</sup> | 195282 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **India — continued** | **India — continued** |
| 25111 | Bandhan Bank Ltd <sup>\*</sup> | 73777 |
| 91457 | Bharat Electronics Ltd | 119004 |
| 45975 | Castrol India Ltd | 74231 |
| 1753236 | Coal India Ltd | 4952398 |
| 20616 | Cochin Shipyard Ltd | 169771 |
| 6262 | Colgate-Palmolive India Ltd | 125508 |
| 12719 | Coromandel International Ltd | 145735 |
| 5540 | Deepak Fertilisers & Petrochemicals Corp Ltd | 55409 |
| 7764 | EID Parry India Ltd | 57962 |
| 21005 | Exide Industries Ltd | 48977 |
| 142927 | GAIL India Ltd | 167461 |
| 11674 | GHCL Ltd | 83423 |
| 7994 | Great Eastern Shipping Co Ltd (The) | 65738 |
| 24083 | Gujarat Mineral Development Corp Ltd | 46957 |
| 22654 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd | 167999 |
| 61744 | Gujarat State Fertilizers & Chemicals Ltd | 100781 |
| 14438 | HDFC Bank Ltd | 286963 |
| 20200 | HDFC Bank Ltd ADR | 1425514 |
| 80000 | ICICI Bank Ltd Sponsored ADR | 1897600 |
| 60266 | Indian Oil Corp Ltd | 57175 |
| 88910 | Infosys Ltd Sponsored ADR | 1809319 |
| 756010 | ITC Ltd | 3169817 |
| 69015 | L&T Finance Holdings Ltd | 74391 |
| 7891 | Mahanagar Gas Ltd | 87860 |
| 13000 | MakeMyTrip Ltd <sup>\*</sup> | 385970 |
| 123425 | Manappuram Finance Ltd | 175658 |
| 18198 | Muthoot Finance Ltd | 243089 |
| 891724 | National Aluminium Co Ltd | 852832 |
| 1076206 | Oil & Natural Gas Corp Ltd | 1883681 |
| 42955 | Oil India Ltd | 109065 |
| 2931 | Oracle Financial Services Software Ltd | 112669 |
| 84216 | Petronet LNG Ltd | 220932 |
| 20038 | Piramal Enterprises Ltd | 203862 |
| 122936 | Power Grid Corp of India Ltd | 338437 |
| 21815 | Redington Ltd | 48681 |
| 49856 | Reliance Industries Ltd | 1678075 |
| 2915 | Reliance Industries Ltd Sponsored GDR (Registered) | 193986 |
| 16440 | Shriram Transport Finance Co Ltd | 275063 |
| 31450 | Sun TV Network Ltd | 191301 |
| 23143 | Welspun Corp Ltd | 71896 |
| 6400 | WNS Holdings Ltd ADR <sup>\*</sup> | 539648 |
| 16943 | Zensar Technologies Ltd | 46810 |
|  | Total India | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24226943 |
|  | **Indonesia — 5.2%** | **Indonesia — 5.2%** |
| 14185600 | Adaro Energy Indonesia Tbk PT | 3510530 |
| 752900 | Adaro Minerals Indonesia Tbk PT <sup>\*</sup> | 78011 |
| 1199900 | AKR Corporindo Tbk PT | 106012 |
| 9156800 | Bank Central Asia Tbk PT | 5439858 |
| 2580500 | Bank Mandiri Persero Tbk PT | 1740706 |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Indonesia — continued** | **Indonesia — continued** |
| 808500 | Bank Negara Indonesia Persero Tbk PT | 512177 |
| 9688200 | Bank Rakyat Indonesia Persero Tbk PT | 3081941 |
| 3140300 | Bukit Asam Tbk PT | 761932 |
| 19000 | Gudang Garam Tbk PT | 24095 |
| 1221100 | Indika Energy Tbk PT | 226365 |
| 282900 | Indo Tambangraya Megah Tbk PT | 753478 |
| 90200 | Telkom Indonesia Persero Tbk PT | 23269 |
| 277800 | Tower Bersama Infrastructure Tbk PT | 40968 |
| 422600 | United Tractors Tbk PT | 831230 |
|  | Total Indonesia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17130572 |
|  | **Malaysia — 0.2%** | **Malaysia — 0.2%** |
| 284800 | Hartalega Holdings Bhd | 111408 |
| 367400 | Hibiscus Petroleum Bhd | 92092 |
| 284300 | Kossan Rubber Industries Bhd | 71306 |
| 71700 | Petronas Chemicals Group Bhd | 138170 |
| 55600 | RHB Bank Bhd | 70431 |
| 45600 | TIME dotCom Bhd | 50119 |
|  | Total Malaysia | 533526 |
|  | **Mexico — 8.3%** | **Mexico — 8.3%** |
| 2949400 | America Movil SAB de CV – Series L | 2866241 |
| 117856 | America Movil SAB de CV – Class L Sponsored ADR | 2293478 |
| 73800 | Arca Continental SAB de CV | 614299 |
| 208500 | Banco del Bajio SA | 677457 |
| 35600 | Cemex SAB de CV Sponsored ADR <sup>\*</sup> | 162692 |
| 6300 | Coca-Cola Femsa SAB de CV Sponsored ADR | 430353 |
| 539400 | Credito Real SAB de CV SOFOM ER <sup>\* (b)</sup> |  |
| 18000 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 1437660 |
| 30700 | Grupo Aeroportuario del Centro Norte SAB de CV – Class B | 266505 |
| 62600 | Grupo Aeroportuario del Pacifico SAB de CV –Class B | 1016804 |
| 24718 | Grupo Aeroportuario del Sureste SAB de |  |
|  | CV – Class B | 613018 |
| 40 | Grupo Aeroportuario del Sureste SAB de |  |
|  | CV ADR | 9891 |
| 1389673 | Grupo Financiero Banorte SAB de CV – |  |
|  | Class O | 11153253 |
| 183200 | Grupo Mexico SAB de CV – Series B | 745372 |
| 58100 | Grupo Televisa SAB Sponsored ADR | 317226 |
| 132100 | Qualitas Controladora SAB de CV | 556156 |
| 82300 | Regional SAB de CV | 600891 |
| 58876 | Sitios Latinoamerica SAB de CV <sup>\*</sup> | 26243 |
| 836000 | Wal-Mart de Mexico SAB de CV | 3303877 |
|  | Total Mexico | 27091416 |
|  | **Philippines — 0.2%** | **Philippines — 0.2%** |
| 327900 | Converge Information and |  |
|  | Communications Technology Solutions Inc <sup>\*</sup> | 90310 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Philippines — continued** | **Philippines — continued** |
| 43130 | GT Capital Holdings Inc | 336127 |
| 420300 | Puregold Price Club Inc | 264938 |
|  | Total Philippines | 691375 |
|  | **Poland — 1.6%** | **Poland — 1.6%** |
| 49536 | Bank Polska Kasa Opieki SA | 947533 |
| 43603 | Orange Polska SA | 61411 |
| 187179 | Polski Koncern Naftowy ORLEN SA | 2755124 |
| 191106 | Powszechny Zaklad Ubezpieczen SA | 1368071 |
|  | Total Poland | 5132139 |
|  | **Qatar — 0.7%** | **Qatar — 0.7%** |
| 423354 | Qatar National Bank QPSC | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2288834 |
|  | **Russia — 1.2%** | **Russia — 1.2%** |
| 4036000 | Alrosa PJSC <sup>\* (b) (c)</sup> | 300552 |
| 434347 | Etalon Group Plc GDR (Registered) <sup>(b)</sup> | 24383 |
| 131280 | Evraz Plc <sup>(b)</sup> | 3239 |
| 236860000 | Federal Grid Co Unified Energy System PJSC <sup>\* (b)</sup> | 23447 |
| 102255 | Gazprom Neft PJSC <sup>(b)</sup> | 54858 |
| 897812 | Gazprom PJSC <sup>(b)</sup> | 172706 |
| 6151400 | Inter RAO UES PJSC <sup>\* (b)</sup> | 23144 |
| 122088 | LUKOIL PJSC <sup>(b)</sup> | 643920 |
| 4327340 | Magnitogorsk Iron & Steel Works PJSC <sup>\* (b) (c)</sup> | 155093 |
| 7832 | MMC Norilsk Nickel PJSC <sup>(b)</sup> | 128325 |
| 5 | MMC Norilsk Nickel PJSC ADR <sup>\* (b)</sup> | 8 |
| 172200 | Mobile TeleSystems PJSC ADR <sup>\* (b)</sup> | 93206 |
| 88090 | Moscow Exchange MICEX-RTS PJSC <sup>\* (b)</sup> | 8770 |
| 93370 | Novatek PJSC <sup>(b)</sup> | 110465 |
| 1403510 | Novolipetsk Steel PJSC <sup>\* (b)</sup> | 170588 |
| 4917 | PhosAgro PJSC <sup>(b)</sup> | 36266 |
| 95 | PhosAgro PJSC GDR <sup>\* (b) (c)</sup> | 234 |
| 276810 | Polymetal International Plc <sup>\*</sup> | 802683 |
| 11902 | Polyus PJSC <sup>\* (b)</sup> | 98298 |
| 4917 | Ros Agro Plc GDR (Registered) <sup>\* (b)</sup> | 4443 |
| 50074400 | RusHydro PJSC <sup>\* (b)</sup> | 43315 |
| 3446432 | Sberbank of Russia PJSC <sup>\* (b) (c)</sup> | 535712 |
| 140607 | Severstal PJSC GDR (Registered) <sup>\* (b) (c)</sup> | 127290 |
| 2387800 | Surgutneftegas PJSC <sup>(b)</sup> | 59162 |
| 657084 | Tatneft PJSC <sup>(b)</sup> | 274430 |
| 9408 | TCS Group Holding Plc GDR (Registered) <sup>\* (b)</sup> | 29294 |
|  | Total Russia | 3923831 |
|  | **South Africa — 5.8%** | **South Africa — 5.8%** |
| 10527 | Absa Group Ltd | 126232 |
| 27663 | Anglo American Platinum Ltd | 2796027 |
| 7736 | Aspen Pharmacare Holdings Ltd | 64197 |
| 43668 | AVI Ltd | 187356 |
| 9210 | Capitec Bank Holdings Ltd | 1093458 |
| 5110 | Clicks Group Ltd | 87910 |
| 10707 | Exxaro Resources Ltd | 140048 |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **South Africa — continued** | **South Africa — continued** |
| 997320 | FirstRand Ltd | 3876058 |
| 57321 | Foschini Group Ltd (The) | 349455 |
| 70000 | Gold Fields Ltd Sponsored ADR | 780500 |
| 78508 | Impala Platinum Holdings Ltd | 954153 |
| 15664 | Investec Ltd | 94543 |
| 48049 | Kumba Iron Ore Ltd | 1357441 |
| 11996 | Motus Holdings Ltd | 81888 |
| 59533 | Mr Price Group Ltd | 581863 |
| 75532 | MTN Group Ltd | 618958 |
| 7498 | Nedbank Group Ltd | 99111 |
| 96694 | Ninety One Ltd | 225833 |
| 1228743 | Old Mutual Ltd | 789312 |
| 11305 | Omnia Holdings Ltd | 46034 |
| 2739 | Reinet Investments SCA | 48353 |
| 171744 | Sanlam Ltd | 563929 |
| 6614 | Shoprite Holdings Ltd | 96517 |
| 183551 | Sibanye Stillwater Ltd | 510715 |
| 90100 | Sibanye Stillwater Ltd ADR | 1010021 |
| 976 | Standard Bank Group Ltd | 10168 |
| 29390 | Thungela Resources Ltd | 536463 |
| 39085 | Tiger Brands Ltd | 440887 |
| 73929 | Truworths International Ltd | 244923 |
| 152555 | Vodacom Group Ltd | 1111043 |
| 9463 | Woolworths Holdings Ltd | 36035 |
|  | Total South Africa | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18959431 |
|  | **South Korea — 22.4%** | **South Korea — 22.4%** |
| 106 | AfreecaTV Co Ltd | 7092 |
| 5449 | Alteogen Inc <sup>\*</sup> | 151424 |
| 3855 | AMOREPACIFIC Group | 92513 |
| 1979 | BGF retail Co Ltd | 310579 |
| 22560 | BH Co Ltd | 455920 |
| 1248 | Caregen Co Ltd | 105997 |
| 18784 | Cheil Worldwide Inc | 348401 |
| 294 | CJ CheilJedang Corp | 88676 |
| 939 | CJ ENM Co Ltd | 59664 |
| 951 | CJ Logistics Corp <sup>\*</sup> | 63744 |
| 4144 | Coway Co Ltd | 182447 |
| 9357 | Daeduck Electronics Co Ltd | 168524 |
| 42172 | Daou Data Corp | 907861 |
| 11560 | DB HiTek Co Ltd | 401016 |
| 6720 | DB Insurance Co Ltd | 319413 |
| 5486 | DL E&C Co Ltd | 177179 |
| 135863 | Dongwon Development Co Ltd | 373144 |
| 542 | GOLFZON Co Ltd | 45917 |
| 496 | Green Cross Corp | 48515 |
| 9935 | GS Engineering & Construction Corp | 179685 |
| 3508 | GS Holdings Corp | 130389 |
| 4117 | HAESUNG DS Co Ltd | 135021 |
| 46799 | Hana Financial Group Inc | 1600621 |
| 2024 | Handsome Co Ltd | 40202 |
| 10799 | Hankook Tire & Technology Co Ltd | 282037 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **South Korea — continued** | **South Korea — continued** |
| 1117 | HD Hyundai Co Ltd | 55230 |
| 5281 | HDC Hyundai Development |  |
|  | Co-Engineering & Construction | 44911 |
| 16997 | HMM Co Ltd | 292928 |
| 5979 | Huchems Fine Chemical Corp | 98778 |
| 6968 | Hyundai Engineering & Construction Co Ltd | 220254 |
| 5064 | Hyundai Glovis Co Ltd | 686977 |
| 20479 | Hyundai Marine & Fire Insurance Co Ltd | 472384 |
| 7625 | Hyundai Mobis Co Ltd | 1248049 |
| 7367 | Industrial Bank of Korea | 63059 |
| 3573 | Innox Advanced Materials Co Ltd | 80329 |
| 9829 | INTOPS Co Ltd | 227264 |
| 1499 | JYP Entertainment Corp | 70061 |
| 67952 | KB Financial Group Inc | 2698220 |
| 4472 | KCC Glass Corp | 140537 |
| 2085 | KEPCO Plant Service & Engineering Co Ltd | 55096 |
| 58333 | Kia Corp | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3072043 |
| 2578 | Korea Investment Holdings Co Ltd | 114597 |
| 1070 | Korea Petrochemical Ind Co Ltd | 133471 |
| 116597 | Korea Real Estate Investment & Trust Co Ltd | 124490 |
| 5057 | Korea Zinc Co Ltd | 2444801 |
| 65921 | KT Skylife Co Ltd | 432372 |
| 91746 | KT&G Corp | 6961602 |
| 11229 | Kumho Petrochemical Co Ltd | 1291654 |
| 496 | LG H&H Co Ltd | 250301 |
| 837 | LG Innotek Co Ltd | 201799 |
| 5704 | LOTTE Fine Chemical Co Ltd | 273216 |
| 2666 | LX International Corp | 84007 |
| 14417 | LX Semicon Co Ltd | 983717 |
| 2904 | MegaStudyEdu Co Ltd | 173855 |
| 6256 | Meritz Financial Group Inc | 182270 |
| 70900 | Meritz Securities Co Ltd | 318921 |
| 17969 | Mirae Asset Securities Co Ltd | 91709 |
| 399 | NCSoft Corp | 144540 |
| 2107 | Neowiz <sup>\*</sup> | 65838 |
| 20454 | NH Investment & Securities Co Ltd | 150961 |
| 421 | NongShim Co Ltd | 105568 |
| 4910 | Orion Corp | 440906 |
| 16838 | POSCO Holdings Inc | 3854220 |
| 14500 | POSCO Holdings Inc Sponsored ADR | 827370 |
| 6276 | PSK Inc | 87157 |
| 2319 | S-1 Corp | 113427 |
| 500 | Samsung C&T Corp | 46904 |
| 5553 | Samsung Electro-Mechanics Co Ltd | 607875 |
| 518967 | Samsung Electronics Co Ltd | 24935820 |
| 3384 | Samsung Fire & Marine Insurance Co Ltd | 531156 |
| 1480 | Samsung Life Insurance Co Ltd | 83084 |
| 4930 | Samsung SDS Co Ltd | 481721 |
| 9430 | Samsung Securities Co Ltd | 255197 |
| 1393 | Samyang Foods Co Ltd | 118985 |
| 44435 | SD Biosensor Inc | 1124196 |
| 27968 | Seegene Inc | 654664 |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **South Korea — continued** | **South Korea — continued** |
| 3284 | SFA Engineering Corp | 101000 |
| 82406 | Shinhan Financial Group Co Ltd | 2388960 |
| 1653 | SK Chemicals Co Ltd | 112856 |
| 6867 | SK Hynix Inc | 453222 |
| 549 | SK Square Co Ltd <sup>\*</sup> | 15906 |
| 1928 | S-Oil Corp | 127649 |
| 617 | Soulbrain Co Ltd | 101425 |
| 13389 | Spigen Korea Co Ltd | 352071 |
| 757 | Unid Co Ltd | 57053 |
| 1188 | UNIDBTPLUS Co Ltd <sup>\*</sup> | 5727 |
| 444129 | Woori Financial Group Inc | 4436820 |
| 42655 | Woori Technology Investment Co Ltd <sup>\*</sup> | 147507 |
| 79 | Young Poong Corp | 46208 |
| 1249 | Youngone Corp | 45510 |
| 1639 | Yuhan Corp | 73262 |
|  | Total South Korea | 73359648 |
|  | **Taiwan — 26.3%** | **Taiwan — 26.3%** |
| 447000 | Acer Inc | 358743 |
| 8000 | Advanced Ceramic X Corp | 48709 |
| 28000 | Advantech Co Ltd | 304789 |
| 1011850 | AmTRAN Technology Co Ltd | 319607 |
| 118000 | Asia Cement Corp | 158558 |
| 7000 | ASMedia Technology Inc | 167834 |
| 187000 | Asustek Computer Inc | 1625423 |
| 86000 | Aten International Co Ltd | 215836 |
| 20000 | Aurora Corp | 50984 |
| 694000 | Catcher Technology Co Ltd | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4139734 |
| 2001000 | Cathay Financial Holding Co Ltd | 2847539 |
| 151900 | Chailease Holding Co Ltd | 1002598 |
| 164000 | Chicony Electronics Co Ltd | 444264 |
| 601176 | China Development Financial Holding Corp | 262468 |
| 469000 | China General Plastics Corp | 341488 |
| 2146000 | China Steel Corp | 2037164 |
| 245000 | Chipbond Technology Corp | 465674 |
| 107000 | ChipMOS Technologies Inc | 118007 |
| 20000 | Chroma ATE Inc | 130480 |
| 398000 | Chunghwa Telecom Co Ltd | 1465002 |
| 33000 | Elan Microelectronics Corp | 97059 |
| 48000 | Elite Material Co Ltd | 301470 |
| 953600 | Evergreen Marine Corp Taiwan Ltd | 5119640 |
| 68000 | Everlight Electronics Co Ltd | 83290 |
| 91000 | Far Eastern New Century Corp | 96316 |
| 40000 | Feng Hsin Steel Co Ltd | 87110 |
| 244000 | First Financial Holding Co Ltd | 208273 |
| 15000 | FLEXium Interconnect Inc <sup>\*</sup> | 52398 |
| 110000 | Formosa Advanced Technologies Co Ltd | 141923 |
| 49000 | Formosa Chemicals & Fibre Corp | 121318 |
| 17000 | Formosa International Hotels Corp | 131184 |
| 1066000 | Formosa Plastics Corp | 3126688 |
| 405897 | Foxconn Technology Co Ltd | 689942 |
| 1720500 | Fubon Financial Holding Co Ltd | 3417289 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Taiwan — continued** | **Taiwan — continued** |
| 34000 | Getac Technology Corp | 47285 |
| 162000 | Gigabyte Technology Co Ltd | 577375 |
| 21000 | Global Mixed Mode Technology Inc | 101561 |
| 449000 | Grand Pacific Petrochemical | 304858 |
| 85000 | Greatek Electronics Inc | 135805 |
| 1384000 | HannStar Display Corp | 517722 |
| 41000 | Holtek Semiconductor Inc | 95605 |
| 1512000 | Hon Hai Precision Industry Co Ltd | 4950721 |
| 14000 | International Games System Co Ltd | 177808 |
| 169000 | Inventec Corp | 136374 |
| 7000 | King Slide Works Co Ltd | 94350 |
| 391000 | King's Town Bank Co Ltd | 443433 |
| 104000 | Kung Long Batteries Industrial Co Ltd | 465826 |
| 91000 | Largan Precision Co Ltd | 6856459 |
| 736000 | Lite-On Technology Corp | 1570733 |
| 18000 | Makalot Industrial Co Ltd | 137037 |
| 467000 | Micro-Star International Co Ltd | 1882051 |
| 247000 | Mitac Holdings Corp | 239221 |
| 648000 | Nan Ya Plastics Corp | 1620756 |
| 208528 | Nantex Industry Co Ltd | 263684 |
| 250000 | Nanya Technology Corp | 466530 |
| 6000 | Nien Made Enterprise Co Ltd | 56960 |
| 313000 | Novatek Microelectronics Corp | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3066859 |
| 91000 | Phison Electronics Corp | 977336 |
| 32000 | Powertech Technology Inc | 87275 |
| 190000 | Primax Electronics Ltd | 358528 |
| 242000 | Radiant Opto-Electronics Corp | 827612 |
| 22000 | Raydium Semiconductor Corp | 225130 |
| 18000 | Realtek Semiconductor Corp | 187127 |
| 130000 | Shanghai Commercial & Savings Bank Ltd (The) | 214816 |
| 59000 | Simplo Technology Co Ltd | 584663 |
| 9000 | Sinbon Electronics Co Ltd | 79501 |
| 34000 | Sonix Technology Co Ltd | 54021 |
| 10000 | Sporton International Inc | 67449 |
| 69000 | Synnex Technology International Corp | 131213 |
| 39000 | T3EX Global Holdings Corp | 100766 |
| 38000 | TaiDoc Technology Corp | 227466 |
| 109200 | Taita Chemical Co Ltd | 79231 |
| 273000 | Taiwan Glass Industry Corp | 207641 |
| 23000 | Taiwan Hon Chuan Enterprise Co Ltd | 60342 |
| 283000 | Taiwan PCB Techvest Co Ltd | 337358 |
| 172300 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 14297454 |
| 140000 | Taiwan Union Technology Corp | 262335 |
| 30000 | TCI Co Ltd | 136997 |
| 82000 | Tripod Technology Corp | 258869 |
| 36000 | Tung Ho Steel Enterprise Corp | 62793 |
| 23000 | TXC Corp | 62837 |
| 108000 | United Integrated Services Co Ltd | 631358 |
| 97000 | Universal Inc | 77650 |
| 505000 | USI Corp | 369384 |
| 82000 | Vanguard International Semiconductor Corp | 222680 |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Taiwan — continued** | **Taiwan — continued** |
| 27000 | Walsin Technology Corp | 77386 |
| 791250 | Wan Hai Lines Ltd | 1981158 |
| 37000 | Weikeng Industrial Co Ltd | 32381 |
| 60000 | WPG Holdings Ltd | 94714 |
| 3473000 | Yang Ming Marine Transport Corp | 7555908 |
| 928580 | Yuanta Financial Holding Co Ltd | 683237 |
|  | Total Taiwan | 86002430 |
|  | **Thailand — 1.7%** | **Thailand — 1.7%** |
| 166900 | AP Thailand Pcl NVDR | 48044 |
| 30200 | Bangchak Corp Pcl NVDR | 27521 |
| 353200 | Chularat Hospital Pcl NVDR | 37104 |
| 116300 | CP ALL Pcl NVDR | 215322 |
| 28200 | Kasikornbank Pcl NVDR | 116201 |
| 28600 | Kiatnakin Phatra Bank Pcl NVDR | 58338 |
| 96700 | Krung Thai Bank Pcl NVDR | 48527 |
| 55900 | Major Cineplex Group Pcl NVDR | 31239 |
| 32400 | Mega Lifesciences Pcl NVDR | 43194 |
| 835700 | PTT Exploration & Production Pcl NVDR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4455964 |
| 195900 | Regional Container Lines Pcl NVDR | 167983 |
| 613200 | Sri Trang Gloves Thailand Pcl NVDR | 174460 |
| 182100 | Star Petroleum Refining Pcl NVDR | 60193 |
| 41600 | Tisco Financial Group Pcl NVDR | 115400 |
|  | Total Thailand | 5599490 |
|  | **Turkey — 0.5%** | **Turkey — 0.5%** |
| 1160444 | Akbank TAS | 1085469 |
| 278414 | Enerjisa Enerji AS | 434686 |
| 17964 | Is Yatirim Menkul Degerler AS | 46044 |
| 14603 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 89543 |
| 29627 | Vestel Beyaz Esya Sanayi ve Ticaret AS | 20247 |
|  | Total Turkey | 1675989 |
|  | **United Kingdom — 0.6%** | **United Kingdom — 0.6%** |
| 35882 | Unilever Plc | 1794140 |
|  | **Vietnam — 3.1%** | **Vietnam — 3.1%** |
| 376500 | Duc Giang Chemicals JSC | 940010 |
| 2483100 | Hoa Phat Group JSC | 1868573 |
| 784900 | Hoa Sen Group <sup>\*</sup> | 362088 |
| 296900 | IDICO Corp JSC | 434991 |
| 570800 | Nam Kim Steel JSC | 257072 |
| 83700 | PetroVietNam Ca Mau Fertilizer JSC | 100010 |
| 69900 | Petrovietnam Fertilizer & Chemicals JSC | 117015 |
| 17100 | PetroVietnam Nhon Trach 2 Power JSC | 19040 |
| 138600 | PetroVietnam Technical Services Corp | 119594 |
| 46700 | Phat Dat Real Estate Development Corp <sup>\*</sup> | 25970 |
| 998075 | Saigon – Hanoi Commercial Joint Stock Bank <sup>\*</sup> | 414166 |
| 605800 | Saigon Thuong Tin Commercial JSB <sup>\*</sup> | 497766 |
| 1618500 | SSI Securities Corp | 1280457 |
| 215700 | Vietnam Dairy Products JSC | 727675 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Vietnam — continued** | **Vietnam — continued** |
| 778900 | Vietnam Joint Stock Commercial Bank for Industry and Trade | 869874 |
| 241700 | Vinhomes JSC | 537413 |
| 3043200 | VNDirect Securities Corp | 1704017 |
|  | Total Vietnam | 10275731 |
|  | TOTAL COMMON STOCKS<br>(COST $377,119,882) | 293779599 |
|  | **PREFERRED STOCKS <sup>(d)</sup> — 5.9%** | **PREFERRED STOCKS <sup>(d)</sup> — 5.9%** |
|  | **Brazil — 5.8%** | **Brazil — 5.8%** |
| 13200 | Banco do Estado do Rio Grande do Sul SA – Class B | 25361 |
| 245520 | Cia Energetica de Minas Gerais | 543145 |
| 60 | Cia Energetica de Minas Gerais Sponsored ADR | 131 |
| 248900 | Cia Paranaense de Energia – Class B | 387546 |
| 98200 | Gerdau SA | 597411 |
| 87300 | Gerdau SA Sponsored ADR | 532530 |
| 2330700 | Petroleo Brasileiro SA | 11973843 |
| 470305 | Petroleo Brasileiro SA Sponsored ADR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4820626 |
| 6391 | Unipar Carbocloro SA – Class B | 119683 |
|  | Total Brazil | 19000276 |
|  | **Chile — 0.0%** | **Chile — 0.0%** |
| 24477 | Embotelladora Andina SA – Class B | 47186 |
|  | **Russia — 0.1%** | **Russia — 0.1%** |
| 3948700 | Surgutneftegas PJSC <sup>(b)</sup> | 112421 |
| 315 | Transneft PJSC <sup>(b)</sup> | 31977 |
|  | Total Russia | 144398 |
|  | **South Korea — 0.0%** | **South Korea — 0.0%** |
| 75 | LG H&H Co Ltd | 15895 |
|  | **Taiwan — 0.0%** | **Taiwan — 0.0%** |
| 224635 | China Development Financial Holding Corp | 55038 |
|  | TOTAL PREFERRED STOCKS<br>(COST $23,035,965) | 19262793 |
|  | **MUTUAL FUNDS — 3.8%** | **MUTUAL FUNDS — 3.8%** |
|  | **United States — 3.8%** | **United States — 3.8%** |
|  | **Affiliated Issuers — 3.8%** | **Affiliated Issuers — 3.8%** |
| 2514425 | GMO U.S. Treasury Fund | 12521838 |
|  | Total United States | 12521838 |
|  | TOTAL MUTUAL FUNDS<br>(COST $12,521,838) | 12521838 |

---

------

**GMO Emerging Markets ex-China Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
| | **SHORT-TERM INVESTMENTS — 0.5%** | **SHORT-TERM INVESTMENTS — 0.5%** |
| | **Money Market Funds — 0.5%** | **Money Market Funds — 0.5%** |
| 1708508 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(e)</sup> | 1708508 |
|  | **U.S. Government — 0.0%** | **U.S. Government — 0.0%** |
| 10000 | U.S. Treasury Bill, 4.04%, due 02/02/23 <sup>(f)</sup> | 9930 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $1,718,456) | 1718438 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $414,396,141) | **327282668** |
|  | Other Assets and Liabilities (net) — 0.1% | 362243 |
|  | **TOTAL NET ASSETS — 100.0%** | **$327644911** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2022** |
| Alrosa PJSC | 10/18/21 | $7054956 | 0.1% | $300552 |
| Magnitogorsk Iron & Steel Works PJSC | 10/18/21 | 4011995 | 0.0% | 155093 |
| PhosAgro PJSC GDR | 10/18/21 | 2465 | 0.0% | 234 |
| Sberbank of Russia PJSC | 10/18/21 | 16614391 | 0.2% | 535712 |
| Severstal PJSC GDR (Registered) | 10/18/21 | 3190235 | 0.0% | 127290 |
|  |  |  |  | $1118881 |

---

**Notes to Schedule of Investments:** 

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

\* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

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

(c) The security is restricted as to resale.

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

(e) The rate disclosed is the 7 day net yield as of November 30, 2022.

(f) The rate shown represents yield-to-maturity.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

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

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 91.5%** | **COMMON STOCKS — 91.5%** |
| | **Brazil — 2.3%** | **Brazil — 2.3%** |
| 99000 | Cia Brasileira de Aluminio | 230838 |
| 87500 | EDP – Energias do Brasil SA | 357800 |
| 366386 | Enauta Participacoes SA | 946086 |
| 38100 | Engie Brasil Energia SA | 290008 |
| 903217 | Localiza Rent a Car SA | 10460528 |
| 2771 | Localiza Rent a Car SA GDR <sup>\* (a)</sup> | 32092 |
| 919300 | Vale SA Sponsored ADR – Class B | 15168450 |
|  | Total Brazil | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27485802 |
|  | **Chile — 0.1%** | **Chile — 0.1%** |
| 30434 | CAP SA | 223410 |
| 87708 | Cencosud Shopping SA | 112077 |
| 8007851 | Colbun SA | 712472 |
|  | Total Chile | 1047959 |
|  | **China — 22.6%** | **China — 22.6%** |
| 2476000 | 361 Degrees International Ltd <sup>\*</sup> | 1083218 |
| 585500 | 3SBio Inc | 621106 |
| 362000 | Agile Group Holdings Ltd <sup>\* (b)</sup> | 119221 |
| 222000 | AK Medical Holdings Ltd | 218562 |
| 10060000 | Alibaba Pictures Group Ltd <sup>\*</sup> | 547373 |
| 806500 | A-Living Smart City Services Co Ltd | 932370 |
| 248600 | Anhui Expressway Co Ltd – Class A | 249853 |
| 354000 | Anhui Expressway Co Ltd – Class H | 270066 |
| 23400 | ANTA Sports Products Ltd | 278115 |
| 284800 | Autohome Inc – Class A <sup>(b)</sup> | 2117421 |
| 373300 | Autohome Inc ADR | 11161670 |
| 69400 | CanSino Biologics Inc – Class H | 883610 |
| 1008000 | China BlueChemical Ltd – Class H | 234366 |
| 6658541 | China Coal Energy Co Ltd – Class A | 9126228 |
| 4725878 | China Communications Services Corp Ltd – Class H | 1629161 |
| 17638148 | China Construction Bank Corp – Class H | 10674605 |
| 2665000 | China Dongxiang Group Co Ltd | 110548 |
| 947000 | China Education Group Holdings Ltd | 1013082 |
| 399000 | China Everbright Environment Group Ltd | 184616 |
| 20128000 | China Feihe Ltd | 16460787 |
| 2767000 | China Hongqiao Group Ltd | 2614993 |
| 1216000 | China Lesso Group Holdings Ltd | 1490762 |
| 877000 | China Medical System Holdings Ltd | 1284489 |
| 1802000 | China Oriental Group Co Ltd | 323645 |
| 12914332 | China Petroleum & Chemical Corp – Class A | 8206648 |
| 310000 | China Resources Cement Holdings Ltd | 167086 |
| 710000 | China Resources Land Ltd | 3297889 |
| 4827931 | China Shenhua Energy Co Ltd – Class A | 20805516 |
| 294000 | China Shenhua Energy Co Ltd – Class H | 911239 |
| 168000 | China State Construction International Holdings Ltd | 202865 |
| 889000 | China Suntien Green Energy Corp Ltd – Class H | 367621 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **China — continued** | **China — continued** |
| 177481 | China Tourism Group Duty Free Corp Ltd – Class A | 4980685 |
| 992000 | China Traditional Chinese Medicine Holdings Co Ltd | 497371 |
| 732000 | China Yuhua Education Corp Ltd – Class L <sup>\*</sup> | 104023 |
| 5502000 | CIFI Holdings Group Co Ltd | 831187 |
| 2585500 | COSCO Shipping Holdings Co Ltd – Class A | 4618270 |
| 2301000 | Country Garden Services Holdings Co Ltd | 5753586 |
| 1209000 | Dongyue Group Ltd | 1353624 |
| 299000 | Fufeng Group Ltd | 190488 |
| 177000 | Greentown Management Holdings Co Ltd | 155904 |
| 198000 | Guangdong Investment Ltd | 181499 |
| 56000 | Haitian International Holdings Ltd | 144105 |
| 177122 | Hangzhou Robam Appliances Co Ltd – Class A | 651552 |
| 250000 | Hansoh Pharmaceutical Group Co Ltd | 472414 |
| 482900 | Hello Group Inc Sponsored ADR | 2771846 |
| 83500 | Hengan International Group Co Ltd | 384889 |
| 228300 | Hopson Development Holdings Ltd | 259546 |
| 10248000 | Hua Han Health Industry Holdings Ltd <sup>(c)</sup> | 1 |
| 408000 | Huabao International Holdings Ltd <sup>(b)</sup> | 216823 |
| 250800 | Huayu Automotive Systems Co Ltd – Class A | 653642 |
| 26375 | HUTCHMED China Ltd ADR <sup>\*</sup> | 319929 |
| 8511224 | Inner Mongolia Eerduosi Resources Co Ltd – Class A | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19388669 |
| 1002000 | Inner Mongolia Yitai Coal Co Ltd – Class H | 1430370 |
| 1235000 | Jinxin Fertility Group Ltd | 956574 |
| 19800 | JOYY Inc ADR | 603108 |
| 354500 | Kingboard Laminates Holdings Ltd | 374308 |
| 25749 | Kweichow Moutai Co Ltd – Class A | 5802745 |
| 407000 | KWG Group Holdings Ltd <sup>\*</sup> | 94366 |
| 467000 | Lee & Man Paper Manufacturing Ltd | 180914 |
| 463500 | Longfor Group Holdings Ltd <sup>(b)</sup> | 1412185 |
| 1785000 | Lonking Holdings Ltd | 319121 |
| 128800 | Midea Group Co Ltd – Class A | 876411 |
| 1066000 | Ming Yuan Cloud Group Holdings Ltd | 820215 |
| 1324000 | MMG Ltd <sup>\*</sup> | 348451 |
| 328400 | NetEase Inc | 4748215 |
| 75181 | NetEase Inc ADR | 5346873 |
| 660000 | Orient Overseas International Ltd | 12540878 |
| 12029000 | PICC Property & Casualty Co Ltd – Class H | 12186667 |
| 945374 | Ping An Insurance Group Co of China Ltd – Class A | 5995886 |
| 349500 | Ping An Insurance Group Co of China Ltd – Class H | 2157814 |
| 4348400 | Qingling Motors Co Ltd – Class H | 528776 |
| 1138000 | Seazen Group Ltd <sup>\*</sup> | 509925 |
| 165800 | Shandong Publishing & Media Co Ltd – Class A | 150566 |
| 462400 | Shandong Weigao Group Medical Polymer Co Ltd – Class H | 671316 |
| 87989 | Shanghai Waigaoqiao Free Trade Zone Group Co Ltd – Class A | 156746 |
| 1201681 | Shenzhen YUTO Packaging Technology Co Ltd – Class A | 5547782 |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **China — continued** | **China — continued** |
| 582000 | Shougang Fushan Resources Group Ltd | 197342 |
| 2000500 | Sinopec Engineering Group Co Ltd – Class H | 822620 |
| 1510000 | Sinotruk Hong Kong Ltd | 1981967 |
| 1489000 | Sunac China Holdings Ltd <sup>\* (a)</sup> | 873085 |
| 144000 | Sunac Services Holdings Ltd <sup>(b)</sup> | 59791 |
| 645400 | Sunny Optical Technology Group Co Ltd | 7683395 |
| 631065 | Tencent Holdings Ltd | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23864539 |
| 155300 | Tencent Holdings Ltd ADR <sup>(b)</sup> | 5868787 |
| 252000 | Tianneng Power International Ltd | 272181 |
| 417000 | Topsports International Holdings Ltd | 265331 |
| 591631 | Vipshop Holdings Ltd ADR <sup>\*</sup> | 6596686 |
| 290000 | Want Want China Holdings Ltd | 196775 |
| 124000 | Wharf Holdings Ltd (The) | 334172 |
| 999400 | Xiaomi Corp – Class B <sup>\*</sup> | 1320429 |
| 204400 | Xinhua Winshare Publishing and Media Co Ltd – Class A | 299768 |
| 779500 | Xtep International Holdings Ltd | 895984 |
| 258000 | Yadea Group Holdings Ltd | 489476 |
| 1519815 | Yankuang Energy Group Co Ltd – Class A | 8695305 |
| 258000 | Yankuang Energy Group Co Ltd – Class H | 866286 |
| 1252000 | Zhejiang Expressway Co Ltd – Class H | 934944 |
| 37507 | Zhejiang Supor Co Ltd – Class A | 242322 |
| 789400 | Zoomlion Heavy Industry Science and Technology Co Ltd – Class H | 366860 |
|  | Total China | 268407041 |
|  | **Colombia — 0.0%** |  |
| 469783 | Ecopetrol SA | 222826 |
|  | **Czech Republic — 0.1%** |  |
| 402616 | Moneta Money Bank AS | 1238422 |
| 745 | Philip Morris CR AS | 540291 |
|  | Total Czech Republic | 1778713 |
|  | **Egypt — 0.1%** |  |
| 444984 | Commercial International Bank Egypt SAE | 729309 |
|  | **Greece — 0.0%** |  |
| 12682 | JUMBO SA | 202544 |
| 9006 | Motor Oil Hellas Corinth Refineries SA | 181796 |
|  | Total Greece | 384340 |
|  | **Hungary — 1.6%** |  |
| 130081 | Magyar Telekom Telecommunications Plc | 109980 |
| 222820 | MOL Hungarian Oil & Gas Plc | 1613084 |
| 595318 | OTP Bank Nyrt | 16413962 |
| 31501 | Richter Gedeon Nyrt | 677661 |
|  | Total Hungary | 18814687 |
|  | **India — 7.4%** |  |
| 205098 | Asian Paints Ltd | 8026342 |
| 703602 | Axis Bank Ltd | 7806200 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **India — continued** | |
| 39571 | Balrampur Chini Mills Ltd | 187176 |
| 110764 | Castrol India Ltd | 178840 |
| 92716 | City Union Bank Ltd | 217812 |
| 976 | Clean Science & Technology Ltd | 18102 |
| 68208 | Coal India Ltd | 192668 |
| 60707 | Cochin Shipyard Ltd | 499916 |
| 17236 | Colgate-Palmolive India Ltd | 345458 |
| 34439 | Coromandel International Ltd | 394605 |
| 27653 | Deepak Fertilisers & Petrochemicals Corp Ltd | 276572 |
| 19887 | EID Parry India Ltd | 148466 |
| 93157 | Exide Industries Ltd | 217212 |
| 11221529 | Gayatri Projects Ltd <sup>\* (d)</sup> | 1278690 |
| 38858 | GHCL Ltd | 277681 |
| 34544 | Great Eastern Shipping Co Ltd (The) | 284067 |
| 80321 | Gujarat Mineral Development Corp Ltd | 156608 |
| 164312 | Gujarat State Fertilizers & Chemicals Ltd | 268198 |
| 148267 | HCL Technologies Ltd | 2060234 |
| 181064 | HDFC Bank Ltd | 3598748 |
| 158429 | Hindustan Zinc Ltd | 601036 |
| 200845 | Housing Development Finance Corp Ltd | 6679678 |
| 1066601 | ICICI Bank Ltd | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12491703 |
| 608400 | Infosys Ltd Sponsored ADR | 12380940 |
| 1054022 | Kiri Industries Ltd <sup>\*</sup> | 6445265 |
| 315542 | L&T Finance Holdings Ltd | 340121 |
| 142751 | Larsen + Toubro Infotech Ltd <sup>(a)</sup> | 8586516 |
| 19259 | Mahanagar Gas Ltd | 214434 |
| 536668 | Manappuram Finance Ltd | 763784 |
| 307766 | NCC Ltd | 314609 |
| 92024 | Oil India Ltd | 233654 |
| 7091 | Oracle Financial Services Software Ltd | 272582 |
| 546410 | Petronet LNG Ltd | 1433450 |
| 9504 | PI Industries Ltd | 410211 |
| 6504 | Polyplex Corp Ltd | 144151 |
| 160678 | Redington Ltd | 358561 |
| 913 | Shriram Transport Finance Co Ltd | 15213 |
| 112841 | Sun TV Network Ltd | 686378 |
| 248783 | Titan Co Ltd | 8177986 |
| 49711 | Welspun Corp Ltd | 154432 |
|  | Total India | 87138299 |
|  | **Indonesia — 4.0%** |  |
| 27417200 | Adaro Energy Indonesia Tbk PT | 6784973 |
| 2393700 | Adaro Minerals Indonesia Tbk PT <sup>\*</sup> | 248020 |
| 30524500 | Bank Central Asia Tbk PT | 18133951 |
| 5749500 | Bank Mandiri Persero Tbk PT | 3878391 |
| 4913200 | Bank Negara Indonesia Persero Tbk PT | 3112465 |
| 10241900 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 475772 |
| 29762800 | Bank Rakyat Indonesia Persero Tbk PT | 9467929 |
| 6394500 | Bukit Asam Tbk PT | 1551500 |
| 60300 | Gudang Garam Tbk PT | 76470 |
| 622691 | Indo Tambangraya Megah Tbk PT | 1658479 |
| 19696600 | Panin Financial Tbk PT | 592726 |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Indonesia — continued** | |
| 883300 | Tower Bersama Infrastructure Tbk PT | 130264 |
| 444500 | United Tractors Tbk PT | 874306 |
|  | Total Indonesia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46985246 |
|  | **Kuwait — 0.1%** |  |
| 56336 | Humansoft Holding Co KSC | 615911 |
|  | **Malaysia — 0.1%** |  |
| 1058600 | Hartalega Holdings Bhd | 414104 |
| 1291200 | Hibiscus Petroleum Bhd | 323649 |
| 1240300 | Kossan Rubber Industries Bhd | 311084 |
| 254600 | RHB Bank Bhd | 322513 |
|  | Total Malaysia | 1371350 |
|  | **Mexico — 6.3%** |  |
| 4912000 | America Movil SAB de CV – Series L | 4773505 |
| 426536 | America Movil SAB de CV – Class L Sponsored ADR | 8300390 |
| 308100 | Banco del Bajio SA | 1001077 |
| 59300 | Cemex SAB de CV Sponsored ADR <sup>\*</sup> | 271001 |
| 90100 | Concentradora Fibra Danhos SA de CV (REIT) | 109041 |
| 315700 | Credito Real SAB de CV SOFOM ER <sup>\* (c)</sup> |  |
| 100 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 7987 |
| 373300 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 6063465 |
| 122639 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 3041503 |
| 13600 | Grupo Aeroportuario del Sureste SAB de CV ADR | 3363144 |
| 4612296 | Grupo Financiero Banorte SAB de CV – Class O | 37017417 |
| 444000 | Grupo Mexico SAB de CV – Series B | 1806468 |
| 565900 | Grupo Televisa SAB | 623270 |
| 360300 | Grupo Televisa SAB Sponsored ADR | 1967238 |
| 167100 | Regional SAB de CV | 1220036 |
| 187181 | Sitios Latinoamerica SAB de CV <sup>\*</sup> | 83433 |
| 1336400 | Wal-Mart de Mexico SAB de CV | 5281461 |
|  | Total Mexico | 74930436 |
|  | **Panama — 0.0%** |  |
| 1591142 | BAC Holding International Corp <sup>\*</sup> | 90960 |
|  | **Philippines — 0.3%** |  |
| 2534500 | Converge Information and Communications Technology Solutions Inc <sup>\*</sup> | 698054 |
| 148630 | GT Capital Holdings Inc | 1158326 |
| 16607800 | Megaworld Corp | 660826 |
| 1435900 | Puregold Price Club Inc | 905125 |
|  | Total Philippines | 3422331 |
|  | **Poland — 1.0%** |  |
| 112197 | Bank Polska Kasa Opieki SA | 2146123 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Poland — continued** | |
| 24738 | Budimex SA | 1513368 |
| 37495 | KGHM Polska Miedz SA | 992554 |
| 138622 | Orange Polska SA | 195238 |
| 489157 | Polski Koncern Naftowy ORLEN SA | 7199998 |
|  | Total Poland | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12047281 |
|  | **Qatar — 0.7%** |  |
| 1465741 | Qatar National Bank QPSC | 7924426 |
| 515825 | Qatar National Cement Co QSC | 652288 |
|  | Total Qatar | 8576714 |
|  | **Russia — 1.5%** |  |
| 31701260 | Alrosa PJSC <sup>\* (c) (e)</sup> | 2360724 |
| 380350 | Detsky Mir PJSC <sup>\* (c)</sup> | 30435 |
| 39977 | Evraz Plc <sup>(c)</sup> | 986 |
| 1432600000 | Federal Grid Co Unified Energy System<br>PJSC <sup>\* (c)</sup> | 141816 |
| 653911 | Fix Price Group Ltd GDR <sup>\* (c)</sup> | 161696 |
| 219070 | Gazprom Neft PJSC <sup>(c)</sup> | 117528 |
| 1250860 | Gazprom PJSC <sup>(c)</sup> | 240620 |
| 575658 | Globaltrans Investment Plc Sponsored GDR (Registered) <sup>\* (c)</sup> | 213794 |
| 78536400 | Inter RAO UES PJSC <sup>\* (c)</sup> | 295485 |
| 239440 | LSR Group PJSC – Class A <sup>\* (c)</sup> | 128703 |
| 3 | LSR Group PJSC GDR (Registered) <sup>(c)</sup> |  |
| 285469 | LUKOIL PJSC <sup>(c)</sup> | 1505630 |
| 17490987 | Magnitogorsk Iron & Steel Works PJSC <sup>\* (c) (e)</sup> | 626881 |
| 474800 | Mechel PJSC <sup>\* (c)</sup> | 55280 |
| 37212 | MMC Norilsk Nickel PJSC <sup>(c)</sup> | 609710 |
| 5 | MMC Norilsk Nickel PJSC ADR <sup>\* (c)</sup> | 8 |
| 249660 | Mobile TeleSystems PJSC <sup>(c)</sup> | 67428 |
| 35508 | Mobile TeleSystems PJSC ADR <sup>\* (c)</sup> | 19219 |
| 4133417 | Moscow Exchange MICEX-RTS PJSC <sup>\* (c)</sup> | 411499 |
| 10015560 | Novolipetsk Steel PJSC <sup>\* (c)</sup> | 1217328 |
| 11924 | PhosAgro PJSC <sup>(c)</sup> | 87947 |
| 230 | PhosAgro PJSC GDR <sup>\* (c) (e)</sup> | 567 |
| 916204 | Polymetal International Plc <sup>\*</sup> | 2656774 |
| 80094 | Polyus PJSC <sup>\* (c)</sup> | 661489 |
| 24938000 | RusHydro PJSC <sup>\* (c)</sup> | 21572 |
| 13125612 | Sberbank of Russia PJSC <sup>\* (c) (e)</sup> | 2040240 |
| 706464 | Severstal PJSC GDR (Registered) <sup>\* (c) (e)</sup> | 639553 |
| 68353 | SFI PJSC <sup>\* (c)</sup> | 35737 |
| 63500900 | Surgutneftegas PJSC <sup>(c)</sup> | 1573345 |
| 2860038 | Tatneft PJSC <sup>(c)</sup> | 1194491 |
| 8118000 | Unipro PJSC <sup>(c)</sup> | 12897 |
| 556430 | United Co Rusal International PJSC <sup>(c)</sup> | 24449 |
| 46698 | X5 Retail Group NV GDR (Registered) <sup>(c)</sup> | 53606 |
|  | Total Russia | 17207437 |
|  | **South Africa — 4.0%** |  |
| 108697 | Anglo American Platinum Ltd | 10986506 |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **South Africa — continued** | |
| 20722 | Aspen Pharmacare Holdings Ltd | 171960 |
| 64589 | AVI Ltd | 277118 |
| 34828 | Capitec Bank Holdings Ltd | 4134956 |
| 29563 | Exxaro Resources Ltd | 386686 |
| 1046169 | FirstRand Ltd | 4065908 |
| 147771 | Foschini Group Ltd (The) | 900878 |
| 234612 | Impala Platinum Holdings Ltd | 2851376 |
| 177527 | Investec Ltd | 1071496 |
| 324734 | Kumba Iron Ore Ltd | 9174120 |
| 413419 | Lewis Group Ltd | 1190383 |
| 186758 | Mr Price Group Ltd | 1825333 |
| 309016 | Ninety One Ltd | 721721 |
| 1733601 | Old Mutual Ltd | 1113620 |
| 320809 | Sanlam Ltd | 1053391 |
| 601219 | Sibanye Stillwater Ltd | 1672842 |
| 256200 | Sibanye Stillwater Ltd ADR | 2872002 |
| 69352 | Thungela Resources Ltd | 1265898 |
| 97109 | Tiger Brands Ltd | 1095411 |
| 67897 | Truworths International Ltd | 224939 |
| 130485 | Vodacom Group Ltd | 950309 |
|  | Total South Africa | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48006853 |
|  | **South Korea — 14.0%** |  |
| 12238 | AfreecaTV Co Ltd | 818832 |
| 17324 | Alteogen Inc <sup>\*</sup> | 481423 |
| 12256 | AMOREPACIFIC Group | 294122 |
| 1664 | BGF retail Co Ltd | 261144 |
| 18963 | BH Co Ltd | 383228 |
| 12869 | Cheil Worldwide Inc | 238691 |
| 2984 | CJ ENM Co Ltd | 189604 |
| 3023 | CJ Logistics Corp <sup>\*</sup> | 202626 |
| 25747 | Daeduck Electronics Co Ltd | 463717 |
| 3687 | Daou Data Corp | 79372 |
| 80408 | DB HiTek Co Ltd | 2789348 |
| 21660 | DB Insurance Co Ltd | 1029536 |
| 2207 | DL E&C Co Ltd | 71278 |
| 492446 | Dongwon Development Co Ltd | 1352488 |
| 1575 | Green Cross Corp | 154055 |
| 31586 | GS Engineering & Construction Corp | 571265 |
| 3234 | HAESUNG DS Co Ltd | 106062 |
| 8983 | Hankook Tire & Technology Co Ltd | 234609 |
| 111481 | HDC Hyundai Development Co-Engineering & Construction <sup>(b)</sup> | 948071 |
| 108024 | Hyundai Engineering & Construction Co Ltd | 3414574 |
| 7730 | Hyundai Glovis Co Ltd | 1048644 |
| 20791 | Hyundai Marine & Fire Insurance Co Ltd | 479581 |
| 51919 | Hyundai Mobis Co Ltd | 8498025 |
| 8438 | INTOPS Co Ltd | 195102 |
| 196537 | Kia Corp | 10350405 |
| 1295 | Korea Petrochemical Ind Co Ltd | 161538 |
| 532964 | KT&G Corp <sup>(b)</sup> | 40440819 |
| 80649 | Kumho Petrochemical Co Ltd | 9276930 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **South Korea — continued** | |
| 5105 | LG H&H Co Ltd | 2576183 |
| 3768 | LOTTE Fine Chemical Co Ltd | 180483 |
| 78119 | LX Semicon Co Ltd <sup>(b)</sup> | 5330302 |
| 7829 | Meritz Financial Group Inc | 228100 |
| 56342 | Meritz Securities Co Ltd | 253436 |
| 10773 | NCSoft Corp | 3902587 |
| 20549 | NH Investment & Securities Co Ltd | 151662 |
| 3052 | Orion Corp | 274062 |
| 13568 | POSCO Holdings Inc | 3105717 |
| 22705 | Samsung Electro-Mechanics Co Ltd | 2485466 |
| 703338 | Samsung Electronics Co Ltd | 33794654 |
| 20831 | Samsung SDS Co Ltd | 2035442 |
| 10912 | Samsung Securities Co Ltd | 295303 |
| 156225 | SD Biosensor Inc | 3952459 |
| 85933 | Seegene Inc | 2011488 |
| 2942 | SK Chemicals Co Ltd | 200860 |
| 44114 | SK Hynix Inc | 2911523 |
| 2746 | Unid Co Ltd | 206960 |
| 4307 | UNIDBTPLUS Co Ltd <sup>\*</sup> | 20768 |
| 1573353 | Woori Financial Group Inc | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15717696 |
| 393848 | Woori Technology Investment Co Ltd <sup>\*</sup> | 1361980 |
|  | Total South Korea | 165532220 |
|  | **Sri Lanka — 0.0%** |  |
| 103983101 | Anilana Hotels & Properties Ltd <sup>\* (a) (d)</sup> | 253961 |
|  | **Taiwan — 19.8%** |  |
| 994035 | Advantech Co Ltd | 10820399 |
| 148000 | Asia Cement Corp | 198870 |
| 23000 | ASMedia Technology Inc | 551455 |
| 50000 | ASROCK Inc | 214510 |
| 776689 | Asustek Computer Inc | 6751058 |
| 350000 | Aten International Co Ltd | 878401 |
| 100200 | Aurora Corp | 255429 |
| 2333000 | Catcher Technology Co Ltd | 13916425 |
| 2578153 | Cathay Financial Holding Co Ltd | 3668861 |
| 413948 | Chailease Holding Co Ltd | 2732215 |
| 111000 | Chicony Electronics Co Ltd | 300691 |
| 91000 | Chipbond Technology Corp | 172965 |
| 200000 | ChipMOS Technologies Inc | 220575 |
| 456000 | Chong Hong Construction Co Ltd | 1065665 |
| 39000 | Chroma ATE Inc | 254436 |
| 776400 | Coretronic Corp | 1470053 |
| 284000 | Co-Tech Development Corp | 500817 |
| 70000 | Elan Microelectronics Corp | 205883 |
| 380000 | Elite Semiconductor Microelectronics Technology Inc | 917787 |
| 2835200 | Evergreen Marine Corp Taiwan Ltd | 15221479 |
| 156000 | Far Eastern New Century Corp | 165113 |
| 769000 | Farglory Land Development Co Ltd | 1364991 |
| 427000 | First Financial Holding Co Ltd | 364478 |
| 132000 | FLEXium Interconnect Inc <sup>\*</sup> | 461100 |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Taiwan — continued** | |
| 238000 | Formosa Plastics Corp | 698079 |
| 446778 | Foxconn Technology Co Ltd | 759432 |
| 6048489 | Fubon Financial Holding Co Ltd | 12013621 |
| 160000 | Gigabyte Technology Co Ltd | 570247 |
| 1551000 | Grand Pacific Petrochemical | 1053084 |
| 363000 | HannStar Display Corp | 135790 |
| 96000 | Holtek Semiconductor Inc | 223856 |
| 1819532 | Hon Hai Precision Industry Co Ltd | 5957668 |
| 463000 | Huaku Development Co Ltd | 1339461 |
| 34000 | International Games System Co Ltd | 431819 |
| 253000 | Inventec Corp | 204158 |
| 17000 | King Slide Works Co Ltd | 229135 |
| 204000 | Kung Long Batteries Industrial Co Ltd | 913736 |
| 281000 | Largan Precision Co Ltd | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21172142 |
| 2197000 | Lite-On Technology Corp | 4688724 |
| 35000 | Makalot Industrial Co Ltd | 266460 |
| 51000 | MediaTek Inc | 1232354 |
| 2804000 | Micro-Star International Co Ltd | 11300367 |
| 426000 | Mitac Holdings Corp | 412584 |
| 332000 | Nantex Industry Co Ltd | 419814 |
| 1580000 | Nanya Technology Corp | 2948472 |
| 1330810 | Novatek Microelectronics Corp | 13039638 |
| 927000 | Phison Electronics Corp | 9955942 |
| 62000 | Powertech Technology Inc | 169094 |
| 414000 | Primax Electronics Ltd | 781213 |
| 434936 | Radiant Opto-Electronics Corp | 1487431 |
| 36000 | Raydium Semiconductor Corp | 368395 |
| 64000 | Realtek Semiconductor Corp | 665340 |
| 137000 | Shanghai Commercial & Savings Bank Ltd (The) | 226383 |
| 406000 | Shinkong Insurance Co Ltd | 656924 |
| 174468 | Simplo Technology Co Ltd | 1728898 |
| 15000 | Sinbon Electronics Co Ltd | 132501 |
| 36000 | Soft-World International Corp | 91121 |
| 18000 | Sporton International Inc | 121409 |
| 735250 | Syncmold Enterprise Corp | 1401844 |
| 94000 | Synnex Technology International Corp | 178753 |
| 77000 | T3EX Global Holdings Corp | 198948 |
| 88024 | Tah Hsin Industrial Corp | 201241 |
| 31000 | TaiDoc Technology Corp | 185564 |
| 47000 | Taiwan Hon Chuan Enterprise Co Ltd | 123308 |
| 1159000 | Taiwan Semiconductor Manufacturing Co Ltd | 18613365 |
| 230632 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR | 19137843 |
| 225000 | Taiwan Union Technology Corp | 421610 |
| 61000 | Test Research Inc | 130435 |
| 24000 | Topkey Corp | 133180 |
| 616000 | Transcend Information Inc | 1356464 |
| 330160 | Tripod Technology Corp | 1042295 |
| 47000 | TXC Corp | 128406 |
| 276224 | United Integrated Services Co Ltd | 1614781 |
| 585000 | Universal Inc | 468304 |
| 56000 | Walsin Technology Corp | 160504 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Taiwan — continued** | |
| 2553750 | Wan Hai Lines Ltd | 6394163 |
| 160000 | Wistron Corp | 143722 |
| 28000 | Yageo Corp | 425696 |
| 9834000 | Yang Ming Marine Transport Corp | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21394989 |
| 78000 | Yulon Nissan Motor Co Ltd | 532941 |
| 234725 | Zeng Hsing Industrial Co Ltd | 890864 |
|  | Total Taiwan | 234348168 |
|  | **Thailand — 0.7%** |  |
| 559400 | CP ALL Pcl (Foreign Registered) | 1035695 |
| 300800 | Kasikornbank Pcl (Foreign Registered) | 1239478 |
| 2630100 | Pruksa Holding Pcl (Foreign Registered) | 905380 |
| 765000 | PTT Exploration & Production Pcl | 4078990 |
| 183100 | Regional Container Lines Pcl NVDR | 157007 |
| 669000 | Sri Trang Gloves Thailand Pcl (Foreign Registered) | 190336 |
| 356300 | Sri Trang Gloves Thailand Pcl NVDR | 101370 |
| 124600 | Tisco Financial Group Pcl NVDR | 345644 |
|  | Total Thailand | 8053900 |
|  | **Turkey — 0.5%** |  |
| 5097538 | Akbank TAS | 4768191 |
| 685259 | Enerjisa Enerji AS | 1069890 |
| 79882 | Is Yatirim Menkul Degerler AS | 204748 |
| 16090 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 98660 |
| 142567 | Vestel Beyaz Esya Sanayi ve Ticaret AS | 97431 |
|  | Total Turkey | 6238920 |
|  | **United Kingdom — 1.0%** |  |
| 226263 | Unilever Plc | 11313404 |
|  | **Vietnam — 3.3%** |  |
| 2572900 | Duc Giang Chemicals JSC | 6423778 |
| 4188200 | Hoa Phat Group JSC | 3151689 |
| 2600100 | Hoa Sen Group <sup>\*</sup> | 1199472 |
| 1414400 | IDICO Corp JSC | 2072252 |
| 2671400 | Nam Kim Steel JSC | 1203120 |
| 48200 | PetroVietnam Technical Services Corp | 41590 |
| 173000 | Pha Lai Thermal Power JSC | 93587 |
| 4297970 | Saigon – Hanoi Commercial Joint Stock Bank <sup>\*</sup> | 1783504 |
| 7874700 | SSI Securities Corp | 6229974 |
| 1519800 | Vietnam Dairy Products JSC | 5127121 |
| 2768900 | Vietnam Joint Stock Commercial Bank for Industry and Trade | 3092301 |
| 132600 | Vinhomes JSC | 294832 |
| 15246800 | VNDirect Securities Corp | 8537332 |
|  | Total Vietnam | 39250552 |
|  | TOTAL COMMON STOCKS<br>(COST $1,554,663,331) | 1084254620 |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **PREFERRED STOCKS <sup>(f)</sup> — 5.6%** | **PREFERRED STOCKS <sup>(f)</sup> — 5.6%** |
| | **Brazil — 3.4%** | **Brazil — 3.4%** |
| 90300 | Banco do Estado do Rio Grande do Sul SA – Class B | 173488 |
| 1 | Cia Energetica de Minas Gerais | 2 |
| 362800 | Gerdau SA | 2207135 |
| 781200 | Gerdau SA Sponsored ADR | 4765320 |
| 6364700 | Petroleo Brasileiro SA | 32698296 |
| 59900 | Petroleo Brasileiro SA Sponsored ADR | 613975 |
| 8099 | Unipar Carbocloro SA – Class B | 151669 |
|  | Total Brazil | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40609885 |
|  | **Russia — 0.2%** |  |
| 194570 | Nizhnekamskneftekhim PJSC <sup>(c)</sup> | 15694 |
| 79676700 | Surgutneftegas PJSC <sup>(c)</sup> | 2268420 |
| 869 | Transneft PJSC <sup>(c)</sup> | 88217 |
|  | Total Russia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2372331 |
|  | **South Korea — 1.9%** |  |
| 237 | LG H&H Co Ltd | 50227 |
| 531957 | Samsung Electronics Co Ltd | 22875030 |
|  | Total South Korea | 22925257 |
|  | **Taiwan — 0.1%** |  |
| 256798 | Chailease Holding Co Ltd | 803183 |
|  | TOTAL PREFERRED STOCKS<br>(COST $108,722,046) | 66710656 |

---

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
| | **DEBT OBLIGATIONS — 0.4%** | **DEBT OBLIGATIONS — 0.4%** |
| | **United States — 0.4%** | **United States — 0.4%** |
| 4800000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 4.37%, due 04/30/23 <sup>(g)</sup> | 4804121 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $4,800,739) | 4804121 |
|  | **MUTUAL FUNDS — 0.4%** | **MUTUAL FUNDS — 0.4%** |
|  | **United States — 0.4%** | **United States — 0.4%** |
|  | **Affiliated Issuers — 0.4%** | **Affiliated Issuers — 0.4%** |
| 914720 | GMO U.S. Treasury Fund | 4555303 |
|  | Total United States | 4555303 |
|  | TOTAL MUTUAL FUNDS<br>(COST $4,555,303) | 4555303 |
|  | **SHORT-TERM INVESTMENTS — 0.6%** | **SHORT-TERM INVESTMENTS — 0.6%** |
|  | **Money Market Funds — 0.6%** | **Money Market Funds — 0.6%** |
| 7331552 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(h)</sup> | 7331552 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $7,331,552) | 7331552 |
|  | **TOTAL INVESTMENTS — 98.5%**<br> (Cost $1,680,072,971) | **1167656252** |
|  | Other Assets and Liabilities (net) — 1.5% | 17844748 |
|  | **TOTAL NET ASSETS — 100.0%** | **$1185501000** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2022** |
| Alrosa PJSC | 09/14/17 | $46779239 | 0.2% | $2360724 |
| Magnitogorsk Iron & Steel Works PJSC | 03/26/18 | 14388116 | 0.1% | 626881 |
| PhosAgro PJSC GDR | 02/09/22 | 5151 | 0.0% | 567 |
| Sberbank of Russia PJSC | 11/10/17 | 51393929 | 0.2% | 2040240 |
| Severstal PJSC GDR (Registered) | 10/12/17 | 13249420 | 0.1% | 639553 |
|  |  |  |  | $5667965 |

---

------

**GMO Emerging Markets Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount<br>($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 1253 | Mini MSCI<br>Emerging<br>Markets | December 2022 | $61553625 | $336880 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

\* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

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

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

(d) Affiliated company.

(e) The security is restricted as to resale.

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

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

(h) The rate disclosed is the 7 day net yield as of November 30, 2022.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SOFOM - Sociedades Financieras de Objeto Multi (Multi-purpose Financial Company) USBM - U.S. Treasury 3 Month Bill Money Market Yield

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

------

**GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 92.1%** | **COMMON STOCKS — 92.1%** |
| | **Brazil — 1.9%** | **Brazil — 1.9%** |
| 146300 | Ambev SA | 448822 |
| 188000 | B3 SA – Brasil Bolsa Balcao | 461183 |
| 34600 | Localiza Rent a Car SA | 400717 |
| 112 | Localiza Rent a Car SA GDR <sup>\* (a)</sup> | 1297 |
| 671 | MercadoLibre Inc <sup>\*</sup> | 624691 |
| 96500 | Raia Drogasil SA | 428633 |
| 65500 | WEG SA | 492258 |
|  | Total Brazil | 2857601 |
|  | **China — 29.3%** | **China — 29.3%** |
| 528388 | Alibaba Group Holding Ltd <sup>\*</sup> | 5750528 |
| 79100 | Baidu Inc – Class A <sup>\*</sup> | 1067503 |
| 30000 | BYD Co Ltd – Class H | 763794 |
| 36677 | Changzhou Xingyu Automotive Lighting Systems Co Ltd – Class A | 681576 |
| 1080000 | China International Capital Corp Ltd – Class H | 2037163 |
| 190000 | China Mengniu Dairy Co Ltd <sup>\*</sup> | 854558 |
| 369502 | China Merchants Bank Co Ltd – Class H | 1876719 |
| 92000 | China Resources Land Ltd | 427332 |
| 198900 | China Yangtze Power Co Ltd – Class A | 591984 |
| 5500 | Contemporary Amperex Technology Co Ltd – Class A | 301308 |
| 248700 | GoerTek Inc – Class A | 638350 |
| 445455 | Haier Smart Home Co Ltd – Class A | 1545942 |
| 122327 | JD.com Inc – Class A | 3492163 |
| 14500 | JD.com Inc ADR | 829110 |
| 92576 | Jiangsu Hengli Hydraulic Co Ltd – Class A | 857122 |
| 14386 | Kweichow Moutai Co Ltd – Class A | 3242001 |
| 86400 | Meituan – Class B <sup>\*</sup> | 1862529 |
| 203285 | NARI Technology Co Ltd – Class A | 761674 |
| 73675 | NetEase Inc | 1065240 |
| 170500 | Ping An Insurance Group Co of China Ltd –Class H | 1052667 |
| 2287000 | Postal Savings Bank of China Co Ltd – Class H | 1383117 |
| 39060 | Proya Cosmetics Co Ltd – Class A | 931061 |
| 152100 | SF Holding Co Ltd – Class A | 1141414 |
| 118178 | Shanghai Baosight Software Co Ltd – Class A | 654984 |
| 100272 | Shenzhen Inovance Technology Co Ltd – Class A | 997073 |
| 47800 | Sunny Optical Technology Group Co Ltd | 569052 |
| 128584 | Tencent Holdings Ltd | 4862570 |
| 192000 | Tsingtao Brewery Co Ltd – Class H | 1817574 |
| 72385 | Wuliangye Yibin Co Ltd – Class A | 1610462 |
| 7711 | Yum China Holdings Inc | 425030 |
|  | Total China | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;44091600 |
|  | **France — 0.8%** | **France — 0.8%** |
| 3148 | L'Oreal SA | 1182250 |
|  | **Hong Kong — 1.2%** | **Hong Kong — 1.2%** |
| 178000 | AIA Group Ltd | 1807520 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **India — 14.0%** | **India — 14.0%** |
| 34794 | Angel One Ltd | 690559 |
| 18664 | Asian Paints Ltd | 730400 |
| 80652 | Axis Bank Ltd | 894804 |
| 48597 | Bharti Airtel Ltd | 509079 |
| 187000 | Campus Activewear Ltd <sup>\*</sup> | 1027873 |
| 73300 | Cipla Ltd | 1034174 |
| 176113 | Devyani International Ltd <sup>\*</sup> | 408913 |
| 72116 | Godrej Consumer Products Ltd <sup>\*</sup> | 785280 |
| 36142 | HDFC Bank Ltd | 718342 |
| 209791 | ICICI Bank Ltd | 2457008 |
| 206315 | Indian Hotels Co Ltd | 822241 |
| 69417 | Infosys Ltd | 1414459 |
| 31541 | JB Chemicals & Pharmaceuticals Ltd | 781734 |
| 46206 | Kajaria Ceramics Ltd | 651220 |
| 99769 | LA Opala RG Ltd | 504314 |
| 77480 | Laxmi Organic Industries Ltd | 287068 |
| 6913 | Maruti Suzuki India Ltd | 765722 |
| 110740 | Metro Brands Ltd | 1136531 |
| 74080 | SBI Cards & Payment Services Ltd | 753433 |
| 61847 | SBI Life Insurance Co Ltd | 980342 |
| 23974 | SRF Ltd | 701446 |
| 34490 | Star Health & Allied Insurance Co Ltd <sup>\*</sup> | 273626 |
| 123868 | State Bank of India | 921443 |
| 55721 | Sun Pharmaceutical Industries Ltd | 723438 |
| 38571 | Sundram Fasteners Ltd | 434228 |
| 17644 | Titan Co Ltd | 579993 |
|  | Total India | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20987670 |
|  | **Indonesia — 5.4%** | **Indonesia — 5.4%** |
| 4024300 | Bank Central Asia Tbk PT | 2390750 |
| 3663600 | Bank Mandiri Persero Tbk PT | 2471323 |
| 16078700 | Mitra Adiperkasa Tbk PT <sup>\*</sup> | 1486516 |
| 7121300 | Telkom Indonesia Persero Tbk PT | 1837116 |
|  | Total Indonesia | 8185705 |
|  | **Japan — 0.6%** | **Japan — 0.6%** |
| 5600 | Daikin Industries Ltd | 923557 |
|  | **Mexico — 5.3%** | **Mexico — 5.3%** |
| 482343 | Banco del Bajio SA | 1567227 |
| 77439 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 1257832 |
| 244987 | Regional SAB de CV | 1788707 |
| 843048 | Wal-Mart de Mexico SAB de CV | 3331731 |
|  | Total Mexico | 7945497 |
|  | **Peru — 0.3%** | **Peru — 0.3%** |
| 3320 | Credicorp Ltd | 509786 |
|  | **Philippines — 0.2%** | **Philippines — 0.2%** |
| 8335 | Globe Telecom Inc | 340195 |

---

------

**GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Qatar — 1.1%** | **Qatar — 1.1%** |
| 296728 | Qatar National Bank QPSC | 1604239 |
|  | **Russia — 0.4%** | **Russia — 0.4%** |
| 34988 | Magnit PJSC <sup>(b)</sup> | 192441 |
| 546960 | Mobile TeleSystems PJSC <sup>(b)</sup> | 147722 |
| 530016 | Sberbank of Russia PJSC <sup>\* (b) (c)</sup> | 82385 |
| 46548 | TCS Group Holding Plc GDR (Registered) <sup>\* (b)</sup> | 159372 |
| 69200 | Yandex NV – Class A <sup>\* (b)</sup> | 13107 |
|  | Total Russia | 595027 |
|  | **Saudi Arabia — 0.8%** | **Saudi Arabia — 0.8%** |
| 12222 | Abdullah Al Othaim Markets Co | 375448 |
| 8577 | Mouwasat Medical Services Co | 433684 |
| 32305 | Saudi National Bank (The) | 444804 |
|  | Total Saudi Arabia | 1253936 |
|  | **South Africa — 1.0%** | **South Africa — 1.0%** |
| 30294 | Absa Group Ltd | 363262 |
| 46751 | Aspen Pharmacare Holdings Ltd | 387960 |
| 22442 | Mr Price Group Ltd | 219344 |
| 38681 | MTN Group Ltd | 316977 |
| 89555 | Raubex Group Ltd | 144283 |
|  | Total South Africa | 1431826 |
|  | **South Korea — 7.3%** | **South Korea — 7.3%** |
| 1275 | LG Chem Ltd | 727810 |
| 2440 | NAVER Corp | 354687 |
| 199988 | Samsung Electronics Co Ltd | 9609214 |
| 3565 | SK Hynix Inc | 235290 |
|  | Total South Korea | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10927001 |
|  | **Switzerland — 1.1%** | **Switzerland — 1.1%** |
| 13910 | Nestle SA (Registered) | 1655617 |
|  | **Taiwan — 13.8%** | **Taiwan — 13.8%** |
| 36000 | Allied Supreme Corp | 382439 |
| 710000 | Continental Holdings Corp | 691949 |
| 1767000 | CTBC Financial Holding Co Ltd | 1327367 |
| 59000 | Delta Electronics Inc | 583434 |
| 89000 | E Ink Holdings Inc | 533655 |
| 1298722 | E.Sun Financial Holding Co Ltd | 1049248 |
| 25000 | eMemory Technology Inc | 1220100 |
| 26000 | MediaTek Inc | 628259 |
| 60000 | Sinbon Electronics Co Ltd | 530004 |
| 770800 | Taiwan Semiconductor Manufacturing Co Ltd | 12378932 |
| 74000 | Vanguard International Semiconductor Corp | 200955 |
| 78000 | VisEra Technologies Co Ltd | 612567 |
| 12000 | Voltronic Power Technology Corp | 681052 |
|  | Total Taiwan | 20819961 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Thailand — 2.1%** | **Thailand — 2.1%** |
| 172700 | Advanced Info Service Pcl (Foreign Registered) | 928231 |
| 688600 | CP ALL Pcl (Foreign Registered) | 1274901 |
| 2654300 | Digital Telecommunications Infrastructure Fund – Class F | 987087 |
|  | Total Thailand | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3190219 |
|  | **United Arab Emirates — 0.6%** | **United Arab Emirates — 0.6%** |
| 168804 | Abu Dhabi Commercial Bank PJSC | 450418 |
| 373701 | Aldar Properties PJSC | 485052 |
|  | Total United Arab Emirates | 935470 |
|  | **United Kingdom — 1.7%** | **United Kingdom — 1.7%** |
| 25044 | Diageo Plc | 1156582 |
| 26435 | Unilever Plc | 1321780 |
|  | Total United Kingdom | 2478362 |
|  | **United States — 1.5%** | **United States — 1.5%** |
| 7404 | Alphabet, Inc. – Class A <sup>\*</sup> | 747730 |
| 7712 | Apple, Inc. | 1141607 |
| 148800 | Samsonite International SA <sup>\*</sup> | 403339 |
|  | Total United States | 2292676 |
|  | **Vietnam — 1.7%** | **Vietnam — 1.7%** |
| 771900 | Bank for Foreign Trade of Vietnam JSC | 2554509 |
|  | TOTAL COMMON STOCKS<br>(COST $181,816,266) | 138570224 |
|  | **PREFERRED STOCKS <sup>(d)</sup> — 0.4%** | **PREFERRED STOCKS <sup>(d)</sup> — 0.4%** |
|  | **Brazil — 0.4%** | **Brazil — 0.4%** |
| 130300 | Itau Unibanco Holding SA | 652837 |
|  | TOTAL PREFERRED STOCKS<br>(COST $627,468) | 652837 |
|  | **INVESTMENT FUNDS — 0.0%** | **INVESTMENT FUNDS — 0.0%** |
|  | **Russia — 0.0%** | **Russia — 0.0%** |
| 61600 | VanEck Vectors Russia ETF <sup>(b)</sup> | 9610 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $1,565,234) | 9610 |
|  | **MUTUAL FUNDS — 3.7%** | **MUTUAL FUNDS — 3.7%** |
|  | **United States — 3.7%** | **United States — 3.7%** |
|  | **Affiliated Issuers — 3.7%** |  |
| 1126164 | GMO U.S. Treasury Fund | 5608296 |
|  | Total United States | 5608296 |
|  | TOTAL MUTUAL FUNDS<br>(COST $5,608,296) | 5608296 |

---

------

**GMO Emerging Markets Select Equity Fund (formerly GMO Emerging Domestic Opportunities Fund)** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **SHORT-TERM INVESTMENTS — 0.5%** | **SHORT-TERM INVESTMENTS — 0.5%** |
| | **Money Market Funds — 0.5%** | **Money Market Funds — 0.5%** |
| 708282 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(e)</sup> | 708282 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $708,282) | 708282 |
|  | **TOTAL INVESTMENTS — 96.7%**<br> (Cost $190,325,546) | **145549249** |
|  | Other Assets and Liabilities (net) — 3.3% | 4977930 |
|  | **TOTAL NET ASSETS — 100.0%** | **$150527179** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2022** |
| Sberbank of Russia PJSC | 03/03/21 | $2059161 | 0.1% | $82385 |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

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

(c) The security is restricted as to resale.

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

(e) The rate disclosed is the 7 day net yield as of November 30, 2022.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

------

**GMO International Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 98.3%** |  |
| | **Australia — 4.3%** | |
| 75931 | Ampol Ltd | 1480267 |
| 473394 | Aurizon Holdings Ltd | 1230387 |
| 51448 | BHP Group Ltd | 1597735 |
| 560991 | BlueScope Steel Ltd | 6761583 |
| 201744 | Brambles Ltd | 1668795 |
| 182219 | Fortescue Metals Group Ltd | 2425274 |
| 651380 | GrainCorp Ltd – Class A | 3601473 |
| 128571 | JB Hi-Fi Ltd | 3954118 |
| 143988 | Metcash Ltd | 411753 |
| 89611 | Pact Group Holdings Ltd | 65098 |
| 557171 | Rio Tinto Ltd | 41595391 |
| 235528 | Sims Ltd | 2104335 |
|  | Total Australia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;66896209 |
|  | **Belgium — 0.2%** |  |
| 9147 | Ageas SA/NV | 370379 |
| 91042 | AGFA-Gevaert NV <sup>\*</sup> | 263253 |
| 52592 | Bekaert SA | 1877999 |
| 8033 | Melexis NV | 707775 |
|  | Total Belgium | 3219406 |
|  | **Denmark — 0.0%** |  |
| 9627 | Per Aarsleff Holding A/S | 311620 |
| 6605 | Schouw & Co A/S | 477494 |
|  | Total Denmark | 789114 |
|  | **Finland — 1.4%** |  |
| 3168 | Kesko Oyj – B Shares | 68098 |
| 3930530 | Nokia Oyj | 19365352 |
| 5686 | Outokumpu Oyj | 28682 |
| 58153 | UPM-Kymmene Oyj | 2134876 |
|  | Total Finland | 21597008 |
|  | **France — 14.0%** |  |
| 26778 | ALD SA | 269499 |
| 20568 | Alten SA | 2599486 |
| 10457 | Arkema SA | 929749 |
| 761708 | Cie de Saint-Gobain | 35123535 |
| 196613 | Coface SA | 2406842 |
| 192150 | Derichebourg SA | 1039494 |
| 77066 | Ipsen SA | 8614842 |
| 48662 | IPSOS | 2783803 |
| 13260 | Kering SA | 7967099 |
| 121477 | Metropole Television SA | 1746634 |
| 115037 | Publicis Groupe SA | 7571322 |
| 18919 | Rexel SA <sup>\*</sup> | 347662 |
| 465441 | Sanofi | 42042950 |
| 13893 | Societe BIC SA | 917815 |
| 726350 | Societe Generale SA | 18281520 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **France — continued** | |
| 953500 | STMicroelectronics NV | 37072080 |
| 212461 | Television Francaise 1 | 1605847 |
| 14723 | TotalEnergies SE <sup>(a)</sup> | 913552 |
| 739989 | TotalEnergies SE <sup>(a)</sup> | 46249376 |
|  | Total France | 218483107 |
|  | **Germany — 3.8%** |  |
| 146687 | Bayer AG (Registered) | 8513259 |
| 119759 | Bayerische Motoren Werke AG | 10873955 |
| 26069 | Henkel AG & Co KGaA | 1734352 |
| 16282 | Hornbach Holding AG & Co KGaA | 1291502 |
| 6065 | HUGO BOSS AG | 341183 |
| 5326 | Indus Holding AG | 126329 |
| 263799 | Kloeckner & Co SE | 2503517 |
| 160642 | Merck KGaA | 29432027 |
| 38422 | ProSiebenSat.1 Media SE | 349121 |
| 26165 | RTL Group SA | 1086798 |
| 51381 | Salzgitter AG | 1506767 |
| 12807 | Volkswagen AG | 2472363 |
|  | Total Germany | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60231173 |
|  | **Hong Kong — 1.7%** |  |
| 548100 | ASMPT Ltd | 4080330 |
| 149500 | BOC Hong Kong Holdings Ltd | 477203 |
| 553487 | Champion (REIT) | 191964 |
| 755112 | Chow Tai Fook Jewellery Group Ltd | 1331534 |
| 1113000 | CK Asset Holdings Ltd | 6661855 |
| 160500 | CK Hutchison Holdings Ltd | 933023 |
| 202800 | Dah Sing Banking Group Ltd | 141404 |
| 120869 | Dah Sing Financial Holdings Ltd | 269999 |
| 3995207 | Esprit Holdings Ltd <sup>\*</sup> | 387137 |
| 1617585 | IGG Inc <sup>\*</sup> | 572028 |
| 461401 | Johnson Electric Holdings Ltd | 578581 |
| 297640 | Kerry Logistics Network Ltd | 524363 |
| 164326 | Luk Fook Holdings International Ltd | 398384 |
| 1132331 | Pacific Textiles Holdings Ltd | 373078 |
| 1301023 | Shun Tak Holdings Ltd <sup>\*</sup> | 209741 |
| 321000 | SITC International Holdings Co Ltd | 712092 |
| 289526 | SmarTone Telecommunications Holdings Ltd | 146985 |
| 71000 | Techtronic Industries Co Ltd | 865501 |
| 313588 | Television Broadcasts Ltd <sup>\*</sup> | 151716 |
| 926000 | VSTECS Holdings Ltd | 502630 |
| 81800 | VTech Holdings Ltd | 521690 |
| 10390515 | WH Group Ltd | 6087971 |
|  | Total Hong Kong | 26119209 |
|  | **Ireland — 0.6%** |  |
| 838104 | Bank of Ireland Group Plc | 6949590 |
| 49150 | Kingspan Group Plc | 2790044 |
|  | Total Ireland | 9739634 |

---

------

**GMO International Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Italy — 0.8%** | |
| 307976 | Anima Holding SPA | 1178649 |
| 74749 | Banca IFIS SPA | 1030154 |
| 85797 | Esprinet SPA | 634268 |
| 131595 | Italgas SPA | 774445 |
| 259782 | Leonardo SPA | 2084300 |
| 1438397 | MFE-MediaForEurope NV – Class A | 605198 |
| 2362 | Sesa SPA | 296690 |
| 395162 | Snam SPA | 2017186 |
| 37027 | Terna – Rete Elettrica Nazionale | 283625 |
| 37310 | Unieuro SPA | 506327 |
| 685148 | Unipol Gruppo SPA | 3504753 |
|  | Total Italy | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12915595 |
|  | **Japan — 25.6%** |  |
| 56900 | Advantest Corp | 3872764 |
| 63520 | AOKI Holdings Inc | 318617 |
| 891215 | Asahi Kasei Corp | 6623806 |
| 97800 | Bandai Namco Holdings Inc | 6480264 |
| 367796 | Brother Industries Ltd | 5973441 |
| 1388400 | Canon Inc | 32453437 |
| 31300 | Canon Inc Sponsored ADR | 731168 |
| 13800 | Canon Marketing Japan Inc | 313974 |
| 74900 | Citizen Watch Co Ltd | 328904 |
| 45600 | Dai Nippon Printing Co Ltd | 944450 |
| 126690 | Daiwabo Holdings Co Ltd | 2021257 |
| 70674 | Dexerials Corp | 1696143 |
| 53948 | Doutor Nichires Holdings Co Ltd | 665175 |
| 46754 | FUJIFILM Holdings Corp | 2515000 |
| 20706 | Fuyo General Lease Co Ltd | 1329587 |
| 59436 | Geo Holdings Corp | 849194 |
| 17553 | Gunze Ltd | 510025 |
| 128900 | Haseko Corp | 1425306 |
| 1268954 | ITOCHU Corp | 39854139 |
| 1969304 | Japan Tobacco Inc | 40290742 |
| 127344 | Kanematsu Corp | 1422020 |
| 1212496 | KDDI Corp | 36065171 |
| 42093 | Komeri Co Ltd | 794647 |
| 2975200 | Marubeni Corp | 33656570 |
| 99657 | MCJ Co Ltd | 699288 |
| 271700 | Mitsubishi Corp | 9150628 |
| 547800 | Mitsubishi Motors Corp <sup>\*</sup> | 2555729 |
| 1126238 | Mitsui & Co Ltd | 32687619 |
| 39684 | Modec Inc <sup>\*</sup> | 444060 |
| 353700 | NGK Spark Plug Co Ltd | 6930214 |
| 97226 | Nichias Corp | 1725537 |
| 253100 | Nikon Corp | 2474741 |
| 47731 | Nippon Signal Company Ltd | 360421 |
| 1229195 | Nippon Telegraph & Telephone Corp | 34084329 |
| 85166 | Okinawa Electric Power Co (The) | 654593 |
| 60300 | Ono Pharmaceutical Co Ltd | 1545377 |
| 82324 | Press Kogyo Co Ltd | 271974 |
| 37519 | Prima Meat Packers Ltd | 557822 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 5983 | San-A Co Ltd | 189869 |
| 77400 | Sega Sammy Holdings Inc | 1032171 |
| 182100 | Seiko Epson Corp | 2865588 |
| 65595 | Seiko Group Corp | 1524039 |
| 394012 | Sekisui Chemical Co Ltd | 5572632 |
| 739700 | Sekisui House Ltd | 13849899 |
| 26900 | Shimamura Co Ltd | 2442204 |
| 646981 | Sojitz Corp | 11529772 |
| 3709141 | Sumitomo Chemical Co Ltd | 13522909 |
| 292600 | Sumitomo Forestry Co Ltd | 5108835 |
| 17600 | Suntory Beverage & Food Ltd | 599769 |
| 20638 | T-Gaia Corp | 248144 |
| 30400 | Tokyo Gas Co Ltd | 559208 |
| 26977 | Tokyo Seimitsu Co Ltd | 864487 |
| 116275 | Tokyu Construction Co Ltd | 556659 |
| 50428 | Towa Pharmaceutical Co Ltd | 776914 |
| 367655 | Toyota Tsusho Corp | 14192529 |
| 24269 | TPR Co Ltd | 218693 |
| 64269 | Valor Holdings Co Ltd | 825196 |
| 20256 | Warabeya Nichiyo Holdings Co Ltd | 272657 |
| 17508 | Yahagi Construction Co Ltd | 94253 |
| 45800 | Yakult Honsha Co Ltd | 2922985 |
| 167000 | Yamaha Motor Co Ltd | 4183310 |
| 48600 | Yokogawa Electric Corp | 916580 |
|  | Total Japan | 400147435 |
|  | **Netherlands — 7.5%** |  |
| 52178 | ASR Nederland NV | 2388120 |
| 144748 | EXOR NV <sup>\*</sup> | 11362716 |
| 1199184 | Koninklijke Ahold Delhaize NV | 34946734 |
| 79482 | Koninklijke KPN NV | 244510 |
| 211688 | NN Group NV | 9046796 |
| 483894 | Randstad NV | 28028788 |
| 242947 | Signify NV | 8297760 |
| 216443 | Wolters Kluwer NV | 23854266 |
|  | Total Netherlands | 118169690 |
|  | **Norway — 2.8%** |  |
| 88434 | BW LPG Ltd | 788567 |
| 252712 | Elkem ASA <sup>\*</sup> | 935827 |
| 973109 | Equinor ASA | 37475206 |
| 247968 | Europris ASA | 1575921 |
| 332137 | Norsk Hydro ASA | 2501031 |
|  | Total Norway | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43276552 |
|  | **Portugal — 1.5%** |  |
| 253505 | CTT-Correios de Portugal SA | 849438 |
| 470712 | Galp Energia SGPS SA | 5799959 |
| 529054 | Jeronimo Martins SGPS SA | 11804003 |
| 437520 | Navigator Co SA (The) | 1777233 |
| 337413 | REN – Redes Energeticas Nacionais SGPS SA | 893552 |

---

------

**GMO International Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Portugal — continued** | |
| 2331776 | Sonae SGPS SA | 2368770 |
|  | Total Portugal | 23492955 |
|  | **Singapore — 5.0%** |  |
| 109100 | City Developments Ltd | 670267 |
| 1368925 | DBS Group Holdings Ltd | 35699845 |
| 843400 | First Resources Ltd | 1007859 |
| 213087 | Jardine Cycle & Carriage Ltd | 4752646 |
| 1619000 | Keppel Corp Ltd | 9036494 |
| 428300 | Sheng Siong Group Ltd | 519430 |
| 179600 | Venture Corp Ltd | 2305936 |
| 3213039 | Wilmar International Ltd | 9746848 |
| 8014622 | Yangzijiang Financial Holding Ltd <sup>\*</sup> | 2050336 |
| 11084122 | Yangzijiang Shipbuilding Holdings Ltd | 11738873 |
|  | Total Singapore | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;77528534 |
|  | **Spain — 6.4%** |  |
| 1075790 | Acerinox SA | 10642838 |
| 7072399 | Banco Bilbao Vizcaya Argentaria SA | 41677944 |
| 26789440 | Banco de Sabadell SA | 25013809 |
| 169683 | Bankinter SA | 1116018 |
| 26651 | Ebro Foods SA | 421130 |
| 88803 | Ence Energia y Celulosa SA | 294206 |
| 12628 | Grupo Catalana Occidente SA | 399438 |
| 291189 | Industria de Diseno Textil SA | 7601138 |
| 708168 | Repsol SA | 10934342 |
| 1799875 | Unicaja Banco SA | 1860823 |
|  | Total Spain | 99961686 |
|  | **Sweden — 0.6%** |  |
| 112976 | Investor AB – A Shares | 2175315 |
| 20238 | New Wave Group AB – B Shares | 410083 |
| 1077823 | SSAB AB – A Shares | 6241404 |
|  | Total Sweden | 8826802 |
|  | **Switzerland — 6.2%** |  |
| 40548 | Ascom Holding AG (Registered) | 339167 |
| 21421 | DKSH Holding AG | 1615161 |
| 209 | Forbo Holding AG (Registered) | 246295 |
| 62318 | Novartis AG (Registered) | 5543469 |
| 164263 | Roche Holding AG – Genusschein | 53652215 |
| 5146 | u-blox Holding AG <sup>\*</sup> | 669971 |
| 1616200 | UBS Group AG (Registered) | 29823214 |
| 3995 | Zehnder Group AG – Class RG | 237512 |
| 11334 | Zurich Insurance Group AG | 5445271 |
|  | Total Switzerland | 97572275 |
|  | **United Kingdom — 15.8%** |  |
| 1049930 | 3i Group Plc | 17250835 |
| 1143582 | BAE Systems Plc | 11325731 |
| 3074660 | Barratt Developments Plc | 14868360 |

---

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
| | **United Kingdom — continued** | |
| 204834 | Bellway Plc | 4977293 |
| 7777 | Berkeley Group Holdings Plc | 360648 |
| 566400 | BP Plc Sponsored ADR | 20333760 |
| 1065794 | British American Tobacco Plc | 43699702 |
| 28658 | British American Tobacco Plc Sponsored ADR | 1182716 |
| 12816142 | BT Group Plc | 18859093 |
| 2078 | Bunzl Plc | 76851 |
| 635402 | Coca-Cola HBC AG <sup>\*</sup> | 15542504 |
| 83864 | Crest Nicholson Holdings Plc | 232130 |
| 17500 | Diageo Plc Sponsored ADR | 3264625 |
| 25563 | Ferguson Plc | 2898102 |
| 872722 | Ferrexpo Plc | 1520114 |
| 57044 | Galliford Try Holdings Plc | 108136 |
| 52532 | Grafton Group Plc | 493894 |
| 714946 | GSK Plc | 12156983 |
| 103137 | Halfords Group Plc | 242800 |
| 307835 | IG Group Holdings Plc | 3062201 |
| 1416903 | Imperial Brands Plc | 36444251 |
| 704574 | Investec Plc | 4449906 |
| 670633 | Kingfisher Plc | 1961198 |
| 211790 | Next Plc | 15136010 |
| 59535 | OSB Group Plc | 342736 |
| 297746 | Persimmon Plc | 4611742 |
| 198700 | Plus500 Ltd | 4561269 |
| 592300 | Redrow Plc | 3263634 |
| 42519 | RS Group Plc | 472876 |
| 539609 | Spirent Communications Plc | 1880541 |
| 259383 | Vesuvius Plc | 1198115 |
|  | Total United Kingdom | 246778756 |
|  | **United States — 0.1%** |  |
| 79531 | ADTRAN Holdings, Inc. | 1612093 |
|  | TOTAL COMMON STOCKS<br>(COST $1,636,421,893) | &nbsp;&nbsp;&nbsp;&nbsp;1537357233 |
|  | **PREFERRED STOCKS <sup>(b)</sup> — 0.8%** |  |
|  | **Germany — 0.8%** |  |
| 77262 | Bayerische Motoren Werke AG | 6704330 |
| 11586 | Draegerwerk AG & Co KGaA | 525136 |
| 74716 | Henkel AG & Co KGaA | 5344161 |
|  | Total Germany | 12573627 |
|  | TOTAL PREFERRED STOCKS<br>(COST $11,738,865) | 12573627 |
|  | **DEBT OBLIGATIONS — 2.3%** |  |
|  | **United States — 2.3%** |  |
| 35000000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 <sup>(c)</sup> | 34955383 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $34,970,844) | 34955383 |

---

------

**GMO International Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **MUTUAL FUNDS — 1.5%** |  |
| | **United States — 1.5%** | |
| | **Affiliated Issuers — 1.5%** | |
| 4718876 | GMO U.S. Treasury Fund | 23500000 |
|  | Total United States | 23500000 |
|  | TOTAL MUTUAL FUNDS<br>(COST $23,500,000) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23500000 |
|  | **RIGHTS/WARRANTS — 0.0%** |  |
|  | **France — 0.0%** |  |
| 26778 | ALD SA, expires 12/13/22 <sup>\*</sup> | 58238 |
|  | Total France | 58238 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $0) | 58238 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
| | **Money Market Funds — 0.0%** | |
| 291071 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(d)</sup> | 291071 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $291,071) | 291071 |
|  | **TOTAL INVESTMENTS — 102.9%**<br> (Cost $1,706,922,673) | **1608735552** |
|  | Other Assets and Liabilities (net) — (2.9)% | (45037014) |
|  | **TOTAL NET ASSETS — 100.0%** | **$1563698538** |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount<br>($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 77 | MSCI EAFE | December 2022 | $7622230 | $193473 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

\* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of November 30, 2022.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

REIT - Real Estate Investment Trust

USBM - U.S. Treasury 3 Month Bill Money Market Yield

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

------

**GMO-Usonian Japan Value Creation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.3%** |  |
| | **Automobiles & Components — 6.6%** | |
| 152800 | Honda Motor Co Ltd | 3723980 |
| 228100 | Stanley Electric Co Ltd | 4690103 |
|  | Total Automobiles & Components | 8414083 |
|  | **Banks — 6.2%** |  |
| 129900 | Sumitomo Mitsui Financial Group Inc | 4408899 |
| 110500 | Sumitomo Mitsui Trust Holdings Inc | 3543809 |
|  | Total Banks | 7952708 |
|  | **Capital Goods — 18.0%** |  |
| 241500 | EXEO Group Inc | 3748601 |
| 212200 | Fuji Corp | 3237610 |
| 152500 | Kyudenko Corp | 3669045 |
| 599300 | Penta-Ocean Construction Co Ltd | 2836161 |
| 228900 | Takuma Co Ltd | 2139277 |
| 153800 | THK Co Ltd | 3033769 |
| 74000 | Toyota Industries Corp | 4245174 |
|  | Total Capital Goods | 22909637 |
|  | **Commercial & Professional Services — 4.9%** | **Commercial & Professional Services — 4.9%** |
| 53700 | Secom Co Ltd | 3320005 |
| 191800 | Toppan Inc | 2987503 |
|  | Total Commercial & Professional Services | 6307508 |
|  | **Consumer Durables & Apparel — 1.8%** | **Consumer Durables & Apparel — 1.8%** |
| 212300 | Haseko Corp | 2347498 |
|  | **Diversified Financials — 3.4%** |  |
| 135000 | Credit Saison Co Ltd | 1730817 |
| 69100 | Zenkoku Hosho Co Ltd | 2572869 |
|  | Total Diversified Financials | 4303686 |
|  | **Food, Beverage & Tobacco — 9.8%** |  |
| 92100 | Ezaki Glico Co Ltd | 2403206 |
| 231200 | Kirin Holdings Co Ltd | 3649629 |
| 88000 | Morinaga & Co Ltd | 2370786 |
| 131800 | NH Foods Ltd | 3548593 |
| 62400 | Takara Holdings Inc | 487990 |
|  | Total Food, Beverage & Tobacco | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12460204 |
|  | **Health Care Equipment & Services — 2.2%** | **Health Care Equipment & Services — 2.2%** |
| 141200 | H.U. Group Holdings Inc | 2863838 |
|  | **Insurance — 5.7%** |  |
| 96000 | MS&AD Insurance Group Holdings Inc | 2849403 |
| 364900 | T&D Holdings Inc | 4436209 |
|  | Total Insurance | 7285612 |
|  | **Materials — 9.3%** |  |
| 139400 | Denka Co Ltd | 3375189 |
| 114100 | Maruichi Steel Tube Ltd | 2373221 |
| 291600 | Teijin Ltd | 2829397 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Materials — continued** | |
| 421500 | Tokai Carbon Co Ltd | 3252326 |
|  | Total Materials | 11830133 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 3.3%** | **Pharmaceuticals, Biotechnology & Life Sciences — 3.3%** |
| 40500 | Sawai Group Holdings Co Ltd | 1254051 |
| 133900 | Tsumura & Co | 2934317 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 4188368 |
|  | **Real Estate — 2.5%** |  |
| 262400 | Aeon Mall Co Ltd | 3168975 |
|  | **Retailing — 1.8%** |  |
| 280800 | K's Holdings Corp | 2331519 |
|  | **Semiconductors & Semiconductor Equipment — 7.5%** | **Semiconductors & Semiconductor Equipment — 7.5%** |
| 40200 | Rohm Co Ltd | 3226906 |
| 222000 | SUMCO Corp | 3321456 |
| 95200 | Tokyo Seimitsu Co Ltd | 3050717 |
|  | Total Semiconductors & Semiconductor Equipment | 9599079 |
|  | **Software & Services — 2.9%** |  |
| 103800 | NEC Corp | 3695338 |
|  | **Technology Hardware & Equipment — 6.4%** | **Technology Hardware & Equipment — 6.4%** |
| 152400 | Amano Corp | 2766546 |
| 222500 | Daiwabo Holdings Co Ltd | 3549844 |
| 33700 | FUJIFILM Holdings Corp | 1812797 |
|  | Total Technology Hardware & Equipment | 8129187 |
|  | **Telecommunication Services — 1.8%** |  |
| 78800 | KDDI Corp | 2343872 |
|  | **Transportation — 3.2%** |  |
| 112100 | Sankyu Inc | 4056874 |
|  | TOTAL COMMON STOCKS<br>(COST $148,031,414) | 124188119 |
|  | **SHORT-TERM INVESTMENTS — 1.8%** | **SHORT-TERM INVESTMENTS — 1.8%** |
|  | **Money Market Funds — 1.8%** |  |
| 2252906 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 2252906 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $2,252,906) | 2252906 |
|  | **TOTAL INVESTMENTS — 99.1%**<br> (Cost $150,284,320) | **126441025** |
|  | Other Assets and Liabilities (net) — 0.9% | 1120528 |
|  | **TOTAL NET ASSETS — 100.0%** | **$127561553** |

---

**Notes to Schedule of Investments:** 

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO Quality Cyclicals Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.4%** |  |
| | **Brazil — 0.2%** | |
| 15002 | Vale SA | 247781 |
|  | **Canada — 5.5%** |  |
| 62934 | Brookfield Asset Management Inc – Class A | 2967338 |
| 39009 | Nutrien Ltd | 3136324 |
|  | Total Canada | 6103662 |
|  | **China — 3.3%** |  |
| 239644 | Alibaba Group Holding Ltd <sup>\*</sup> | 2608082 |
| 28423 | Tencent Holdings Ltd | 1074853 |
|  | Total China | 3682935 |
|  | **Finland — 2.2%** |  |
| 48038 | Neste Oyj | 2479556 |
|  | **France — 9.2%** |  |
| 3679 | Kering SA | 2210479 |
| 4944 | LVMH Moet Hennessy Louis Vuitton SE | 3836685 |
| 32755 | Safran SA | 4048049 |
|  | Total France | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10095213 |
|  | **Germany — 2.2%** |  |
| 21835 | Beiersdorf AG | 2374628 |
|  | **Hong Kong — 1.5%** |  |
| 280833 | Galaxy Entertainment Group Ltd | 1707312 |
|  | **Ireland — 2.5%** |  |
| 170146 | Ryanair Holdings Plc <sup>\*</sup> | 2296762 |
| 5482 | Ryanair Holdings Plc Sponsored ADR <sup>\*</sup> | 414932 |
|  | Total Ireland | 2711694 |
|  | **Mexico — 6.0%** |  |
| 484370 | Fomento Economico Mexicano SAB de CV | 3865621 |
| 669152 | Grupo Mexico SAB de CV – Series B | 2722527 |
|  | Total Mexico | 6588148 |
|  | **Russia — 0.2%** |  |
| 33541 | LUKOIL PJSC <sup>(a)</sup> | 176903 |
| 72920 | Novatek PJSC <sup>(a)</sup> | 86271 |
|  | Total Russia | 263174 |
|  | **Spain — 4.5%** |  |
| 46931 | Amadeus IT Group SA <sup>\*</sup> | 2537442 |
| 91707 | Industria de Diseno Textil SA | 2393901 |
|  | Total Spain | 4931343 |
|  | **United Kingdom — 10.5%** |  |
| 41008 | Berkeley Group Holdings Plc | 1901690 |
| 211215 | Compass Group Plc | 4815265 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **United Kingdom — continued** | |
| 81801 | Persimmon Plc | 1267003 |
| 219843 | S4 Capital Plc <sup>\*</sup> | 507598 |
| 104884 | Shell Plc | 3069514 |
|  | Total United Kingdom | 11561070 |
|  | **United States — 49.6%** |  |
| 23309 | Alphabet, Inc. – Class A <sup>\*</sup> | 2353976 |
| 20763 | American Express Co. | 3272041 |
| 1453 | Booking Holdings, Inc. <sup>\*</sup> | 3021441 |
| 71693 | BorgWarner, Inc. | 3047669 |
| 9812 | CarMax, Inc. <sup>\*</sup> | 680560 |
| 17139 | Chevron Corp. | 3141750 |
| 45860 | Darling Ingredients, Inc. <sup>\*</sup> | 3294124 |
| 30571 | EOG Resources, Inc. | 4338942 |
| 34837 | Green Plains, Inc. <sup>\*</sup> | 1203967 |
| 20419 | Hilton Worldwide Holdings, Inc. | 2912158 |
| 33510 | Intercontinental Exchange, Inc. | 3629468 |
| 3762 | Lam Research Corp. | 1777094 |
| 52984 | Las Vegas Sands Corp. <sup>\*</sup> | 2481771 |
| 2277 | Markel Corp. <sup>\*</sup> | 3016661 |
| 9959 | Meta Platforms, Inc. – Class A <sup>\*</sup> | 1176158 |
| 26213 | Micron Technology, Inc. | 1511179 |
| 23717 | Otis Worldwide Corp. | 1852061 |
| 38603 | Raytheon Technologies Corp. | 3810888 |
| 39110 | Sensata Technologies Holding Plc | 1763861 |
| 65736 | US Bancorp | 2983757 |
| 71233 | Wells Fargo & Co. | 3415622 |
|  | Total United States | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;54685148 |
|  | TOTAL COMMON STOCKS<br>(COST $92,749,523) | 107431664 |
|  | **PREFERRED STOCKS <sup>(b)</sup> — 2.1%** |  |
|  | **Brazil — 2.1%** |  |
| 436575 | Bradespar SA | 2380852 |
|  | TOTAL PREFERRED STOCKS<br>(COST $2,072,925) | 2380852 |
|  | **MUTUAL FUNDS — 0.3%** |  |
|  | **United States — 0.3%** |  |
|  | **Affiliated Issuers — 0.3%** |  |
| 60241 | GMO U.S. Treasury Fund | 300000 |
|  | Total United States | 300000 |
|  | TOTAL MUTUAL FUNDS<br>(COST $300,000) | 300000 |

---

------

**GMO Quality Cyclicals Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **SHORT-TERM INVESTMENTS — 0.2%** | **SHORT-TERM INVESTMENTS — 0.2%** |
| | **Money Market Funds — 0.2%** | **Money Market Funds — 0.2%** |
| 159428 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(c)</sup> | 159428 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $159,428) | 159428 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $95,281,876) | **110271944** |
|  | Other Assets and Liabilities (net) — 0.0% | 29537 |
|  | **TOTAL NET ASSETS — 100.0%** | **$110301481** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

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

(c) The rate disclosed is the 7 day net yield as of November 30, 2022.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

PJSC - Private Joint-Stock Company

------

**GMO Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 98.4%** |  |
| | **Banks — 6.1%** | |
| 5169372 | US Bancorp | 234637795 |
| 4256303 | Wells Fargo & Co. | 204089729 |
|  | Total Banks | 438727524 |
|  | **Capital Goods — 5.2%** |  |
| 498456 | Knorr-Bremse AG | 28414253 |
| 1792858 | Otis Worldwide Corp. | 140004281 |
| 1661846 | Safran SA | 205380385 |
|  | Total Capital Goods | 373798919 |
|  | **Consumer Durables & Apparel — 1.3%** | **Consumer Durables & Apparel — 1.3%** |
| 122304 | LVMH Moet Hennessy Louis Vuitton SE | 94911384 |
|  | **Consumer Services — 2.5%** |  |
| 7888901 | Compass Group Plc | 179850614 |
|  | **Diversified Financials — 1.6%** |  |
| 732750 | American Express Co. | 115474072 |
|  | **Food, Beverage & Tobacco — 5.6%** |  |
| 3214584 | Coca-Cola Co. (The) | 204479688 |
| 392511 | Constellation Brands, Inc. – Class A | 101012706 |
| 769278 | Nestle SA (Registered) | 91562185 |
|  | Total Food, Beverage & Tobacco | 397054579 |
|  | **Health Care Equipment & Services — 14.9%** | **Health Care Equipment & Services — 14.9%** |
| 921061 | Abbott Laboratories | 99087742 |
| 235077 | Cigna Corp. | 77314475 |
| 382120 | Elevance Health, Inc. | 203639390 |
| 354348 | Intuitive Surgical, Inc. <sup>\*</sup> | 95812156 |
| 1674510 | Medtronic Plc | 132353270 |
| 841004 | Quest Diagnostics, Inc. | 127689637 |
| 599598 | UnitedHealth Group, Inc. | 328435801 |
|  | Total Health Care Equipment & Services | &nbsp;&nbsp;&nbsp;&nbsp;1064332471 |
|  | **Household & Personal Products — 2.1%** | **Household & Personal Products — 2.1%** |
| 3061166 | Unilever Plc | 153061735 |
|  | **Media & Entertainment — 4.9%** |  |
| 2027967 | Alphabet, Inc. – Class A <sup>\*</sup> | 204804387 |
| 1214025 | Meta Platforms, Inc. – Class A <sup>\*</sup> | 143376353 |
|  | Total Media & Entertainment | 348180740 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 10.5%** | **Pharmaceuticals, Biotechnology & Life Sciences — 10.5%** |
| 444400 | Eli Lilly & Co. | 164907952 |
| 1585723 | Johnson & Johnson | 282258694 |
| 1516830 | Merck & Co., Inc. | 167033320 |
| 407569 | Roche Holding AG – Genusschein | 133121760 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 747321726 |
|  | **Retailing — 6.9%** |  |
| 7548565 | Alibaba Group Holding Ltd <sup>\*</sup> | 82152191 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Retailing — continued** | |
| 2043736 | Amazon.com, Inc. <sup>\*</sup> | 197302273 |
| 2690318 | TJX Cos, Inc. (The) | 215359956 |
|  | Total Retailing | 494814420 |
|  | **Semiconductors & Semiconductor Equipment — 10.7%** | **Semiconductors & Semiconductor Equipment — 10.7%** |
| 299845 | KLA Corp. | 117884062 |
| 419062 | Lam Research Corp. | 197956508 |
| 13185790 | Taiwan Semiconductor Manufacturing Co Ltd | 211761795 |
| 1310699 | Texas Instruments, Inc. | 236528741 |
|  | Total Semiconductors & Semiconductor Equipment | 764131106 |
|  | **Software & Services — 22.5%** |  |
| 687048 | Accenture Plc – Class A | 206753355 |
| 387586 | Adobe, Inc. <sup>\*</sup> | 133690039 |
| 803196 | Amadeus IT Group SA <sup>\*</sup> | 43426804 |
| 358732 | Global Payments, Inc. | 37229207 |
| 1900668 | Microsoft Corp. | 484936433 |
| 2429200 | Oracle Corp. | 201696476 |
| 796173 | salesforce.com, Inc. <sup>\*</sup> | 127586723 |
| 1926393 | SAP SE | 213746073 |
| 721454 | Visa, Inc. – Class A | 156555518 |
|  | Total Software & Services | 1605620628 |
|  | **Technology Hardware & Equipment — 3.6%** | **Technology Hardware & Equipment — 3.6%** |
| 1713063 | Apple, Inc. | 253584716 |
|  | TOTAL COMMON STOCKS<br>(COST $4,458,238,852) | 7030864634 |
|  | **MUTUAL FUNDS — 1.4%** | **MUTUAL FUNDS — 1.4%** |
|  | **Affiliated Issuers — 1.4%** |  |
| 20733512 | GMO U.S. Treasury Fund | 103252888 |
|  | TOTAL MUTUAL FUNDS<br>(COST $103,252,888) | 103252888 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 3875510 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 3875510 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $3,875,510) | 3875510 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $4,565,367,250) | **7137993032** |
|  | Other Assets and Liabilities (net) — 0.1% | 10697908 |
|  | **TOTAL NET ASSETS — 100.0%** | **$7148690940** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO Resources Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 89.5%** |  |
| | **Argentina — 0.9%** | |
| 2673575 | Adecoagro SA <sup>(a)</sup> | 22083729 |
|  | **Australia — 3.0%** |  |
| 16885684 | Beach Energy Ltd | 20356557 |
| 735000 | Clean TeQ Water Ltd <sup>\*</sup> | 192799 |
| 2791862 | Fortescue Metals Group Ltd | 37158749 |
| 6201772 | Jupiter Mines Ltd <sup>(a)</sup> | 782213 |
| 6690730 | Perenti Ltd <sup>\*</sup> | 5047676 |
| 2764553 | Sandfire Resources Ltd | 9568923 |
| 1470000 | Sunrise Energy Metals Ltd <sup>\*</sup> | 2045017 |
|  | Total Australia | 75151934 |
|  | **Austria — 1.4%** |  |
| 655431 | OMV AG <sup>(a)</sup> | 34784822 |
|  | **Brazil — 3.0%** |  |
| 1168900 | Dexco SA <sup>\*</sup> | 1880836 |
| 1832700 | Enauta Participacoes SA | 4732419 |
| 3914678 | Sao Martinho SA | 21620178 |
| 927420 | SLC Agricola SA | 8020775 |
| 1183700 | Suzano SA | 12123610 |
| 1518268 | Vale SA | 25076503 |
|  | Total Brazil | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73454321 |
|  | **Canada — 9.3%** |  |
| 850200 | Anaergia Inc <sup>\* (a)</sup> | 2730449 |
| 436300 | Birchcliff Energy Ltd | 3483524 |
| 709129 | Canadian Solar Inc <sup>\*</sup> | 25422275 |
| 1036200 | Crescent Point Energy Corp | 8051274 |
| 747652 | Enerflex Ltd <sup>(a)</sup> | 4957853 |
| 1535100 | First Quantum Minerals Ltd | 36495928 |
| 1617600 | Greenlane Renewables Inc <sup>\* (a)</sup> | 685449 |
| 7453600 | Ivanhoe Mines Ltd – Class A <sup>\* (a)</sup> | 66714749 |
| 1653309 | Largo Inc <sup>\* (a)</sup> | 9218167 |
| 1991200 | Li-Cycle Holdings Corp <sup>\*</sup> | 12683944 |
| 199200 | Nutrien Ltd | 16015680 |
| 1105600 | Tamarack Valley Energy Ltd <sup>(a)</sup> | 4257524 |
| 295700 | Teck Resources Ltd – Class B <sup>(b)</sup> | 10967513 |
| 376800 | Teck Resources Ltd – Class B <sup>(b)</sup> | 13966656 |
| 627100 | Vermilion Energy Inc | 12404038 |
|  | Total Canada | 228055023 |
|  | **China — 1.5%** |  |
| 10394000 | China High Speed Transmission Equipment |  |
|  | Group Co Ltd <sup>\* (a)</sup> | 4851017 |
| 5338000 | China Oilfield Services Ltd – Class H | 6748153 |
| 5782000 | China Water Affairs Group Ltd <sup>(a)</sup> | 4712066 |
| 2374884 | Inner Mongolia Eerduosi Resources Co Ltd – Class A | 5410014 |
| 3859466 | Western Mining Co Ltd – Class A | 5933816 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **China — continued** | |
| 8564600 | Xinjiang Goldwind Science & Technology Co Ltd – Class H <sup>(a)</sup> | 9282573 |
|  | Total China | 36937639 |
|  | **Denmark — 1.8%** |  |
| 1739406 | Vestas Wind Systems A/S | 45193611 |
|  | **Finland — 0.5%** |  |
| 383853 | Kemira Oyj | 5565896 |
| 127268 | Neste Oyj | 6569136 |
|  | Total Finland | 12135032 |
|  | **France — 2.0%** |  |
| 52297 | Eramet SA | 4475228 |
| 750372 | Technip Energies NV | 11884082 |
| 1208864 | Veolia Environnement SA | 31287656 |
| 45533 | Vilmorin & Cie SA | 2337438 |
|  | Total France | 49984404 |
|  | **Hungary — 0.8%** |  |
| 2710540 | MOL Hungarian Oil & Gas Plc | 19622691 |
|  | **India — 1.2%** |  |
| 2646123 | Oil India Ltd | 6718640 |
| 6012795 | Vedanta Ltd | 22742287 |
|  | Total India | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29460927 |
|  | **Israel — 0.5%** |  |
| 82064 | Delek Group Ltd <sup>\*</sup> | 10473002 |
| 79565 | Equital Ltd <sup>\*</sup> | 2577264 |
| 74856 | Naphtha Israel Petroleum Corp Ltd <sup>\*</sup> | 422953 |
|  | Total Israel | 13473219 |
|  | **Italy — 1.0%** |  |
| 1597654 | Eni SPA | 23821015 |
|  | **Japan — 2.2%** |  |
| 285800 | Ebara Corp | 11111829 |
| 2159600 | Inpex Corp | 23797986 |
| 767700 | Mitsubishi Materials Corp | 12272858 |
| 89700 | Nittetsu Mining Co Ltd | 2064993 |
| 179700 | Sumitomo Metal Mining Co Ltd | 6061037 |
|  | Total Japan | 55308703 |
|  | **Mexico — 2.2%** |  |
| 13083040 | Grupo Mexico SAB de CV – Series B | 53229949 |
|  | **Netherlands — 0.2%** |  |
| 243042 | SBM Offshore NV | 3894231 |
|  | **Norway — 2.5%** |  |
| 1388061 | Austevoll Seafood ASA | 11353250 |

---

------

**GMO Resources Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Norway — continued** | |
| 4089354 | DNO ASA | 5226246 |
| 1060355 | Equinor ASA | 40835119 |
| 357869 | TGS ASA | 4896147 |
|  | Total Norway | 62310762 |
|  | **Pakistan — 0.1%** |  |
| 1182763 | Fauji Fertilizer Co Ltd | 541993 |
| 595518 | Pakistan Oilfields Ltd | 1113879 |
|  | Total Pakistan | 1655872 |
|  | **Poland — 0.7%** |  |
| 1102921 | Polski Koncern Naftowy ORLEN SA | 16234110 |
|  | **Portugal — 3.6%** |  |
| 7149263 | Galp Energia SGPS SA | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88090884 |
|  | **Russia — 0.6%** |  |
| 3574704 | Gazprom Neft PJSC <sup>(c)</sup> | 1917775 |
| 14145410 | Gazprom PJSC <sup>(c)</sup> | 2721065 |
| 248399 | LUKOIL PJSC <sup>(c)</sup> | 1310114 |
| 232917 | MMC Norilsk Nickel PJSC <sup>(c)</sup> | 3816289 |
| 338098 | PhosAgro PJSC <sup>(c)</sup> | 2493698 |
| 6533 | PhosAgro PJSC GDR <sup>\* (c) (d)</sup> | 16095 |
| 2 | PhosAgro PJSC GDR (Registered) <sup>(c)</sup> | 5 |
| 601778 | Ros Agro Plc GDR (Registered) <sup>\* (c)</sup> | 543712 |
| 3476399 | Tatneft PJSC <sup>(c)</sup> | 1451913 |
|  | Total Russia | 14270666 |
|  | **Singapore — 0.0%** |  |
| 2725600 | Ezra Holdings Ltd <sup>\* (a) (c)</sup> |  |
|  | **South Africa — 3.6%** |  |
| 904373 | African Rainbow Minerals Ltd | 15662147 |
| 112881 | Anglo American Platinum Ltd | 11409402 |
| 2130972 | Impala Platinum Holdings Ltd | 25898942 |
| 377896 | Sasol Ltd | 6570086 |
| 10849483 | Sibanye Stillwater Ltd | 30187790 |
|  | Total South Africa | 89728367 |
|  | **South Korea — 0.1%** |  |
| 4718 | Young Poong Corp | 2759597 |
|  | **Spain — 1.9%** |  |
| 2962343 | Repsol SA <sup>\*</sup> | 45739528 |
|  | **Switzerland — 0.1%** |  |
| 17507 | Gurit Holding AG <sup>(a)</sup> | 1799634 |
|  | **Turkey — 0.4%** |  |
| 4355741 | Koza Anadolu Metal Madencilik |  |
|  | Isletmeleri AS <sup>\*</sup> | 10662624 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Ukraine — 0.1%** | |
| 501341 | Kernel Holding SA | 2073351 |
|  | **United Kingdom — 12.6%** |  |
| 1343901 | Anglo American Plc | 55872856 |
| 12564156 | BP Plc | 75029803 |
| 4570904 | Ferrexpo Plc | 7961635 |
| 11800437 | Glencore Plc <sup>\*</sup> | 80527572 |
| 987473 | Serica Energy Plc | 3773069 |
| 2969614 | Shell Plc | 86908129 |
|  | Total United Kingdom | 310073064 |
|  | **United States — 31.7%** |  |
| 993524 | Aemetis, Inc. <sup>\*</sup> | 5474317 |
| 432500 | AGCO Corp. | 57401400 |
| 614600 | Alcoa Corp. | 30809898 |
| 955601 | Ameresco, Inc. – Class A <sup>\*</sup> | 62610977 |
| 85700 | California Resources Corp. | 3889066 |
| 3736966 | Clean Energy Fuels Corp. <sup>\*</sup> | 25261890 |
| 645500 | Darling Ingredients, Inc. <sup>\*</sup> | 46366265 |
| 66400 | Deere & Co. | 29282400 |
| 100900 | Exxon Mobil Corp. | 11234206 |
| 1090582 | Freeport-McMoRan, Inc. | 43405164 |
| 2733082 | GrafTech International Ltd. | 14758643 |
| 1105893 | Green Plains, Inc. <sup>\*</sup> | 38219662 |
| 350100 | Hess Corp. | 50382891 |
| 17575601 | Kosmos Energy Ltd. <sup>\*</sup> | 116877747 |
| 1284700 | Livent Corp. <sup>\*</sup> | 35958753 |
| 247900 | Marathon Oil Corp. | 7593177 |
| 819321 | Mosaic Co. (The) | 42031167 |
| 277200 | PotlatchDeltic Corp. (REIT) | 13247388 |
| 188324 | SolarEdge Technologies, Inc. <sup>\*</sup> | 56282511 |
| 2478166 | Sunrun, Inc. <sup>\*</sup> | 80738648 |
| 620332 | TechnipFMC Plc <sup>\*</sup> | 7692117 |
|  | Total United States | 779518287 |
|  | TOTAL COMMON STOCKS<br>(COST $2,004,528,367) | &nbsp;&nbsp;&nbsp;&nbsp;2201507996 |
|  | **PREFERRED STOCKS <sup>(e)</sup> — 9.3%** | **PREFERRED STOCKS <sup>(e)</sup> — 9.3%** |
|  | **Brazil — 7.6%** |  |
| 20653926 | Bradespar SA | 112635707 |
| 14264781 | Petroleo Brasileiro SA | 73284527 |
|  | Total Brazil | 185920234 |
|  | **Chile — 1.6%** |  |
| 397795 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 39445352 |
|  | **Russia — 0.1%** |  |
| 20237584 | Surgutneftegas PJSC <sup>(c)</sup> | 576170 |

---

------

**GMO Resources Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Russia — continued** | |
| 7494797 | Tatneft PJSC <sup>(c)</sup> | 3027886 |
|  | Total Russia | 3604056 |
|  | TOTAL PREFERRED STOCKS<br>(COST $254,586,808) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228969642 |
|  | **MUTUAL FUNDS — 0.6%** |  |
|  | **United States — 0.6%** |  |
|  | **Affiliated Issuers — 0.6%** |  |
| 3025341 | GMO U.S. Treasury Fund | 15066200 |
|  | Total United States | 15066200 |
|  | TOTAL MUTUAL FUNDS<br>(COST $15,066,200) | 15066200 |
|  | **RIGHTS/WARRANTS — 0.0%** |  |
|  | **Australia — 0.0%** |  |
| 314154 | Sandfire Resources Ltd., expires 12/08/22 <sup>\* (f)</sup> |  |
|  | Total Australia |  |
|  | **Singapore — 0.0%** |  |
| 2117812 | Ezion Holdings Ltd, expires 04/16/23 <sup>\* (a) (c)</sup> | 2 |
|  | Total Singapore | 2 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $0) | 2 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **SHORT-TERM INVESTMENTS — 0.2%** | **SHORT-TERM INVESTMENTS — 0.2%** |
| | **Money Market Funds — 0.2%** | |
| 5563233 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(g)</sup> | 5563233 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $5,563,233) | 5563233 |
|  | **TOTAL INVESTMENTS — 99.6%**<br> (Cost $2,279,744,608) | **2451107073** |
|  | Other Assets and Liabilities (net) — 0.4% | 9785696 |
|  | **TOTAL NET ASSETS — 100.0%** | **$2460892769** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2022** |
| PhosAgro PJSC GDR | 08/26/16 | $93496 | 0.0% | $16095 |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

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

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

(d) The security is restricted as to resale.

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

(f) Investment valued using significant unobservable inputs.

(g) The rate disclosed is the 7 day net yield as of November 30, 2022.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

------

**GMO Small Cap Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 98.7%** | **COMMON STOCKS — 98.7%** |
| | **Automobiles & Components — 6.9%** | **Automobiles & Components — 6.9%** |
| 35746 | Fox Factory Holding Corp. <sup>\*</sup> | 3792651 |
| 128566 | Gentex Corp. | 3715557 |
|  | Total Automobiles & Components | 7508208 |
|  | **Banks — 2.5%** | **Banks — 2.5%** |
| 68338 | Essent Group Ltd. | 2739670 |
|  | **Capital Goods — 21.3%** | **Capital Goods — 21.3%** |
| 31128 | A O Smith Corp. | 1890715 |
| 18583 | AAON, Inc. | 1472889 |
| 18953 | Allegion PLC | 2154008 |
| 20492 | Curtiss-Wright Corp. | 3619912 |
| 39861 | Graco, Inc. | 2789074 |
| 6371 | Kadant, Inc. | 1229858 |
| 13722 | RBC Bearings, Inc. <sup>\*</sup> | 3251702 |
| 68891 | Trex Co., Inc. <sup>\*</sup> | 3161408 |
| 36315 | Woodward, Inc. | 3478977 |
|  | Total Capital Goods | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23048543 |
|  | **Commercial & Professional Services — 5.4%** | **Commercial & Professional Services — 5.4%** |
| 25559 | Booz Allen Hamilton Holding Corp. | 2719478 |
| 18119 | FTI Consulting, Inc. <sup>\*</sup> | 3131325 |
|  | Total Commercial & Professional Services | 5850803 |
|  | **Consumer Durables & Apparel — 4.8%** | **Consumer Durables & Apparel — 4.8%** |
| 41173 | Acushnet Holdings Corp. | 1871313 |
| 30242 | Malibu Boats, Inc. – Class A <sup>\*</sup> | 1745266 |
| 9870 | TopBuild Corp. <sup>\*</sup> | 1520769 |
|  | Total Consumer Durables & Apparel | 5137348 |
|  | **Diversified Financials — 4.5%** | **Diversified Financials — 4.5%** |
| 15268 | Cohen & Steers, Inc. | 1011505 |
| 39334 | Houlihan Lokey, Inc. | 3868499 |
|  | Total Diversified Financials | 4880004 |
|  | **Food, Beverage & Tobacco — 6.3%** | **Food, Beverage & Tobacco — 6.3%** |
| 8811 | Boston Beer Co., Inc. (The) – Class A <sup>\*</sup> | 3386684 |
| 8425 | J & J Snack Foods Corp. | 1381868 |
| 9978 | Lancaster Colony Corp. | 2066843 |
|  | Total Food, Beverage & Tobacco | 6835395 |
|  | **Health Care Equipment & Services — 3.4%** | **Health Care Equipment & Services — 3.4%** |
| 49121 | Globus Medical, Inc. – Class A <sup>\*</sup> | 3629551 |
|  | **Insurance — 1.8%** | **Insurance — 1.8%** |
| 6728 | Erie Indemnity Co. – Class A | 1899920 |
|  | **Materials — 5.1%** | **Materials — 5.1%** |
| 32644 | AptarGroup, Inc. | 3464834 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Materials — continued** | **Materials — continued** |
| 14190 | Balchem Corp. | 1997952 |
|  | Total Materials | 5462786 |
|  | **Media & Entertainment — 3.0%** | **Media & Entertainment — 3.0%** |
| 88898 | New York Times Co. (The) – Class A | 3258112 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 1.7%** | **Pharmaceuticals, Biotechnology & Life Sciences — 1.7%** |
| 26872 | Bruker Corp. | 1811442 |
|  | **Retailing — 3.5%** | **Retailing — 3.5%** |
| 55944 | Ollie's Bargain Outlet Holdings, Inc. <sup>\*</sup> | 3406990 |
| 1588 | Winmark Corp. | 381120 |
|  | Total Retailing | 3788110 |
|  | **Semiconductors & Semiconductor Equipment — 9.7%** | **Semiconductors & Semiconductor Equipment — 9.7%** |
| 55963 | Axcelis Technologies, Inc. <sup>\*</sup> | 4469205 |
| 48533 | Power Integrations, Inc. | 3905936 |
| 18970 | Universal Display Corp. | 2136401 |
|  | Total Semiconductors & Semiconductor Equipment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10511542 |
|  | **Software & Services — 5.8%** | **Software & Services — 5.8%** |
| 49467 | Dolby Laboratories, Inc. – Class A | 3703594 |
| 54640 | Genpact Ltd. | 2519451 |
|  | Total Software & Services | 6223045 |
|  | **Technology Hardware & Equipment — 5.9%** | **Technology Hardware & Equipment — 5.9%** |
| 10713 | Badger Meter, Inc. | 1240780 |
| 35267 | Ciena Corp. <sup>\*</sup> | 1585604 |
| 26463 | Fabrinet <sup>\*</sup> | 3530429 |
|  | Total Technology Hardware & Equipment | 6356813 |
|  | **Transportation — 7.1%** | **Transportation — 7.1%** |
| 21674 | Landstar System, Inc. | 3749168 |
| 16342 | Saia, Inc. <sup>\*</sup> | 3980748 |
|  | Total Transportation | 7729916 |
|  | TOTAL COMMON STOCKS<br>(COST $91,488,545) | 106671208 |
|  | **MUTUAL FUNDS — 0.6%** | **MUTUAL FUNDS — 0.6%** |
|  | **Affiliated Issuers — 0.6%** | **Affiliated Issuers — 0.6%** |
| 141414 | GMO U.S. Treasury Fund | 704241 |
|  | TOTAL MUTUAL FUNDS<br>(COST $704,241) | 704241 |

---

------

**GMO Small Cap Quality Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **SHORT-TERM INVESTMENTS — 0.7%** | **SHORT-TERM INVESTMENTS — 0.7%** |
| | **Money Market Funds — 0.7%** | **Money Market Funds — 0.7%** |
| 720737 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 720737 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $720,737) | 720737 |
|  | **TOTAL INVESTMENTS — 100.0%<br>(Cost $92,913,523)** | **108096186** |
|  | Other Assets and Liabilities (net) — (0.0)% | (15924) |
|  | **TOTAL NET ASSETS — 100.0%** | **$108080262** |

---

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO Tax-Managed International Equities Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 97.2%** |  |
| | **Australia — 4.3%** | |
| 6116 | Accent Group Ltd | 7549 |
| 1525 | Ampol Ltd | 29730 |
| 11504 | Aurizon Holdings Ltd | 29900 |
| 2101 | BHP Group Ltd | 65247 |
| 10634 | BlueScope Steel Ltd | 128171 |
| 10646 | Brambles Ltd | 88062 |
| 1921 | Computershare Ltd | 36416 |
| 6028 | Fortescue Metals Group Ltd | 80231 |
| 12342 | GrainCorp Ltd – Class A | 68239 |
| 2985 | JB Hi-Fi Ltd | 91802 |
| 12725 | Rio Tinto Ltd | 949980 |
| 4330 | Sims Ltd | 38686 |
|  | Total Australia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1614013 |
|  | **Belgium — 0.1%** |  |
| 1131 | Bekaert SA | 40387 |
|  | **Brazil — 0.9%** |  |
| 1800 | Arezzo Industria e Comercio SA | 31069 |
| 4400 | Banco do Brasil SA | 29914 |
| 10200 | BB Seguridade Participacoes SA | 61561 |
| 23300 | Cielo SA | 21507 |
| 3800 | Lojas Renner SA | 16952 |
| 7500 | Petroleo Brasileiro SA Sponsored ADR | 87675 |
| 36100 | TIM SA | 90435 |
| 5200 | Vibra Energia SA | 16564 |
|  | Total Brazil | 355677 |
|  | **Denmark — 0.1%** |  |
| 1228 | Scandinavian Tobacco Group A/S | 21813 |
|  | **Finland — 0.9%** |  |
| 68365 | Nokia Oyj | 336828 |
| 216 | UPM-Kymmene Oyj | 7930 |
|  | Total Finland | 344758 |
|  | **France — 13.2%** |  |
| 598 | Alten SA | 75578 |
| 17325 | Cie de Saint-Gobain | 798883 |
| 1448 | Coface SA | 17726 |
| 4937 | Derichebourg SA | 26708 |
| 1742 | Ipsen SA | 194730 |
| 1111 | IPSOS | 63557 |
| 385 | Kaufman & Broad SA | 10396 |
| 343 | Kering SA | 206087 |
| 2641 | Publicis Groupe SA | 173821 |
| 11137 | Sanofi | 1005997 |
| 390 | Societe BIC SA | 25765 |
| 15244 | Societe Generale SA | 383677 |
| 22900 | STMicroelectronics NV | 890352 |
| 2457 | Television Francaise 1 | 18571 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **France — continued** | |
| 17898 | TotalEnergies SE | 1118626 |
|  | Total France | 5010474 |
|  | **Germany — 3.8%** |  |
| 33 | Aurubis AG | 2649 |
| 3669 | Bayer AG (Registered) | 212938 |
| 3571 | Bayerische Motoren Werke AG | 324242 |
| 207 | Henkel AG & Co KGaA | 13772 |
| 84 | Hornbach Holding AG & Co KGaA | 6663 |
| 432 | HUGO BOSS AG | 24302 |
| 5343 | Kloeckner & Co SE | 50706 |
| 3899 | Merck KGaA | 714355 |
| 601 | RTL Group SA | 24963 |
| 386 | Volkswagen AG | 74517 |
|  | Total Germany | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1449107 |
|  | **Hong Kong — 1.0%** |  |
| 9100 | ASMPT Ltd | 67745 |
| 25000 | CK Asset Holdings Ltd | 149637 |
| 4000 | Johnson Electric Holdings Ltd | 5016 |
| 1500 | Techtronic Industries Co Ltd | 18285 |
| 1800 | VTech Holdings Ltd | 11480 |
| 222000 | WH Group Ltd | 130073 |
|  | Total Hong Kong | 382236 |
|  | **India — 1.0%** |  |
| 3359 | Cipla Ltd | 47391 |
| 18547 | GAIL India Ltd | 21731 |
| 635 | Hero MotoCorp Ltd | 22322 |
| 644 | Hindustan Aeronautics Ltd | 21969 |
| 31581 | ITC Ltd | 132413 |
| 1169 | Rajesh Exports Ltd | 11090 |
| 67001 | REC Ltd | 91296 |
| 2990 | Sun Pharmaceutical Industries Ltd | 38820 |
|  | Total India | 387032 |
|  | **Ireland — 0.4%** |  |
| 10544 | Bank of Ireland Group Plc | 87431 |
| 908 | Kingspan Group Plc | 51544 |
|  | Total Ireland | 138975 |
|  | **Italy — 0.5%** |  |
| 6166 | Anima Holding SPA | 23598 |
| 675 | Banca IFIS SPA | 9303 |
| 1005 | Esprinet SPA | 7430 |
| 1719 | Leonardo SPA | 13792 |
| 128 | Sesa SPA | 16078 |
| 9143 | Snam SPA | 46672 |
| 13409 | Unipol Gruppo SPA | 68591 |
|  | Total Italy | 185464 |

---

------

**GMO Tax-Managed International Equities Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Japan — 23.7%** |  |
| 2300 | Advantest Corp | 156544 |
| 21800 | Asahi Kasei Corp | 162025 |
| 2500 | Bandai Namco Holdings Inc | 165651 |
| 7500 | Brother Industries Ltd | 121809 |
| 34400 | Canon Inc | 804090 |
| 700 | Dai Nippon Printing Co Ltd | 14498 |
| 3000 | Daiwabo Holdings Co Ltd | 47863 |
| 600 | Dexerials Corp | 14400 |
| 1300 | FUJIFILM Holdings Corp | 69930 |
| 3100 | Haseko Corp | 34278 |
| 30400 | ITOCHU Corp | 954775 |
| 46700 | Japan Tobacco Inc | 955453 |
| 28400 | KDDI Corp | 844746 |
| 72800 | Marubeni Corp | 823541 |
| 7200 | Mitsubishi Corp | 242490 |
| 13000 | Mitsubishi Motors Corp <sup>\*</sup> | 60651 |
| 29400 | Mitsui & Co Ltd | 853297 |
| 7900 | NGK Spark Plug Co Ltd | 154788 |
| 1000 | Nichias Corp | 17748 |
| 4600 | Nikon Corp | 44977 |
| 29400 | Nippon Telegraph & Telephone Corp | 815232 |
| 500 | Nitto Denko Corp | 31590 |
| 1900 | Ono Pharmaceutical Co Ltd | 48693 |
| 1900 | Sega Sammy Holdings Inc | 25337 |
| 4700 | Seiko Epson Corp | 73961 |
| 6900 | Sekisui Chemical Co Ltd | 97589 |
| 16500 | Sekisui House Ltd | 308941 |
| 600 | Shimamura Co Ltd | 54473 |
| 14220 | Sojitz Corp | 253413 |
| 50400 | Sumitomo Chemical Co Ltd | 183750 |
| 6500 | Sumitomo Forestry Co Ltd | 113491 |
| 7600 | Toyota Tsusho Corp | 293382 |
| 900 | Yakult Honsha Co Ltd | 57439 |
| 3900 | Yamaha Motor Co Ltd | 97694 |
| 300 | Yokogawa Electric Corp | 5658 |
|  | Total Japan | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9004197 |
|  | **Malaysia — 0.0%** |  |
| 1000 | Malayan Banking Bhd | 1944 |
|  | **Netherlands — 7.0%** |  |
| 917 | ASR Nederland NV | 41970 |
| 3900 | EXOR NV <sup>\*</sup> | 306150 |
| 27811 | Koninklijke Ahold Delhaize NV | 810471 |
| 4094 | NN Group NV | 174963 |
| 9133 | Randstad NV | 529014 |
| 5313 | Signify NV | 181463 |
| 5689 | Wolters Kluwer NV | 626987 |
|  | Total Netherlands | 2671018 |
|  | **Norway — 2.6%** |  |
| 23670 | Equinor ASA | 911551 |
| 6029 | Norsk Hydro ASA | 45399 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Norway — continued** | |
| 1503 | SpareBank 1 Nord Norge | 14009 |
| 879 | SpareBank 1 SR-Bank ASA | 10648 |
| 4556 | XXL ASA | 2076 |
|  | Total Norway | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;983683 |
|  | **Poland — 0.2%** |  |
| 233 | Asseco Poland SA | 3823 |
| 4742 | Polski Koncern Naftowy ORLEN SA | 69798 |
|  | Total Poland | 73621 |
|  | **Portugal — 1.2%** |  |
| 7992 | Galp Energia SGPS SA | 98475 |
| 13347 | Jeronimo Martins SGPS SA | 297792 |
| 8084 | Navigator Co SA (The) | 32837 |
| 34225 | Sonae SGPS SA | 34768 |
|  | Total Portugal | 463872 |
|  | **Russia — 0.0%** |  |
| 9800 | Surgutneftegas PJSC <sup>(a)</sup> | 243 |
|  | **Singapore — 4.0%** |  |
| 32799 | DBS Group Holdings Ltd | 855357 |
| 2900 | Jardine Cycle & Carriage Ltd | 64681 |
| 38000 | Keppel Corp Ltd | 212098 |
| 800 | Singapore Exchange Ltd | 5355 |
| 49200 | Wilmar International Ltd | 149249 |
| 221300 | Yangzijiang Shipbuilding Holdings Ltd | 234372 |
|  | Total Singapore | 1521112 |
|  | **South Africa — 0.1%** |  |
| 2596 | Aspen Pharmacare Holdings Ltd | 21543 |
| 11423 | Netcare Ltd | 9884 |
| 2988 | Truworths International Ltd | 9899 |
|  | Total South Africa | 41326 |
|  | **South Korea — 2.0%** |  |
| 13501 | BNK Financial Group Inc | 76506 |
| 4624 | DGB Financial Group Inc | 28017 |
| 885 | GS Holdings Corp | 32895 |
| 6606 | Hanwha Life Insurance Co Ltd <sup>\*</sup> | 12764 |
| 611 | Hyundai Glovis Co Ltd | 82888 |
| 523 | Hyundai Mobis Co Ltd | 85604 |
| 3097 | KT&G Corp | 234997 |
| 582 | LG Electronics Inc | 43917 |
| 61 | LG Innotek Co Ltd | 14707 |
| 656 | LOTTE Fine Chemical Co Ltd | 31422 |
| 464 | LX International Corp | 14621 |
| 26 | Samsung Electronics Co Ltd GDR (Registered) | 30884 |
| 494 | SL Corp | 10671 |
| 1041 | Youngone Corp | 37931 |
|  | Total South Korea | 737824 |

---

------

**GMO Tax-Managed International Equities Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Spain — 5.8%** | |
| 17127 | Acerinox SA | 169438 |
| 169683 | Banco Bilbao Vizcaya Argentaria SA | 999949 |
| 593652 | Banco de Sabadell SA | 554304 |
| 480 | Ebro Foods SA | 7585 |
| 6938 | Industria de Diseno Textil SA | 181108 |
| 16292 | Repsol SA | 251554 |
| 34733 | Unicaja Banco SA | 35909 |
|  | Total Spain | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2199847 |
|  | **Sweden — 0.5%** |  |
| 2995 | Investor AB – A Shares | 57668 |
| 230 | Investor AB – B Shares | 4280 |
| 8339 | SSAB AB – A Shares | 48289 |
| 13528 | SSAB AB – B Shares | 76481 |
|  | Total Sweden | 186718 |
|  | **Switzerland — 6.3%** |  |
| 92 | ALSO Holding AG (Registered) <sup>\*</sup> | 17003 |
| 446 | DKSH Holding AG | 33629 |
| 2162 | Novartis AG (Registered) | 192320 |
| 200 | Novartis AG Sponsored ADR | 17912 |
| 118 | Roche Holding AG | 47402 |
| 3857 | Roche Holding AG – Genusschein | 1259788 |
| 2900 | UBS Group AG (Registered) <sup>(b)</sup> | 53476 |
| 35906 | UBS Group AG (Registered) <sup>(b)</sup> | 662562 |
| 165 | Vetropack Holding AG (Registered) – Class A | 5829 |
| 217 | Zurich Insurance Group AG | 104255 |
|  | Total Switzerland | 2394176 |
|  | **Thailand — 1.7%** |  |
| 93200 | AP Thailand Pcl NVDR | 26829 |
| 18900 | Bangkok Bank Pcl NVDR | 77655 |
| 192900 | Bangkok Dusit Medical Services Pcl NVDR | 166177 |
| 7700 | Kiatnakin Phatra Bank Pcl NVDR | 15706 |
| 529900 | Krung Thai Bank Pcl NVDR | 265923 |
| 63200 | PTT Oil & Retail Business Pcl NVDR | 43843 |
| 649600 | Sansiri Pcl NVDR | 29075 |
|  | Total Thailand | 625208 |
|  | **Turkey — 2.6%** |  |
| 377929 | Akbank TAS | 353512 |
| 13636 | Arcelik AS | 67691 |
| 43063 | Aselsan Elektronik Sanayi Ve Ticaret AS | 112688 |
| 3483 | Dogus Otomotiv Servis ve Ticaret AS | 29435 |
| 39754 | Haci Omer Sabanci Holding AS | 90418 |
| 6176 | KOC Holding AS | 23519 |
| 70623 | Turkiye Garanti Bankasi AS | 102119 |
| 133185 | Turkiye Is Bankasi AS – Class C | 74954 |
| 104432 | Turkiye Sinai Kalkinma Bankasi AS <sup>\*</sup> | 22559 |
| 8373 | Vestel Elektronik Sanayi ve Ticaret AS <sup>\*</sup> | 26984 |
| 109290 | Yapi ve Kredi Bankasi AS | 70932 |
|  | Total Turkey | 974811 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **United Kingdom — 13.3%** | |
| 22712 | 3i Group Plc | 373169 |
| 21301 | BAE Systems Plc | 210959 |
| 49520 | Barratt Developments Plc | 239468 |
| 4024 | Bellway Plc | 97780 |
| 13000 | BP Plc Sponsored ADR | 466700 |
| 5866 | British American Tobacco Plc | 240518 |
| 20100 | British American Tobacco Plc Sponsored ADR | 829527 |
| 214149 | BT Group Plc | 315123 |
| 12470 | Coca-Cola HBC AG <sup>\*</sup> | 305027 |
| 300 | Diageo Plc Sponsored ADR | 55965 |
| 403 | Ferguson Plc | 45689 |
| 8290 | GSK Plc Sponsored ADR | 286751 |
| 8040 | IG Group Holdings Plc | 79978 |
| 32320 | Imperial Brands Plc | 831305 |
| 7384 | Investec Plc | 46635 |
| 16503 | Kingfisher Plc | 48261 |
| 297 | Morgan Sindall Group Plc | 5871 |
| 3728 | Next Plc | 266429 |
| 5740 | Persimmon Plc | 88906 |
| 3503 | Plus500 Ltd | 80413 |
| 13515 | Redrow Plc | 74469 |
| 700 | Rio Tinto Plc Sponsored ADR | 48048 |
| 6565 | Spirent Communications Plc | 22879 |
|  | Total United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5059870 |
|  | TOTAL COMMON STOCKS<br>(COST $32,977,988) | 36869406 |
|  | **PREFERRED STOCKS <sup>(c)</sup> — 1.5%** |  |
|  | **Brazil — 0.8%** |  |
| 18700 | Cia Energetica de Minas Gerais | 41369 |
| 70200 | Cia Paranaense de Energia – Class B | 109304 |
| 14000 | Gerdau SA Sponsored ADR | 85400 |
| 9900 | Itau Unibanco Holding SA Sponsored ADR | 49302 |
| 1800 | Petroleo Brasileiro SA Sponsored ADR | 18450 |
|  | Total Brazil | 303825 |
|  | **Germany — 0.7%** |  |
| 1061 | Bayerische Motoren Werke AG | 92067 |
| 186 | Draegerwerk AG & Co KGaA | 8430 |
| 2222 | Henkel AG & Co KGaA | 158932 |
|  | Total Germany | 259429 |
|  | **South Korea — 0.0%** |  |
| 302 | LG Electronics Inc | 10642 |
|  | TOTAL PREFERRED STOCKS<br>(COST $526,658) | 573896 |

---

------

**GMO Tax-Managed International Equities Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **MUTUAL FUNDS — 2.1%** |  |
| | **United States — 2.1%** | |
| | **Affiliated Issuers — 2.1%** | |
| 163036 | GMO U.S. Treasury Fund | 811918 |
|  | Total United States | 811918 |
|  | TOTAL MUTUAL FUNDS<br>(COST $811,918) | 811918 |
|  | **SHORT-TERM INVESTMENTS — 0.2%** |  |
|  | **Money Market Funds — 0.2%** |  |
| 79575 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(d)</sup> | 79575 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $79,575) | 79575 |
|  | **TOTAL INVESTMENTS — 101.0%**<br> (Cost $34,396,139) | **38334795** |
|  | Other Assets and Liabilities (net) — (1.0)% | (388778) |
|  | **TOTAL NET ASSETS — 100.0%** | $**37946017** |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount<br>($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 3 | MSCI EAFE | December 2022 | $296970 | $4800 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

\* Non-income producing security.

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

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

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

(d) The rate disclosed is the 7 day net yield as of November 30, 2022.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

------

**GMO U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 98.3%** |  |
| | **Automobiles & Components — 0.4%** | |
| 10500 | Aptiv PLC <sup>\*</sup> | 1120035 |
| 4300 | Modine Manufacturing Co. <sup>\*</sup> | 91031 |
| 9600 | Standard Motor Products, Inc. | 368736 |
|  | Total Automobiles & Components | 1579802 |
|  | **Banks — 0.5%** |  |
| 21692 | Associated Banc-Corp. | 533623 |
| 12800 | Farmers National Banc Corp. | 194688 |
| 8900 | Hanmi Financial Corp. | 240745 |
| 4100 | Independent Bank Corp. | 100614 |
| 12100 | Radian Group, Inc. | 236797 |
| 34200 | Regions Financial Corp. | 793782 |
|  | Total Banks | 2100249 |
|  | **Capital Goods — 7.4%** |  |
| 6700 | 3M Co. | 843999 |
| 3300 | Allison Transmission Holdings, Inc. | 147840 |
| 5800 | AMETEK, Inc. | 826036 |
| 2000 | Apogee Enterprises, Inc. | 96500 |
| 5202 | Carlisle Cos., Inc. | 1368698 |
| 142153 | Carrier Global Corp. | 6300221 |
| 1600 | Cummins, Inc. | 401856 |
| 8900 | Eaton Corp. Plc | 1454705 |
| 1400 | Emerson Electric Co. | 134078 |
| 2400 | Encore Wire Corp. | 350664 |
| 19200 | Fortune Brands Home & Security, Inc. | 1254528 |
| 18900 | Griffon Corp. | 667359 |
| 3400 | Moog, Inc. – Class A | 295902 |
| 32500 | MRC Global, Inc. <sup>\*</sup> | 382200 |
| 13183 | Mueller Industries, Inc. | 906595 |
| 48000 | PACCAR, Inc. | 5083680 |
| 38100 | Resideo Technologies, Inc. <sup>\*</sup> | 617220 |
| 2600 | Timken Co. (The) | 197548 |
| 21948 | Trane Technologies Plc | 3915962 |
| 7636 | UFP Industries, Inc. | 625083 |
| 9315 | WW Grainger, Inc. | 5617504 |
|  | Total Capital Goods | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31488178 |
|  | **Commercial & Professional Services — 1.0%** | **Commercial & Professional Services — 1.0%** |
| 95700 | ACCO Brands Corp. | 533049 |
| 7400 | CBIZ, Inc. <sup>\*</sup> | 367410 |
| 9600 | Deluxe Corp. | 185664 |
| 2700 | Heidrick & Struggles International, Inc. | 80190 |
| 11900 | ICF International, Inc. | 1289603 |
| 7200 | Kforce, Inc. | 425304 |
| 5700 | Republic Services, Inc. – Class A | 793953 |
| 19300 | Resources Connection, Inc. | 372490 |
| 3000 | TrueBlue, Inc. <sup>\*</sup> | 64740 |
|  | Total Commercial & Professional Services | 4112403 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Consumer Durables & Apparel — 4.7%** | |
| 34400 | Acushnet Holdings Corp. | 1563480 |
| 5500 | Beazer Homes USA, Inc. <sup>\*</sup> | 75075 |
| 1700 | Brunswick Corp. | 126140 |
| 5200 | Carter's, Inc. | 379808 |
| 6100 | Columbia Sportswear Co. | 546499 |
| 29000 | Ethan Allen Interiors, Inc. | 825050 |
| 52841 | Garmin Ltd. | 4913684 |
| 12500 | G-III Apparel Group Ltd. <sup>\*</sup> | 270375 |
| 46681 | La-Z-Boy, Inc. | 1271124 |
| 3000 | Lennar Corp. – Class B | 217830 |
| 3500 | M/I Homes, Inc. <sup>\*</sup> | 158130 |
| 6200 | MasterCraft Boat Holdings, Inc. <sup>\*</sup> | 159464 |
| 8500 | Meritage Homes Corp. <sup>\*</sup> | 734485 |
| 5300 | Movado Group, Inc. | 170607 |
| 5700 | Oxford Industries, Inc. | 643302 |
| 28200 | PVH Corp. | 1894476 |
| 87600 | Taylor Morrison Home Corp. – Class A <sup>\*</sup> | 2662164 |
| 88652 | TRI Pointe Homes, Inc. <sup>\*</sup> | 1634743 |
| 11800 | Whirlpool Corp. | 1729054 |
|  | Total Consumer Durables & Apparel | 19975490 |
|  | **Consumer Services — 0.4%** |  |
| 6300 | Adtalem Global Education, Inc. <sup>\*</sup> | 262080 |
| 1300 | Graham Holdings Co. – Class B | 836784 |
| 52975 | Perdoceo Education Corp. <sup>\*</sup> | 760191 |
|  | Total Consumer Services | 1859055 |
|  | **Diversified Financials — 6.8%** |  |
| 42600 | American Express Co. | 6713334 |
| 8800 | Ameriprise Financial, Inc. | 2921160 |
| 93900 | Bank of New York Mellon Corp. (The) | 4310010 |
| 14500 | Berkshire Hathaway, Inc. – Class B <sup>\*</sup> | 4619700 |
| 20100 | Discover Financial Services | 2178036 |
| 18300 | Donnelley Financial Solutions, Inc. <sup>\*</sup> | 698694 |
| 29043 | Enova International, Inc. <sup>\*</sup> | 1171595 |
| 100 | Intercontinental Exchange, Inc. | 10831 |
| 53000 | Janus Henderson Group Plc | 1340370 |
| 4500 | LPL Financial Holdings, Inc. | 1065195 |
| 3700 | Nelnet, Inc. – Class A | 364598 |
| 2200 | Oppenheimer Holdings, Inc. – Class A | 91652 |
| 3247 | PROG Holdings, Inc. <sup>\*</sup> | 63934 |
| 34623 | State Street Corp. | 2758414 |
| 8000 | Synchrony Financial | 300640 |
|  | Total Diversified Financials | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28608163 |
|  | **Energy — 6.7%** |  |
| 57000 | Chevron Corp. | 10448670 |
| 1057 | Chord Energy Corp. | 161224 |
| 7000 | EOG Resources, Inc. | 993510 |
| 101000 | Exxon Mobil Corp. | 11245340 |
| 6400 | Gulfport Energy Corp. <sup>\*</sup> | 518976 |
| 4300 | Hess Corp. | 618813 |

---

------

**GMO U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Energy — continued** | |
| 54300 | Kosmos Energy Ltd. <sup>\*</sup> | 361095 |
| 8800 | Marathon Petroleum Corp. | 1071928 |
| 23100 | Phillips 66 | 2504964 |
| 900 | Valero Energy Corp. | 120258 |
| 6400 | World Fuel Services Corp. | 182080 |
|  | Total Energy | 28226858 |
|  | **Food & Staples Retailing — 3.4%** |  |
| 8300 | Costco Wholesale Corp. | 4475775 |
| 135745 | Kroger Co. (The) | 6677297 |
| 12400 | SpartanNash Co. | 407340 |
| 18000 | Walmart, Inc. | 2743560 |
| 1500 | Weis Markets, Inc. | 130815 |
|  | Total Food & Staples Retailing | 14434787 |
|  | **Food, Beverage & Tobacco — 6.4%** |  |
| 2700 | Archer-Daniels-Midland Co. | 263250 |
| 95100 | General Mills, Inc. | 8112030 |
| 29900 | Hershey Co. (The) | 7031583 |
| 14600 | Kellogg Co. | 1065070 |
| 54600 | Keurig Dr Pepper, Inc. | 2111382 |
| 49200 | Kraft Heinz Co. (The) | 1936020 |
| 23000 | PepsiCo, Inc. | 4266730 |
| 4800 | Tyson Foods, Inc. – Class A | 318144 |
| 33465 | Universal Corp. | 1904493 |
|  | Total Food, Beverage & Tobacco | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27008702 |
|  | **Health Care Equipment & Services — 5.4%** |  |
| 9141 | AmerisourceBergen Corp. | 1560277 |
| 20800 | Centene Corp. <sup>\*</sup> | 1810640 |
| 17000 | Cigna Corp. | 5591130 |
| 5400 | CVS Health Corp. | 550152 |
| 5800 | Edwards Lifesciences Corp. <sup>\*</sup> | 448050 |
| 6700 | Elevance Health, Inc. | 3570564 |
| 8600 | Humana, Inc. | 4729140 |
| 4100 | UnitedHealth Group, Inc. | 2245816 |
| 19200 | Zimmer Biomet Holdings, Inc. | 2305920 |
|  | Total Health Care Equipment & Services | 22811689 |
|  | **Household & Personal Products — 0.1%** |  |
| 2600 | Kimberly-Clark Corp. | 352638 |
|  | **Insurance — 1.6%** |  |
| 2086 | Allstate Corp. (The) | 279316 |
| 58700 | Genworth Financial, Inc. – Class A <sup>\*</sup> | 295261 |
| 37400 | Progressive Corp. (The) | 4942410 |
| 26863 | Stewart Information Services Corp. | 1188956 |
| 500 | Travelers Cos., Inc. (The) | 94905 |
|  | Total Insurance | 6800848 |
|  | **Materials — 2.8%** |  |
| 20800 | AdvanSix, Inc. | 856128 |
| 38000 | Corteva, Inc. | 2552080 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Materials — continued** | |
| 50400 | Huntsman Corp. | 1400112 |
| 3100 | Ingevity Corp. <sup>\*</sup> | 242637 |
| 27100 | Mercer International, Inc. | 373980 |
| 3673 | NewMarket Corp. | 1160742 |
| 14396 | Reliance Steel & Aluminum Co. | 3041731 |
| 12800 | Ryerson Holding Corp. | 377472 |
| 12874 | Stepan Co. | 1436352 |
| 5100 | Valvoline, Inc. | 168198 |
| 10800 | Warrior Met Coal, Inc. | 397656 |
|  | Total Materials | 12007088 |
|  | **Media & Entertainment — 6.7%** |  |
| 58860 | Alphabet, Inc. – Class C <sup>\*</sup> | 5971347 |
| 59700 | Alphabet, Inc. – Class A <sup>\*</sup> | 6029103 |
| 16700 | AMC Networks, Inc. – Class A <sup>\*</sup> | 333332 |
| 35400 | Cars.com, Inc. <sup>\*</sup> | 523212 |
| 252633 | Comcast Corp. – Class A | 9256473 |
| 39042 | Electronic Arts, Inc. | 5105913 |
| 11500 | Fox Corp. – Class B | 350980 |
| 5800 | News Corp. – Class B | 112810 |
| 2400 | Scholastic Corp. | 98688 |
| 2200 | Shutterstock, Inc. | 118404 |
| 17018 | TEGNA, Inc. | 335935 |
| 7300 | Yelp, Inc. <sup>\*</sup> | 225935 |
|  | Total Media & Entertainment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28462132 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 6.2%** | **Pharmaceuticals, Biotechnology & Life Sciences — 6.2%** |
| 3500 | Agilent Technologies, Inc. | 542430 |
| 1200 | Biogen, Inc. <sup>\*</sup> | 366204 |
| 61241 | Bristol-Myers Squibb Co. | 4916427 |
| 12600 | Gilead Sciences, Inc. | 1106658 |
| 30200 | Johnson & Johnson | 5375600 |
| 118850 | Merck & Co., Inc. | 13087762 |
| 9795 | Prestige Consumer Healthcare, Inc. <sup>\*</sup> | 602001 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 25997082 |
|  | **Real Estate — 0.1%** |  |
| 5600 | CBRE Group, Inc. – Class A <sup>\*</sup> | 445760 |
|  | **Retailing — 9.2%** |  |
| 4900 | 1-800-Flowers.com, Inc. – Class A <sup>\*</sup> | 41454 |
| 8400 | Aaron's Co., Inc. (The) | 102396 |
| 13880 | Amazon.com, Inc. <sup>\*</sup> | 1339975 |
| 800 | AutoZone, Inc. <sup>\*</sup> | 2063200 |
| 11400 | Caleres, Inc. | 275424 |
| 14000 | Chico's FAS, Inc. <sup>\*</sup> | 82180 |
| 16000 | Container Store Group , Inc. (The) <sup>\*</sup> | 76000 |
| 32300 | Designer Brands, Inc. – Class A | 494190 |
| 10600 | Dollar General Corp. | 2710208 |
| 134000 | eBay, Inc. | 6088960 |
| 4300 | Genesco, Inc. <sup>\*</sup> | 224460 |
| 9200 | Genuine Parts Co. | 1686636 |

---

------

**GMO U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Retailing — continued** | |
| 10454 | Group 1 Automotive, Inc. | 2021177 |
| 8700 | Haverty Furniture Cos., Inc. | 274311 |
| 31400 | Home Depot, Inc. (The) | 10173286 |
| 13700 | ODP Corp. (The) <sup>\*</sup> | 659381 |
| 11396 | Penske Automotive Group, Inc. | 1441024 |
| 15978 | Qurate Retail, Inc. – Series A – Series A <sup>\*</sup> | 37548 |
| 10800 | Shoe Carnival, Inc. | 285228 |
| 32100 | Signet Jewelers Ltd. | 2086500 |
| 12800 | Tractor Supply Co. | 2896768 |
| 1900 | TravelCenters of America, Inc. <sup>\*</sup> | 97185 |
| 8500 | Ulta Beauty, Inc. <sup>\*</sup> | 3951140 |
|  | Total Retailing | 39108631 |
|  | **Semiconductors & Semiconductor Equipment — 8.1%** | **Semiconductors & Semiconductor Equipment — 8.1%** |
| 2800 | Applied Materials, Inc. | 306880 |
| 5000 | Axcelis Technologies, Inc. <sup>\*</sup> | 399300 |
| 6292 | Cirrus Logic, Inc. <sup>\*</sup> | 470075 |
| 230443 | Intel Corp. | 6929421 |
| 28800 | Kulicke & Soffa Industries, Inc. | 1380960 |
| 67100 | Microchip Technology, Inc. | 5313649 |
| 35100 | NXP Semiconductors NV | 6171984 |
| 54700 | ON Semiconductor Corp. <sup>\*</sup> | 4113440 |
| 71900 | QUALCOMM, Inc. | 9094631 |
|  | Total Semiconductors & Semiconductor Equipment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34180340 |
|  | **Software & Services — 8.3%** |  |
| 11700 | Automatic Data Processing, Inc. | 3090438 |
| 35022 | Cadence Design Systems, Inc. <sup>\*</sup> | 6025185 |
| 12900 | CSG Systems International, Inc. | 797736 |
| 1600 | International Business Machines Corp. | 238240 |
| 57219 | Microsoft Corp. | 14598856 |
| 20100 | Oracle Corp. | 1668903 |
| 4400 | Roper Technologies, Inc. | 1931116 |
| 20374 | Synopsys, Inc. <sup>\*</sup> | 6917788 |
|  | Total Software & Services | 35268262 |
|  | **Technology Hardware & Equipment — 11.6%** | **Technology Hardware & Equipment — 11.6%** |
| 158524 | Apple, Inc. | 23466308 |
| 6500 | Arista Networks, Inc. <sup>\*</sup> | 905450 |
| 10737 | Arrow Electronics, Inc. <sup>\*</sup> | 1167541 |
| 16622 | Avnet, Inc. | 750816 |
| 4700 | Bel Fuse, Inc. – Class B | 161868 |
| 300 | CTS Corp. | 12750 |
| 39900 | Dell Technologies, Inc. – Class C | 1787121 |
| 215600 | Hewlett Packard Enterprise Co. | 3617768 |
| 242444 | HP, Inc. | 7283018 |
| 34700 | Keysight Technologies, Inc. <sup>\*</sup> | 6276883 |
| 1000 | Motorola Solutions, Inc. | 272200 |
| 6100 | National Instruments Corp. | 250222 |
| 2900 | Sanmina Corp. <sup>\*</sup> | 191661 |
| 25500 | Super Micro Computer, Inc. <sup>\*</sup> | 2300865 |
| 5600 | TTM Technologies, Inc. <sup>\*</sup> | 89992 |
| 6600 | Vontier Corp. | 129558 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Technology Hardware & Equipment — continued** | **Technology Hardware & Equipment — continued** |
| 15695 | Xerox Holdings Corp. | 255985 |
|  | Total Technology Hardware & Equipment | 48920006 |
|  | **Telecommunication Services — 0.2%** |  |
| 26240 | Verizon Communications, Inc. | 1022835 |
|  | **Transportation — 0.3%** |  |
| 7500 | Hub Group, Inc. – Class A <sup>\*</sup> | 631125 |
| 25600 | Schneider National, Inc. – Class B | 659456 |
|  | Total Transportation | 1290581 |
|  | TOTAL COMMON STOCKS<br>(COST $389,920,317) | 416061579 |
|  | **MUTUAL FUNDS — 1.3%** |  |
|  | **Affiliated Issuers — 1.3%** |  |
| 1104418 | GMO U.S. Treasury Fund | 5500000 |
|  | TOTAL MUTUAL FUNDS<br>(COST $5,500,000) | 5500000 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** |  |
|  | **Money Market Funds — 0.1%** |  |
| 555139 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 555139 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $555,139) | 555139 |
|  | **TOTAL INVESTMENTS — 99.7%**<br> (Cost $395,975,456) | **422116718** |
|  | Other Assets and Liabilities (net) — 0.3% | 1126266 |
|  | **TOTAL NET ASSETS — 100.0%** | **$423242984** |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount<br>($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 27 | S&P 500 E-Mini | December 2022 | $5509688 | $238996 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

------

**GMO U.S. Equity Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO U.S. Small Cap Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 96.5%** |  |
| | **Automobiles & Components — 0.2%** | |
| 4600 | Modine Manufacturing Co. <sup>\*</sup> | 97382 |
| 2000 | Standard Motor Products, Inc. | 76820 |
|  | Total Automobiles & Components | 174202 |
|  | **Banks — 9.2%** |  |
| 5706 | 1st Source Corp. | 325813 |
| 10925 | Amalgamated Financial Corp. | 291370 |
| 1527 | Arrow Financial Corp. | 53705 |
| 73899 | Associated Banc-Corp. | 1817915 |
| 7600 | Atlantic Union Bankshares Corp. | 271092 |
| 3600 | BCB Bancorp, Inc. | 67860 |
| 2800 | Camden National Corp. | 122584 |
| 600 | Capital City Bank Group, Inc. | 21120 |
| 12200 | Cathay General Bancorp | 566934 |
| 3400 | Central Valley Community Bancorp | 69360 |
| 2570 | Civista Bancshares, Inc. | 58750 |
| 4167 | CNB Financial Corp. | 106467 |
| 4996 | Community Trust Bancorp, Inc. | 239358 |
| 500 | Enterprise Financial Services Corp. | 26170 |
| 4700 | Farmers National Banc Corp. | 71487 |
| 6304 | Financial Institutions, Inc. | 159617 |
| 1800 | First Commonwealth Financial Corp. | 26496 |
| 3105 | First Community Bankshares, Inc. | 114730 |
| 4498 | First Financial Bancorp | 118882 |
| 4100 | First Financial Corp. | 197087 |
| 1700 | Great Southern Bancorp, Inc. | 106505 |
| 14489 | Hanmi Financial Corp. | 391927 |
| 6800 | Heritage Financial Corp. | 223720 |
| 30000 | Hope Bancorp, Inc. | 408600 |
| 3100 | Horizon Bancorp, Inc. | 50406 |
| 8191 | Independent Bank Corp. | 201007 |
| 1800 | LCNB Corp. | 32832 |
| 1436 | Mercantile Bank Corp. | 49987 |
| 4800 | Midland States Bancorp, Inc. | 129168 |
| 2700 | MidWestOne Financial Group, Inc. | 94203 |
| 1900 | NBT Bancorp, Inc. | 87704 |
| 600 | Northrim BanCorp, Inc. | 33366 |
| 8180 | OFG Bancorp | 236975 |
| 4500 | QCR Holdings, Inc. | 236745 |
| 66700 | Radian Group, Inc. | 1305319 |
| 1113 | Republic Bancorp, Inc. – Class A | 49050 |
| 15296 | Towne Bank | 494061 |
| 2300 | Trustmark Corp. | 84134 |
| 13867 | Waterstone Financial, Inc. | 232272 |
|  | Total Banks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9174778 |
|  | **Capital Goods — 10.3%** |  |
| 42000 | Allison Transmission Holdings, Inc. | 1881600 |
| 7500 | Apogee Enterprises, Inc. | 361875 |
| 6171 | Applied Industrial Technologies, Inc. | 817596 |
| 1681 | Ducommun, Inc. <sup>\*</sup> | 84571 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Capital Goods — continued** | |
| 800 | Global Industrial Co. | 19688 |
| 18800 | Griffon Corp. | 663828 |
| 10370 | Hyster-Yale Materials Handling, Inc. | 303634 |
| 1347 | Insteel Industries, Inc. | 39723 |
| 1968 | Miller Industries, Inc. | 54297 |
| 12319 | Moog, Inc. – Class A | 1072123 |
| 40000 | MRC Global, Inc. <sup>\*</sup> | 470400 |
| 27355 | Mueller Industries, Inc. | 1881203 |
| 39200 | NOW, Inc. <sup>\*</sup> | 489216 |
| 6252 | Park-Ohio Holdings Corp. | 83464 |
| 1396 | Preformed Line Products Co. | 131699 |
| 15595 | Primoris Services Corp. | 332953 |
| 4300 | Quanex Building Products Corp. | 102211 |
| 32135 | Resideo Technologies, Inc. <sup>\*</sup> | 520587 |
| 1100 | Rush Enterprises, Inc. – Class B | 58289 |
| 800 | Standex International Corp. | 84040 |
| 4000 | Tennant Co. | 254120 |
| 600 | Timken Co. (The) | 45588 |
| 1319 | UFP Industries, Inc. | 107973 |
| 9548 | V2X, Inc. <sup>\*</sup> | 385835 |
|  | Total Capital Goods | 10246513 |
|  | **Commercial & Professional Services — 5.0%** |  |
| 120749 | ACCO Brands Corp. | 672572 |
| 1600 | Barrett Business Services, Inc. | 157328 |
| 5700 | Brady Corp. – Class A | 273030 |
| 9800 | CBIZ, Inc. <sup>\*</sup> | 486570 |
| 24279 | Deluxe Corp. | 469556 |
| 3500 | DLH Holdings Corp. <sup>\*</sup> | 49000 |
| 6000 | Ennis, Inc. | 139380 |
| 8571 | Heidrick & Struggles International, Inc. | 254559 |
| 4034 | HNI Corp. | 116986 |
| 5000 | ICF International, Inc. | 541850 |
| 5118 | Interface, Inc. | 55428 |
| 24400 | Kelly Services, Inc. – Class A | 414556 |
| 30573 | Kimball International, Inc. – Class B | 218902 |
| 19600 | Quad/Graphics, Inc. <sup>\*</sup> | 72520 |
| 26890 | Resources Connection, Inc. | 518977 |
| 64493 | Steelcase, Inc. – Class A | 511429 |
|  | Total Commercial & Professional Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4952643 |
|  | **Consumer Durables & Apparel — 6.8%** |  |
| 16400 | Acushnet Holdings Corp. | 745380 |
| 4300 | Bassett Furniture Industries, Inc. | 81657 |
| 2652 | Clarus Corp. | 22065 |
| 37277 | Ethan Allen Interiors, Inc. | 1060531 |
| 15500 | G-III Apparel Group Ltd. <sup>\*</sup> | 335265 |
| 4846 | Hooker Furniture Corp. | 82430 |
| 2722 | Johnson Outdoors, Inc. – Class A | 153956 |
| 34191 | La-Z-Boy, Inc. | 931021 |
| 6200 | MasterCraft Boat Holdings, Inc. <sup>\*</sup> | 159464 |
| 20435 | Movado Group, Inc. | 657803 |
| 3100 | Oxford Industries, Inc. | 349866 |

---

------

**GMO U.S. Small Cap Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **Consumer Durables & Apparel — continued** | |
| 42700 | Taylor Morrison Home Corp. – Class A <sup>\*</sup> | 1297653 |
| 35592 | TRI Pointe Homes, Inc. <sup>\*</sup> | 656316 |
| 4969 | Universal Electronics, Inc. <sup>\*</sup> | 108672 |
| 29851 | Vera Bradley, Inc. <sup>\*</sup> | 113434 |
| 4100 | VOXX International Corp. <sup>\*</sup> | 45059 |
|  | Total Consumer Durables & Apparel | 6800572 |
|  | **Consumer Services — 1.6%** |  |
| 4400 | Adtalem Global Education, Inc. <sup>\*</sup> | 183040 |
| 1252 | Graham Holdings Co. – Class B | 805887 |
| 11100 | Lincoln Educational Services Corp. <sup>\*</sup> | 73371 |
| 33100 | Perdoceo Education Corp. <sup>\*</sup> | 474985 |
|  | Total Consumer Services | 1537283 |
|  | **Diversified Financials — 5.0%** |  |
| 11500 | A-Mark Precious Metals, Inc. | 396750 |
| 29771 | Curo Group Holdings Corp. | 106282 |
| 608 | Diamond Hill Investment Group, Inc. | 108200 |
| 37504 | Donnelley Financial Solutions, Inc. <sup>\*</sup> | 1431903 |
| 34509 | Enova International, Inc. <sup>\*</sup> | 1392093 |
| 700 | Federated Hermes, Inc. | 26572 |
| 9000 | Green Dot Corp. <sup>\*</sup> | 183420 |
| 4700 | Nelnet, Inc. – Class A | 463138 |
| 7600 | Oppenheimer Holdings, Inc. – Class A | 316616 |
| 4600 | Regional Management Corp. | 135424 |
| 3500 | StoneX Group, Inc. <sup>\*</sup> | 355145 |
| 3814 | Westwood Holdings Group, Inc. | 45844 |
|  | Total Diversified Financials | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4961387 |
|  | **Energy — 5.7%** |  |
| 2700 | Brigham Minerals, Inc. | 95661 |
| 12300 | California Resources Corp. | 558174 |
| 26060 | Evolution Petroleum Corp. | 188414 |
| 10000 | Gulfport Energy Corp. <sup>\*</sup> | 810900 |
| 66400 | Kosmos Energy Ltd. <sup>\*</sup> | 441560 |
| 3300 | Murphy Oil Corp. | 155760 |
| 66900 | Oil States International, Inc. <sup>\*</sup> | 451575 |
| 7800 | Penn Virginia Corp. | 339846 |
| 35700 | Plains GP Holdings LP – Class A | 472311 |
| 90100 | VAALCO Energy, Inc. | 466718 |
| 57397 | World Fuel Services Corp. | 1632944 |
|  | Total Energy | 5613863 |
|  | **Food & Staples Retailing — 1.9%** |  |
| 5601 | Ingles Markets, Inc. – Class A | 566261 |
| 7800 | Natural Grocers by Vitamin Cottage, Inc. | 78624 |
| 21409 | SpartanNash Co. | 703286 |
| 1500 | Village Super Market, Inc. – Class A | 33810 |
| 5700 | Weis Markets, Inc. | 497097 |
|  | Total Food & Staples Retailing | 1879078 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Food, Beverage & Tobacco — 1.9%** |  |
| 2844 | Seneca Foods Corp. – Class A <sup>\*</sup> | 182812 |
| 24059 | Universal Corp. | 1369198 |
| 31200 | Vector Group Ltd. | 346320 |
|  | Total Food, Beverage & Tobacco | 1898330 |
|  | **Health Care Equipment & Services — 2.8%** |  |
| 19800 | Allscripts Healthcare Solutions, Inc. <sup>\*</sup> | 375012 |
| 800 | AMN Healthcare Services, Inc. <sup>\*</sup> | 98960 |
| 4200 | Avanos Medical, Inc. <sup>\*</sup> | 112980 |
| 3100 | Computer Programs & Systems, Inc. <sup>\*</sup> | 91760 |
| 28700 | Eargo, Inc. <sup>\*</sup> | 18230 |
| 2219 | FONAR Corp. <sup>\*</sup> | 41762 |
| 6700 | HealthStream, Inc. <sup>\*</sup> | 170180 |
| 1958 | LENSAR, Inc. <sup>\*</sup> | 6481 |
| 12700 | MEDNAX, Inc. <sup>\*</sup> | 202946 |
| 3500 | Meridian Bioscience, Inc. <sup>\*</sup> | 112000 |
| 1800 | National HealthCare Corp. | 110952 |
| 6700 | NextGen Healthcare, Inc. <sup>\*</sup> | 139360 |
| 2700 | Owens & Minor, Inc. | 55647 |
| 36500 | Patterson Cos., Inc. | 1038060 |
| 9500 | Select Medical Holdings Corp. | 233510 |
|  | Total Health Care Equipment & Services | 2807840 |
|  | **Household & Personal Products — 0.0%** |  |
| 6943 | Lifevantage Corp. | 25967 |
|  | **Insurance — 3.2%** |  |
| 57900 | CNO Financial Group, Inc. | 1359492 |
| 103000 | Genworth Financial, Inc. – Class A <sup>\*</sup> | 518090 |
| 8780 | GoHealth, Inc. <sup>\*</sup> | 114141 |
| 22190 | Stewart Information Services Corp. | 982129 |
| 15400 | Universal Insurance Holdings, Inc. | 169246 |
|  | Total Insurance | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3143098 |
|  | **Materials — 9.7%** |  |
| 18248 | AdvanSix, Inc. | 751088 |
| 14208 | American Vanguard Corp. | 326784 |
| 200 | Greif, Inc. – Class B | 15028 |
| 30400 | Huntsman Corp. | 844512 |
| 4800 | Innospec, Inc. | 532272 |
| 13419 | Koppers Holdings, Inc. | 399752 |
| 39013 | Mativ Holdings, Inc. | 810300 |
| 24380 | Mercer International, Inc. | 336444 |
| 3800 | Myers Industries Inc. | 88692 |
| 3300 | NewMarket Corp. | 1042866 |
| 6700 | O-I Glass, Inc. <sup>\*</sup> | 109947 |
| 3500 | Olympic Steel, Inc. | 122815 |
| 10800 | Pactiv Evergreen, Inc. | 125712 |
| 6300 | Reliance Steel & Aluminum Co. | 1331127 |
| 21800 | Ryerson Holding Corp. | 642882 |
| 5200 | Stepan Co. | 580164 |
| 42400 | Warrior Met Coal, Inc. | 1561168 |
|  | Total Materials | 9621553 |

---

------

**GMO U.S. Small Cap Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Media & Entertainment — 3.8%** |  |
| 35300 | AMC Networks, Inc. – Class A <sup>\*</sup> | 704588 |
| 1183 | DHI Group, Inc. <sup>\*</sup> | 6648 |
| 1500 | John Wiley & Sons, Inc. – Class A | 71115 |
| 3100 | Lee Enterprises, Inc. <sup>\*</sup> | 55800 |
| 10500 | Scholastic Corp. | 431760 |
| 9200 | Sciplay Corp. – Class A <sup>\*</sup> | 147384 |
| 73390 | TEGNA, Inc. | 1448719 |
| 28100 | Yelp, Inc. <sup>\*</sup> | 869695 |
|  | Total Media & Entertainment | 3735709 |
|  | **Pharmaceuticals, Biotechnology & Life Sciences — 2.4%** | **Pharmaceuticals, Biotechnology & Life Sciences — 2.4%** |
| 1200 | Ionis Pharmaceuticals, Inc. <sup>\*</sup> | 48948 |
| 300 | Phibro Animal Health Corp. – Class A | 3693 |
| 2200 | Pliant Therapeutics, Inc. <sup>\*</sup> | 40436 |
| 36820 | Prestige Consumer Healthcare, Inc. <sup>\*</sup> | 2262957 |
|  | Total Pharmaceuticals, Biotechnology & Life Sciences | 2356034 |
|  | **Real Estate — 4.4%** |  |
| 149582 | Anywhere Real Estate, Inc. <sup>\*</sup> | 1129344 |
| 12400 | Apple Hospitality REIT, Inc. | 211544 |
| 159900 | Diversified Healthcare Trust (REIT) | 158301 |
| 6881 | Five Point Holdings LLC – Class A <sup>\*</sup> | 14863 |
| 5770 | Forestar Group, Inc. <sup>\*</sup> | 85569 |
| 2500 | Hersha Hospitality Trust (REIT) | 24075 |
| 10700 | Marcus & Millichap, Inc. | 398468 |
| 17214 | Newmark Group, Inc. – Class A | 145975 |
| 48200 | Piedmont Office Realty Trust, Inc. – Class A (REIT) | 501762 |
| 26100 | PotlatchDeltic Corp. (REIT) | 1247319 |
| 4100 | RMR Group, Inc. (The) – Class A | 118531 |
| 7900 | Service Properties Trust (REIT) | 62015 |
| 2800 | Whitestone REIT | 27244 |
| 18000 | Xenia Hotels & Resorts, Inc. (REIT) | 277560 |
|  | Total Real Estate | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4402570 |
|  | **Retailing — 7.3%** |  |
| 12500 | Aaron's Co., Inc. (The) | 152375 |
| 4120 | Cato Corp. (The) – Class A | 42848 |
| 29800 | Chico's FAS, Inc. <sup>\*</sup> | 174926 |
| 39200 | Container Store Group , Inc. (The) <sup>\*</sup> | 186200 |
| 54900 | Designer Brands, Inc. – Class A | 839970 |
| 18287 | Genesco, Inc. <sup>\*</sup> | 954582 |
| 13294 | Group 1 Automotive, Inc. | 2570262 |
| 19994 | Haverty Furniture Cos., Inc. | 630411 |
| 10100 | Lands' End, Inc. <sup>\*</sup> | 116756 |
| 7300 | ODP Corp. (The) <sup>\*</sup> | 351349 |
| 1013 | Penske Automotive Group, Inc. | 128094 |
| 27796 | Shoe Carnival, Inc. | 734092 |
| 5500 | Signet Jewelers Ltd. | 357500 |
| 1194 | Weyco Group, Inc. | 30566 |
|  | Total Retailing | 7269931 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **Semiconductors & Semiconductor Equipment — 3.0%** | **Semiconductors & Semiconductor Equipment — 3.0%** |
| 40700 | Amkor Technology, Inc. | 1140414 |
| 3700 | Axcelis Technologies, Inc. <sup>\*</sup> | 295482 |
| 8300 | Cirrus Logic, Inc. <sup>\*</sup> | 620093 |
| 19400 | Kulicke & Soffa Industries, Inc. | 930230 |
|  | Total Semiconductors & Semiconductor Equipment | 2986219 |
|  | **Software & Services — 0.0%** |  |
| 200 | CSG Systems International, Inc. | 12368 |
|  | **Technology Hardware & Equipment — 9.0%** |  |
| 44013 | Avnet, Inc. | 1988067 |
| 3400 | Bel Fuse, Inc. – Class B | 117096 |
| 14219 | Benchmark Electronics, Inc. | 410503 |
| 7100 | CommScope Holding Co., Inc. <sup>\*</sup> | 63048 |
| 14161 | CTS Corp. | 601842 |
| 21200 | Daktronics, Inc. <sup>\*</sup> | 73140 |
| 400 | ePlus, Inc. <sup>\*</sup> | 19864 |
| 10678 | Kimball Electronics, Inc. <sup>\*</sup> | 246555 |
| 12600 | Knowles Corp. <sup>\*</sup> | 196560 |
| 6900 | National Instruments Corp. | 283038 |
| 2300 | PC Connection, Inc. | 127765 |
| 16545 | Sanmina Corp. <sup>\*</sup> | 1093459 |
| 7053 | ScanSource, Inc. <sup>\*</sup> | 210603 |
| 21244 | Super Micro Computer, Inc. <sup>\*</sup> | 1916846 |
| 7400 | TTM Technologies, Inc. <sup>\*</sup> | 118918 |
| 1300 | Vishay Intertechnology, Inc. | 29952 |
| 700 | Vishay Precision Group Inc. <sup>\*</sup> | 28399 |
| 88122 | Xerox Holdings Corp. | 1437270 |
|  | Total Technology Hardware & Equipment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8962925 |
|  | **Telecommunication Services — 1.0%** |  |
| 2900 | ATN International, Inc. | 140389 |
| 17121 | Spok Holdings, Inc. | 139022 |
| 58332 | Telephone & Data Systems, Inc. | 614819 |
| 3352 | United States Cellular Corp. <sup>\*</sup> | 71264 |
|  | Total Telecommunication Services | 965494 |
|  | **Transportation — 2.3%** |  |
| 11400 | Hub Group, Inc. – Class A <sup>\*</sup> | 959310 |
| 50300 | Schneider National, Inc. – Class B | 1295728 |
|  | Total Transportation | 2255038 |
|  | TOTAL COMMON STOCKS<br>(COST $89,780,156) | 95783395 |
|  | **MUTUAL FUNDS — 2.8%** |  |
|  | **Affiliated Issuers — 2.8%** |  |
| 550767 | GMO U.S. Treasury Fund | 2742822 |
|  | TOTAL MUTUAL FUNDS<br>(COST $2,742,822) | 2742822 |

---

------

**GMO U.S. Small Cap Value Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **RIGHTS/WARRANTS — 0.0%** |  |
| | **Pharmaceuticals, Biotechnology & Life Sciences — 0.0%** | **Pharmaceuticals, Biotechnology & Life Sciences — 0.0%** |
| 72700 | Achillion Pharmaceuticals, Inc. CVR <sup>\*</sup> <sup>(a)</sup> | 36350 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $33,442) | 36350 |
|  | **SHORT-TERM INVESTMENTS — 0.4%** |  |
|  | **Money Market Funds — 0.4%** |  |
| 408552 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(b)</sup> | 408552 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $408,552) | 408552 |
|  | **TOTAL INVESTMENTS — 99.7%**<br> (Cost $92,964,972) | **98971119** |
|  | Other Assets and Liabilities (net) — 0.3% | 344800 |
|  | **TOTAL NET ASSETS — 100.0%** | **$99315919** |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount<br>($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Buys |  |  |  |  |
| 33 | E-mini Russell 2000 Index | December 2022 | $3114375 | $43892 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

\* Non-income producing security.

(a) Investment valued using significant unobservable inputs.

(b) The rate disclosed is the 7 day net yield as of November 30, 2022.

**Portfolio Abbreviations:** 

CVR - Contingent Value Right

REIT - Real Estate Investment Trust

------

**Organization** 

Each of Climate Change Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund), International Equity Fund, Japan Value Creation Fund, Quality Cyclicals Fund, Quality Fund, Resources Fund, Small Cap Quality Fund (commenced operations on September 20, 2022), Tax-Managed International Equities Fund, U.S. Equity Fund and U.S. Small Cap Value Fund (each a "Fund" and collectively the "Funds") is a series of GMO Trust (the "Trust"). The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust ("Trustees") to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC ("GMO").

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds ("underlying funds"). The financial statements of the underlying funds should be read in conjunction with the Funds' financial statements. The financial statements are available without charge on the Securities and Exchange Commission's ("SEC") website at www.sec.gov or on GMO's website at www.gmo.com.

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

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

**Basis of presentation** 

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

**Portfolio valuation** 

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter ("OTC") derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange ("NYSE") due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

"Quoted price" typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the "quoted price" may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security's fair value.

------

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2022, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.

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

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

The three levels are defined as follows:

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

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

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

The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain securities that are valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds' direct securities and derivatives, if any, as of November 30, 2022:

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Climate Change Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Argentina | $8193218 | $— | $— | $8193218 |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  | 4809475 |  | 4809475 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 1687934 |  | 1687934 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 24421654 |  | 24421654 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 97464945 |  |  | 97464945 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 3861043 | 18766027 |  | 22627070 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 31610086 |  | 31610086 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 9328608 |  | 9328608 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 62535009 |  | 62535009 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 17227807 |  | 17227807 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 2392039 |  | 2392039 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 40015374 |  | 40015374 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Climate Change Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | $20870397 | $— | $— | $20870397 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 4890970 |  | 4890970 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 6365082 |  | 6365082 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pakistan |  | 167235 |  | 167235 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 2233646 | 2233646 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 59720452 |  | 59720452 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 2562045 |  | 2562045 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 1797989 |  | 1797989 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 995432 |  | 995432 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 909810 |  | 909810 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 9736718 |  | 9736718 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 464211371 |  |  | 464211371 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 594600974 | 299939746 | 2233646 | 896774366 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 13055207 |  |  | 13055207 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 13055207 |  |  | 13055207 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 24945517 |  |  | 24945517 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 24945517 |  |  | 24945517 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 465014 |  |  | 465014 |
| &nbsp;&nbsp;&nbsp; Total Investments | 633066712 | 299939746 | 2233646 | 935240104 |
| &nbsp;&nbsp;&nbsp; Total | $633066712 | $299939746 | $2233646 | $935240104 |
| &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $3791684 | $2749537 | $2305 | $6543526 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 407015 | 1302472 |  | 1709487 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 437045 |  |  | 437045 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 511282 |  | 511282 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 1352956 |  | 1352956 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 129765 |  | 129765 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 4410043 |  | 4410043 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 6253333 | 17973610 |  | 24226943 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 17130572 |  | 17130572 |
| &nbsp;&nbsp;&nbsp;&nbsp; Malaysia |  | 533526 |  | 533526 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 27091416 |  | 0§ | 27091416 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 691375 |  | 691375 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 5132139 |  | 5132139 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 2288834 |  | 2288834 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  | 802683 | 3121148 | 3923831 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa | 1790521 | 17168910 |  | 18959431 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 827370 | 72532278 |  | 73359648 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 14297454 | 71704976 |  | 86002430 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 5599490 |  | 5599490 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 1675989 |  | 1675989 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 1794140 |  | 1794140 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 10275731 |  | 10275731 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 54895838 | 235760308 | 3123453 | 293779599 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $5353287 | $13646989 | $— | $19000276 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile |  | 47186 |  | 47186 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 144398 | 144398 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 15895 |  | 15895 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 55038 |  | 55038 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 5353287 | 13765108 | 144398 | 19262793 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 12521838 |  |  | 12521838 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 12521838 |  |  | 12521838 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 1718438 |  |  | 1718438 |
| &nbsp;&nbsp;&nbsp; Total Investments | 74489401 | 249525416 | 3267851 | 327282668 |
| &nbsp;&nbsp;&nbsp; Total | $74489401 | $249525416 | $3267851 | $327282668 |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $15168450 | $12285260 | $32092 | $27485802 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile |  | 1047959 |  | 1047959 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 32668899 | 234865056 | 873086 | 268407041 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 222826 |  |  | 222826 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 1778713 |  | 1778713 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 729309 |  | 729309 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 384340 |  | 384340 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 18814687 |  | 18814687 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 12380940 | 66170843 | 8586516 | 87138299 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 46985246 |  | 46985246 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 615911 |  | 615911 |
| &nbsp;&nbsp;&nbsp;&nbsp; Malaysia |  | 1371350 |  | 1371350 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 74930436 |  | 0§ | 74930436 |
| &nbsp;&nbsp;&nbsp;&nbsp; Panama | 90960 |  |  | 90960 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 3422331 |  | 3422331 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 12047281 |  | 12047281 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 8576714 |  | 8576714 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  | 2656774 | 14550663 | 17207437 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa | 2872002 | 45134851 |  | 48006853 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 165532220 |  | 165532220 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sri Lanka |  |  | 253961 | 253961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 19137843 | 215210325 |  | 234348168 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 8053900 |  | 8053900 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 6238920 |  | 6238920 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 11313404 |  | 11313404 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 39250552 |  | 39250552 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 157472356 | 902485946 | 24296318 | 1084254620 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 5379295 | 35230590 |  | 40609885 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 2372331 | 2372331 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 22925257 |  | 22925257 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 803183 |  | 803183 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 5379295 | 58959030 | 2372331 | 66710656 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 4804121 |  |  | 4804121 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 4804121 |  |  | 4804121 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $4555303 | $— | $— | $4555303 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 4555303 |  |  | 4555303 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 7331552 |  |  | 7331552 |
| &nbsp;&nbsp;&nbsp; Total Investments | 179542627 | 961444976 | 26668649 | 1167656252 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 336880 |  |  | 336880 |
| &nbsp;&nbsp;&nbsp; Total | $179879507 | $961444976 | $26668649 | $1167993132 |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund**<br>**(formerly Emerging Domestic Opportunities Fund)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $624691 | $2231613 | $1297 | $2857601 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 1254140 | 42837460 |  | 44091600 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 1182250 |  | 1182250 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 1807520 |  | 1807520 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 20987670 |  | 20987670 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 8185705 |  | 8185705 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 923557 |  | 923557 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 7945497 |  |  | 7945497 |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | 509786 |  |  | 509786 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 340195 |  | 340195 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 1604239 |  | 1604239 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 595027 | 595027 |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 1253936 |  | 1253936 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 1431826 |  | 1431826 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 10927001 |  | 10927001 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 1655617 |  | 1655617 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 20819961 |  | 20819961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 3190219 |  | 3190219 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 935470 |  | 935470 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 2478362 |  | 2478362 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 1889337 | 403339 |  | 2292676 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 2554509 |  | 2554509 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 12223451 | 125750449 | 596324 | 138570224 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 652837 |  | 652837 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 652837 |  | 652837 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 9610 | 9610 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS |  |  | 9610 | 9610 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 5608296 |  |  | 5608296 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 5608296 |  |  | 5608296 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 708282 |  |  | 708282 |
| &nbsp;&nbsp;&nbsp; Total Investments | 18540029 | 126403286 | 605934 | 145549249 |
| &nbsp;&nbsp;&nbsp; Total | $18540029 | $126403286 | $605934 | $145549249 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **International Equity Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $66896209 | $— | $66896209 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 3219406 |  | 3219406 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 789114 |  | 789114 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 21597008 |  | 21597008 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 37072080 | 181411027 |  | 218483107 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 60231173 |  | 60231173 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 26119209 |  | 26119209 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 9739634 |  | 9739634 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 12915595 |  | 12915595 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 731168 | 399416267 |  | 400147435 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 118169690 |  | 118169690 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 43276552 |  | 43276552 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 23492955 |  | 23492955 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 77528534 |  | 77528534 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 99961686 |  | 99961686 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 8826802 |  | 8826802 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 97572275 |  | 97572275 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 24781101 | 221997655 |  | 246778756 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 1612093 |  |  | 1612093 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 64196442 | 1473160791 |  | 1537357233 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 12573627 |  | 12573627 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 12573627 |  | 12573627 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 58238 |  |  | 58238 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS | 58238 |  |  | 58238 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 34955383 |  |  | 34955383 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 34955383 |  |  | 34955383 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 23500000 |  |  | 23500000 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 23500000 |  |  | 23500000 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 291071 |  |  | 291071 |
| &nbsp;&nbsp;&nbsp; Total Investments | 123001134 | 1485734418 |  | 1608735552 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 193473 |  |  | 193473 |
| &nbsp;&nbsp;&nbsp; Total | $123194607 | $1485734418 | $— | $1608929025 |
| &nbsp;&nbsp;&nbsp;**Japan Value Creation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $— | $124188119 | $— | $124188119 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 2252906 |  |  | 2252906 |
| &nbsp;&nbsp;&nbsp; Total Investments | 2252906 | 124188119 |  | 126441025 |
| &nbsp;&nbsp;&nbsp; Total | $2252906 | $124188119 | $— | $126441025 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $— | $247781 | $— | $247781 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 6103662 |  |  | 6103662 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 3682935 |  | 3682935 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 2479556 |  | 2479556 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 10095213 |  | 10095213 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 2374628 |  | 2374628 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 1707312 |  | 1707312 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland | 414932 | 2296762 |  | 2711694 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 6588148 |  |  | 6588148 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 263174 | 263174 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 4931343 |  | 4931343 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 11561070 |  | 11561070 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 54685148 |  |  | 54685148 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 67791890 | 39376600 | 263174 | 107431664 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 2380852 |  | 2380852 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | 2380852 |  | 2380852 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 300000 |  |  | 300000 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 300000 |  |  | 300000 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 159428 |  |  | 159428 |
| &nbsp;&nbsp;&nbsp; Total Investments | 68251318 | 41757452 | 263174 | 110271944 |
| &nbsp;&nbsp;&nbsp; Total | $68251318 | $41757452 | $263174 | $110271944 |
| &nbsp;&nbsp;&nbsp;**Quality Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; China | $— | $82152191 | $— | $82152191 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 300291769 |  | 300291769 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 242160326 |  | 242160326 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 43426804 |  | 43426804 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 224683945 |  | 224683945 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 211761795 |  | 211761795 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 332912349 |  | 332912349 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 5593475455 |  |  | 5593475455 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 5593475455 | 1437389179 |  | 7030864634 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 103252888 |  |  | 103252888 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 103252888 |  |  | 103252888 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 3875510 |  |  | 3875510 |
| &nbsp;&nbsp;&nbsp; Total Investments | 5700603853 | 1437389179 |  | 7137993032 |
| &nbsp;&nbsp;&nbsp; Total | $5700603853 | $1437389179 | $— | $7137993032 |
| &nbsp;&nbsp;&nbsp;**Resources Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Argentina | $22083729 | $— | $— | $22083729 |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  | 75151934 |  | 75151934 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 34784822 |  | 34784822 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 73454321 |  | 73454321 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 228055023 |  |  | 228055023 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 36937639 |  | 36937639 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Resources Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark | $— | $45193611 | $— | $45193611 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 12135032 |  | 12135032 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 49984404 |  | 49984404 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 19622691 |  | 19622691 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 29460927 |  | 29460927 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel |  | 13473219 |  | 13473219 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 23821015 |  | 23821015 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 55308703 |  | 55308703 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 53229949 |  |  | 53229949 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 3894231 |  | 3894231 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 62310762 |  | 62310762 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pakistan |  | 1655872 |  | 1655872 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 16234110 |  | 16234110 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 88090884 |  | 88090884 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 14270666 | 14270666 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 89728367 |  | 89728367 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 2759597 |  | 2759597 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 45739528 |  | 45739528 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 1799634 |  | 1799634 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 10662624 |  | 10662624 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 2073351 |  | 2073351 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 310073064 |  | 310073064 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 779518287 |  |  | 779518287 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 1082886988 | 1104350342 | 14270666 | 2201507996 |
| &nbsp;&nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil |  | 185920234 |  | 185920234 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 39445352 |  |  | 39445352 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 3604056 | 3604056 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 39445352 | 185920234 | 3604056 | 228969642 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  |  | 2 | 2 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 2 | 2 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 15066200 |  |  | 15066200 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 15066200 |  |  | 15066200 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 5563233 |  |  | 5563233 |
| &nbsp;&nbsp;&nbsp; Total Investments | 1142961773 | 1290270576 | 17874724 | 2451107073 |
| &nbsp;&nbsp;&nbsp; Total | $1142961773 | $1290270576 | $17874724 | $2451107073 |
| &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $106671208 | $— | $— | $106671208 |
| &nbsp;&nbsp;&nbsp; Mutual Funds | 704241 |  |  | 704241 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 720737 |  |  | 720737 |
| &nbsp;&nbsp;&nbsp; Total Investments | 108096186 |  |  | 108096186 |
| &nbsp;&nbsp;&nbsp; Total | $108096186 | $— | $— | $108096186 |
| &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $1614013 | $— | $1614013 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 40387 |  | 40387 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 87675 | 268002 |  | 355677 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark | $— | $21813 | $— | $21813 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 344758 |  | 344758 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 890352 | 4120122 |  | 5010474 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 1449107 |  | 1449107 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 382236 |  | 382236 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 387032 |  | 387032 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | 138975 |  | 138975 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 185464 |  | 185464 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 9004197 |  | 9004197 |
| &nbsp;&nbsp;&nbsp;&nbsp; Malaysia |  | 1944 |  | 1944 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 2671018 |  | 2671018 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 983683 |  | 983683 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 73621 |  | 73621 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 463872 |  | 463872 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 243 | 243 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 1521112 |  | 1521112 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 41326 |  | 41326 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 737824 |  | 737824 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 2199847 |  | 2199847 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 186718 |  | 186718 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 71388 | 2322788 |  | 2394176 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 625208 |  | 625208 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 974811 |  | 974811 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 1686991 | 3372879 |  | 5059870 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 2736406 | 34132757 | 243 | 36869406 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 153152 | 150673 |  | 303825 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 259429 |  | 259429 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 10642 |  | 10642 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 153152 | 420744 |  | 573896 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 811918 |  |  | 811918 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 811918 |  |  | 811918 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 79575 |  |  | 79575 |
| &nbsp;&nbsp;&nbsp; Total Investments | 3781051 | 34553501 | 243 | 38334795 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 4800 |  |  | 4800 |
| &nbsp;&nbsp;&nbsp; Total | $3785851 | $34553501 | $243 | $38339595 |
| &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks | $416061579 | $— | $— | $416061579 |
| &nbsp;&nbsp;&nbsp; Mutual Funds | 5500000 |  |  | 5500000 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 555139 |  |  | 555139 |
| &nbsp;&nbsp;&nbsp; Total Investments | 422116718 |  |  | 422116718 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | $238996 | $— | $— | $238996 |
| &nbsp;&nbsp;&nbsp; Total | $422355714 | $— | $— | $422355714 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $95783395 | $— | $— | $95783395 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 95783395 |  |  | 95783395 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 36350 | 36350 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 36350 | 36350 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 2742822 |  |  | 2742822 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 2742822 |  |  | 2742822 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 408552 |  |  | 408552 |
| &nbsp;&nbsp;&nbsp; Total Investments | 98934769 |  | 36350 | 98971119 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 43892 |  |  | 43892 |
| &nbsp;&nbsp;&nbsp; Total | $98978661 | $— | $36350 | $99015011 |

---

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

§ Represents the interest in securities that were determined to have a value of zero at November 30, 2022.

---

| | |
|:---|:---|
| ^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.  |

---

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds' direct securities and derivatives, if any, please refer to the underlying funds' Notes to Financial Statements which are available on the SEC's website at www.sec.gov or on GMO's website at www.gmo.com.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund's total net assets). The below Funds held classes of investments or derivatives with direct material Level 3 holdings at November 30, 2022:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Investment Type** | **Number of<br>Investments** | **Valuation**<br> **Methodology** |
| &nbsp;&nbsp;&nbsp;**Climate Change Fund** | | |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 2 | Valued off the last traded price with a 93% discount |
| &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** |  |  |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 20 | Valued off the last traded price with a 93% discount |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 1 | Depositary receipts valued off the corresponding local securities with a 93% discount and adjusted for the depositary receipt conversion ratio and currency impact |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** |  |  |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 20 | Valued off the last traded price with a 93% discount |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 2 | Valued at the last price prior to trading being suspended |

---

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Investment Type** | **Number of<br>Investments** | **Valuation**<br> **Methodology** |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 1 | Depositary receipts valued off the corresponding local securities with a 93% discount and adjusted for the depositary receipt conversion ratio and currency impact |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 1 | Valued off the February 25, 2022 last traded price with a 93% discount and currency impact |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 1 | Valued off the parent security until a merger is finalized |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** |  |  |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 3 | Valued off the last traded price with a 93% discount |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 1 | Valued off the February 25, 2022 last traded price with a 93% discount and currency impact |
| &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** |  |  |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 2 | Valued off the last traded price with a 93% discount |
| &nbsp;&nbsp;&nbsp;**Resources Fund** |  |  |
| &nbsp;&nbsp;&nbsp; Common and/or Preferred Stock | 8 | Valued off the last traded price with a 93% discount |

---

For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balances<br>as of<br>February 28,<br>2022** | **Purchases** | **Sales** | **Accrued<br>Discounts/<br>Premiums** | **Total<br>Realized<br>Gain/<br>(Loss)** | **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Transfer<br>into<br>Level 3** | **Transfer<br>out of<br>Level 3** | **Balances<br>as of<br>November 30,<br>2022** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held as of<br>November 30,<br>2022** |
| &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | $— | $27322941 | $(36128) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(306) | $(25206136) | $153275‡ | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $2233646 | $(25206136) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $— | $27322941 | $(36128) | $— | $(306) | $(25206136) | $153275 | $— | $2233646 | $(25206136) |
| &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $— | $4168 | $(2249) | $— | $373 | $13 | $— | $— | $2305 | $13 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia | 949755 |  | (184500) |  | (445566) | (236019) | 3037478‡ |  | 3121148 | (575050) |
| &nbsp;&nbsp;&nbsp;**Preferred Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  |  |  |  |  | 144398‡ |  | 144398 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $949755 | $4168 | $(186749) | $— | $(445193) | $(236006) | $3181876 | $— | $3267851 | $(575037) |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $— | $58041 | $(31326) | $— | $5190 | $187 | $— | $— | $32092 | $187 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 358312 |  | (124467) |  | (219172) | (14672) | 873085‡ |  | 873086 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 7847287 |  |  |  | 739229 |  |  | 8586516 | 739229 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia | 2870861 |  | (1248787) |  | (5573984) | 4058807 | 14443766‡ |  | 14550663 | (422590) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sri Lanka |  |  |  |  |  |  | 253961‡ |  | 253961 |  |
| &nbsp;&nbsp;&nbsp;**Preferred Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  |  |  |  |  | 2372331‡ |  | 2372331 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $3229173 | $7905328 | $(1404580) | $— | $(5787966) | $4783551 | $17943143 | $— | $26668649 | $316826 |

---

------

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balances<br>as of<br>February 28,<br>2022** | **Purchases** | **Sales** | **Accrued<br>Discounts/<br>Premiums** | **Total<br>Realized<br>Gain/<br>(Loss)** | **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Transfer<br>into<br>Level 3** | **Transfer<br>out of<br>Level 3** | **Balances<br>as of<br>November 30,<br>2022** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held as of<br>November 30,<br>2022** |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $— | $1055 | $— | $— | $— | $242 | $— | $— | $1297 | $242 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 5986759 |  | (3834875) |  | 2046996 | (3911812) |  | (287068) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia | 911572 |  |  |  |  | (898466) | 581921‡ |  | 595027 | (898466) |
| &nbsp;&nbsp;&nbsp;**Investment Funds** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  |  |  |  |  | 9610‡ |  | 9610 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $6898331 | $1055 | $(3834875) | $— | $2046996 | $(4810036) | $591531 | $(287068) | $605934 | $(898224) |
| &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia | $— | $— | $— | $— | $— | $— | $263174‡ | $— | $263174 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $— | $— | $— | $— | $— | $— | $263174 | $— | $263174 | $— |
| &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia | $— | $— | $— | $— | $— | $— | $14270666‡ | $— | $14270666 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 4539029 |  | (4410991) |  |  | (128038) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Preferred Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  |  |  |  |  | 3604056‡ |  | 3604056 |  |
| &nbsp;&nbsp;&nbsp;**Rights/Warrants** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | 2 |  |  |  |  |  |  |  | 2 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $4539031 | $— | $(4410991) | $— | $— | $(128038) | $17874722 | $— | $17874724 | $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs as
well as the impact of the Russian invasion of Ukraine on local and global markets, as applicable.

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended November 30, 2022 for Funds with material Level 3 investments.

**Quantitative information about Level 3 Fair Value Measurements\*** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Investment Type** | **Total<br>Fair<br>Value ($)** | **Valuation**<br> **Methodology** | **Unobservable Inputs** | **Range (Weighted<br>Average)** |
| &nbsp;&nbsp;&nbsp; **Climate Change Fund** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stock | 2074618 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (American Depositary Receipt) | 5 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (Global Depositary Receipt) | 159023 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; **Emerging Markets ex-China Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stock | 3239 | Fair Value | Price of comparable equity/Discount for liquidity | 99%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock | 2839051 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock |  | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (American Depositary Receipt) | 93214 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Investment Type** | **Total Fair<br>Value ($)** | **Valuation**<br> **Methodology** | **Unobservable Inputs** | **Range (Weighted<br>Average)** |
| &nbsp;&nbsp;&nbsp; Common Stock (Global Depositary Receipt) | 185644 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Preferred Stock | 144398 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; **Emerging Markets Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stock | 986 | Fair Value | Price of comparable equity/Discount for liquidity | 99%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock | 13461234 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock | 1 | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (American Depositary Receipt) | 19227 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (Global Depositary Receipt) | 1069216 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Preferred Stock | 2372331 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; **Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stock | 13107 | Fair Value | Price of comparable equity/Discount for liquidity | 99%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock | 422548 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (Global Depositary Receipt) | 159372 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Investment Fund | 9610 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; **Quality Cyclicals Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stock | 263174 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; **Resources Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stock |  | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock | 13710854 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (Global Depositary Receipt) | 559812 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Preferred Stock | 3604056 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Warrant | 2 | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) |

---

\* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2022, the value of these securities and/or derivatives for Emerging Markets ex-China Fund, Emerging Markets Fund and Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund) was $2,305, $9,745,654 and $1,297, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. 

------

**Investments in affiliated companies and other Funds of the Trust** 

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer's voting securities or an investment in other funds of GMO Trust. A summary of the Funds' transactions involving companies that are or were affiliates during the period ended November 30, 2022 is set forth below:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | | **Distributions<br>of Realized<br>Gains\*** | **Net<br>Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | &nbsp;&nbsp;&nbsp;**Climate Change Fund** | |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $58977551 | $502345886 | $535897518 | $204286 | \*\* | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $(525611) | $45209 | $24945517 |
| &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets ex-China Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $4374 | $18121847 | $5604374 | $20567 |  | $— | $(26) | $17 | $12521838 |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** | &nbsp;&nbsp;&nbsp;**Emerging Markets Fund** |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Anilana Hotels & Properties Ltd | $712685 | $— | $— | $— |  | $— | $— | $(458724) | $253961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Gayatri Projects Ltd | 3763980 |  | 39084 |  |  |  | (181526) | (2264680) | 1278690 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund |  | 27535303 | 22980000 | 33900 |  |  |  |  | 4555303 |
| &nbsp;&nbsp;&nbsp; Totals | $4476665 | $27535303 | $23019084 | $33900 |  | $— | $(181526) | $(2723404) | $6087954 |
| &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** | &nbsp;&nbsp;&nbsp;**Emerging Markets Select Equity Fund (formerly Emerging Domestic Opportunities Fund)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $2331522 | $30605524 | $27317396 | $34493 |  | $— | $(20658) | $9304 | $5608296 |
| &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** | &nbsp;&nbsp;&nbsp;**International Equity Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $— | $23500000 | $— | $49907 |  | $— | $— | $— | $23500000 |
| &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** | &nbsp;&nbsp;&nbsp;**Quality Cyclicals Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $434957 | $3257078 | $3385000 | $13100 |  | $— | $(8772) | $1737 | $300000 |
| &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** | &nbsp;&nbsp;&nbsp;**Quality Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $5788348 | $264999201 | $167500000 | $571798 |  | $— | $(23071) | $(11590) | $103252888 |
| &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** | &nbsp;&nbsp;&nbsp;**Resources Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $— | $38450000 | $23383800 | $47645 |  | $— | $— | $— | $15066200 |
| &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** | &nbsp;&nbsp;&nbsp;**Small Cap Quality Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $— | $2004241 | $1300000 | $4241 |  | $— | $— | $— | $704241 |
| &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund** | &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund** | &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund** | &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund** | &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund** | &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund** | &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund** | &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund** | &nbsp;&nbsp;&nbsp;**Tax-Managed International Equities Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $999833 | $14270000 | $14453200 | $12749 |  | $— | $(7679) | $2964 | $811918 |
| &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** | &nbsp;&nbsp;&nbsp;**U.S. Equity Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $10402263 | $37060000 | $41922126 | $67992 |  | $— | $(66313) | $26176 | $5500000 |
| &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** | &nbsp;&nbsp;&nbsp;**U.S. Small Cap Value Fund** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $1158524 | $13400000 | $11800000 | $35182 |  | $— | $(19331) | $3629 | $2742822 |

---

\* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2022 through November 30, 2022. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2023. 

\*\* Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $779,250 in Climate Change Fund during the period. 

------

**Subsequent events** 

Subsequent to November 30, 2022, GMO U.S. Small Cap Value Fund and GMO U.S. Equity Fund received redemption requests in the amounts of $51,624,640 and $134,263,595, respectively.

\*\*\*

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

------

**GMO Asset Allocation Bond Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /<br>Shares** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 99.5%** | **DEBT OBLIGATIONS — 99.5%** |
| | **U.S. Government — 99.5%** | **U.S. Government — 99.5%** |
| 3539000 | U.S. Treasury Note, 2.38%, due 03/31/29 | 3256848 |
| 20037000 | U.S. Treasury Note, 1.25%, due 08/15/31 | 16494521 |
|  | Total U.S. Government | 19751369 |
|  | TOTAL DEBT OBLIGATIONS (COST $22,456,605) | 19751369 |
|  | **SHORT-TERM INVESTMENTS — 0.4%** | **SHORT-TERM INVESTMENTS — 0.4%** |
|  | **Money Market Funds — 0.4%** | **Money Market Funds — 0.4%** |
| 80097 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 80097 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $80,097) | 80097 |
|  | **TOTAL INVESTMENTS — 99.9%**<br> (Cost $22,536,702) | **19831466** |
|  | Other Assets and Liabilities (net) — 0.1% | 10611 |
|  | **TOTAL NET ASSETS — 100.0%** | **$19842077** |

---

**Notes to Schedule of Investments:** 

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

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  |  | **DEBT OBLIGATIONS — 91.0%** | **DEBT OBLIGATIONS — 91.0%** |
|  | | **Albania — 1.5%** | **Albania — 1.5%** |
|  | | **Sovereign and Sovereign Agency Issuers — 1.5%** | **Sovereign and Sovereign Agency Issuers — 1.5%** |
|  | 40349849 | Republic of Albania Par Bond, Zero Coupon, due 08/31/25 <sup>(a) (b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34698826 |
|  EUR | 7400000 | Republic of Albania Par Bond, Reg S, 3.50%, due 11/23/31 | 6106449 |
|  |  | Total Albania | 40805275 |
|  |  | **Angola — 0.6%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
|  | 18800000 | Angolan Government International Bond, Reg S, 9.38%, due 05/08/48 | 15580500 |
|  |  | **Argentina — 2.9%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.9%** | **Sovereign and Sovereign Agency Issuers — 2.9%** |
|  | 23590713 | Republic of Argentina, 1.00%, due 07/09/29 | 6110354 |
|  | 28633493 | Republic of Argentina, Step Up, 0.50%, due 07/09/30 | 7573559 |
|  JPY | 330767206 | Republic of Argentina, Variable Rate, 4.33%, due 12/31/33 <sup>(c)</sup> | 598825 |
|  | 45947942 | Republic of Argentina, Step Up, 1.50%, due 07/09/35 | 11188324 |
|  EUR | 23100000 | Republic of Argentina, Step Up, 3.00%, due 01/09/38 | 5853219 |
|  | 58508994 | Republic of Argentina, Step Up, 3.88%, due 01/09/38 | 17302861 |
|  JPY | 271173000 | Republic of Argentina, 0.67%, due 12/31/38 <sup>(c)</sup> | 339727 |
|  EUR | 6660000 | Republic of Argentina, Step Up, 2.75%, due 07/09/41 | 1555874 |
|  | 56601240 | Republic of Argentina, Step Up, 3.50%, due 07/09/41 | 15706844 |
|  | 46247000 | Republic of Argentina, Step Up, 1.50%, due 07/09/46 | 11209117 |
|  |  | Total Argentina | 77438704 |
|  |  | **Armenia — 0.0%** |  |
|  |  | **Corporate Debt** | **Corporate Debt** |
|  | 1150000 | Ardshinbank CJSC Via Dilijan Finance BV, Reg S, 6.50%, due 01/28/25 | 1087325 |
|  |  | **Azerbaijan — 1.0%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
|  | 9288000 | International Bank of Azerbaijan OJSC, Reg S, 3.50%, due 09/01/24 | 8846820 |
|  | 4250000 | Petkim Petrokimya Holding AS, Reg S, 5.88%, due 01/26/23 | 4239375 |
|  | 14400000 | Republic of Azerbaijan International Bond, Reg S, 5.13%, due 09/01/29 | 13520700 |
|  |  | Total Azerbaijan | 26606895 |

---

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Bahamas — 0.9%** | |
|  | | **Sovereign and Sovereign Agency Issuers — 0.9%** | **Sovereign and Sovereign Agency Issuers — 0.9%** |
|  | 8840000 | Bahamas Government International Bond, Reg S, 6.00%, due 11/21/28 | 6557070 |
|  | 4400000 | Bahamas Government International Bond, 144A, 9.00%, due 06/16/29 | 3636325 |
|  | 12700000 | Bahamas Government International Bond, Reg S, 8.95%, due 10/15/32 | 9662317 |
|  | 6400000 | Bahamas Government International Bond, Reg S, 7.13%, due 04/02/38 | 4877200 |
|  |  | Total Bahamas | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24732912 |
|  |  | **Bahrain — 2.3%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.3%** | **Sovereign and Sovereign Agency Issuers — 2.3%** |
|  | 68390000 | Bahrain Government International Bond, Reg S, 7.50%, due 09/20/47 | 60110536 |
|  |  | **Barbados — 0.6%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
|  | 15900000 | Barbados Government International Bond, Reg S, 6.50%, due 10/01/29 | 14750231 |
|  |  | **Belarus — 0.3%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  | 8304000 | Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 <sup>(c)</sup> <sup>(d)</sup> | 1882932 |
|  | 20300000 | Republic of Belarus International Bond, Reg S, 6.20%, due 02/28/30 <sup>(c)</sup> <sup>(d)</sup> | 6699000 |
|  |  | Total Belarus | 8581932 |
|  |  | **Bermuda — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 5690000 | Bermuda Government International Bond, Reg S, 4.75%, due 02/15/29 | 5529258 |
|  |  | **Bolivia — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 7500000 | Bolivia Government International Bond, Reg S, 4.50%, due 03/20/28 | 5842031 |
|  |  | **Brazil — 1.6%** |  |
|  |  | **Corporate Debt — 0.8%** | **Corporate Debt — 0.8%** |
|  | 24213636 | MV24 Capital BV, Reg S, 6.75%, due 06/01/34 | 21365507 |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  | 14400000 | Republic of Brazil, 4.75%, due 01/14/50 | 10514700 |
|  BRL | 61000000 | Rio Smart Lighting Sarl, Reg S, 12.25%, due 09/20/32 <sup>(e)</sup> | 11196489 |
|  |  |  | 21711189 |
|  |  | Total Brazil | 43076696 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Bulgaria — 0.0%** | |
|  | | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  EUR | 1200000 | Bulgarian Energy Holding EAD, Reg S, 2.45%, due 07/22/28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;960578 |
|  |  | **Cameroon — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  EUR | 6100000 | Republic of Cameroon International Bond, Reg S, 5.95%, due 07/07/32 | 4631015 |
|  |  | **Chile — 2.3%** |  |
|  |  | **Corporate Debt — 1.0%** | **Corporate Debt — 1.0%** |
|  | 16611000 | Enel Generacion Chile SA, 8.13%, due 02/01/97 <sup>(a)</sup> | 16013004 |
|  | 22934810 | Inversiones Latin America Power Ltda, Reg S, 5.13%, due 06/15/33 | 10955672 |
|  |  |  | 26968676 |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.3%** | **Sovereign and Sovereign Agency Issuers — 1.3%** |
|  | 6100000 | Chile Government International Bond, 3.10%, due 05/07/41 | 4480450 |
|  | 3000000 | Chile Government International Bond, 4.00%, due 01/31/52 | 2367000 |
|  | 6600000 | Empresa Nacional del Petroleo, Reg S, 5.25%, due 11/06/29 | 6352500 |
|  | 4300000 | Empresa Nacional del Petroleo, Reg S, 3.45%, due 09/16/31 | 3596681 |
|  | 24950000 | Empresa Nacional del Petroleo, Reg S, 4.50%, due 09/14/47 | 17383913 |
|  |  |  | 34180544 |
|  |  | Total Chile | 61149220 |
|  |  | **China — 0.3%** |  |
|  |  | **Corporate Debt — 0.1%** | **Corporate Debt — 0.1%** |
|  | 11200000 | China Evergrande Group, Reg S, 11.50%, due 01/22/23 <sup>(d)</sup> | 625100 |
|  | 14300000 | China Evergrande Group, Reg S, 12.00%, due 01/22/24 <sup>(d)</sup> | 786500 |
|  | 7500000 | China Evergrande Group, Reg S, 10.50%, due 04/11/24 <sup>(d)</sup> | 418594 |
|  | 6100000 | Scenery Journey Ltd, Reg S, 11.50%, due 10/24/22 <sup>(d)</sup> | 335500 |
|  | 2100000 | Scenery Journey Ltd, Reg S, 13.00%, due 11/06/22 <sup>(d)</sup> | 115500 |
|  | 3600000 | Scenery Journey Ltd, Reg S, 12.00%, due 10/24/23 <sup>(d)</sup> | 198000 |
|  | 4100000 | Scenery Journey Ltd, Reg S, 13.75%, due 11/06/23 <sup>(d)</sup> | 225500 |
|  |  |  | 2704694 |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 7500000 | CNAC HK Finbridge Co., Ltd., Reg S, 3.00%, due 09/22/30 | 6012300 |
|  |  | Total China | 8716994 |

---

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Colombia — 3.8%** | |
|  | | **Corporate Debt — 0.1%** | **Corporate Debt — 0.1%** |
|  COP | 21060796766 | PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3315287 |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.7%** | **Sovereign and Sovereign Agency Issuers — 3.7%** |
|  | 1092000 | Colombia Government International Bond, 8.38%, due 02/15/27 <sup>(a)</sup> | 1081481 |
|  | 3100000 | Colombia Government International Bond, 11.85%, due 03/09/28 <sup>(a)</sup> | 3498316 |
|  | 10300000 | Colombia Government International Bond, 8.00%, due 04/20/33 | 10233050 |
|  | 68300000 | Colombia Government International Bond, 5.63%, due 02/26/44 | 48356400 |
|  | 14000000 | Colombia Government International Bond, 5.20%, due 05/15/49 | 9338875 |
|  | 8011000 | Ecopetrol SA, 7.38%, due 09/18/43 | 6636513 |
|  | 17300000 | Ecopetrol SA, 5.88%, due 11/02/51 | 11435300 |
|  COP | 41560000000 | Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27 | 6332348 |
|  |  |  | 96912283 |
|  |  | Total Colombia | 100227570 |
|  |  | **Congo Republic (Brazzaville) — 1.4%** | **Congo Republic (Brazzaville) — 1.4%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.4%** | **Sovereign and Sovereign Agency Issuers — 1.4%** |
|  | 43368925 | Republic of Congo, Reg S, Step Up, 6.00%, due 06/30/29 <sup>(c)</sup> | 36248290 |
|  |  | **Costa Rica — 1.0%** | **Costa Rica — 1.0%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.0%** | **Sovereign and Sovereign Agency Issuers — 1.0%** |
|  | 3000000 | Costa Rica Government International Bond, Reg S, 7.00%, due 04/04/44 | 2788687 |
|  | 18731000 | Costa Rica Government International Bond, Reg S, 7.16%, due 03/12/45 | 17604799 |
|  | 7498000 | Instituto Costarricense de Electricidad, Reg S, 6.38%, due 05/15/43 | 5677392 |
|  |  | Total Costa Rica | 26070878 |
|  |  | **Czech Republic — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 4458000 | CEZ AS, Reg S, 5.63%, due 04/03/42 | 4101263 |
|  |  | **Dominican Republic — 2.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.8%** | **Sovereign and Sovereign Agency Issuers — 2.8%** |
|  | 6000000 | Dominican Republic International Bond, 144A, 6.00%, due 02/22/33 | 5386125 |
|  | 4500000 | Dominican Republic International Bond, Reg S, 6.50%, due 02/15/48 | 3686625 |
|  | 90329000 | Dominican Republic International Bond, Reg S, 5.88%, due 01/30/60 | 66436979 |
|  |  | Total Dominican Republic | 75509729 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **Ecuador — 2.7%** | |
| | **Sovereign and Sovereign Agency Issuers — 2.7%** | **Sovereign and Sovereign Agency Issuers — 2.7%** |
| 800000 | Ecuador Government International Bond, 5.00%, due 02/28/25 <sup>(c)</sup> | 736000 |
| 6646892 | Ecuador Government International Bond, Reg S, Zero Coupon, due 07/31/30 | 2433593 |
| 15076250 | Ecuador Government International Bond, Reg S, Step Up, 5.50%, due 07/31/30 | 9138092 |
| 91687125 | Ecuador Government International Bond, Reg S, Step Up, 2.50%, due 07/31/35 | 39958395 |
| 29703750 | Ecuador Government International Bond, Reg S, Step Up, 1.50%, due 07/31/40 | 11784963 |
| 9865290 | Ecuador Social Bond Sarl, Reg S, Zero Coupon, due 01/30/35 | 7924911 |
|  | Total Ecuador | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;71975954 |
|  | **Egypt — 2.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 2.1%** | **Sovereign and Sovereign Agency Issuers — 2.1%** |
| 22200000 | Egypt Government International Bond, Reg S, 8.70%, due 03/01/49 | 14818500 |
| 28200000 | Egypt Government International Bond, Reg S, 8.88%, due 05/29/50 | 19105500 |
| 9100000 | Egypt Government International Bond, Reg S, 8.75%, due 09/30/51 | 6198237 |
| 22764000 | Egypt Government International Bond, Reg S, 8.15%, due 11/20/59 | 15081150 |
|  | Total Egypt | 55203387 |
|  | **El Salvador — 0.5%** | **El Salvador — 0.5%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
| 6200000 | El Salvador Government International Bond, Reg S, 8.25%, due 04/10/32 | 2554787 |
| 6275000 | El Salvador Government International Bond, Reg S, 7.65%, due 06/15/35 | 2317044 |
| 26700000 | El Salvador Government International Bond, Reg S, 7.12%, due 01/20/50 | 9516882 |
|  | Total El Salvador | 14388713 |
|  | **Ethiopia — 0.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
| 3290000 | Ethiopia International Bond, Reg S, 6.63%, due 12/11/24 | 2014714 |
|  | **Gabon — 0.5%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
| 5600000 | Gabon Government International Bond, Reg S, 6.63%, due 02/06/31 | 4615800 |
| 9500000 | Gabon Government International Bond, Reg S, 7.00%, due 11/24/31 | 7833344 |
|  | Total Gabon | 12449144 |
|  | **Ghana — 0.9%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.9%** | **Sovereign and Sovereign Agency Issuers — 0.9%** |
| 5800000 | Republic of Ghana, Reg S, 8.13%, due 03/26/32 | 2030000 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **Ghana — continued** | |
| | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
| 6100000 | Republic of Ghana, Reg S, 8.63%, due 06/16/49 | 2006519 |
| 24400000 | Republic of Ghana, Reg S, 8.95%, due 03/26/51 | 8125200 |
| 27800000 | Republic of Ghana, Reg S, 8.75%, due 03/11/61 | 8953337 |
| 7121144 | Saderea DAC, Reg S, 12.50%, due 11/30/26 | 3204515 |
|  | Total Ghana | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24319571 |
|  | **Grenada — 0.2%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
| 7005938 | Grenada Government International Bond, Reg S, 7.00%, due 05/12/30 | 5604750 |
|  | **Guatemala — 0.9%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.9%** | **Sovereign and Sovereign Agency Issuers — 0.9%** |
| 3915000 | Republic of Guatemala, Reg S, 8.13%, due 10/06/34 | 4239945 |
| 5100000 | Republic of Guatemala, Reg S, 4.65%, due 10/07/41 | 3999675 |
| 16700000 | Republic of Guatemala, Reg S, 6.13%, due 06/01/50 | 15325381 |
|  | Total Guatemala | 23565001 |
|  | **Honduras — 0.4%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
| 14000000 | Honduras Government International Bond, Reg S, 5.63%, due 06/24/30 | 10664500 |
|  | **Hungary — 1.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
| 23900000 | Hungary Government International Bond, 144A, 5.50%, due 06/16/34 | 22851388 |
| 12000000 | Hungary Government International Bond, Reg S, 3.13%, due 09/21/51 | 7183500 |
|  | Total Hungary | 30034888 |
|  | **India — 1.7%** |  |
|  | **Corporate Debt** | **Corporate Debt** |
| 24100000 | Delhi International Airport Ltd., Reg S, 6.45%, due 06/04/29 | 22111750 |
| 800000 | GMR Hyderabad International Airport Ltd., Reg S, 4.75%, due 02/02/26 | 732650 |
| 17140000 | GMR Hyderabad International Airport Ltd., Reg S, 4.25%, due 10/27/27 | 14502582 |
| 8750000 | India Airport Infra, Reg S, 6.25%, due 10/25/25 | 8181250 |
|  | Total India | 45528232 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Indonesia — 3.7%** | |
|  | | **Sovereign and Sovereign Agency Issuers — 3.7%** | **Sovereign and Sovereign Agency Issuers — 3.7%** |
|  | 3750000 | Freeport Indonesia PT, Reg S, 6.20%, due 04/14/52 | 3234375 |
|  | 7500000 | Hutama Karya Persero PT, Reg S, 3.75%, due 05/11/30 | 6760781 |
|  | 17000000 | Indonesia Asahan Aluminium Persero PT, Reg S, 5.80%, due 05/15/50 | 13863500 |
|  | 10191000 | Indonesia Government International Bond, 5.45%, due 09/20/52 | 9962824 |
|  | 16600000 | Minejesa Capital BV, Reg S, 5.63%, due 08/10/37 | 12769550 |
|  | 9200000 | Pertamina Persero PT, Reg S, 6.50%, due 05/27/41 | 9385725 |
|  | 6700000 | Pertamina Persero PT, Reg S, 4.15%, due 02/25/60 | 4829092 |
|  | 11500000 | Perusahaan Listrik Negara PT, Reg S, 6.25%, due 01/25/49 | 10661219 |
|  | 7200000 | Perusahaan Penerbit SBSN Indonesia III, 144A, 4.70%, due 06/06/32 | 7110792 |
|  | 20849000 | Saka Energi Indonesia PT, Reg S, 4.45%, due 05/05/24 | 19806550 |
|  |  | Total Indonesia | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;98384408 |
|  |  | **Israel — 0.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  | 10683000 | Israel Electric Corp., Ltd., Reg S, 8.10%, due 12/15/96 | 12206503 |
|  |  | **Ivory Coast — 0.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  EUR | 1500000 | Ivory Coast Government International Bond, Reg S, 6.88%, due 10/17/40 | 1191454 |
|  EUR | 26000000 | Ivory Coast Government International Bond, Reg S, 6.63%, due 03/22/48 | 19417467 |
|  |  | Total Ivory Coast | 20608921 |
|  |  | **Jamaica — 0.8%** |  |
|  |  | **Corporate Debt — 0.2%** | **Corporate Debt — 0.2%** |
|  | 7477310 | TransJamaican Highway Ltd., Reg S, 5.75%, due 10/10/36 | 5892120 |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
|  | 4375000 | Jamaica Government International Bond, 7.88%, due 07/28/45 | 4791445 |
|  | 9300000 | National Road Operating & Construction Co., Ltd., Reg S, 9.38%, due 11/10/24 <sup>(c)</sup> | 9732450 |
|  |  |  | 14523895 |
|  |  | Total Jamaica | 20416015 |
|  |  | **Jordan — 1.6%** | **Jordan — 1.6%** |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.6%** | **Sovereign and Sovereign Agency Issuers — 1.6%** |
|  | 6000000 | Jordan Government International Bond, 144A, 7.75%, due 01/15/28 | 6142500 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **Jordan — continued** | **Jordan — continued** |
| | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
| 44195000 | Jordan Government International Bond, Reg S, 7.38%, due 10/10/47 | 36902825 |
|  | Total Jordan | 43045325 |
|  | **Kazakhstan — 0.8%** | **Kazakhstan — 0.8%** |
|  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
| 1600000 | KazMunayGas National Co JSC, Reg S, 5.75%, due 04/19/47 | 1201400 |
| 26000000 | KazMunayGas National Co JSC, Reg S, 6.38%, due 10/24/48 | 20767500 |
|  | Total Kazakhstan | 21968900 |
|  | **Kenya — 1.2%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.2%** | **Sovereign and Sovereign Agency Issuers — 1.2%** |
| 40694000 | Kenya Government International Bond, Reg S, 8.25%, due 02/28/48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31893923 |
|  | **Kuwait — 0.1%** |  |
|  | **Corporate Debt** | **Corporate Debt** |
| 3300000 | Equate Petrochemical BV, Reg S, 2.63%, due 04/28/28 | 2815725 |
|  | **Lebanon — 0.4%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
| 20400000 | Lebanon Government International Bond, Reg S, 6.85%, due 03/23/27 <sup>(d)</sup> | 1151325 |
| 5547000 | Lebanon Government International Bond, Reg S, 7.00%, due 03/20/28 <sup>(d)</sup> | 309592 |
| 60605000 | Lebanon Government International Bond, Reg S, 7.15%, due 11/20/31 <sup>(d)</sup> | 3515090 |
| 21000000 | Lebanon Government International Bond, 8.20%, due 05/17/33 <sup>(d)</sup> | 1218000 |
| 56914000 | Lebanon Government International Bond, 8.25%, due 05/17/34 <sup>(d)</sup> | 3301012 |
|  | Total Lebanon | 9495019 |
|  | **Malaysia — 1.1%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
| 18300000 | 1MDB Global Investments Ltd., Reg S, 4.40%, due 03/09/23 | 17920275 |
| 4900000 | Dua Capital Ltd., Reg S, 2.78%, due 05/11/31 | 3981250 |
| 6800000 | Petronas Capital Ltd, Reg S, 4.80%, due 04/21/60 | 6300744 |
|  | Total Malaysia | 28202269 |
|  | **Mexico — 5.6%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 5.6%** | **Sovereign and Sovereign Agency Issuers — 5.6%** |
| 128700000 | Petroleos Mexicanos, 7.69%, due 01/23/50 | 87606090 |
| 19086000 | Petroleos Mexicanos, 6.95%, due 01/28/60 | 11905847 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Mexico — continued** | |
|  | | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
|  | 5200000 | Petroleos Mexicanos, Reg S, 6.63%, due 12/28/2170 | 3017976 |
|  GBP | 52296000 | United Mexican States, 5.63%, due 03/19/2114 | 46878401 |
|  |  | Total Mexico | &nbsp;&nbsp;&nbsp;&nbsp;149408314 |
|  |  | **Mongolia — 0.1%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.1%** | **Sovereign and Sovereign Agency Issuers — 0.1%** |
|  | 3000000 | Mongolia Government International Bond, Reg S, 4.45%, due 07/07/31 | 2160330 |
|  |  | **Montenegro — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  EUR | 6600000 | Montenegro Government International Bond, Reg S, 2.88%, due 12/16/27 | 5480632 |
|  |  | **Morocco — 0.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  | 8500000 | OCP SA, Reg S, 5.13%, due 06/23/51 | 6063156 |
|  | 9200000 | Office Cherifien des Phosphates SA, Reg S, 6.88%, due 04/25/44 | 8316225 |
|  |  | Total Morocco | 14379381 |
|  |  | **Mozambique — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 7576000 | Mozambique International Bond, Reg S, Step Up, 5.00%, due 09/15/31 | 5683421 |
|  |  | **Nigeria — 1.1%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
|  | 43050000 | Nigeria Government International Bond, Reg S, 8.25%, due 09/28/51 | 29381625 |
|  |  | **Oman — 3.5%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.5%** | **Sovereign and Sovereign Agency Issuers — 3.5%** |
|  | 11500000 | Lamar Funding Ltd., Reg S, 3.96%, due 05/07/25 | 10919968 |
|  | 79500000 | Oman Government International Bond, Reg S, 6.75%, due 01/17/48 | 72841875 |
|  | 4400000 | Oman Government International Bond, Reg S, 7.00%, due 01/25/51 | 4114000 |
|  | 5900000 | Oryx Funding Ltd., Reg S, 5.80%, due 02/03/31 | 5572919 |
|  |  | Total Oman | 93448762 |
|  |  | **Pakistan — 0.3%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  | 14700000 | Islamic Republic of Pakistan, Reg S, 7.88%, due 03/31/36 | 5377444 |
|  | 4826000 | Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31 | 1436640 |
|  |  | Total Pakistan | 6814084 |

---

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Panama — 1.8%** | |
|  | | **Sovereign and Sovereign Agency Issuers — 1.8%** | **Sovereign and Sovereign Agency Issuers — 1.8%** |
|  | 21300000 | Aeropuerto Internacional de Tocumen SA, Reg S, 5.13%, due 08/11/61 | 16045556 |
|  | 2900000 | AES Panama Generation Holdings SRL, Reg S, 4.38%, due 05/31/30 | 2430200 |
|  | 9837000 | Panama Government International Bond, 8.13%, due 04/28/34 | 11312550 |
|  | 15500000 | Panama Government International Bond, 4.50%, due 04/01/56 | 11492281 |
|  | 10200000 | Panama Government International Bond, 4.50%, due 01/19/63 | 7415400 |
|  |  | Total Panama | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48695987 |
|  |  | **Papua New Guinea — 0.0%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  | 1100000 | Papua New Guinea Government International Bond, Reg S, 8.38%, due 10/04/28 | 927644 |
|  |  | **Peru — 2.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.2%** | **Sovereign and Sovereign Agency Issuers — 2.2%** |
|  PEN | 42800000 | Peru Government Bond, 6.15%, due 08/12/32 | 10019865 |
|  | 13100000 | Peruvian Government International Bond, 3.60%, due 01/15/72 | 8724600 |
|  | 16000000 | Peruvian Government International Bond, 3.23%, due 07/28/2121 | 9600000 |
|  | 43995000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 29861166 |
|  |  | Total Peru | 58205631 |
|  |  | **Philippines — 2.0%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 2.0%** | **Sovereign and Sovereign Agency Issuers — 2.0%** |
|  | 3800000 | Bangko Sentral ng Pilipinas Bond, 8.60%, due 06/15/97 <sup>(c)</sup> | 4864000 |
|  | 3200000 | Philippine Government International Bond, 3.20%, due 07/06/46 | 2320352 |
|  | 8700000 | Philippine Government International Bond, 5.95%, due 10/13/47 | 9353457 |
|  | 32512000 | Power Sector Assets & Liabilities Management Corp., 9.63%, due 05/15/28 | 37226240 |
|  |  | Total Philippines | 53764049 |
|  |  | **Poland — 0.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
|  | 11400000 | Republic of Poland Government International Bond, 5.75%, due 11/16/32 | 11997816 |
|  |  | **Qatar — 0.4%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.4%** | **Sovereign and Sovereign Agency Issuers — 0.4%** |
|  | 10878000 | QNB Finansbank AS, Reg S, 6.88%, due 09/07/24 | 11050008 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Republic of North Macedonia — 0.2%** | **Republic of North Macedonia — 0.2%** |
|  | | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  EUR | 6300000 | North Macedonia Government International Bond, Reg S, 1.63%, due 03/10/28 | 5229464 |
|  |  | **Romania — 1.7%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.7%** | **Sovereign and Sovereign Agency Issuers — 1.7%** |
|  EUR | 16200000 | Romanian Government International Bond, 144A, 6.63%, due 09/27/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17095920 |
|  | 10900000 | Romanian Government International Bond, Reg S, 6.00%, due 05/25/34 | 10248044 |
|  EUR | 7300000 | Romanian Government International Bond, Reg S, 2.88%, due 04/13/42 | 4459550 |
|  EUR | 5600000 | Romanian Government International Bond, Reg S, 4.63%, due 04/03/49 | 4373434 |
|  EUR | 14900000 | Romanian Government International Bond, Reg S, 3.38%, due 01/28/50 | 9407623 |
|  |  | Total Romania | 45584571 |
|  |  | **Russia — 0.7%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.7%** | **Sovereign and Sovereign Agency Issuers — 0.7%** |
|  | 6870000 | GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 <sup>(c) (d) (f)</sup> | 343500 |
|  | 5200000 | GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 <sup>(c) (d) (f)</sup> | 260000 |
|  | 6800000 | GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 <sup>(c) (d) (f)</sup> | 340000 |
|  | 6400000 | Russian Foreign Bond, Reg S, 5.10%, due 03/28/35 <sup>(c) (d)</sup> | 2688000 |
|  | 34000000 | Russian Foreign Bond, 144A, 5.10%, due 03/28/35 <sup>(c) (d)</sup> | 14280000 |
|  |  | Total Russia | 17911500 |
|  |  | **Saudi Arabia — 3.3%** |  |
|  |  | **Corporate Debt — 0.3%** | **Corporate Debt — 0.3%** |
|  | 11900000 | EIG Pearl Holdings Sarl, 144A, 4.39%, due 11/30/46 | 8939875 |
|  |  | **Sovereign and Sovereign Agency Issuers — 3.0%** | **Sovereign and Sovereign Agency Issuers — 3.0%** |
|  | 29989900 | ACWA Power Management And Investments One Ltd., Reg S, 5.95%, due 12/15/39 | 27890607 |
|  | 70500000 | Saudi Government International Bond, Reg S, 3.45%, due 02/02/61 | 50442750 |
|  |  |  | 78333357 |
|  |  | Total Saudi Arabia | 87273232 |
|  |  | **Senegal — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 7100000 | Senegal Government International Bond, Reg S, 6.75%, due 03/13/48 | 5086706 |

---

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Serbia — 0.3%** | |
|  | | **Sovereign and Sovereign Agency Issuers — 0.3%** | **Sovereign and Sovereign Agency Issuers — 0.3%** |
|  EUR | 13600000 | Serbia International Bond, Reg S, 2.05%, due 09/23/36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8533753 |
|  |  | **South Africa — 4.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 4.2%** | **Sovereign and Sovereign Agency Issuers — 4.2%** |
|  | 9520000 | Eskom Holdings SOC, Ltd., Reg S, 7.13%, due 02/11/25 | 8907150 |
|  | 17900000 | Eskom Holdings SOC, Ltd., Reg S, 8.45%, due 08/10/28 | 16423250 |
|  ZAR | 165550000 | Eskom Holdings SOC, Ltd., Zero Coupon, due 12/31/32 | 1782281 |
|  ZAR | 441200000 | Republic of South Africa Government International Bond, 6.50%, due 02/28/41 | 16050912 |
|  | 67000000 | Republic of South Africa Government International Bond, 5.75%, due 09/30/49 | 50920000 |
|  | 18500000 | Republic of South Africa Government International Bond, 7.30%, due 04/20/52 | 16256875 |
|  ZAR | 22200000 | Transnet SOC, Ltd., 13.50%, due 04/18/28 | 1421415 |
|  |  | Total South Africa | 111761883 |
|  |  | **Sri Lanka — 0.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  | 5880000 | Sri Lanka Government International Bond, Reg S, 6.83%, due 07/18/26 <sup>(d)</sup> | 1812877 |
|  | 9444000 | Sri Lanka Government International Bond, Reg S, 6.20%, due 05/11/27 <sup>(d)</sup> | 2881459 |
|  | 28000000 | Sri Lanka Government International Bond, Reg S, 6.75%, due 04/18/28 <sup>(d)</sup> | 8370250 |
|  | 7100000 | Sri Lanka Government International Bond, Reg S, 7.85%, due 03/14/29 <sup>(d)</sup> | 2120238 |
|  | 24400000 | Sri Lanka Government International Bond, Reg S, 7.55%, due 03/28/30 <sup>(d)</sup> | 7301700 |
|  |  | Total Sri Lanka | 22486524 |
|  |  | **SupraNational — 0.0%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.0%** | **Sovereign and Sovereign Agency Issuers — 0.0%** |
|  TRY | 213500000 | International Finance Corp., Reg S, Zero Coupon, due 02/15/29 | 1348035 |
|  |  | **Suriname — 0.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  | 13600000 | Republic of Suriname, Reg S, 12.88%, due 12/30/23 <sup>(d)</sup> | 10714250 |
|  | 14259000 | Republic of Suriname, Reg S, 9.25%, due 10/26/26 <sup>(d)</sup> | 10148843 |
|  |  | Total Suriname | 20863093 |
|  |  | **Tajikistan — 0.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.2%** | **Sovereign and Sovereign Agency Issuers — 0.2%** |
|  | 9274000 | Republic of Tajikistan International Bond, Reg S, 7.13%, due 09/14/27 | 6200828 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Trinidad And Tobago — 1.3%** | |
|  | | **Sovereign and Sovereign Agency Issuers — 1.3%** | **Sovereign and Sovereign Agency Issuers — 1.3%** |
|  | 21100000 | Heritage Petroleum Co., Ltd., 144A, 9.00%, due 08/12/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22023125 |
|  | 9300000 | Telecommunications Services of Trinidad & Tobago Ltd, Reg S, 8.88%, due 10/18/29 | 8009625 |
|  | 4927000 | Trinidad Generation UnLtd., Reg S, 5.25%, due 11/04/27 | 4707749 |
|  |  | Total Trinidad And Tobago | 34740499 |
|  |  | **Tunisia — 1.1%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 1.1%** | **Sovereign and Sovereign Agency Issuers — 1.1%** |
|  JPY | 5960000000 | Banque Centrale de Tunisie SA, 4.30%, due 08/02/30 <sup>(c)</sup> | 20150102 |
|  JPY | 2030000000 | Banque Centrale de Tunisie SA, 4.20%, due 03/17/31 <sup>(c)</sup> | 6695327 |
|  JPY | 730000000 | Banque Centrale de Tunisie SA, 3.50%, due 02/03/33 | 2061699 |
|  |  | Total Tunisia | 28907128 |
|  |  | **Turkey — 4.2%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 4.2%** | **Sovereign and Sovereign Agency Issuers — 4.2%** |
|  | 16300000 | Istanbul Metropolitan Municipality, Reg S, 6.38%, due 12/09/25 | 14275744 |
|  | 1100000 | Istanbul Metropolitan Municipality, 144A, 10.75%, due 04/12/27 | 1041081 |
|  | 18702000 | Republic of Turkey, 6.00%, due 01/14/41 | 13605705 |
|  | 123313000 | Republic of Turkey, 5.75%, due 05/11/47 | 83852840 |
|  |  | Total Turkey | 112775370 |
|  |  | **Ukraine — 0.8%** |  |
|  |  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
|  EUR | 3100000 | NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.13%, due 07/19/24 <sup>(c) (d)</sup> | 612913 |
|  | 14000000 | NAK Naftogaz Ukraine via Kondor Finance Plc, Reg S, 7.63%, due 11/08/26 <sup>(c) (d)</sup> | 2520000 |
|  | 5500000 | NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 <sup>(c) (d)</sup> | 990000 |
|  | 7400000 | State Agency of Roads of Ukraine, Reg S, 6.25%, due 06/24/30 <sup>(c) (d)</sup> | 1298700 |
|  | 6519000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/28 <sup>(c) (d)</sup> | 1522186 |
|  | 4769000 | Ukraine Government International Bond, Reg S, 7.75%, due 09/01/29 <sup>(c) (d)</sup> | 1123100 |
|  | 3800000 | Ukraine Government International Bond, Reg S, 9.75%, due 11/01/30 <sup>(c) (d)</sup> | 907962 |
|  | 30500000 | Ukraine Government International Bond, Reg S, 7.38%, due 09/25/34 <sup>(c) (d)</sup> | 6448844 |
|  | 24300000 | Ukraine Government International Bond, Reg S, 7.25%, due 03/15/35 <sup>(c) (d)</sup> | 5046806 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **Ukraine — continued** | |
| | **Sovereign and Sovereign Agency Issuers —<br>continued** | **Sovereign and Sovereign Agency Issuers —<br>continued** |
| 200000 | Ukraine Railways Via Rail Capital Markets Plc, Reg S, 7.88%, due 07/15/26 <sup>(c)</sup> | 39288 |
|  | Total Ukraine | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20509799 |
|  | **United Arab Emirates — 1.7%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.7%** | **Sovereign and Sovereign Agency Issuers — 1.7%** |
| 3700000 | Abu Dhabi Crude Oil Pipeline LLC, Reg S, 4.60%, due 11/02/47 | 3304100 |
| 6700000 | Abu Dhabi Government International Bond, Reg S, 3.13%, due 09/30/49 | 4867131 |
| 7400000 | Abu Dhabi Government International Bond, Reg S, 2.70%, due 09/02/70 | 4545450 |
| 6200000 | DAE Funding LLC, Reg S, 3.38%, due 03/20/28 | 5417250 |
| 15900000 | Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50 | 9875888 |
| 23000000 | Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51 | 14875250 |
| 2700000 | MDGH GMTN (RSC) Ltd, 144A, 5.50%, due 04/28/33 | 2831625 |
|  | Total United Arab Emirates | 45716694 |
|  | **United States — 1.2%** |  |
|  | **Asset-Backed Securities — 0.3%** | **Asset-Backed Securities — 0.3%** |
| 837579 | CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. LIBOR + 0.24%, 4.12%, due 12/15/35 | 796364 |
| 270315 | CWHEQ Revolving Home Equity Loan Trust, Series 05-H, Class 2A, FGIC, Variable Rate, 1 mo. LIBOR + 0.24%, 4.12%, due 12/15/35 | 264532 |
| 595274 | CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. LIBOR + 0.20%, 4.08%, due 05/15/36 | 560429 |
| 6631086 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. LIBOR + 0.15%, 4.19%, due 11/25/36 | 2162104 |
| 6685439 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.22%, 4.26%, due 11/25/36 | 2181125 |
| 3474091 | Wamu Asset-Backed Certificates, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. LIBOR + 0.36%, 4.40%, due 04/25/37 | 1338149 |
|  |  | 7302703 |
|  | **Corporate Debt — 0.0%** |  |
| 311625 | AMBAC Assurance Corp., 144A, 5.10%, due 12/31/99 | 432380 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **U.S. Government — 0.9%** | **U.S. Government — 0.9%** |
| 26000000 | U.S. Treasury Note, 3.38%, due 08/15/42 <sup>(g)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23785938 |
|  | Total United States | 31521021 |
|  | **Uruguay — 0.6%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.6%** | **Sovereign and Sovereign Agency Issuers — 0.6%** |
| 17018000 | Uruguay Government International Bond, 5.10%, due 06/18/50 | 16890365 |
|  | **Uzbekistan — 0.5%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
| 6200000 | Republic of Uzbekistan International Bond, Reg S, 3.70%, due 11/25/30 | 5054163 |
| 1037000 | Uzbek Industrial & Construction Bank ATB, Reg S, 5.75%, due 12/02/24 | 942244 |
| 8100000 | Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28 | 6338250 |
|  | Total Uzbekistan | 12334657 |
|  | **Venezuela — 1.4%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 1.4%** | **Sovereign and Sovereign Agency Issuers — 1.4%** |
| 111465000 | Electricidad de Caracas Finance BV, Reg S, 8.50%, due 04/10/18 <sup>(c)</sup> <sup>(d)</sup> | 835988 |
| 176000000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 <sup>(c)</sup> <sup>(d)</sup> | 7480000 |
| 61967000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 11/15/26 <sup>(c)</sup> <sup>(d)</sup> | 2633597 |
| 19028000 | Venezuela Government International Bond, Reg S, 7.75%, due 10/13/19 <sup>(c)</sup> <sup>(d)</sup> | 1569810 |
| 36600000 | Venezuela Government International Bond, Reg S, 6.00%, due 12/09/20 <sup>(c)</sup> <sup>(d)</sup> | 3019500 |
| 23750000 | Venezuela Government International Bond, Reg S, 12.75%, due 08/23/22 <sup>(c)</sup> <sup>(d)</sup> | 1959377 |
| 172793000 | Venezuela Government International Bond, Reg S, 9.00%, due 05/07/23 <sup>(c)</sup> <sup>(d)</sup> | 14255422 |
| 68700000 | Venezuela Government International Bond, Reg S, 11.95%, due 08/05/31 <sup>(c) (d)</sup> | 5667750 |
| 7000000 | Venezuela Government International Bond, 9.38%, due 01/13/34 <sup>(c) (d)</sup> | 577500 |
|  | Total Venezuela | 37998944 |
|  | **Vietnam — 0.8%** |  |
|  | **Sovereign and Sovereign Agency Issuers — 0.8%** | **Sovereign and Sovereign Agency Issuers — 0.8%** |
| 18358000 | Debt and Asset Trading Corp., Reg S, 1.00%, due 10/10/25 | 15079950 |
| 8018000 | Socialist Republic of Vietnam, Series 30 Yr, Variable Rate, 6 mo. LIBOR + 0.81%, 6.02%, due 03/13/28 <sup>(c)</sup> | 7336470 |
|  | Total Vietnam | 22416420 |

---

---

| | | | |
|:---|:---|:---|:---|
| **<br>Par Value†** | **<br>Par Value†** | **Description** | **Value ($)** |
|  | | **Zambia — 0.5%** | |
|  | | **Sovereign and Sovereign Agency Issuers — 0.5%** | **Sovereign and Sovereign Agency Issuers — 0.5%** |
|  | 2900000 | Zambia Government International Bond, Reg S, 5.38%, due 09/20/22 <sup>(d)</sup> | 1218000 |
|  | 26072000 | Zambia Government International Bond, Reg S, 8.97%, due 07/30/27 <sup>(d)</sup> | 11862760 |
|  |  | Total Zambia | 13080760 |
|  |  | TOTAL DEBT OBLIGATIONS (COST $3,632,270,251) | 2427112624 |
|  |  | **LOAN ASSIGNMENTS — 1.3%** |  |
|  |  | **Chad — 0.5%** | **Chad — 0.5%** |
|  | 3001628 | Glencore UK (Chad) Loan Agreement, Tranche A, Variable Rate, 3 mo. LIBOR + 2.00%, 6.78%, due 09/30/25 <sup>(c)</sup> | 2446327 |
|  | 13947501 | Glencore UK (Chad) Loan Agreement, Tranche B, Variable Rate, 3 mo. LIBOR + 2.25%, 7.03%, due 12/31/27 <sup>(c)</sup> | 9344826 |
|  |  | Total Chad | 11791153 |
|  |  | **Kenya — 0.1%** |  |
|  | 2458335 | Republic of Kenya Loan Agreement, 6 mo. LIBOR + 6.70%, 11.90%, due 04/10/25 <sup>(a)</sup> | 2252410 |
|  |  | **Turkey — 0.7%** |  |
|  | 21110714 | Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, 8.85%, due 06/23/28 <sup>(a)</sup> | 19771029 |
|  |  | TOTAL LOAN ASSIGNMENTS<br>(COST $38,942,358) | 33814592 |
|  |  | **LOAN PARTICIPATIONS — 0.8%** | **LOAN PARTICIPATIONS — 0.8%** |
|  |  | **Angola — 0.5%** | **Angola — 0.5%** |
|  | 291000 | Republic of Angola Loan Agreement (Participation via Avenir II BV), Reg S, 6 mo. LIBOR + 4.50%, 9.70%, due 12/07/23 <sup>(c)</sup> | 288090 |
|  | 8742857 | Republic of Angola Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 <sup>(c)</sup> | 7923214 |
|  | 5133334 | Republic of Angola Loan Agreement (Participation with GE Capital EFS Financing, Inc), 7.50%, due 08/30/24 <sup>(c)</sup> | 4825334 |
|  |  | Total Angola | 13036638 |
|  |  | **Egypt — 0.0%** |  |
|  CHF | 353 | Paris Club Loan Agreement (Participation with Standard Chartered Bank), Zero Coupon, due 01/03/24 <sup>(a)</sup> | 321 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
| | | **Iraq — 0.2%** | |
|  EUR | 615808 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 <sup>(c)</sup> | 474199 |
|  JPY | 981061970 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 <sup>(c)</sup> | 4990919 |
|  JPY | 208256139 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 <sup>(c)</sup> | 1059454 |
|  JPY | 88520104 | Republic of Iraq Paris Club Loan Agreement (Participation with Deutsche Bank), 2.57%, due 01/01/28 <sup>(c)</sup> | 450325 |
|  |  | Total Iraq | 6974897 |
|  |  | **Russia — 0.0%** |  |
|  EUR | 76893500 | Russian Foreign Trade Obligations (Participation with GML International Ltd.) <sup>(c) (d)</sup> | 2 |
|  |  | **Sudan — 0.1%** |  |
|  CHF | 11833578 | Republic of Sudan Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) <sup>(c) (d)</sup> | 1250576 |
|  CHF | 5155077 | Republic of Sudan Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) <sup>(c) (d)</sup> | 544790 |
|  |  | Total Sudan | 1795366 |
|  |  | TOTAL LOAN PARTICIPATIONS<br>(COST $43,752,093) | 21807224 |
|  |  | **INVESTMENT FUNDS — 0.2%** | **INVESTMENT FUNDS — 0.2%** |
|  |  | **Colombia — 0.2%** |  |
|  | 6371845 | Bona Fide Investments Feeder LLC <sup>(a) (h)</sup> | 6753722 |
|  |  | TOTAL INVESTMENT FUNDS<br>(COST $6,371,845) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6753722 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
| | | **MUTUAL FUNDS — 2.5%** | **MUTUAL FUNDS — 2.5%** |
| | | **United States — 2.5%** | |
| | | **Affiliated Issuers — 2.5%** | **Affiliated Issuers — 2.5%** |
|  | 13532923 | GMO U.S. Treasury Fund | 67393959 |
|  |  | TOTAL MUTUAL FUNDS (COST $67,761,027) | 67393959 |
|  |  | **RIGHTS/WARRANTS — 0.3%** | **RIGHTS/WARRANTS — 0.3%** |
|  |  | **Argentina — 0.2%** |  |
|  EUR | 271989676 | Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 <sup>(i)</sup> | 3590974 |
|  JPY | 600789000 | Republic of Argentina GDP Linked, Variable Rate, Expires 12/15/35 <sup>(a)</sup> <sup>(i)</sup> | 27600 |
|  |  | Total Argentina | 3618574 |
|  |  | **Ukraine — 0.1%** |  |
|  | 11746000 | Government of Ukraine GDP Linked, Variable Rate, Reg S, Expires 08/01/41 <sup>(c) (i)</sup> | 3459931 |
|  |  | TOTAL RIGHTS/WARRANTS<br>(COST $44,800,544) | 7078505 |
|  |  | **TOTAL INVESTMENTS — 96.1%**<br> (Cost $3,833,898,118) | **2563960626** |
|  |  | Other Assets and Liabilities (net) — 3.9% | 104459047 |
|  |  | **TOTAL NET ASSETS — 100.0%** | $**2668419673** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30, 2022** |
| Bona Fide Investments Feeder LLC | 12/31/21 | $6371845 | 0.2% | $6753722 |
| GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 | 04/30/20 | 6673134 | 0.0% | 343500 |
| GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 | 03/12/21 | 5336810 | 0.0% | 260000 |
| GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 | 01/26/22 | 5861462 | 0.0% | 340000 |
|  |  |  |  | $7697222 |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Bond Forward Contracts** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
| Colombian TES | CITI | COP | 78000000000 | 12/01/22 | 746165 |
| Colombian TES | CITI | COP | 101950000000 | 12/06/22 | 924233 |
| Colombian TES | CITI | COP | 59980000000 | 12/06/22 | 202358 |
|  |  |  |  |  | $1872756 |

---

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counterparty** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 01/12/2023 | MSCI | COP | 67220000000 | USD | 14408598 | 580680 |
| 02/21/2023 | BOA | EUR | 7300000 | USD | 7664667 | 20591 |
| 12/02/2022 | MSCI | USD | 10532886 | BRL | 56200000 | 296987 |
| 12/02/2022 | GS | USD | 3196745 | BRL | 17000000 | 79196 |
| 02/28/2023 | MSCI | ZAR | 289300000 | USD | 16765086 | 146474 |
| 12/02/2022 | MSCI | BRL | 56200000 | USD | 10441821 | (388052) |
| 02/02/2023 | MSCI | BRL | 12700000 | USD | 2329762 | (88618) |
| 02/02/2023 | CITI | BRL | 16000000 | USD | 2945161 | (101617) |
| 12/02/2022 | GS | BRL | 17000000 | USD | 3211122 | (64818) |
| 02/21/2023 | DB | EUR | 85000000 | USD | 88542095 | (464274) |
| 02/21/2023 | SSB | EUR | 23200000 | USD | 24127072 | (166431) |
| 02/21/2023 | MSCI | GBP | 35811000 | USD | 42328602 | (938915) |
| 02/21/2023 | CITI | GBP | 4000000 | USD | 4830406 | (2468) |
| 01/17/2023 | MSCI | JPY | 1308600000 | USD | 9003561 | (530885) |
| 01/17/2023 | SSB | JPY | 3800000000 | USD | 27167696 | (519064) |
| 01/12/2023 | MSCI | PEN | 36200000 | USD | 9015785 | (389231) |
|  |  |  |  |  |  | $(2530445) |

---

**Reverse Repurchase Agreements** 

---

| | |
|:---|:---|
| Average balance outstanding | $(4305840) |
| Average interest rate (net) | 1.04% |
| Maximum balance outstanding | $(12778500) |

---

Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Credit Linked Options** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Principal /**<br> **Notional Amount** | **Principal /**<br> **Notional Amount** | **Principal /**<br> **Notional Amount** | **Expiration<br>Date** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** |
| Put Sold | USD | 7946000 | 01/24/2024 Republic of Philippines Credit Linked Put Option, Fund receives premium of 0.25% (OTC) (CP-DB) <sup>(a)</sup> | (147322) | 24395 |
| Put Sold | USD | 41197000 | 04/15/2024 Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.30% (OTC) (CP-DB) <sup>(a)</sup> | (1327119) | 112965 |
| Put Sold | USD | 81200000 | 04/15/2024 Banco do Brasil Credit Linked Put Option, Fund receives premium of 0.44% (OTC) (CP-DB) <sup>(a)</sup> | (4382889) | 95601 |
|  |  |  |  | $(5857330) | $232961 |

---

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund <br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency**  | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** |
|  CDX.EM.38.V1 | USD | 116100000 | 1.00% | 2.27% | N/A | 12/20/2027 | Quarterly | $11377800 | $6317930 | $(5059870) |

---

**OTC Credit Default Swaps** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counterparty** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund <br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** |
|  Republic of Ghana | JPM | USD | 3000000 | 5.00% | 314.17% | N/A | 06/20/2023 | Quarterly | (91227) | 1768860 | 1860087 |
|  Republic of Ghana | JPM | USD | 3000000 | 5.00% | 314.17% | N/A | 06/20/2023 | Quarterly | (91022) | 1768860 | 1859882 |
|  Republic of Ghana | JPM | USD | 3000000 | 5.00% | 314.17% | N/A | 06/20/2023 | Quarterly | 300000 | 1768860 | 1468860 |
|  Republic of Nigeria | JPM | USD | 9100000 | 5.00% | 5.16% | N/A | 12/20/2023 | Quarterly | 182831 | 14659 | (168172) |
|  Republic of Ghana | JPM | USD | 6100000 | 5.00% | 191.53% | N/A | 06/20/2024 | Quarterly | 47726 | 3960865 | 3913139 |
|  Petrobras Global Finance BV | CITI | USD | 40600000 | 1.00% | 1.35% | N/A | 12/20/2024 | Quarterly | 644565 | 277047 | (367518) |
|  Republic of Brazil | CITI | USD | 14000000 | 1.00% | 1.18% | N/A | 12/20/2024 | Quarterly | 128035 | 48419 | (79616) |
|  Republic of Colombia | CITI | USD | 45000000 | 1.00% | 1.67% | N/A | 12/20/2024 | Quarterly | 667284 | 589391 | (77893) |
|  Republic of South Africa | BCLY | USD | 37800000 | 1.00% | 1.24% | N/A | 12/20/2024 | Quarterly | 718543 | 180240 | (538303) |
|  Republic of Turkey | BCLY | USD | 14000000 | 1.00% | 4.52% | N/A | 12/20/2024 | Quarterly | 1744254 | 924213 | (820041) |
|  Commonwealth of Bahamas | DB | EUR | 23501331 | 1.00% | 5.62% | N/A | 06/20/2025 | Quarterly | 2918259 | 1548546 | (1369713) |
|  Kingdom of Bahrain | MORD | USD | 6000000 | 1.00% | 2.41% | N/A | 12/20/2027 | Quarterly | 546195 | 366812 | (179383) |
|  Republic of Colombia | CITI | USD | 4900000 | 1.00% | 2.86% | N/A | 12/20/2027 | Quarterly | 395462 | 392751 | (2711) |
|  Republic of South Africa | GS | USD | 54200000 | 1.00% | 2.42% | N/A | 12/20/2027 | Quarterly | 4676926 | 3361946 | (1314980) |
|  Republic of Turkey | MORD | USD | 23500000 | 1.00% | 5.22% | N/A | 12/20/2027 | Quarterly | 5716848 | 3927315 | (1789533) |
|  United States of Mexico | MORD | USD | 16200000 | 1.00% | 1.28% | N/A | 12/20/2027 | Quarterly | 497689 | 204621 | (293068) |
|  United States of Mexico | GS | USD | 16200000 | 1.00% | 1.63% | N/A | 06/20/2029 | Quarterly | 1287609 | 570326 | (717283) |
|  United States of Mexico | GS | USD | 16200000 | 1.00% | 1.93% | N/A | 09/20/2031 | Quarterly | 2138931 | 1061518 | (1077413) |

---

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Swap Contracts — continued** 

**OTC Credit Default Swaps — continued** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund <br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Sell Protection**^: |  |  |  |  |  |  |  |  |  |  |
|  Commonwealth of Bahamas<br> DB | USD | 2787000 | 1.00% | 4.30% | 2,787,000 USD | 06/20/2023 | Quarterly | (508123) | (49793) | 458330 |
|  Commonwealth of Bahamas<br> DB | USD | 5675000 | 1.00% | 4.30% | 5,675,000 USD | 06/20/2023 | Quarterly | (1017200) | (101390) | 915810 |
|  Commonwealth of Bahamas<br> DB | USD | 31567771 | 1.00% | 5.61% | 31,567,771 USD | 06/20/2025 | Quarterly | (3380251) | (1947542) | 1432709 |
|  |  |  |  |  |  |  |  | $17523334 | $20636524 | $3113190 |

---

---

| | |
|:---|:---|
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.  |

---

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. <br>

<sup>(1)</sup> As of November 30, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. 

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

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  BRL-CDI | 13.5% | BRL | 1718748897 | 01/02/2025 | At Maturity | (571684) | 3255320 | 3827004 |
|  0.30% | JPY-TONA-OIS-COMPOUND | JPY | 9270000000 | 12/21/2027 | Semi-Annually | (67598) | 91266 | 158864 |
|  USD - SOFR - COMPOUND | 4.01% | USD | 33900000 | 12/21/2027 | Semi-Annually |  | 676125 | 676125 |
|  0.58% | JPY-TONA-OIS-COMPOUND | JPY | 4710000000 | 12/21/2032 | Semi-Annually | (108339) | 202712 | 311051 |
|  2.80% | 6 Month EURIBOR | EUR | 12200000 | 03/16/2033 | Semi-Annually | (10410) | (138554) | (128144) |
|  2.85% | GBP - SONIA - COMPOUND | GBP | 22000000 | 03/15/2053 | Annually | 92273 | 512867 | 420594 |
|  2.30% | 6 Month EURIBOR | EUR | 30200000 | 03/19/2053 | Semi-Annually | (91667) | (1529217) | (1437550) |
|  |  |  |  |  |  | $(757425) | $3070519 | $3827944 |

---

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

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

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

(c) Investment valued using significant unobservable inputs.

(d) Security is in default.

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

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

(f) The security is restricted as to resale.

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

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

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

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

------

**GMO Emerging Country Debt Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Portfolio Abbreviations:** 

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

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

CDI - Certificado de Deposito Interbancario

CJSC - Closed Joint-Stock Company

EURIBOR - Euro Interbank Offered Rate

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

GDP - Gross Domestic Product

GMTN - Global Medium Term Note

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

OJSC - Open Joint-Stock Company

OTC - Over-the-Counter

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TONA - Tokyo Overnight Average Rate

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

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

**Currency Abbreviations:** 

BRL - Brazil Real

CHF - Switzerland Franc

COP - Colombia Peso

EUR - Euro

GBP - United Kingdom Pound

JPY - Japan Yen

PEN - Peru Nuevo Sol

TRY - Turkish Lira

USD - United States Dollar

ZAR - South Africa Rand

------

**GMO High Yield Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| <br> **Par Value†** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 52.6%** | **DEBT OBLIGATIONS — 52.6%** |
| | **Corporate Debt — 13.0%** | |
|  | **Australia — 0.8%** |  |
| 2625000 | FMG Resources August 2006 Pty. Ltd., 144A, 4.38%, due 04/01/31 | 2211562 |
|  | **United Kingdom — 0.7%** |  |
| 190000 | Jaguar Land Rover Automotive Plc, 144A, 5.63%, due 02/01/23 | 188145 |
| 1020000 | Virgin Media Secured Finance Plc, 144A, 5.50%, due 05/15/29 | 942337 |
| 1000000 | Virgin Media Secured Finance Plc, 144A, 4.50%, due 08/15/30 | 835131 |
|  | Total United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1965613 |
|  | **United States — 11.5%** |  |
| 325000 | Apache Corp., 5.35%, due 07/01/49 | 257140 |
| 125000 | Bath & Body Works, Inc., 6.88%, due 11/01/35 | 113125 |
| 740000 | Booz Allen Hamilton, Inc., 144A, 3.88%, due 09/01/28 | 666918 |
| 1000000 | Booz Allen Hamilton, Inc., 144A, 4.00%, due 07/01/29 | 886630 |
| 3750000 | CCO Holdings LLC / CCO Holdings Capital Corp., 144A, 4.75%, due 03/01/30 | 3223961 |
| 1375000 | Centene Corp., 2.63%, due 08/01/31 | 1081052 |
| 250000 | Cogent Communications Group, Inc., 144A, 3.50%, due 05/01/26 | 226100 |
| 748000 | CoreCivic, Inc., 8.25%, due 04/15/26 | 764118 |
| 1500000 | Crown Americas LLC, 144A, 5.25%, due 04/01/30 | 1387500 |
| 400000 | Enact Holdings, Inc., 144A, 6.50%, due 08/15/25 | 388892 |
| 1125000 | FirstEnergy Corp., 4.40%, due 07/15/27 | 1060898 |
| 125000 | Fluor Corp., 4.25%, due 09/15/28 | 113755 |
| 670000 | Hexcel Corp., 4.20%, due 02/15/27 | 623511 |
| 1625000 | Icahn Enterprises LP / Icahn Enterprises Finance Corp., 4.38%, due 02/01/29 | 1367031 |
| 1975000 | Iron Mountain Information Management Services, Inc., 144A, 5.00%, due 07/15/32 | 1668855 |
| 500000 | KB Home, 4.80%, due 11/15/29 | 432500 |
| 625000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.25%, due 02/01/27 | 545313 |
| 1500000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 144A, 4.75%, due 06/15/29 | 1226390 |
| 1625000 | Mattel, Inc., 144A, 3.38%, due 04/01/26 | 1492254 |
| 750000 | Molina Healthcare, Inc., 144A, 3.88%, due 05/15/32 | 632813 |
| 625000 | Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31 | 511351 |
| 262000 | New Fortress Energy, Inc., 144A, 6.75%, due 09/15/25 | 255903 |
| 1500000 | New Fortress Energy, Inc., 144A, 6.50%, due 09/30/26 | 1449682 |

---

---

| | | |
|:---|:---|:---|
| <br> **Par Value†** | **Description** | **Value ($)** |
| | **Corporate Debt — continued** | |
|  | **United States — continued** |  |
| 1125000 | Newell Brands, Inc., 5.63%, due 04/01/36 | 962944 |
| 812000 | Occidental Petroleum Corp., 8.50%, due 07/15/27 | 885080 |
| 850000 | OneMain Finance Corp., 6.13%, due 03/15/24 | 829005 |
| 250000 | OneMain Finance Corp., 6.88%, due 03/15/25 | 242824 |
| 875000 | OneMain Finance Corp., 7.13%, due 03/15/26 | 847696 |
| 375000 | OneMain Finance Corp., 6.63%, due 01/15/28 | 344813 |
| 1750000 | PDC Energy, Inc., 5.75%, due 05/15/26 | 1671547 |
| 836000 | PG&E Corp., 5.00%, due 07/01/28 | 771302 |
| 750000 | PG&E Corp., 5.25%, due 07/01/30 | 679114 |
| 375000 | Prime Security Services Borrower LLC / Prime Finance, Inc., 144A, 5.75%, due 04/15/26 | 371250 |
| 800000 | Spirit AeroSystems, Inc., 3.85%, due 06/15/26 | 715012 |
| 171875 | Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 144A, 8.00%, due 09/20/25 | 173800 |
| 378125 | Spirit Loyalty Cayman Ltd. / Spirit IP Cayman Ltd., 144A, 8.00%, due 09/20/25 | 383264 |
| 203548 | Transocean Guardian Ltd., 144A, 5.88%, due 01/15/24 | 198274 |
| 565000 | Western Midstream Operating LP, 3.35%, due 02/01/25 | 541558 |
| 1375000 | Western Midstream Operating LP, 3.95%, due 06/01/25 | 1316562 |
|  | Total United States | 31309737 |
|  | Total Corporate Debt | &nbsp;&nbsp;&nbsp;&nbsp;35486912 |
|  | **U.S. Government — 39.6%** | **U.S. Government — 39.6%** |
| 45000000 | U.S. Treasury Note, 0.13%, due 12/31/22 <sup>(a)</sup> | 44857612 |
| 3480000 | U.S. Treasury Note, Variable Rate, USBM + 0.03%, 4.36%, due 07/31/23 | 3482410 |
| 54000000 | U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24 | 53905237 |
| 6000000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 <sup>(a)</sup> | 5992351 |
|  | Total U.S. Government | 108237610 |
|  | TOTAL DEBT OBLIGATIONS (COST $145,760,352) | 143724522 |
|  | **SHORT-TERM INVESTMENTS — 57.1%** | **SHORT-TERM INVESTMENTS — 57.1%** |
|  | **Repurchase Agreements — 22.3%** | **Repurchase Agreements — 22.3%** |
| 60999418 | Nomura Securities International, Inc. Repurchase Ageement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $61,005,857 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $62,244,266. | 60999418 |

---

------

**GMO High Yield Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| | **Par Value† /<br>Shares** | **Description** | **Value ($)** |
|  | | **U.S. Government — 2.9%** | |
|  | 8000000 | U.S. Treasury Bill, 0.01%, due 12/01/22 <sup>(b)</sup> | 8000000 |
| | | **U.S. Government Agency — 3.6%** | **U.S. Government Agency — 3.6%** |
|  | 10000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 12/02/22 | 9999999 |
| | | **Sovereign and Sovereign Agency Issuers — 27.3%** | **Sovereign and Sovereign Agency Issuers — 27.3%** |
|  JPY | 2104000000 | Japan Treasury Discount Bill, Zero Coupon, due 02/06/23 | 15240002 |
|  JPY | 8182000000 | Japan Treasury Discount Bill, Zero Coupon, due 02/27/23 | 59268408 |
|  |  | Total Sovereign and Sovereign Agency Issuers | 74508410 |
|  |  | **Money Market Funds — 1.0%** | **Money Market Funds — 1.0%** |
|  | 2626002 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(c)</sup> | 2626002 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $154,197,353) | 156133829 |
|  |  | **TOTAL INVESTMENTS — 109.7%** (Cost $299,957,705) | **299858351** |
|  |  | Other Assets and Liabilities (net) — (9.7)% | (26582563) |
|  |  | **TOTAL NET ASSETS — 100.0%** | **$273275788** |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-**<br>**party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 02/06/2023 | MSCI | JPY | 2104000000 | USD | 14476220 | (893789) |
| 02/27/2023 | DB | JPY | 8182000000 | USD | 59261942 | (682443) |
|  |  |  |  |  |  | $(1576232) |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 41 | U.S. Treasury Note 10 Yr. (CBT) | March 2023 | 4653500 | 31018 |
| 9 | U.S. Treasury Note 2 Yr. (CBT) | March 2023 | 1848234 | 5765 |
| 108 | U.S. Treasury Note 5 Yr. (CBT) | March 2023 | 11725594 | 69219 |
|  |  |  | $18227328 | $106002 |
| Sales |  |  |  |  |
| 4 | U.S. Long Bond (CBT) | March 2023 | 508000 | (1646) |
| 1 | U.S. Ultra Bond (CBT) | March 2023 | 136281 | (262) |
|  |  |  | $644281 | $(1908) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by**<br>**the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** |
|  CDX.NA.HYS.39.V1 | USD | 29370000 | 5.00% | 4.53% | 29,370,000 USD | 12/20/2027 | Quarterly | $(1284938) | $551892 | $1836830 |

---

---

| | |
|:---|:---|
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.  |

---

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. <br>

------

**GMO High Yield Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

<sup>(1)</sup> As of November 30, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. 

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

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net**<br>**Unrealized<br>Appreciation/**<br>**(Depreciation) ($)** |
|  SOFR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | BCLY | USD | 2236000 | 12/20/2022 | Quarterly | (39) | (48762) | (48723) |
|  SOFR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | BCLY | USD | 33800000 | 12/20/2022 | Quarterly | (35187) | 1778220 | 1813407 |
|  SOFR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | GS | USD | 59921000 | 12/20/2022 | Quarterly | (151) | 1484806 | 1484957 |
|  SOFR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | BCLY | USD | 30320000 | 03/20/2023 | Quarterly | 641 | 594121 | 593480 |
|  SOFR | Total Return on iShares iBoxx High Yield Corporate Bond ETF | MSCI | USD | 73200000 | 03/20/2023 | Quarterly | (2739) | 1705153 | 1707892 |
|  |  |  |  |  |  |  | $(37475) | $5513538 | $5551013 |

---

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

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

(b) The rate shown represents yield-to-maturity.

(c) The rate disclosed is the 7 day net yield as of November 30, 2022.

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

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

ETF - Exchange-Traded Fund

SOFR - Secured Overnight Financing Rate

USBM - U.S. Treasury 3 Month Bill Money Market Yield

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

MSCI - Morgan Stanley & Co. International PLC

**Currency Abbreviations:** 

JPY - Japan Yen

USD - United States Dollar

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 53.9%** |  |
| | **Australia — 0.2%** | |
| | **Corporate Debt** | **Corporate Debt** |
| 250000 | National Australia Bank Ltd., 2.50%, due 07/12/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;231535 |
|  | **Canada — 0.2%** |  |
|  | **Corporate Debt** | **Corporate Debt** |
| 200000 | National Bank of Canada, Variable Rate, 0.55%, due 11/15/24 | 190786 |
|  | **Germany — 0.5%** |  |
|  | **Corporate Debt** | **Corporate Debt** |
| 400000 | Deutsche Bank AG, Variable Rate, 3.96%, due 11/26/25 | 378346 |
| 200000 | Deutsche Bank AG, Variable Rate, 3.55%, due 09/18/31 | 158983 |
|  | Total Germany | 537329 |
|  | **Japan — 1.1%** |  |
|  | **Corporate Debt** | **Corporate Debt** |
| 300000 | Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.08%, due 04/19/28 | 283523 |
| 200000 | Mitsubishi UFJ Financial Group, Inc., Variable Rate, 4.32%, due 04/19/33 | 183026 |
| 200000 | Mizuho Financial Group, Inc., 4.02%, due 03/05/28 | 186080 |
| 250000 | Mizuho Financial Group, Inc., Variable Rate, 4.25%, due 09/11/29 | 230557 |
| 250000 | Takeda Pharmaceutical Co. Ltd., 5.00%, due 11/26/28 | 250069 |
|  | Total Japan | 1133255 |
|  | **Netherlands — 0.3%** |  |
|  | **Corporate Debt** | **Corporate Debt** |
| 350000 | ING Groep NV, Variable Rate, 2.73%, due 04/01/32 | 278179 |
|  | **Spain — 0.2%** |  |
|  | **Corporate Debt** | **Corporate Debt** |
| 200000 | Banco Bilbao Vizcaya Argentaria SA, Variable Rate, 6.14%, due 09/14/28 | 199797 |
|  | **United Kingdom — 3.9%** |  |
|  | **Corporate Debt** | **Corporate Debt** |
| 200000 | Barclays Plc, Variable Rate, 5.50%, due 08/09/28 | 193664 |
| 200000 | Barclays Plc, Variable Rate, 4.97%, due 05/16/29 | 187597 |
| 300000 | Barclays Plc, Variable Rate, 2.89%, due 11/24/32 | 229136 |
| 300000 | BAT Capital Corp., 4.39%, due 08/15/37 | 236310 |
| 250000 | British Telecommunications Plc, 5.13%, due 12/04/28 | 245370 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **United Kingdom — continued** | |
| | **Corporate Debt — continued** | **Corporate Debt — continued** |
| 200000 | CNH Industrial NV, 4.50%, due 08/15/23 | 198569 |
| 200000 | HSBC Holdings Plc, Variable Rate, 2.25%, due 11/22/27 | 172390 |
| 200000 | HSBC Holdings Plc, Variable Rate, 4.58%, due 06/19/29 | 184142 |
| 500000 | HSBC Holdings Plc, Variable Rate, 3.97%, due 05/22/30 | 437092 |
| 250000 | Lloyds Banking Group Plc, Variable Rate, 3.75%, due 03/18/28 | 228358 |
| 200000 | Lloyds Banking Group Plc, 4.55%, due 08/16/28 | 187599 |
| 250000 | Mead Johnson Nutrition Co., 4.13%, due 11/15/25 | 246439 |
| 250000 | Natwest Group Plc, Variable Rate, 3.07%, due 05/22/28 | 221321 |
| 200000 | Natwest Group Plc, Variable Rate, 4.89%, due 05/18/29 | 188296 |
| 200000 | NatWest Group Plc, Variable Rate, 4.52%, due 06/25/24 | 197910 |
| 150000 | RELX Capital Inc, 4.00%, due 03/18/29 | 140940 |
| 300000 | Reynolds American, Inc., 5.70%, due 08/15/35 | 276956 |
| 250000 | Reynolds American, Inc., 6.15%, due 09/15/43 | 224589 |
|  | Total United Kingdom | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3996678 |
|  | **United States — 47.5%** |  |
|  | **Asset-Backed Securities — 18.1%** | **Asset-Backed Securities — 18.1%** |
| 3380000 | Citigroup Commercial Mortgage Trust, 144A, 3.90%, due 05/10/36 | 3328894 |
| 6400000 | Federal National Mortgage Association, TBA, 2.50%, due 12/16/35 | 5912972 |
| 1600000 | Federal National Mortgage Association, TBA, 2.00%, due 12/13/52 | 1317813 |
| 2300000 | Federal National Mortgage Association, TBA, 2.50%, due 12/13/52 | 1967398 |
| 3400000 | Federal National Mortgage Association, TBA, 3.00%, due 12/13/52 | 3008830 |
| 3500000 | GNMA II TBA, 3.00%, due 12/20/52 | 3160762 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;18696669 |
|  | **Corporate Debt — 18.2%** |  |
| 550000 | AbbVie, Inc., 4.50%, due 05/14/35 | 521008 |
| 250000 | AES Corp. (The), 1.38%, due 01/15/26 | 222088 |
| 250000 | Aircastle Ltd., 4.13%, due 05/01/24 | 241226 |
| 200000 | Aircastle Ltd., 4.25%, due 06/15/26 | 186439 |
| 250000 | Albemarle Corp., 4.65%, due 06/01/27 | 245057 |
| 250000 | Albemarle Corp., 5.05%, due 06/01/32 | 240263 |
| 250000 | Altria Group, Inc., 5.80%, due 02/14/39 | 231770 |
| 150000 | Altria Group, Inc., 5.95%, due 02/14/49 | 133226 |
| 350000 | Altria Group, Inc., 4.00%, due 02/04/61 | 232714 |
| 150000 | Amcor Finance USA, Inc., 3.63%, due 04/28/26 | 142114 |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **Corporate Debt — continued** | |
| 200000 | American Financial Group, Inc., 4.50%, due 06/15/47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;161071 |
| 300000 | Amgen, Inc., 2.77%, due 09/01/53 | 186106 |
| 250000 | Amgen, Inc., 4.40%, due 02/22/62 | 204742 |
| 150000 | AutoZone, Inc., 4.00%, due 04/15/30 | 140267 |
| 100000 | Baxalta, Inc., 5.25%, due 06/23/45 | 95097 |
| 150000 | Biogen, Inc., 2.25%, due 05/01/30 | 123744 |
| 250000 | Block Financial LLC, 3.88%, due 08/15/30 | 220260 |
| 300000 | Broadcom, Inc., 144A, 3.42%, due 04/15/33 | 243759 |
| 150000 | Broadcom, Inc., 144A, 4.93%, due 05/15/37 | 131624 |
| 300000 | Cardinal Health, Inc., 4.37%, due 06/15/47 | 236937 |
| 250000 | Carlisle Cos., Inc., 3.75%, due 12/01/27 | 234381 |
| 300000 | Carlisle Cos., Inc., 2.75%, due 03/01/30 | 250978 |
| 400000 | Carrier Global Corp., 2.72%, due 02/15/30 | 341286 |
| 250000 | CF Industries, Inc., 5.15%, due 03/15/34 | 238464 |
| 300000 | CF Industries, Inc., 5.38%, due 03/15/44 | 275941 |
| 200000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, due 04/01/38 | 171105 |
| 100000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.83%, due 10/23/55 | 95757 |
| 150000 | Cheniere Corpus Christi Holdings LLC, 7.00%, due 06/30/24 | 152085 |
| 400000 | Cheniere Corpus Christi Holdings LLC, 5.13%, due 06/30/27 | 400541 |
| 250000 | Cigna Corp., 3.88%, due 10/15/47 | 197545 |
| 150000 | Cigna Corp., 4.90%, due 12/15/48 | 138478 |
| 450000 | CNH Industrial Capital LLC, 1.95%, due 07/02/23 | 441067 |
| 100000 | Constellation Energy Generation LLC, 5.60%, due 06/15/42 | 97687 |
| 350000 | Corning, Inc., 5.45%, due 11/15/79 | 311002 |
| 200000 | DCP Midstream Operating LP, 5.63%, due 07/15/27 | 199192 |
| 500000 | Devon Energy Corp., 5.60%, due 07/15/41 | 483135 |
| 200000 | Dick's Sporting Goods, Inc., 4.10%, due 01/15/52 | 135574 |
| 650000 | Elevance Health, Inc., 2.38%, due 01/15/25 | 619391 |
| 100000 | Eli Lilly & Co., 3.38%, due 03/15/29 | 94951 |
| 150000 | Eli Lilly & Co., 4.15%, due 03/15/59 | 133497 |
| 150000 | Gilead Sciences, Inc., 4.00%, due 09/01/36 | 133640 |
| 250000 | GLP Capital LP / GLP Financing II, Inc., 5.38%, due 04/15/26 | 242347 |
| 150000 | GLP Capital LP / GLP Financing II, Inc., 5.75%, due 06/01/28 | 144954 |
| 250000 | GLP Capital LP / GLP Financing II, Inc., 4.00%, due 01/15/31 | 212457 |
| 250000 | GSK Consumer Healthcare Capital U.S. LLC, 3.38%, due 03/24/29 | 226490 |
| 200000 | HF Sinclair Corp., 5.88%, due 04/01/26 | 201262 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **Corporate Debt — continued** | |
| 200000 | Host Hotels & Resorts LP, 3.38%, due 12/15/29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;169161 |
| 450000 | Host Hotels & Resorts LP, 3.50%, due 09/15/30 | 375605 |
| 150000 | International Business Machines Corp., 3.43%, due 02/09/52 | 108786 |
| 200000 | Johnson & Johnson, 3.63%, due 03/03/37 | 180178 |
| 168000 | Keurig Dr Pepper, Inc., 4.42%, due 05/25/25 | 167987 |
| 150000 | Kirby Corp., 4.20%, due 03/01/28 | 136261 |
| 150000 | L3Harris Technologies, Inc., 4.40%, due 06/15/28 | 144985 |
| 350000 | Las Vegas Sands Corp., 3.50%, due 08/18/26 | 319813 |
| 250000 | Lowe's Cos., Inc., 5.80%, due 09/15/62 | 247726 |
| 300000 | Marathon Oil Corp., 5.20%, due 06/01/45 | 264955 |
| 400000 | Marathon Petroleum Corp., 4.75%, due 09/15/44 | 340757 |
| 200000 | McKesson Corp., 3.80%, due 03/15/24 | 196948 |
| 150000 | Motorola Solutions, Inc., 2.75%, due 05/24/31 | 121040 |
| 150000 | Motorola Solutions, Inc., 5.60%, due 06/01/32 | 149397 |
| 300000 | Mylan, Inc., 5.20%, due 04/15/48 | 232219 |
| 150000 | Northrop Grumman Corp., 5.15%, due 05/01/40 | 148263 |
| 150000 | Northrop Grumman Corp., 4.75%, due 06/01/43 | 141000 |
| 200000 | Omega Healthcare Investors, Inc., 3.38%, due 02/01/31 | 156323 |
| 150000 | Omega Healthcare Investors, Inc., 3.25%, due 04/15/33 | 109986 |
| 250000 | O'Reilly Automotive, Inc., 4.20%, due 04/01/30 | 236896 |
| 200000 | O'Reilly Automotive, Inc., 4.70%, due 06/15/32 | 195315 |
| 250000 | Pacific Gas & Electric Co., 3.75%, due 07/01/28 | 220449 |
| 250000 | Pacific Gas & Electric Co., 5.90%, due 06/15/32 | 243980 |
| 150000 | Pacific Gas & Electric Co., 4.75%, due 02/15/44 | 117316 |
| 150000 | Reinsurance Group of America, Inc., 3.90%, due 05/15/29 | 137539 |
| 250000 | Reinsurance Group of America, Inc., 3.15%, due 06/15/30 | 214049 |
| 400000 | Sabra Health Care LP, 5.13%, due 08/15/26 | 377459 |
| 150000 | Shire Acquisitions Investments Ireland DAC, 3.20%, due 09/23/26 | 141333 |
| 150000 | T-Mobile USA, Inc., 2.05%, due 02/15/28 | 129508 |
| 250000 | T-Mobile USA, Inc., 5.80%, due 09/15/62 | 249282 |
| 350000 | Union Pacific Corp., 4.10%, due 09/15/67 | 284128 |
| 350000 | Union Pacific Corp., 3.80%, due 04/06/71 | 264303 |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| | **Corporate Debt — continued** | |
| 150000 | UnitedHealth Group, Inc., 4.75%, due 05/15/52 | 141937 |
| 150000 | UnitedHealth Group, Inc., 3.88%, due 08/15/59 | 119510 |
| 200000 | UnitedHealth Group, Inc., 4.95%, due 05/15/62 | 191830 |
| 300000 | Utah Acquisition Sub, Inc., 5.25%, due 06/15/46 | 231418 |
| 150000 | VeriSign, Inc., 2.70%, due 06/15/31 | 122944 |
| 100000 | VICI Properties LP, 4.38%, due 05/15/25 | 96241 |
| 200000 | VICI Properties LP, 4.75%, due 02/15/28 | 188532 |
| 150000 | VICI Properties LP, 4.95%, due 02/15/30 | 141803 |
| 250000 | Warnermedia Holdings, Inc., 144A, 5.39%, due 03/15/62 | 193447 |
| 100000 | Williams Cos, Inc. (The), 5.40%, due 03/04/44 | 92470 |
| 250000 | Williams Cos, Inc. (The), 5.75%, due 06/24/44 | 243448 |
| 200000 | Williams Cos, Inc. (The), 5.10%, due 09/15/45 | 178883 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;18778129 |
|  | **U.S. Government — 11.2%** |  |
| 11500000 | U.S. Treasury Bonds, 1.13%, due 08/15/40 <sup>(a)</sup> | 7303848 |
| 3900000 | U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24 <sup>(a)</sup> | 3893156 |
| 450000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 | 449426 |
|  |  | 11646430 |
|  | Total United States | 49121228 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $58,654,693) | 55688787 |
|  | **MUTUAL FUNDS — 27.6%** | **MUTUAL FUNDS — 27.6%** |
|  | **United States — 27.6%** | **United States — 27.6%** |
|  | **Affiliated Issuers** | **Affiliated Issuers** |
| 247731 | GMO Emerging Country Debt Fund, Class VI | 4719275 |
| 974867 | GMO Opportunistic Income Fund, Class VI | 23767266 |
|  | TOTAL MUTUAL FUNDS<br>(COST $32,367,720) | 28486541 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **Shares /<br>Par Value†** | **Description** | **Value ($)** |
|  |  | **SHORT-TERM INVESTMENTS — 31.6%** | **SHORT-TERM INVESTMENTS — 31.6%** |
|  | | **Repurchase Agreements — 11.6%** | **Repurchase Agreements — 11.6%** |
|  | 11999886 | Nomura Securities International, Inc. Repurchase Agreement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $12,001,152 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $12,244,774. | 11999886 |
|  | | **Money Market Funds — 0.4%** | |
|  | 408212 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(b)</sup> | 408212 |
|  | | **Sovereign and Sovereign Agency Issuers — 19.6%** | **Sovereign and Sovereign Agency Issuers — 19.6%** |
|  JPY | 1900000000 | Japan Treasury Discount Bill, Zero Coupon, due 12/20/22 | 13760021 |
|  JPY | 902200000 | Japan Treasury Discount Bill, Zero Coupon, due 02/06/23 | 6534947 |
|  |  | Total Sovereign and Sovereign Agency Issuers | 20294968 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $32,247,132) | 32703066 |
|  |  | **TOTAL INVESTMENTS — 113.1%**<br> (Cost $123,269,545) | **116878394** |
|  |  | Other Assets and Liabilities (net) — (13.1%) | (13528119) |
|  |  | **TOTAL NET ASSETS — 100.0%** | **$103350275** |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)**<br>**($)** |
| 02/16/2023 | JPM | CHF | 2583976 | USD | 2758196 | 1816 |
| 01/18/2023 | JPM | CZK | 19042868 | USD | 813589 | 1435 |
| 01/31/2023 | SSB | EUR | 3230000 | USD | 3384814 | 7627 |
| 12/20/2022 | DB | JPY | 1900000000 | USD | 13880922 | 89963 |
| 02/08/2023 | MSCI | SEK | 13200000 | USD | 1269762 | 6922 |
| 02/09/2023 | JPM | USD | 1156831 | AUD | 1720000 | 14022 |
| 12/02/2022 | MSCI | USD | 1598976 | BRL | 8577334 | 53897 |
| 12/02/2022 | GS | USD | 207704 | BRL | 1100000 | 4269 |
| 02/02/2023 | MSCI | USD | 754635 | BRL | 4113667 | 28704 |
| 12/02/2022 | CITI | USD | 141667 | BRL | 750000 | 2859 |
| 02/02/2023 | MSCI | USD | 3101199 | CAD | 4221182 | 39836 |
| 02/02/2023 | BCLY | USD | 1119953 | CAD | 1510000 | 3657 |
| 01/12/2023 | MSCI | USD | 244234 | CLP | 230000000 | 12361 |
| 02/21/2023 | MSCI | USD | 425520 | GBP | 360000 | 9439 |
| 02/16/2023 | MSCI | USD | 147442 | HUF | 59769900 | 1407 |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Forward Currency Contracts — continued** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)**<br>**($)** |
| 02/16/2023 | CITI | USD | 98439 | HUF | 40000000 | 1176 |
| 02/03/2023 | JPM | USD | 770321 | IDR | 12094041000 | 1571 |
| 01/17/2023 | MSCI | USD | 3198253 | JPY | 464842084 | 188582 |
| 01/24/2023 | MSCI | USD | 950821 | MXN | 19419101 | 46414 |
| 01/18/2023 | MSCI | USD | 3438083 | NOK | 36085429 | 232437 |
| 01/12/2023 | MSCI | USD | 308828 | PEN | 1240000 | 13333 |
| 12/02/2022 | CITI | USD | 148509 | PHP | 8500000 | 1774 |
| 12/02/2022 | JPM | USD | 78412 | PHP | 4500000 | 1149 |
| 12/02/2022 | BCLY | USD | 215729 | PHP | 12201640 | 0 |
| 02/21/2023 | BCLY | USD | 64532 | PLN | 300000 | 1446 |
| 02/08/2023 | MSCI | USD | 1219342 | SEK | 13302650 | 53319 |
| 02/08/2023 | BCLY | USD | 414535 | SEK | 4400000 | 6412 |
| 02/21/2023 | GS | USD | 58292 | SGD | 80000 | 547 |
| 02/21/2023 | MSCI | USD | 59477 | THB | 2100000 | 576 |
| 02/06/2023 | CITI | USD | 69101 | TWD | 2100000 | 318 |
| 12/02/2022 | CITI | BRL | 750000 | USD | 137969 | (6557) |
| 12/02/2022 | GS | BRL | 1100000 | USD | 207006 | (4966) |
| 12/02/2022 | MSCI | BRL | 8577334 | USD | 1607194 | (45678) |
| 02/16/2023 | JPM | CHF | 710000 | USD | 753184 | (4188) |
| 01/12/2023 | MSCI | CLP | 189728500 | USD | 196173 | (15493) |
| 01/12/2023 | MSCI | COP | 680000000 | USD | 135756 | (4128) |
| 02/21/2023 | BCLY | GBP | 360000 | USD | 430740 | (4218) |
| 02/03/2023 | MSCI | IDR | 1000000000 | USD | 63411 | (413) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)**<br>**($)** |
| 02/28/2023 | JPM | ILS | 1036203 | USD | 302674 | (2716) |
| 02/23/2023 | MSCI | INR | 59579444 | USD | 723895 | (4861) |
| 01/17/2023 | BOA | JPY | 38000000 | USD | 260844 | (16024) |
| 02/06/2023 | MSCI | JPY | 902200000 | USD | 6207436 | (383259) |
| 02/03/2023 | JPM | KRW | 834221675 | USD | 585365 | (54982) |
| 01/24/2023 | GS | MXN | 3200000 | USD | 158618 | (5713) |
| 01/18/2023 | BOA | NOK | 2800000 | USD | 271945 | (12864) |
| 02/28/2023 | MSCI | NZD | 2740000 | USD | 1704061 | (24798) |
| 01/12/2023 | MSCI | PEN | 480000 | USD | 119225 | (5482) |
| 12/02/2022 | JPM | PHP | 25201640 | USD | 434174 | (11399) |
| 02/01/2023 | BCLY | PHP | 12201640 | USD | 215425 | (604) |
| 02/21/2023 | MSCI | PLN | 971873 | USD | 209614 | (4128) |
| 02/27/2023 | BCLY | RON | 3131041 | USD | 651105 | (6328) |
| 02/08/2023 | BCLY | SEK | 5700000 | USD | 542431 | (2887) |
| 02/21/2023 | MSCI | SGD | 570686 | USD | 414318 | (5420) |
| 02/21/2023 | BCLY | THB | 22822300 | USD | 643970 | (8678) |
| 02/06/2023 | BCLY | TWD | 25545600 | USD | 798150 | (46300) |
| 02/02/2023 | JPM | USD | 857265 | CAD | 1150000 | (1536) |
| 01/12/2023 | MSCI | USD | 993844 | COP | 4653658000 | (36534) |
| 02/16/2023 | BOA | USD | 62816 | HUF | 25000000 | (557) |
|  |  |  |  |  |  | $106557 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| Buys |  |  |  |  |
| 20 | U.S. Long Bond (CBT) | March 2023 | 2540000 | 10911 |
| 50 | U.S. Treasury Note 10 Yr. (CBT) | March 2023 | 5675000 | 36154 |
| 22 | U.S. Treasury Note 2 Yr. (CBT) | March 2023 | 4517906 | 14091 |
| 127 | U.S. Treasury Note 5 Yr. (CBT) | March 2023 | 13788430 | 79977 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 26 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2023 | 3111063 | 17790 |
|  |  |  | $29632399 | $158923 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

**Swap Contracts** 

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional<br>Amount** | **Notional<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.86% | 3 Month AUD BBSW | AUD | 9806000 | 12/21/2024 | Quarterly | (7495) | (25738) | (18243) |
|  3.91% | 3 Month AUD BBSW | AUD | 5000000 | 12/21/2024 | Quarterly |  | (16334) | (16334) |
|  4.08% | 3 Month CAD CDOR | CAD | 18144000 | 12/21/2024 | Semi-Annually | (370) | 72718 | 73088 |
|  4.25% | 3 Month CAD CDOR | CAD | 2500000 | 12/21/2024 | Semi-Annually |  | 4166 | 4166 |
|  3 Month CAD CDOR | 4.15% | CAD | 8500000 | 12/21/2024 | Semi-Annually |  | (26016) | (26016) |
|  CHF - SARON - OIS - COMPOUND | 1.39% | CHF | 4000000 | 12/21/2024 | Semi-Annually |  | 13713 | 13713 |
|  CHF - SARON - OIS - COMPOUND | 1.74% | CHF | 8500000 | 12/21/2024 | Semi-Annually |  | 91709 | 91709 |
|  1.81% | CHF - SARON - OIS - COMPOUND | CHF | 19666000 | 12/21/2024 | Semi-Annually | (1580) | (241883) | (240303) |
|  1.40% | CHF - SARON - OIS - COMPOUND | CHF | 2500000 | 12/21/2024 | Semi-Annually |  | (8835) | (8835) |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Swap Contracts — continued** 

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional<br>Amount** | **Notional<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  EUR - EuroSTR - COMPOUND | 2.59% | EUR | 7000000 | 12/21/2024 | Annually |  | (7705) | (7705) |
|  EUR - EuroSTR - COMPOUND | 2.64% | EUR | 2500000 | 12/21/2024 | Annually |  | (514) | (514) |
|  2.14% | EUR - EuroSTR - COMPOUND | EUR | 4394000 | 12/21/2024 | Annually | 1068 | 45818 | 44750 |
|  2.94% | EUR - EuroSTR - COMPOUND | EUR | 5000000 | 12/21/2024 | Annually |  | (29332) | (29332) |
|  GBP - SONIA - COMPOUND | 3.96% | GBP | 15140000 | 12/21/2024 | Annually | (38164) | (144363) | (106199) |
|  GBP - SONIA - COMPOUND | 4.58% | GBP | 1500000 | 12/21/2024 | Annually |  | 6851 | 6851 |
|  4.26% | GBP - SONIA - COMPOUND | GBP | 5000000 | 12/21/2024 | Annually |  | 13745 | 13745 |
|  5.22% | GBP - SONIA - COMPOUND | GBP | 3500000 | 12/21/2024 | Annually |  | (66960) | (66960) |
|  5.36% | GBP - SONIA - COMPOUND | GBP | 3000000 | 12/21/2024 | Annually |  | (66907) | (66907) |
|  3 Month SEK STIBOR | 3.29% | SEK | 132574000 | 12/21/2024 | Quarterly | 27280 | 22036 | (5244) |
|  3 Month SEK STIBOR | 3.45% | SEK | 30000000 | 12/21/2024 | Quarterly |  | 13483 | 13483 |
|  USD - SOFR - COMPOUND | 4.59% | USD | 3500000 | 12/21/2024 | Semi-Annually |  | 13340 | 13340 |
|  3.58% | USD - SOFR - COMPOUND | USD | 2957000 | 12/21/2024 | Semi-Annually | 994 | 45311 | 44317 |
|  4.47% | USD - SOFR - COMPOUND | USD | 5500000 | 12/21/2024 | Semi-Annually |  | (9162) | (9162) |
|  6 Month AUD BBSW | 4.14% | AUD | 1100000 | 12/21/2032 | Semi-Annually |  | (1046) | (1046) |
|  6 Month AUD BBSW | 4.19% | AUD | 1200000 | 12/21/2032 | Semi-Annually |  | 2156 | 2156 |
|  6 Month AUD BBSW | 4.21% | AUD | 1500000 | 12/21/2032 | Semi-Annually |  | 4568 | 4568 |
|  6 Month AUD BBSW | 4.25% | AUD | 4774000 | 12/21/2032 | Semi-Annually | 11178 | 24529 | 13351 |
|  6 Month AUD BBSW | 4.25% | AUD | 2258000 | 12/21/2032 | Semi-Annually | 5287 | 11602 | 6315 |
|  6 Month AUD BBSW | 4.29% | AUD | 1700000 | 12/21/2032 | Semi-Annually |  | 13009 | 13009 |
|  6 Month AUD BBSW | 4.57% | AUD | 3000000 | 12/21/2032 | Semi-Annually |  | 69497 | 69497 |
|  6 Month AUD BBSW | 4.73% | AUD | 3400000 | 12/21/2032 | Semi-Annually |  | 108864 | 108864 |
|  4.48% | 6 Month AUD BBSW | AUD | 2700000 | 12/21/2032 | Semi-Annually |  | (48311) | (48311) |
|  3.71% | 3 Month CAD CDOR | CAD | 7079000 | 12/21/2032 | Semi-Annually | (3214) | (105070) | (101856) |
|  3.66% | 3 Month CAD CDOR | CAD | 800000 | 12/21/2032 | Semi-Annually |  | (9401) | (9401) |
|  3.55% | 3 Month CAD CDOR | CAD | 2700000 | 12/21/2032 | Semi-Annually |  | (13292) | (13292) |
|  3.57% | 3 Month CAD CDOR | CAD | 1300000 | 12/21/2032 | Semi-Annually |  | (7733) | (7733) |
|  3.65% | 3 Month CAD CDOR | CAD | 2600000 | 12/21/2032 | Semi-Annually |  | (29242) | (29242) |
|  3.68% | 3 Month CAD CDOR | CAD | 1900000 | 12/21/2032 | Semi-Annually |  | (25324) | (25324) |
|  3 Month CAD CDOR | 3.41% | CAD | 1500000 | 12/21/2032 | Semi-Annually |  | (5602) | (5602) |
|  3 Month CAD CDOR | 3.57% | CAD | 1400000 | 12/21/2032 | Semi-Annually |  | 8371 | 8371 |
|  3 Month CAD CDOR | 3.59% | CAD | 600000 | 12/21/2032 | Semi-Annually |  | 4458 | 4458 |
|  3 Month CAD CDOR | 3.63% | CAD | 1400000 | 12/21/2032 | Semi-Annually |  | 13891 | 13891 |
|  3 Month CAD CDOR | 3.71% | CAD | 3966000 | 12/21/2032 | Semi-Annually | 3236 | 58868 | 55632 |
|  3 Month CAD CDOR | 3.79% | CAD | 2600000 | 12/21/2032 | Semi-Annually |  | 51547 | 51547 |
|  3 Month CAD CDOR | 3.84% | CAD | 2800000 | 12/21/2032 | Semi-Annually |  | 65580 | 65580 |
|  3 Month CAD CDOR | 3.97% | CAD | 1500000 | 12/21/2032 | Semi-Annually |  | 47433 | 47433 |
|  3 Month CAD CDOR | 4.04% | CAD | 2100000 | 12/21/2032 | Semi-Annually |  | 75215 | 75215 |
|  CHF - SARON - OIS - COMPOUND | 1.85% | CHF | 500000 | 12/21/2032 | Semi-Annually | (2335) | 9904 | 12239 |
|  CHF - SARON - OIS - COMPOUND | 1.86% | CHF | 7421000 | 12/21/2032 | Semi-Annually |  | 156146 | 156146 |
|  CHF - SARON - OIS - COMPOUND | 1.93% | CHF | 1400000 | 12/21/2032 | Semi-Annually |  | 38851 | 38851 |
|  CHF - SARON - OIS - COMPOUND | 2.05% | CHF | 4286000 | 12/21/2032 | Semi-Annually | 2620 | 169261 | 166641 |
|  CHF - SARON - OIS - COMPOUND | 2.18% | CHF | 700000 | 12/21/2032 | Semi-Annually | 2987 | 36277 | 33290 |
|  CHF - SARON - OIS - COMPOUND | 2.20% | CHF | 1700000 | 12/21/2032 | Semi-Annually | (1469) | 92296 | 93765 |
|  CHF - SARON - OIS - COMPOUND | 2.27% | CHF | 1100000 | 12/21/2032 | Semi-Annually |  | 67589 | 67589 |
|  2.01% | CHF - SARON - OIS - COMPOUND | CHF | 1400000 | 12/21/2032 | Semi-Annually |  | (49072) | (49072) |
|  2.19% | CHF - SARON - OIS - COMPOUND | CHF | 1800000 | 12/21/2032 | Semi-Annually | 3080 | (96073) | (99153) |
|  2.24% | CHF - SARON - OIS - COMPOUND | CHF | 1100000 | 12/21/2032 | Semi-Annually |  | (63791) | (63791) |
|  2.18% | CHF - SARON - OIS - COMPOUND | CHF | 900000 | 12/21/2032 | Semi-Annually | (4402) | (47255) | (42853) |
|  2.11% | CHF - SARON - OIS - COMPOUND | CHF | 800000 | 12/21/2032 | Semi-Annually |  | (35935) | (35935) |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Swap Contracts — continued** 

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional<br>Amount** | **Notional<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  1.98% | CHF - SARON - OIS - COMPOUND | CHF | 1400000 | 12/21/2032 | Semi-Annually |  | (45274) | (45274) |
|  1.85% | CHF - SARON - OIS - COMPOUND | CHF | 1300000 | 12/21/2032 | Semi-Annually | 7927 | (25558) | (33485) |
|  EUR - EuroSTR - COMPOUND | 2.21% | EUR | 894000 | 12/21/2032 | Annually | 542 | (16767) | (17309) |
|  EUR - EuroSTR - COMPOUND | 2.48% | EUR | 1100000 | 12/21/2032 | Annually |  | 7119 | 7119 |
|  EUR - EuroSTR - COMPOUND | 2.89% | EUR | 800000 | 12/21/2032 | Annually |  | 35134 | 35134 |
|  EUR - EuroSTR - COMPOUND | 2.94% | EUR | 6382000 | 12/21/2032 | Annually | 2254 | 308643 | 306389 |
|  EUR - EuroSTR - COMPOUND | 3.12% | EUR | 1100000 | 12/21/2032 | Annually |  | 71680 | 71680 |
|  2.82% | EUR - EuroSTR - COMPOUND | EUR | 1050000 | 12/21/2032 | Annually |  | (39358) | (39358) |
|  2.80% | EUR - EuroSTR - COMPOUND | EUR | 510000 | 12/21/2032 | Annually |  | (18055) | (18055) |
|  2.80% | EUR - EuroSTR - COMPOUND | EUR | 1200000 | 12/21/2032 | Annually |  | (42759) | (42759) |
|  2.41% | EUR - EuroSTR - COMPOUND | EUR | 1600000 | 12/21/2032 | Annually |  | (283) | (283) |
|  2.75% | EUR - EuroSTR - COMPOUND | EUR | 540000 | 12/21/2032 | Annually |  | (16867) | (16867) |
|  2.69% | EUR - EuroSTR - COMPOUND | EUR | 1700000 | 12/21/2032 | Annually |  | (43972) | (43972) |
|  2.70% | EUR - EuroSTR - COMPOUND | EUR | 500000 | 12/21/2032 | Annually |  | (13164) | (13164) |
|  2.55% | EUR - EuroSTR - COMPOUND | EUR | 2200000 | 12/21/2032 | Annually |  | (28087) | (28087) |
|  2.63% | EUR - EuroSTR - COMPOUND | EUR | 1200000 | 12/21/2032 | Annually |  | (23763) | (23763) |
|  GBP - SONIA - COMPOUND | 3.30% | GBP | 900000 | 12/21/2032 | Annually |  | (6332) | (6332) |
|  GBP - SONIA - COMPOUND | 3.52% | GBP | 900000 | 12/21/2032 | Annually |  | 12599 | 12599 |
|  GBP - SONIA - COMPOUND | 4.12% | GBP | 800000 | 12/21/2032 | Annually |  | 59178 | 59178 |
|  GBP - SONIA - COMPOUND | 4.33% | GBP | 1300000 | 12/21/2032 | Annually |  | 123832 | 123832 |
|  GBP - SONIA - COMPOUND | 4.65% | GBP | 700000 | 12/21/2032 | Annually |  | 88749 | 88749 |
|  3.19% | GBP - SONIA - COMPOUND | GBP | 3280000 | 12/21/2032 | Annually | 21931 | 60104 | 38173 |
|  3.96% | GBP - SONIA - COMPOUND | GBP | 1050000 | 12/21/2032 | Annually |  | (61118) | (61118) |
|  3.93% | GBP - SONIA - COMPOUND | GBP | 510000 | 12/21/2032 | Annually |  | (28393) | (28393) |
|  3.90% | GBP - SONIA - COMPOUND | GBP | 540000 | 12/21/2032 | Annually |  | (28022) | (28022) |
|  3.79% | GBP - SONIA - COMPOUND | GBP | 1200000 | 12/21/2032 | Annually |  | (49680) | (49680) |
|  3.76% | GBP - SONIA - COMPOUND | GBP | 400000 | 12/21/2032 | Annually |  | (15247) | (15247) |
|  4.28% | 3 Month NZD Bank Bill Rate | NZD | 5150000 | 12/21/2032 | Quarterly | (34196) | 29155 | 63351 |
|  4.82% | 3 Month NZD Bank Bill Rate | NZD | 2300000 | 12/21/2032 | Quarterly |  | (49297) | (49297) |
|  4.75% | 3 Month NZD Bank Bill Rate | NZD | 1700000 | 12/21/2032 | Quarterly |  | (30186) | (30186) |
|  3 Month NZD Bank Bill Rate | 4.21% | NZD | 2700000 | 12/21/2032 | Quarterly |  | (26008) | (26008) |
|  3 Month NZD Bank Bill Rate | 4.45% | NZD | 2800000 | 12/21/2032 | Quarterly |  | 7823 | 7823 |
|  3 Month NZD Bank Bill Rate | 4.52% | NZD | 2400000 | 12/21/2032 | Quarterly |  | 15348 | 15348 |
|  3 Month NZD Bank Bill Rate | 4.76% | NZD | 2060000 | 12/21/2032 | Quarterly |  | 38145 | 38145 |
|  3 Month NZD Bank Bill Rate | 4.86% | NZD | 1940000 | 12/21/2032 | Quarterly |  | 45763 | 45763 |
|  3 Month SEK STIBOR | 2.69% | SEK | 14000000 | 12/21/2032 | Quarterly |  | (3485) | (3485) |
|  3.28% | 3 Month SEK STIBOR | SEK | 13000000 | 12/21/2032 | Quarterly |  | (60122) | (60122) |
|  3.17% | 3 Month SEK STIBOR | SEK | 18000000 | 12/21/2032 | Quarterly |  | (67011) | (67011) |
|  3.16% | 3 Month SEK STIBOR | SEK | 18000000 | 12/21/2032 | Quarterly |  | (65522) | (65522) |
|  2.91% | 3 Month SEK STIBOR | SEK | 30000000 | 12/21/2032 | Quarterly |  | (46523) | (46523) |
|  2.87% | 3 Month SEK STIBOR | SEK | 28294000 | 12/21/2032 | Quarterly | (3811) | (35098) | (31287) |
|  2.98% | 3 Month SEK STIBOR | SEK | 13000000 | 12/21/2032 | Quarterly |  | (28228) | (28228) |

---

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Swap Contracts — continued** 

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional<br>Amount** | **Notional<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.08% | 3 Month SEK STIBOR | SEK | 12000000 | 12/21/2032 | Quarterly |  | (35986) | (35986) |
|  3.10% | 3 Month SEK STIBOR | SEK | 20000000 | 12/21/2032 | Quarterly |  | (63286) | (63286) |
|  3 Month SEK STIBOR | 3.19% | SEK | 21000000 | 12/21/2032 | Quarterly |  | 81655 | 81655 |
|  USD - SOFR - COMPOUND | 3.08% | USD | 2900000 | 12/21/2032 | Semi-Annually |  | (69426) | (69426) |
|  USD - SOFR - COMPOUND | 3.13% | USD | 655000 | 12/21/2032 | Semi-Annually | (880) | (13318) | (12438) |
|  USD - SOFR - COMPOUND | 3.22% | USD | 1200000 | 12/21/2032 | Semi-Annually |  | (14737) | (14737) |
|  USD - SOFR - COMPOUND | 3.48% | USD | 900000 | 12/21/2032 | Semi-Annually |  | 8083 | 8083 |
|  USD - SOFR - COMPOUND | 3.68% | USD | 2800000 | 12/21/2032 | Semi-Annually |  | 72236 | 72236 |
|  USD - SOFR - COMPOUND | 3.69% | USD | 1200000 | 12/21/2032 | Semi-Annually |  | 32821 | 32821 |
|  USD - SOFR - COMPOUND | 3.81% | USD | 2700000 | 12/21/2032 | Semi-Annually |  | 98871 | 98871 |
|  3.13% | USD - SOFR - COMPOUND | USD | 6876000 | 12/21/2032 | Semi-Annually | 3662 | 136409 | 132747 |
|  3.79% | USD - SOFR - COMPOUND | USD | 900000 | 12/21/2032 | Semi-Annually |  | (31560) | (31560) |
|  3.70% | USD - SOFR - COMPOUND | USD | 1200000 | 12/21/2032 | Semi-Annually |  | (33273) | (33273) |
|  3.72% | USD - SOFR - COMPOUND | USD | 1000000 | 12/21/2032 | Semi-Annually |  | (29867) | (29867) |
|  3.91% | USD - SOFR - COMPOUND | USD | 900000 | 12/21/2032 | Semi-Annually |  | (41223) | (41223) |
|  3.44% | USD - SOFR - COMPOUND | USD | 1200000 | 12/21/2032 | Semi-Annually |  | (7355) | (7355) |
|  |  |  |  |  |  | $(3870) | $371043 | $374913 |

---

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

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

(b) The rate disclosed is the 7 day net yield as of November 30, 2022.

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

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

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

CDOR - Canadian Dollar Offering Rate

EuroSTR - Euro Short-Term Rate

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

OIS - Overnight Indexed Swaps

SARON - Swiss Average Rate Overnight

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

TBA - To Be Announced - Delayed Delivery Security

USBM - U.S. Treasury 3 Month Bill Money Market Yield

------

**GMO Multi-Sector Fixed Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

**Currency Abbreviations:** 

AUD - Australian Dollar

BRL - Brazil Real

CAD - Canada Dollar

CHF - Switzerland Franc

CLP - Chile Peso

COP - Colombia Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - United Kingdom Pound

HUF - Hungary Forint

IDR - Indonesia Rupiah

ILS - Israel Shekel

INR - Indian Rupee

JPY - Japan Yen

KRW - Korean Won

MXN - Mexico Peso

NOK - Norway Krone

NZD - New Zealand Dollar

PEN - Peru Nuevo Sol

PHP - Philippines Peso

PLN - Poland Zloty

RON - Romania New Leu

SEK - Sweden Krona

SGD - Singapore Dollar

THB - Thailand Baht

TWD - Taiwan New Dollar

USD - United States Dollar

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 90.6%** | **DEBT OBLIGATIONS — 90.6%** |
| | **Asset-Backed Securities — 84.1%** | **Asset-Backed Securities — 84.1%** |
| | **CMBS Collateralized Debt Obligations — 0.2%** | **CMBS Collateralized Debt Obligations — 0.2%** |
| 8586000 | ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 1588410 |
| 559375 | GS Mortgage Securities Corp., Series 06-CC1, Class A, 144A, Variable Rate, 5.33%, due 03/21/46 | 433532 |
|  | Total CMBS Collateralized Debt Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2021942 |
|  | **Collateralized Loan Obligations — 19.5%** | **Collateralized Loan Obligations — 19.5%** |
| 4000000 | AMMC CLO 24 Ltd., Series 21-24A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.19%, 5.43%, due 01/20/35 | 3855936 |
| 10000000 | Ballyrock CLO 15 Ltd., Series 21-1A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.14%, due 04/15/34 | 9654300 |
| 6093000 | Crestline Denali CLO XVI Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.12%, 5.36%, due 01/20/30 | 5987658 |
| 4075000 | Crown City CLO III, Series 21-1A, Class A1A, 144A, Variable Rate, 3 mo. LIBOR + 1.17%, 5.41%, due 07/20/34 | 3929523 |
| 4550000 | Fort Washington CLO Ltd., Series 21-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 5.46%, due 10/20/34 | 4404223 |
| 6825193 | Gallatin CLO IX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.05%, 5.33%, due 01/21/28 | 6764933 |
| 694737 | Halcyon Loan Advisors Funding Ltd., Series 14-2A, Class C, 144A, Variable Rate, 3 mo. LIBOR + 3.50%, 7.87%, due 04/28/25 | 675065 |
| 5718682 | JFIN CLO Ltd., Series 15-2A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.20%, 7.28%, due 10/17/26 | 5381245 |
| 4320000 | JFIN CLO Ltd., Series 12-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 2.35%, 5.06%, due 07/20/28 | 4176779 |
| 3000000 | JFIN CLO Ltd., Series 16-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.40%, 7.76%, due 10/27/28 | 2787951 |
| 1308870 | JMP Credit Advisors CLO IV Ltd., Series 17-1A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.28%, 5.36%, due 07/17/29 | 1292818 |
| 6161000 | Man GLG US CLO, Series 18-1A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.14%, 5.38%, due 04/22/30 | 6016740 |
| 4000000 | Mountain View CLO Ltd., 144A, Variable Rate, 3 mo. LIBOR + 1.67%, 5.59%, due 10/12/30 | 3801548 |
| 10000000 | Neuberger Berman CLO XVI-S Ltd., Series 17-16SA, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.04%, 5.12%, due 04/15/34 | 9676860 |
| 6086000 | Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.38%, due 04/22/31 | 5928604 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Collateralized Loan Obligations — continued** | **Collateralized Loan Obligations — continued** |
| 5000000 | Oak Hill Credit Partners X-R Ltd., Series 14-10RA, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.04%, 5.28%, due 04/20/34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4853745 |
| 7000000 | OFSI BSL VIII Ltd., Series 17-1A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 5.58%, due 08/16/29 | 6761741 |
| 1083456 | OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26 | 45215 |
| 8516793 | OZLM VII Ltd., Series 14-7RA, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.01%, 5.09%, due 07/17/29 | 8393691 |
| 1941580 | Saranac CLO III Ltd., Series 14-3A, Class ALR, 144A, Variable Rate, 3 mo. LIBOR + 1.60%, 5.20%, due 06/22/30 | 1916485 |
| 1262000 | Signal Peak CLO 2 LLC, Series 15-1A, Class BR2, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 5.74%, due 04/20/29 | 1236476 |
| 3417000 | SOUND POINT CLO XIX Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 5.08%, due 04/15/31 | 3333000 |
| 1439500 | Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.15%, 5.34%, due 04/18/31 | 1405541 |
| 8688000 | Steele Creek CLO Ltd., 144A, Variable Rate, 3 mo. LIBOR + 1.00%, 4.41%, due 06/15/31 | 8479957 |
| 2000000 | Telos CLO Ltd., Series 13-3A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.60%, 6.68%, due 07/17/26 | 1974570 |
| 7737500 | Telos CLO Ltd., Series 14-5A, Class BR, 144A, Variable Rate, 3 mo. LIBOR + 1.48%, 5.56%, due 04/17/28 | 7661007 |
| 4335500 | Telos CLO Ltd., Series 14-5A, Class CR, 144A, Variable Rate, 3 mo. LIBOR + 2.15%, 6.23%, due 04/17/28 | 4167369 |
| 7000000 | THL Credit Wind River CLO Ltd., Series 17-1A, Class ARR, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.25%, due 04/18/36 | 6723528 |
| 4993200 | Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. LIBOR + 1.10%, 5.29%, due 07/18/31 | 4910847 |
| 5431200 | Venture 34 CLO Ltd., Series 18-34A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.23%, 5.31%, due 10/15/31 | 5283618 |
| 3198416 | Venture XVIII CLO Ltd., Series 14-18A, Class AR, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 5.30%, due 10/15/29 | 3149755 |
| 9000000 | Venture XXIV CLO Ltd., Series 16-24A, Class BRR, 144A, Variable Rate, 3 mo. LIBOR + 1.50%, 5.74%, due 10/20/28 | 8672031 |
| 10972427 | Wellfleet CLO Ltd., Series 17-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.06%, 5.30%, due 10/20/29 | 10818220 |
| 1360000 | Whitebox CLO II Ltd., Series 20-2A, Class A1R, 144A, Variable Rate, 3 mo. LIBOR + 1.22%, 5.54%, due 10/24/34 | 1309544 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Collateralized Loan Obligations — continued** | **Collateralized Loan Obligations — continued** |
| 1703898 | WhiteHorse VIII Ltd., Series 14-1A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.45%, 7.89%, due 05/01/26 | 1680347 |
| 4042250 | WhiteHorse X Ltd., Series 15-10A, Class DR, 144A, Variable Rate, 3 mo. LIBOR + 3.00%, 7.08%, due 04/17/27 | 3927620 |
| 4453900 | Whitehorse XII Ltd., Series 18-12A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.25%, 5.33%, due 10/15/31 | 4348735 |
| 4535446 | Zais CLO 7 Ltd., Series 17-2A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 1.29%, 5.37%, due 04/15/30 | 4455491 |
| 842990 | Zais CLO 8 Ltd., Series 18-1A, Class A, 144A, Variable Rate, 3 mo. LIBOR + 0.95%, 5.03%, due 04/15/29 | 831443 |
| 3474000 | Zais CLO 8 Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. LIBOR + 1.45%, 5.53%, due 04/15/29 | 3364705 |
|  | Total Collateralized Loan Obligations | 184038864 |
|  | **Commercial Mortgage-Backed Securities — 23.4%** | **Commercial Mortgage-Backed Securities — 23.4%** |
| 10000000 | BAMLL Commercial Mortgage Securities Trust, Series 19-BPR, Class ANM, 144A, 3.11%, due 11/05/32 | 9253172 |
| 11857600 | Barclays Commercial Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.72%, 4.60%, due 03/15/37 | 11074799 |
| 8448000 | Barclays Commercial Mortgage Trust, Series 18-CHRS, Class E, 144A, Variable Rate, 4.41%, due 08/05/38 | 5889500 |
| 9180000 | BBCMS Mortgage Trust, Series 18-C2, Class A5, 4.31%, due 12/15/51 | 8747882 |
| 6283693 | Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.42%, 4.46%, due 07/25/36 | 5436587 |
| 6240722 | Benchmark Mortgage Trust, Series 19-B11, Class A5, 3.54%, due 05/15/52 | 5692444 |
| 7000000 | Benchmark Mortgage Trust, Series 19-B12, Class A5, 3.12%, due 08/15/52 | 6207904 |
| 1000000 | Benchmark Mortgage Trust, Series 18-B7, Class A4, Variable Rate, 4.51%, due 05/15/53 | 965859 |
| 19000000 | Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72 | 16541033 |
| 6550000 | BX Commercial Mortgage Trust, Series 21-VINO, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.65%, 4.53%, due 05/15/38 | 6270766 |
| 6400000 | BX Commercial Mortgage Trust, Series 21-ACNT, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.85%, 4.73%, due 11/15/38 | 6137016 |
| 8000000 | BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44 | 6432088 |
| 8000000 | BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.67%, due 03/11/44 | 5881440 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| 8000000 | BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6739914 |
| 4895000 | BX Trust, Series 19-OC11, Class C, 144A, 3.86%, due 12/09/41 | 4020266 |
| 9000000 | BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 4.08%, due 12/09/41 | 6975366 |
| 6800000 | Citigroup Commercial Mortgage Trust, Series 19-C7, Class A4, 3.10%, due 12/15/72 | 5936054 |
| 3031837 | Commercial Mortgage Trust, Series 15-PC1, Class B, Variable Rate, 4.43%, due 07/10/50 | 2798733 |
| 8038852 | Commercial Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51 | 7602945 |
| 103486 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFL, Variable Rate, 1 mo. LIBOR + 0.25%, 4.16%, due 04/15/37 | 103620 |
| 81761 | Credit Suisse First Boston Mortgage Securities Corp., Series 05-C2, Class AMFX, 4.88%, due 04/15/37 | 81624 |
| 5570000 | ELP Commercial Mortgage Trust, Series 21-ELP, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.70%, 4.58%, due 11/15/38 | 5313493 |
| 4698295 | FREMF Mortgage Trust, Series 16-KF13, Class B, 144A, Variable Rate, 1 mo. LIBOR + 7.50%, 11.30%, due 11/25/25 | 4654095 |
| 2000000 | Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40 | 1541873 |
| 7000000 | GS Mortgage Securities Corp. Trust, Series 22-SHIP, Class A, 144A, Variable Rate, SOFR + 0.73%, 4.53%, due 08/15/36 | 6858326 |
| 10000000 | GS Mortgage Securities Trust, Series 21-GSA3, Class A5, 2.62%, due 12/15/54 | 7963399 |
| 5500000 | ILPT Commercial Mortgage Trust, Series 22-LPFX, Class A, 144A, 3.38%, due 03/15/32 | 4595403 |
| 101857 | LB Commercial Conduit Mortgage Trust, Series 98-C1, Class K, 144A, 6.30%, due 02/18/30 | 101154 |
| 237365 | Merrill Lynch Mortgage Investors Trust, Series 98-C1, Class F, Variable Rate, 6.25%, due 11/15/26 | 237473 |
| 4108246 | MHC Commercial Mortgage Trust, Series 21-MHC, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.80%, 4.68%, due 04/15/38 | 3964155 |
| 10000000 | MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40 | 7936943 |
| 1982000 | Morgan Stanley Capital I Trust, Series 19-H6, Class A4, 3.42%, due 06/15/52 | 1762864 |
| 5000000 | Taubman Centers Commercial Mortgage Trust, Series 22-DPM, Class A, 144A, Variable Rate, SOFR + 2.19%, 5.98%, due 05/15/37 | 4899999 |
| 5268100 | UBS Commercial Mortgage Trust, Series 18-C9, Class A4, Variable Rate, 4.12%, due 03/15/51 | 4943336 |
| 7933000 | UBS Commercial Mortgage Trust, Series 18-C12, Class A5, 4.30%, due 08/15/51 | 7499247 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| 1870013 | Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52 | 1716060 |
| 4550000 | WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 2.92%, due 11/23/43 | 4440355 |
| 2312354 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class G, 144A, Variable Rate, 3.33%, due 03/23/45 | 2297706 |
| 3572960 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 3.33%, due 03/23/45 | 3343535 |
| 4317000 | Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class D, 144A, Variable Rate, 3.67%, due 04/16/35 | 4180694 |
| 8733000 | Wells Fargo Commercial Mortgage Trust, Series 13-BTC, Class F, 144A, Variable Rate, 3.67%, due 04/16/35 | 8345229 |
| 2704000 | Wells Fargo Commercial Mortgage Trust, Series 19-C50, Class C, 4.35%, due 05/15/52 | 2228655 |
| 2030000 | Wells Fargo Commercial Mortgage Trust, Series 19-C51, Class A4, 3.31%, due 06/15/52 | 1805563 |
| 1395022 | Wells Fargo Commercial Mortgage Trust, Series 18-C47, Class A4, 4.44%, due 09/15/61 | 1336497 |
|  | Total Commercial Mortgage-Backed Securities | 220755066 |
|  | **Residential Mortgage-Backed Securities — Other — 7.2%** | **Residential Mortgage-Backed Securities — Other — 7.2%** |
| 805555 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. LIBOR + 0.28%, 4.32%, due 02/25/36 | 112642 |
| 17663707 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. LIBOR + 0.36%, 4.40%, due 02/25/36 | 424307 |
| 6000000 | AMSR Trust, Series 20-SFR5, Class A, 144A, 1.38%, due 11/17/37 | 5322401 |
| 13743281 | BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25 | 3829819 |
| 4753124 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 4387343 |
| 8834023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/29 | 1285082 |
| 2928137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 450775 |
| 164762 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. LIBOR + 0.32%, 4.36%, due 02/25/37 | 184629 |
| 2919205 | Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29 | 2712447 |
| 2182280 | Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30 | 2034796 |
| 5454750 | Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33 | 4821957 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Other — continued** | **Residential Mortgage-Backed Securities —<br>Other — continued** |
| 1036525 | Corevest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53 | 895902 |
| 8487631 | FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7367130 |
| 666263 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. LIBOR + 0.50%, 4.54%, due 10/25/34 | 628323 |
| 2430981 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 5.16%, due 09/25/37 | 2122737 |
| 4332782 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.59%, due 09/25/35 | 239598 |
| 28552098 | Home Equity Mortgage Loan Asset-Backed Trust, Series 06-A, Class A, Variable Rate, 1 mo. LIBOR + 0.26%, 4.30%, due 06/25/36 | 604671 |
| 8893397 | Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36 | 3259080 |
| 9334288 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37 | 1816927 |
| 3667638 | Master Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. LIBOR + 0.32%, 4.36%, due 03/25/36 | 307404 |
| 222388 | Mellon Re-REMIC Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.25% ,4.28%, due 02/26/34 | 195348 |
| 1253907 | New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. LIBOR + 0.98%, 5.02%, due 10/25/33 | 1182334 |
| 13646469 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. LIBOR + 0.20%, 4.24%, due 03/25/36 | 415311 |
| 7784226 | New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. LIBOR + 0.34%, 4.38%, due 03/25/36 | 236751 |
| 20753602 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. LIBOR + 0.40%, 4.44%, due 03/25/36 | 631032 |
| 64155 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. LIBOR + 0.90%, 4.94%, due 08/25/35 | 351406 |
| 972670 | Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28 | 915604 |
| 1136572 | Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29 | 1083203 |
| 3566111 | Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30 | 2303588 |
| 11780230 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 3161920 |
| 920421 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 527006 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Other — continued** | **Residential Mortgage-Backed Securities —<br>Other — continued** |
| 506266 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31 | 476732 |
| 1350000 | Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40 | 1097648 |
| 4605424 | Tricon American Homes Trust, Series 19-SFR1, Class A, 144A, 2.75%, due 03/17/38 | 4202734 |
| 3479463 | Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39 | 2886584 |
| 5791685 | Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 3.80%, due 04/25/67 | 5218097 |
|  | Total Residential Mortgage-Backed Securities — Other | &nbsp;&nbsp;&nbsp;&nbsp;67693268 |
|  | **Residential Mortgage-Backed Securities —<br>Performing Loans — 1.4%** | **Residential Mortgage-Backed Securities —<br>Performing Loans — 1.4%** |
| 2941687 | Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65 | 2555508 |
| 7095257 | CSMC Mortgage-Backed Trust, Series 22-NQM1, Class A1, 144A, Variable Rate, 2.27%, due 11/25/66 | 5923647 |
| 5742916 | Verus Securitization Trust, Series 21-8, Class A, 144A, Variable Rate, 1.82%, due 11/25/66 | 4814253 |
|  | Total Residential Mortgage-Backed Securities — Performing Loans | 13293408 |
|  | **Residential Mortgage-Backed Securities —<br>Prime — 3.5%** | **Residential Mortgage-Backed Securities —<br>Prime — 3.5%** |
| 7327464 | American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. LIBOR + 0.21%, 4.23%, due 10/25/46 | 3891436 |
| 514761 | Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, U.S. Treasury Yield 1 Year CMT + 2.30%, 5.23%, due 10/25/35 | 472202 |
| 3967994 | CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37 | 2308512 |
| 1337790 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.51%, due 12/25/36 | 1123085 |
| 913303 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.01%, due 03/25/37 | 743829 |
| 7666287 | IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. LIBOR + 0.44%, 4.48%, due 04/25/46 | 6217654 |
| 1627406 | Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36 | 816689 |
| 57533 | RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 4.17%, due 09/25/35 | 54474 |
| 4675631 | Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 12 MTA + 1.40%, 3.09%, due 05/25/35 | 3547881 |
| 796867 | WaMu Mortgage Pass-Through Certificates, Series 05-AR10, Class 1A3, Variable Rate, 3.83%, due 09/25/35 | 697457 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Prime — continued** | **Residential Mortgage-Backed Securities —<br>Prime — continued** |
| 915656 | WaMu Mortgage Pass-Through Certificates, Series 06-AR19, Class 2A, Variable Rate, 12 MTA + 1.25%, 2.94%, due 01/25/47 | 812835 |
| 2216913 | Washington Mutual Mortgage Pass-Through Certificates, Series 05-4, Class CB3, Variable Rate, 1 mo. LIBOR + 0.45%, 4.49%, due 06/25/35 | 1929648 |
| 2293439 | Washington Mutual Mortgage Pass-Through Certificates, Series 05-10, Class 4CB3, Variable Rate, 1 mo. LIBOR + 0.60%, 4.64%, due 12/25/35 | 1993608 |
| 9037404 | Washington Mutual Mortgage Pass-Through Certificates, Series 07-5, Class A6, 6.00%, due 06/25/37 | 8708389 |
|  | Total Residential Mortgage-Backed Securities — Prime | &nbsp;&nbsp;&nbsp;&nbsp;33317699 |
|  | **Residential Mortgage-Backed Securities —<br>Subprime — 1.9%** | **Residential Mortgage-Backed Securities —<br>Subprime — 1.9%** |
| 1238678 | Asset Backed Funding Certificates Trust, Series 05-AQ1, Class A5, Step Up, 4.36%, due 06/25/35 | 1161469 |
| 1319324 | BCAP LLC, Series 14-RR2, Class 11A3, 144A, Variable Rate, 3.48%, due 05/26/37 | 1265105 |
| 9697144 | Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.60%, 4.62%, due 07/25/36 | 8069750 |
| 597754 | Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. LIBOR + 0.14%, 4.18%, due 12/25/36 | 563341 |
| 1043206 | CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 3.87%, due 11/20/34 | 952219 |
| 2794767 | First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. LIBOR + 0.11%, 4.15%, due 09/25/36 | 2456467 |
| 877307 | Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.50%, 4.54%, due 08/25/37 | 775650 |
| 3264549 | Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. LIBOR + 0.80%, 5.24%, due 01/25/35 | 2897954 |
|  | Total Residential Mortgage-Backed Securities — Subprime | 18141955 |
|  | **Residential Mortgage-Backed Securities —<br>Alt-A — 2.7%** | **Residential Mortgage-Backed Securities —<br>Alt-A — 2.7%** |
| 346515 | Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34 | 328919 |
| 2554560 | Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35 | 2349147 |
| 1614834 | Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.70%, 4.74%, due 05/25/36 | 704146 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Residential Mortgage-Backed Securities —<br>Alt-A — continued** | **Residential Mortgage-Backed Securities —<br>Alt-A — continued** |
| 1624748 | Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. LIBOR + 0.70%, 4.74%, due 10/25/36 | 677404 |
| 1324311 | Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. LIBOR + 0.90%, 4.94%, due 11/25/34 | 1284800 |
| 2182929 | Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. LIBOR + 0.32%, 4.36%, due 01/25/47 | 1698654 |
| 1976759 | Bear Stearns Asset Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34 | 1802238 |
| 3896777 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 3.57%, due 07/25/36 | 2237820 |
| 11166103 | GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. LIBOR + 0.32%, 4.36%, due 06/25/36 | 2494868 |
| 9557759 | GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 2.71%, due 06/25/47 | 5964800 |
| 6976363 | HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. LIBOR + 0.22%, 4.16%, due 07/19/47 | 6094867 |
| 183525 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.93%, due 02/26/37 | 179171 |
|  | Total Residential Mortgage-Backed Securities — Alt-A | 25816834 |
|  | **Small Balance Commercial Mortgages — 6.3%** | **Small Balance Commercial Mortgages — 6.3%** |
| 2999213 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.47%, 4.51%, due 08/25/35 | 2738483 |
| 1637813 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.59%, 4.63%, due 01/25/36 | 1485343 |
| 1881237 | Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.54%, 4.58%, due 04/25/36 | 1672595 |
| 829451 | Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.57%, 4.61%, due 04/25/36 | 730820 |
| 1188935 | Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.35%, 4.39%, due 07/25/36 | 1079399 |
| 2431981 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 4.46%, due 07/25/36 | 2214301 |
| 2882711 | Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.38%, 4.42%, due 10/25/36 | 2674449 |
| 9074334 | Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. LIBOR + 0.42%, 4.46%, due 01/25/37 | 8157678 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Small Balance Commercial Mortgages — continued** | **Small Balance Commercial Mortgages — continued** |
| 1838783 | Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.22%, 4.37%, due 03/25/37 | 1652351 |
| 2637428 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.24%, 4.28%, due 07/25/37 | 2306370 |
| 5581602 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. LIBOR + 0.27%, 4.31%, due 07/25/37 | 4873405 |
| 1864556 | Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. LIBOR + 1.50%, 5.54%, due 01/25/38 | 1783653 |
| 88502631 | FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 1.29%, due 05/25/30 | 3860520 |
| 20491593 | FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 1.24%, due 03/25/40 | 798371 |
| 70512249 | FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.99%, due 06/25/40 | 2600471 |
| 1877932 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 06-1A, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.00%, 5.04%, due 04/25/31 | 1849077 |
| 3804002 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-2A, Class M1, 144A, Variable Rate, 1 mo. LIBOR + 0.40%, 4.44%, due 06/25/37 | 3646736 |
| 6150929 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.43%, due 10/25/37 | 5818088 |
| 6704725 | Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51 | 5673523 |
| 1800911 | Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51 | 1450014 |
| 2703290 | WaMu Commercial Mortgage Securities Trust, Series 07-SL2, Class E, 144A, Variable Rate, 3.04%, due 12/27/49 | 2620311 |
|  | Total Small Balance Commercial Mortgages | 59685958 |
|  | **Student Loans — Federal Family Education Loan<br>Program — 5.1%** | **Student Loans — Federal Family Education Loan<br>Program — 5.1%** |
| 5394773 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 3 mo. LIBOR + 0.70%, 5.06%, due 01/25/43 | 4900689 |
| 2924427 | Collegiate Funding Services Education Loan Trust, Series 05-B, Class B, Variable Rate, 3 mo. LIBOR + 0.32%, 3.96%, due 03/28/35 | 2406870 |
| 7698646 | SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 3 mo. LIBOR + 0.90%, 4.19%, due 06/15/21 | 7435416 |
| 16906755 | SLM Student Loan Trust, Series 08-9, Class A, Variable Rate, 3 mo. LIBOR + 1.50%, 5.86%, due 04/25/23 | 16701100 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Student Loans — Federal Family Education Loan<br>Program — continued** | **Student Loans — Federal Family Education Loan<br>Program — continued** |
| 7175460 | SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 3 mo. LIBOR + 1.70%, 6.06%, due 07/25/23 | 7075330 |
| 9175055 | SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 3 mo. LIBOR + 1.65%, 6.01%, due 07/25/25 | 9127876 |
|  | Total Student Loans - Federal Family Education Loan Program | 47647281 |
|  | **Student Loans — Private — 12.9%** |  |
| 1790880 | Access Group, Inc., Series 05-A, Class B, Variable Rate, 3 mo. LIBOR + 0.80%, 5.16%, due 07/25/34 | 1723147 |
| 6256706 | KeyCorp Student Loan Trust, Series 06-A, Class 2C, Variable Rate, 3 mo. LIBOR + 1.30%, 4.93%, due 12/27/38 | 5830650 |
| 3665247 | KeyCorp Student Loan Trust, Series 06-A, Class 2B, Variable Rate, 3 mo. LIBOR + 0.48%, 4.11%, due 12/27/41 | 3634960 |
| 498133 | KeyCorp Student Loan Trust, Series 04-A, Class 2C, Variable Rate, 3 mo. LIBOR + 0.80%, 5.16%, due 04/28/42 | 497108 |
| 5622500 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. LIBOR + 1.25%, 5.61%, due 07/28/42 | 5160138 |
| 8775000 | National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 3.60%, due 03/31/38 <sup>(a)</sup> | 2347313 |
| 7625000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28-DayAuct + 0.00%, 2.54%, due 03/25/38 <sup>(a)</sup> | 1982500 |
| 3275000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R6, Variable Rate, 28-DayAuct + 0.00%, 5.28%, due 03/25/38 <sup>(a)</sup> | 851500 |
| 4335351 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 4.35%, due 05/25/32 | 4043533 |
| 3199578 | National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. LIBOR + 0.29%, 4.31%, due 01/25/33 | 2993763 |
| 10529205 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. LIBOR + 0.35%, 4.37%, due 03/25/33 | 9825979 |
| 4343101 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. LIBOR + 0.37%, 4.39%, due 06/25/33 | 4057166 |
| 15126381 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. LIBOR + 0.31%, 4.32%, due 10/25/33 | &nbsp;&nbsp;&nbsp;&nbsp;14152005 |
| 4759575 | National Collegiate Student Loan Trust, Series 04-2, Class B, Variable Rate, 1 mo. LIBOR + 0.54%, 4.56%, due 12/26/33 | 4528513 |
| 75000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 7.54%, due 03/25/38 <sup>(b)</sup> | 57000 |

---

---

| | | |
|:---|:---|:---|
| **<br>Par Value†** | **Description** | **Value ($)** |
|  | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| | **Student Loans — Private — continued** | |
| 25000 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 7.62%, due 03/25/38 <sup>(b)</sup> | 19000 |
| 4006736 | Navient Student Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70 | 3485011 |
| 3382587 | Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62 | 2979787 |
| 3729000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 7.34%, due 06/15/32 <sup>(a)</sup> | 3635775 |
| 5400350 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. LIBOR + 1.60%, 4.89%, due 09/15/32 | 1727852 |
| 1850000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 7.36%, due 09/15/32 <sup>(a)</sup> | 1803750 |
| 3863204 | SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. LIBOR + 0.40%, 3.69%, due 06/15/33 | 3764998 |
| 9080000 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.43%, 3.72%, due 09/15/33 | 8718455 |
| 6407828 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. LIBOR + 0.29%, 3.58%, due 06/15/39 | 6015054 |
| 11212977 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. LIBOR + 0.33%, 3.62%, due 06/15/39 | 10547714 |
| 9074002 | SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. LIBOR + 0.27%, 3.56%, due 12/15/39 | 8550301 |
| 2672291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. LIBOR + 0.39%, 3.68%, due 12/15/39 | 2378726 |
| 6989400 | Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. LIBOR + 1.05%, 5.07%, due 01/25/46 | 6653234 |
|  | Total Student Loans - Private | 121964932 |
|  | Total Asset-Backed Securities | 794377207 |
|  | **Corporate Debt — 0.4%** |  |
|  | **Airlines — 0.4%** |  |
| 2568125 | American Airlines Class AA Pass-Through Certificates, 3.65%, due 02/15/29 | 2305153 |
| 1406997 | American Airlines Class AA Pass-Through Certificates, 3.35%, due 04/15/31 | 1237614 |
|  | Total Airlines | 3542767 |
|  | Total Corporate Debt | 3542767 |
|  | **U.S. Government — 5.5%** |  |
| 1000000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 10/31/23 <sup>(c)</sup> | 1000752 |
| 3700000 | U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24 | 3693507 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| <br> **Par Value†** | **Description** | **Value ($)** |
|  | **Corporate Debt — continued** |  |
| | **U.S. Government — continued** | |
| 47000000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 <sup>(c)</sup> | 46940085 |
|  | Total U.S. Government | 51634344 |
|  | **U.S. Government Agency — 0.6%** |  |
| 705000 | Agency for International Development Floater (Support of Tunisia), Variable Rate, 6 mo. LIBOR - 0.02%, 5.22%, due 07/01/23 <sup>(a)</sup> | 703076 |
| 2468750 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR - 0.02%, 5.20%, due 02/01/25 <sup>(a)</sup> | 2444062 |
| 3000000 | Agency for International Development Floater (Support of Morocco), Variable Rate, 6 mo. LIBOR + 0.15%, 5.31%, due 10/29/26 <sup>(a)</sup> | 2959141 |
|  | Total U.S. Government Agency | 6106279 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $962,366,188) | 855660597 |

---

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
|  | **MUTUAL FUNDS — 1.2%** |  |
| | **United States — 1.2%** | |
| | **Affiliated Issuers — 1.2%** | |
| 2183242 | GMO U.S. Treasury Fund | 10872546 |
|  | TOTAL MUTUAL FUNDS<br>(COST $11,003,541) | 10872546 |
|  | **SHORT-TERM INVESTMENTS — 2.8%** | **SHORT-TERM INVESTMENTS — 2.8%** |
|  | **U.S. Government Agency — 0.5%** |  |
| 5000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 12/02/22 | 4999999 |
|  | **Repurchase Agreements — 2.3%** |  |
| 21999790 | Nomura Securities International, Inc. Repurchase Agreement, dated, 11/30/22 maturing on 12/01/22 with a maturity value of $22,002,113 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $22,448,752. | 21999790 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $26,999,790) | 26999789 |

---

**PURCHASED OPTIONS — 0.0%** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Rate** | **Expiration<br>Date** | **Principal/<br>Notional<br>Amount** | **Floating<br>Rate Index** | **Pay/Receive<br>Floating Rate** | **Value ($)** |
| **Options on Credit Default Swaps — Puts — 0.0%** | **Options on Credit Default Swaps — Puts — 0.0%** | **Options on Credit Default Swaps — Puts — 0.0%** | **Options on Credit Default Swaps — Puts — 0.0%** |  |  |  |
|  CDX.NA.IG.S39<br> DB | 85.00% | 12/21/22 | USD 74,835,000 | Fixed Spread | Pay | 38766 |

---

---

| | |
|:---|:---|
| TOTAL PURCHASED OPTIONS (COST $179,604) | 38766 |
| **TOTAL INVESTMENTS — 94.6%**<br> (Cost $1,000,549,123) | **893571698** |
| Other Assets and Liabilities (net) — 5.4% | 50708716 |
| **TOTAL NET ASSETS — 100.0%** | $**944280414** |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation) ($)** |
| 01/18/2023 | MSCI | EUR | 4706200 | USD | 4925325 | $9086 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount**<br>**($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)**<br>**($)** |
| Buys |  |  |  |  |
| 950 | U.S. Treasury Note 2 Yr. (CBT) | March 2023 | 195091407 | 608458 |
| 512 | U.S. Treasury Note 5 Yr. (CBT) | March 2023 | 55588001 | 328150 |
| 73 | U.S. Treasury Ultra 10 Yr. (CBT) | March 2023 | 8734906 | 49949 |
|  |  |  | $259414314 | $986557 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount**<br>**($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)**<br>**($)** |
| Sales |  |  |  |  |
| 157 | U.S. Treasury Note 10 Yr. (CBT) | March<br>2023 | $17819500 | $16685 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

**Written Options** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise<br>Rate** | **Expiration<br>Date** | **Principal/<br>Notional<br>Amount** | **Principal/<br>Notional<br>Amount** | **Floating<br>Rate Index** | **Pay/Receive<br>Floating Rate** | **Value**<br>**($)** |
|  **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** | **Written Options on Credit Default Swaps — Puts** |
|  CDX.NA.IG.S39 | DB | 105.00% | 12/21/22 | USD | (54225000) | Fixed Spread | Pay | (5040) |
|  CDX.NA.IG.S39 | BCLY | 105.00% | 12/21/22 | USD | (70500000) | Fixed Spread | Pay | (6553) |
|  CDX.NA.IG.S39 | DB | 100.00% | 01/18/23 | USD | (74835000) | Fixed Spread | Pay | (39924) |
|  |  |  | Total Written Options On Credit Default Swaps — Puts | Total Written Options On Credit Default Swaps — Puts | Total Written Options On Credit Default Swaps — Puts | Total Written Options On Credit Default Swaps — Puts | Total Written Options On Credit Default Swaps — Puts | (51517) |
|  |  |  | **TOTAL WRITTEN OPTIONS**<br> (Premiums $400,325) | **TOTAL WRITTEN OPTIONS**<br> (Premiums $400,325) | **TOTAL WRITTEN OPTIONS**<br> (Premiums $400,325) | **TOTAL WRITTEN OPTIONS**<br> (Premiums $400,325) | **TOTAL WRITTEN OPTIONS**<br> (Premiums $400,325) | $(51517) |

---

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional Amount** | **Notional Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net**<br>**Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** |
|  CDX.NA.HY.S37.V2 | USD | 13355100 | 5.00% | 3.81% | N/A | 12/20/2026 | Quarterly | (741208) | (537756) | 203452 |
|  ITRAXX.XO.36.V1 | EUR | 16780000 | 5.00% | 3.99% | N/A | 12/20/2026 | Quarterly | (597455) | (601733) | (4278) |
|  CDX.NA.IG.S39 | USD | 124725000 | 1.00% | 0.76% | N/A | 12/20/2027 | Quarterly | (471153) | (1361997) | (890844) |
|  |  |  |  |  |  |  |  | $(1809816) | $(2501486) | $(691670) |

---

**OTC Credit Default Swaps** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-<br>party** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net**<br>**Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** |
|  CDX.NA.HYS.29 | JPM | USD | 870000 | 5.00% | 0.07% | N/A | 12/20/2022 | Quarterly | (51765) | (2346) | 49419 |
|  CDX.NA.HYS.29 | JPM | USD | 6425250 | 5.00% | 0.07% | N/A | 12/20/2022 | Quarterly | (282711) | (17325) | 265386 |
|  CDX.NA.HYS.29 | MORD | USD | 3450800 | 5.00% | 0.07% | N/A | 12/20/2022 | Quarterly | (188414) | (9305) | 179109 |
|  Navient Corp. | BCLY | USD | 2082800 | 5.00% | 1.35% | N/A | 12/20/2022 | Quarterly | (160628) | (4173) | 156455 |
|  Navient Corp. | BCLY | USD | 3435200 | 5.00% | 1.35% | N/A | 12/20/2022 | Quarterly | (264646) | (6883) | 257763 |
|  Navient Corp. | GS | USD | 2700000 | 5.00% | 1.35% | N/A | 12/20/2022 | Quarterly | (277471) | (5410) | 272061 |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Swap Contracts — continued** 

**OTC Credit Default Swaps — continued** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counter-<br>party** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Navient Corp. | GS | USD | 4050000 | 5.00% | 1.35% | N/A | 12/20/2022 | Quarterly | (421122) | (8114) | 413008 |
|  CDX.NA.HYS.31 | CITI | USD | 3941000 | 5.00% | 1.56% | N/A | 12/20/2023 | Quarterly | (15370) | (139911) | (124541) |
|  CDX.NA.HYS.31 | CITI | USD | 4025000 | 5.00% | 1.56% | N/A | 12/20/2023 | Quarterly | 41458 | (142893) | (184351) |
|  CDX.NA.HYS.31 | CITI | USD | 7055000 | 5.00% | 1.56% | N/A | 12/20/2023 | Quarterly | 44878 | (250462) | (295340) |
|  CMBX.NA.A.7 | CGMI | USD | 1420000 | 2.00% | 8.95% | N/A | 01/17/2047 | Monthly | 89177 | 79879 | (9298) |
|  CMBX.NA.A.7 | CITI | USD | 10000000 | 2.00% | 8.95% | N/A | 01/17/2047 | Monthly | 593750 | 562528 | (31222) |
|  CMBX.NA.A.7 | GS | USD | 2840000 | 2.00% | 8.95% | N/A | 01/17/2047 | Monthly | 156358 | 159758 | 3400 |
|  CMBX.NA.AS.7 | BOA | USD | 4505000 | 1.00% | 1.36% | N/A | 01/17/2047 | Monthly | 47352 | 13310 | (34042) |
|  CMBX.NA.AS.7 | DB | USD | 7608000 | 1.00% | 1.36% | N/A | 01/17/2047 | Monthly | (119899) | 22477 | 142376 |
|  CMBX.NA.AS.7 | DB | USD | 16677794 | 1.00% | 1.36% | N/A | 01/17/2047 | Monthly | 197705 | 49273 | (148432) |
|  CMBX.NA.AS.7 | GS | USD | 4400000 | 1.00% | 1.36% | N/A | 01/17/2047 | Monthly | 112812 | 12999 | (99813) |
|  CMBX.NA.AS.7 | MORD | USD | 13270000 | 1.00% | 1.36% | N/A | 01/17/2047 | Monthly | 205782 | 39205 | (166577) |
|  CMBX.NA.AA.11 | CGMI | USD | 4000000 | 1.50% | 1.91% | N/A | 11/18/2054 | Monthly | (6041) | 68468 | 74509 |
|  CMBX.NA.AA.11 | CGMI | USD | 4626000 | 1.50% | 1.91% | N/A | 11/18/2054 | Monthly | (63740) | 79184 | 142924 |
|  CMBX.NA.AA.11 | MORD | USD | 4624500 | 1.50% | 1.91% | N/A | 11/18/2054 | Monthly | (67279) | 79158 | 146437 |
|  CMBX.NA.AA.11 | MORD | USD | 4624500 | 1.50% | 1.91% | N/A | 11/18/2054 | Monthly | (61371) | 79158 | 140529 |
|  CMBX.NA.AA.8 | CSI | USD | 8892000 | 1.50% | 1.66% | N/A | 10/17/2057 | Monthly | 247717 | 24470 | (223247) |
|  CMBX.NA.AS.8 | CGMI | USD | 8892000 | 1.00% | 0.98% | N/A | 10/17/2057 | Monthly | 73095 | (3437) | (76532) |
|  CMBX.NA.AS.8 | MORD | USD | 3384000 | 1.00% | 0.98% | N/A | 10/17/2057 | Monthly | 140432 | (1308) | (141740) |
|  CMBX.NA.BBB-.8 | GS | USD | 1444000 | 3.00% | 12.92% | N/A | 10/17/2057 | Monthly | 216864 | 226074 | 9210 |
|  CMBX.NA.BBB-.8 | GS | USD | 4224000 | 3.00% | 12.92% | N/A | 10/17/2057 | Monthly | 400908 | 661313 | 260405 |
|  CMBX.NA.BBB-.9 | DB | USD | 2936200 | 3.00% | 11.56% | N/A | 09/17/2058 | Monthly | 356201 | 573674 | 217473 |
|  CMBX.NA.BBB-.9 | MORD | USD | 5116800 | 3.00% | 11.56% | N/A | 09/17/2058 | Monthly | 584727 | 999719 | 414992 |
|  CMBX.NA.BBB-.10 | GS | USD | 1752000 | 3.00% | 8.64% | N/A | 11/17/2059 | Monthly | 326310 | 301404 | (24906) |
|  CMBX.NA.BBB-.10 | GS | USD | 4000000 | 3.00% | 8.64% | N/A | 11/17/2059 | Monthly | 745000 | 688138 | (56862) |
|  CMBX.NA.AA.12 | GS | USD | 6974000 | 1.50% | 2.05% | N/A | 08/17/2061 | Monthly | (61732) | 185481 | 247213 |
|  CMBX.NA.AA.6 | GS | USD | 4703648 | 1.50% | 64.87% | N/A | 05/11/2063 | Monthly | 34885 | 197494 | 162609 |
|  CMBX.NA.BBB-.6 | CGMI | USD | 4274000 | 3.00% | 172.2% | N/A | 05/11/2063 | Monthly | 1357351 | 669494 | (687857) |
|  CMBX.NA.BB.14 | GS | USD | 1360000 | 5.00% | 9.89% | N/A | 12/16/2072 | Monthly | 75915 | 313464 | 237549 |
|  CMBX.NA.BB.14 | GS | USD | 3140000 | 5.00% | 9.89% | N/A | 12/16/2072 | Monthly | 175274 | 723732 | 548458 |
|  CMBX.NA.BB.14 | MSCI | USD | 4235000 | 5.00% | 9.89% | N/A | 12/16/2072 | Monthly | 427602 | 976117 | 548515 |
|  CMBX.NA.BBB-.13 | CGMI | USD | 2000000 | 3.00% | 6.96% | N/A | 12/16/2072 | Monthly | 286083 | 382312 | 96229 |
|  CMBX.NA.BBB-.13 | GS | USD | 273500 | 3.00% | 6.96% | N/A | 12/16/2072 | Monthly | 16840 | 52281 | 35441 |
|  CMBX.NA.BBB-.13 | GS | USD | 1800000 | 3.00% | 6.96% | N/A | 12/16/2072 | Monthly | 66662 | 344081 | 277419 |
|  CMBX.NA.BBB-.13 | GS | USD | 1860000 | 3.00% | 6.96% | N/A | 12/16/2072 | Monthly | 360375 | 355550 | (4825) |
|  CMBX.NA.BBB-.13 | MSCI | USD | 4982250 | 3.00% | 6.96% | N/A | 12/16/2072 | Monthly | 674981 | 952388 | 277407 |
|  **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** | **Sell Protection^:** |
|  CDX.NA.HYS.29.V1-5Y | BOA | USD | 5115600 | 5.00% | 0.07% | 5,115,600 USD | 12/20/2022 | Quarterly | 742274 | 13794 | (728480) |
|  CDX.NA.HYS.29.V1-5Y | MORD | USD | 4264000 | 5.00% | 0.07% | 4,264,000 USD | 12/20/2022 | Quarterly | 644717 | 11497 | (633220) |
|  CDX.NA.HYS.29.V6-5Y | CITI | USD | 5994100 | 5.00% | 0.07% | 5,994,100 USD | 12/20/2022 | Quarterly | 229274 | 16163 | (213111) |
|  CDX.NA.HYS.31.V14-5Y | CITI | USD | 2866000 | 5.00% | 0.38% | 2,866,000 USD | 12/20/2023 | Quarterly | 293765 | 137093 | (156672) |
|  CDX.NA.HYS.31.V14-5Y | CITI | USD | 4657000 | 5.00% | 0.38% | 4,657,000 USD | 12/20/2023 | Quarterly | 492478 | 222764 | (269714) |
|  CDX.NA.HYS.31.V14-5Y | CITI | USD | 8050000 | 5.00% | 0.38% | 8,050,000 USD | 12/20/2023 | Quarterly | 539350 | 385066 | (154284) |
|  CDX.NA.HYS.33.V12-5Y | JPM | USD | 10394872 | 5.00% | 0.22% | 10,394,872 USD | 12/20/2024 | Quarterly | 1704759 | 967727 | (737032) |
|  CDX.NA.HYS.33.V12-5Y | MORD | USD | 2800896 | 5.00% | 0.22% | 2,800,895 USD | 12/20/2024 | Quarterly | 482034 | 260754 | (221280) |
|  CDX.NA.HYS.33.V1-5Y | GS | USD | 25937869 | 5.00% | 0.22% | 25,937,869 USD | 12/20/2024 | Quarterly | 5736853 | 2414727 | (3322126) |
|  CDX.NA.HYS.33.V3-5Y | CITI | USD | 4201343 | 5.00% | 0.22% | 4,201,343 USD | 12/20/2024 | Quarterly | 444572 | 391131 | (53441) |
|  CDX.NA.HYS.33.V12-5Y | CITI | USD | 10598036 | 5.00% | 0.22% | 10,598,036 USD | 12/20/2024 | Quarterly | 1827631 | 986641 | (840990) |
|  CDX.NA.HYS.35 | GS | USD | 6643000 | 5.00% | 1.47% | 6,643,000 USD | 12/20/2025 | Quarterly | 396845 | 669336 | 272491 |
|  CDX.NA.HY.S37.35 | GS | USD | 33720000 | 5.00% | 0.59% | 33,720,000 USD | 12/20/2026 | Quarterly | 6308637 | 5321135 | (987502) |
|  ITRAXX.XO.36 35 | MSCI | EUR | 33560000 | 5.00% | 0.81% | 33,560,000 EUR | 12/20/2026 | Quarterly | 5830388 | 5243644 | (586744) |
|  CMBX.NA.AA.7 | CITI | USD | 5000000 | 1.50% | 5.21% | 5,000,000 USD | 01/17/2047 | Monthly | (125000) | (151852) | (26852) |
|  CMBX.NA.A.9 | GS | USD | 4158800 | 2.00% | 3.86% | 4,158,800 USD | 09/17/2058 | Monthly | 54550 | (196145) | (250695) |
|  CMBX.NA.A.9 | CGMI | USD | 2500000 | 2.00% | 3.86% | 2,500,000 USD | 09/17/2058 | Monthly | (74374) | (117910) | (43536) |
|  CMBX.NA.AAA.10 | GS | USD | 7540000 | 0.50% | 0.54% | 7,540,000 USD | 11/17/2059 | Monthly | 68960 | (11591) | (80551) |
|  CMBX.NA.AAA.13 | MORD | USD | 14445000 | 0.50% | 0.72% | 14,445,000 USD | 12/16/2072 | Monthly | (311920) | (188059) | 123861 |
|  CMBX.NA.AAA.13 | GS | USD | 2825000 | 0.50% | 0.72% | 2,825,000 USD | 12/16/2072 | Monthly | 6615 | (36778) | (43393) |
|  |  |  |  |  |  |  |  |  | $31306713 | $25620153 | $(5686560) |

---

------

**GMO Opportunistic Income Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

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| | |
|:---|:---|
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.  |

---

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. <br>

<sup>(1)</sup> As of November 30, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. 

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

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

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

(b) Investment valued using significant unobservable inputs.

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

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

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

CLO - Collateralized Loan Obligation

CMBS - Commercial Mortgage Backed Security

CMT - Constant Maturity Treasury

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

IO - Interest Only

LIBOR - London Interbank Offered Rate

MTA - Monthly Treasury Average Index

SOFR - Secured Overnight Financing Rate

USBM - U.S. Treasury 3 Month Bill Money Market Yield

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

CSI - Credit Suisse International

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

**Currency Abbreviations:** 

EUR - Euro

USD - United States Dollar

------

**GMO U.S. Treasury Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /<br>Shares** | **Description** | **Value ($)** |
|  | **SHORT-TERM INVESTMENTS — 100.6%** | **SHORT-TERM INVESTMENTS — 100.6%** |
| | **U.S. Government — 53.7%** | |
| 10000000 | U.S. Treasury Note, 0.13%, due 01/31/23 | 9932629 |
| 40000000 | U.S. Treasury Note, 0.13%, due 03/31/23 | 39428055 |
| 47000000 | U.S. Treasury Note, 0.25%, due 06/15/23 | 45907617 |
| 40000000 | U.S. Treasury Note, 0.13%, due 08/15/23 | 38717188 |
| 55000000 | U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24 | 54903482 |
| 26000000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 | 25966855 |
|  | Total U.S. Government | 214855826 |
|  | **U.S. Government Agency —12.5%** |  |
| 5000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 12/02/22 | 4999999 |
| 15000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 01/19/23 | 15000014 |
| 5000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.02%, 3.83%, due 03/15/23 | 4999866 |
| 20000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 3.88%, due 05/08/23 | 20000341 |
| 5000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 06/07/23 | 5001216 |
|  | Total U.S. Government Agency | 50001436 |
|  | **Repurchase Agreements — 34.2%** |  |
| 26962250 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 11/30/22 maturing on 12/01/22 with a maturity value of $26,965,021 and an effective yield of 3.70%, collateralized by a U.S. Treasury Note with maturity date 08/15/23 and a market value of $27,512,500. | 26962250 |
| 109967638 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated, 11/30/22 maturing on 12/01/22 with a maturity value of $109,979,245 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 04/30/29 and a market value of $112,211,875. | 109967638 |
|  | Total Repurchase Agreements | 136929888 |
|  | **Money Market Funds — 0.2%** |  |
| 610440 | State Street Institutional Treasury Plus Money Market Fund – Premier Class, 3.70% <sup>(a)</sup> | 610440 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $403,748,047) | 402397590 |
|  | **TOTAL INVESTMENTS — 100.6%**<br> (Cost $403,748,047) | **402397590** |
|  | Other Assets and Liabilities (net) — (0.6)% | (2321774) |
|  | **TOTAL NET ASSETS — 100.0%** | **$400075816** |

---

**Notes to Schedule of Investments:** 

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

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

SOFR - Secured Overnight Financing Rate

USBM - U.S. Treasury 3 Month Bill Money Market Yield

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**Organization** 

Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, High Yield Fund, Multi-Sector Fixed Income Fund, Opportunistic Income Fund and U.S. Treasury Fund (each a "Fund" and collectively the "Funds") is a series of GMO Trust (the "Trust"). The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust ("Trustees") to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC ("GMO").

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest without limitation in other GMO Funds ("underlying funds"). In particular, pursuant to an exemptive order granted by the Securities and Exchange Commission ("SEC"), some of the Funds may invest in Emerging Country Debt Fund, Opportunistic Income Fund and U.S. Treasury Fund. The financial statements of the underlying funds should be read in conjunction with the Funds' financial statements. The financial statements are available without charge on the SEC's website at www.sec.gov or on GMO's website at www.gmo.com.

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

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

**Basis of presentation** 

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

**Portfolio valuation** 

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter ("OTC") derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange ("NYSE") due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price

------

will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).

"Quoted price" typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the "quoted price" may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security's fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2022, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 "Derivative financial instruments" for a further discussion on valuation of derivatives.

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

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

The three levels are defined as follows:

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

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

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

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been

------

suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; certain investment funds valued based on monthly net asset value statements; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.

The following is a summary of the respective levels assigned to the Funds' direct securities and derivatives, if any, as of November 30, 2022:

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp; **Asset Allocation Bond Fund** |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | $19751369 | $— | $— | $19751369 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 19751369 |  |  | 19751369 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 80097 |  |  | 80097 |
| &nbsp;&nbsp;&nbsp; Total Investments | 19831466 |  |  | 19831466 |
| &nbsp;&nbsp;&nbsp; Total | $19831466 | $— | $— | $19831466 |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $7302703 | $— | $7302703 |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt |  | 103036817 | 16013004 | 119049821 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers |  | 2065992173 | 210981989 | 2276974162 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 23785938 |  |  | 23785938 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 23785938 | 2176331693 | 226994993 | 2427112624 |
| &nbsp;&nbsp;&nbsp; Loan Assignments |  |  | 33814592 | 33814592 |
| &nbsp;&nbsp;&nbsp; Loan Participations |  |  | 21807224 | 21807224 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  | 6753722 | 6753722 |
| &nbsp;&nbsp;&nbsp; Mutual Funds | 67393959 |  |  | 67393959 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  | 3590974 | 3487531 | 7078505 |
| &nbsp;&nbsp;&nbsp; Total Investments | 91179897 | 2179922667 | 292858062 | 2563960626 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 1123928 |  | 1123928 |
| &nbsp;&nbsp;&nbsp;&nbsp; Options |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  |  | 232961 | 232961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 29053179 |  | 29053179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 4738290 |  | 4738290 |
| &nbsp;&nbsp;&nbsp; Total | $91179897 | $2214838064 | $293091023 | $2599108984 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk | $— | $(3654373) | $— | $(3654373) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (2098725) |  | (2098725) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (1667771) |  | (1667771) |
| &nbsp;&nbsp;&nbsp; Total | $— | $(7420869) | $— | $(7420869) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **High Yield Fund** | &nbsp;&nbsp;&nbsp; **High Yield Fund** | &nbsp;&nbsp;&nbsp; **High Yield Fund** | &nbsp;&nbsp;&nbsp; **High Yield Fund** | &nbsp;&nbsp;&nbsp; **High Yield Fund** |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $— | $35486912 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $35486912 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 108237610 |  |  | 108237610 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 108237610 | 35486912 |  | 143724522 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 20626001 | 135507828 |  | 156133829 |
| &nbsp;&nbsp;&nbsp; Total Investments | 128863611 | 170994740 |  | 299858351 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 106002 |  |  | 106002 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 551892 |  | 551892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 5562300 |  | 5562300 |
| &nbsp;&nbsp;&nbsp; Total | $128969613 | $177108932 | $— | $306078545 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk | $— | $(1576232) | $— | $(1576232) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (1908) |  |  | (1908) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | $— | $(48762) | $— | $(48762) |
| &nbsp;&nbsp;&nbsp; Total | $(1908) | $(1624994) | $— | $(1626902) |
| &nbsp;&nbsp;&nbsp; **Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp; **Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp; **Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp; **Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp; **Multi-Sector Fixed Income Fund** |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $18696669 | $— | $18696669 |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt |  | 25345688 |  | 25345688 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 11646430 |  |  | 11646430 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 11646430 | 44042357 |  | 55688787 |
| &nbsp;&nbsp;&nbsp; Mutual Funds | 28486541 |  |  | 28486541 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 408212 | 32294854 |  | 32703066 |
| &nbsp;&nbsp;&nbsp; Total Investments | 40541183 | 76337211 |  | 116878394 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 827268 |  | 827268 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 158923 |  |  | 158923 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 2806149 |  | 2806149 |
| &nbsp;&nbsp;&nbsp; Total | $40700106 | $79970628 | $— | $120670734 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk | $— | $(720711) | $— | $(720711) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (2435106) |  | (2435106) |
| &nbsp;&nbsp;&nbsp; Total | $— | $(3155817) | $— | $(3155817) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $783680369 | $10696838 | $794377207 |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt |  | 3542767 |  | 3542767 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government | 51634344 |  |  | 51634344 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency |  |  | 6106279 | 6106279 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 51634344 | 787223136 | 16803117 | 855660597 |
| &nbsp;&nbsp;&nbsp; Mutual Funds | 10872546 |  |  | 10872546 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 4999999 | 21999790 |  | 26999789 |
| &nbsp;&nbsp;&nbsp; Purchased Options |  | 38766 |  | 38766 |
| &nbsp;&nbsp;&nbsp; Total Investments | 67506889 | 809261692 | 16803117 | 893571698 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 9086 |  | 9086 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 1003242 |  |  | 1003242 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 26914055 |  | 26914055 |
| &nbsp;&nbsp;&nbsp; Total | $68510131 | $836184833 | $16803117 | $921498081 |
| &nbsp;&nbsp;&nbsp; **Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk | $— | $(51517) | $— | $(51517) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (3795388) |  | (3795388) |
| &nbsp;&nbsp;&nbsp; Total | $— | $(3846905) | $— | $(3846905) |
| &nbsp;&nbsp;&nbsp; **U.S. Treasury Fund** | &nbsp;&nbsp;&nbsp; **U.S. Treasury Fund** | &nbsp;&nbsp;&nbsp; **U.S. Treasury Fund** | &nbsp;&nbsp;&nbsp; **U.S. Treasury Fund** | &nbsp;&nbsp;&nbsp; **U.S. Treasury Fund** |
| &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp; **Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | $245467361 | $156930229 | $— | $402397590 |
| &nbsp;&nbsp;&nbsp; Total Investments | 245467361 | 156930229 |  | 402397590 |
| &nbsp;&nbsp;&nbsp; Total | $245467361 | $156930229 | $— | $402397590 |

---

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

---

| | |
|:---|:---|
| ^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.  |

---

Emerging Country Debt Fund has committed an additional $6,231,337 to its investment in Bona Fide Investments Feeder LLC, a private investment in a pool of constitutional obligations of the Colombian government owed to individuals.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds' direct securities and derivatives, if any, please refer to the underlying funds' Notes to Financial Statements which are available on the SEC's website at www.sec.gov or on GMO's website at www.gmo.com.

------

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund's total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund's Level 3 holdings also include the Republic of Albania Par Bond, due 8/31/25, which is valued by applying a 140 basis point spread to the yield of the U.S. Treasury Strip Principal, due 8/15/25, one Colombia Government International Bond, due 2/15/27 which is valued by applying a 150 basis point spread to the yield of the Colombia Government International Bond, due 4/25/27, one Colombia Government International Bond, due 3/09/28 which is valued by applying a 160 basis point spread to the yield of the Colombia Government International Bond, due 4/25/27, Empresa Nacional de Electricidad SA, due 2/01/97 which is valued based on the average of a selection of comparable bonds and applying a 200 basis point discount for liquidity considerations, Meridiam Eastern Europe Investment S.à.r.l. Loan Agreement, due 6/23/28, which is valued based on a more liquid loan participation's price discounted by 2 points, a Republic of Kenya loan agreement, which is valued by applying 500 basis point yield spread to a comparable bond and an investment fund valued based on a monthly net asset value statement. Opportunistic Income Fund's Level 3 holdings also consists of three U.S. Agency for International Development Floater Bonds which were valued using current LIBOR yield and adjusted by 125 basis points for liquidity considerations, three asset-backed securities that were valued in line with general movement of spreads, interest rates or a comparable bond and two asset-backed securities priced based on market trades. There were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 2022.

For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balances as<br>of<br>February 28,<br>2022** | **Purchases** | **Sales** | **Accrued<br>Discounts/<br>Premiums** | **Total<br>Realized<br>Gain/**<br> **(Loss)** | **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Transfer<br>into**<br> **Level 3** | **Transfer<br>out of<br>Level 3** | **Balances<br>as of<br>November 30,<br>2022** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held as of<br>November 30,<br>2022** |
| &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp; **Emerging Country Debt Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Debt Obligations** | &nbsp;&nbsp;&nbsp; **Debt Obligations** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt | $20629398 | $— | $(2912700) | $(1347) | $(1455716) | $(246631) | $— | $— | $16013004 | $(246631) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 272728861 | 2104750 | (62959666) | 14361413 | (54945303) | 39691934 |  |  | 210981989 | 10894659 |
| &nbsp;&nbsp;&nbsp; Investment Funds | 7850000 |  | (1506392) |  | 28237 | 381877 |  |  | 6753722 | 381877 |
| &nbsp;&nbsp;&nbsp; Loan Assignments | 53869474 |  | (17176159) | 1534730 | (1783693) | (2629760) |  |  | 33814592 | (2629760) |
| &nbsp;&nbsp;&nbsp; Loan Participation | 43258898 |  | (18200594) | 1185898 | 557222 | (4994200) |  |  | 21807224 | (3974696) |
| &nbsp;&nbsp;&nbsp; Rights/Warrants | 2194666 |  | (726253) |  | (508860) | 2527978 |  |  | 3487531 | 2527978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | 400531297 | 2104750 | (103481764) | 17080694 | (58108113) | 34731198 |  |  | 292858062 | 6953427 |
| &nbsp;&nbsp;&nbsp; **Derivatives** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Options | 326111 |  |  |  | (324033) | 230883 |  |  | 232961 | 230883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total | $400857408 | $2104750 | $(103481764) | $17080694 | $(58432146) | $34962081 | $— | $— | $293091023 | $7184310 |
| &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp; **Opportunistic Income Fund** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; **Debt Obligations** | &nbsp;&nbsp;&nbsp; **Debt Obligations** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $12356438 | $— | $(1134000) | $195254 | $— | $(720854) | $— | $— | $10696838 | $(720854) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Agency | 7640437 |  | (1592928) | 17218 |  | 41552 |  |  | 6106279 | 41552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total | $19996875 | $— | $(2726928) | $212472 | $— | $(679302) | $— | $— | $16803117 | $(679302) |

---

------

# Includes $19,154,053 of proceeds received from partial calls and/or principal paydowns as applicable. 

---

| | |
|:---|:---|
| ## | Includes $2,726,929 of proceeds received from partial calls and/or principal paydowns as applicable.  |

---

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended November 30, 2022 for Funds with material Level 3 investments.

**Quantitative information about Level 3 Fair Value Measurements\*** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Investment Type** | **Total<br>Fair Value ($)** | **Valuation<br>Methodology** | **Unobservable Inputs** | **Range (Weighted<br>Average)** |
| &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | | | | |
| &nbsp;&nbsp;&nbsp; Sovereign and Sovereign Agency Issuers | 39278623 | Fair Value | Discount for lack of liquidity/marketability | 1.40%-1.60% (1.42%) |
| &nbsp;&nbsp;&nbsp; Corporate Debt | 16013004 | Fair Value | Discount for lack of liquidity/marketability | 2.00% (N/A) |
| &nbsp;&nbsp;&nbsp; Loan Assignments and Participations | 2252731 | Fair Value | Discount for lack of liquidity/marketability | 5.00%-6.00% (5.00%) |
| &nbsp;&nbsp;&nbsp; Loan Assignments and Participations | 19771029 | Fair Value | Discount for lack of liquidity/marketability | $2.00 (N/A) |
| &nbsp;&nbsp;&nbsp; Warrants | 27600 | Fair Value | Discount for lack of liquidity/marketability | 50% (N/A) |
| &nbsp;&nbsp;&nbsp; Options | 232961 | Fair Value | Probability of CDS threshold event | <5% (N/A) |
| &nbsp;&nbsp;&nbsp; Investment Funds | 6753722 | Fair Value | Net asset value statement | (N/A) |
| &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | 10620838 | Fair Value | Broker mark of comparable bond | N/A |
| &nbsp;&nbsp;&nbsp; Government Agency | 6106279 | Fair Value | Discount for lack of liquidity/marketability | 1.25% (N/A) |

---

\* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2022, the value of these securities and/or derivatives for Emerging Country Debt Fund and Opportunistic Income Fund was $208,761,353 and $76,000, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. 

------

**Investments in affiliated companies and other Funds of the Trust** 

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer's voting securities or an investment in other funds of GMO Trust. A summary of the Funds' transactions involving companies that are or were affiliates during the period ended November 30, 2022 is set forth below:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning<br>of period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | **Distributions<br>of Realized<br>Gains\*** | **Net Realized<br>Gain (Loss)** | **Net Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end<br>of period** |
| &nbsp;&nbsp;&nbsp;**Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp;**Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp;**Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp;**Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp;**Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp;**Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp;**Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp;**Asset Allocation Bond Fund** | &nbsp;&nbsp;&nbsp;**Asset Allocation Bond Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $11626 | $56 | $11636 | $56 | $— | $(93) | $47 | $— |
| &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** | &nbsp;&nbsp;&nbsp;**Emerging Country Debt Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $74339103 | $— | $6500000 | $1040564 | $— | $(35403) | $(409741) | $67393959 |
| &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** | &nbsp;&nbsp;&nbsp;**Multi-Sector Fixed Income Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | $6291438 | $— | $1000000 | $125748 | $— | $(409719) | $(162444) | $4719275 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 25924702 |  | 1000000 | 184153 | 357581 | (34894) | (1122542) | 23767266 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | 2399326 |  | 2399326 | 854 |  | (9578) | 9578 |  |
| &nbsp;&nbsp;&nbsp; Totals | $34615466 | $— | $4399326 | $310755 | $357581 | $(454191) | $(1275408) | $28486541 |
| &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** | &nbsp;&nbsp;&nbsp;**Opportunistic Income Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $10938043 | $— | $— | $153633 | $— | $— | $(65497) | $10872546 |

---

\* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2022 through November 30, 2022. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2023. 

\* \* \*

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

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 61.1%** | **COMMON STOCKS — 61.1%** |
| | **Australia — 0.9%** | |
| 26848 | Aurizon Holdings Ltd <sup>(a)</sup> | 69780 |
| 26459 | BlueScope Steel Ltd <sup>(a)</sup> | 318908 |
| 34350 | Brambles Ltd <sup>(a)</sup> | 284138 |
| 21180 | Fortescue Metals Group Ltd <sup>(a)</sup> | 281899 |
| 47960 | GPT Group (The) (REIT) <sup>(a)</sup> | 147858 |
| 128580 | Mirvac Group (REIT) <sup>(a)</sup> | 197308 |
| 348 | Rio Tinto Ltd <sup>(a)</sup> | 25980 |
| 71129 | Scentre Group (REIT) <sup>(a)</sup> | 145081 |
| 75217 | Stockland (REIT) <sup>(a)</sup> | 196382 |
|  | Total Australia | 1667334 |
|  | **Belgium — 0.4%** |  |
| 7337 | Ageas SA/NV <sup>(a)</sup> | 297089 |
| 730 | Sofina SA <sup>(a)</sup> | 158901 |
| 3996 | UCB SA <sup>(a)</sup> | 322543 |
|  | Total Belgium | 778533 |
|  | **Brazil — 0.1%** |  |
| 9500 | Banco do Brasil SA | 64586 |
| 10600 | Petroleo Brasileiro SA Sponsored ADR <sup>(a)</sup> | 123914 |
| 11200 | Telefonica Brasil SA ADR <sup>(a)</sup> | 81872 |
|  | Total Brazil | 270372 |
|  | **Canada — 2.7%** |  |
| 3200 | Alimentation Couche-Tard Inc <sup>(a)</sup> | 145780 |
| 8500 | BlackBerry Ltd <sup>\* (a)</sup> | 41395 |
| 2500 | Canadian Apartment Properties (REIT) <sup>(a)</sup> | 81218 |
| 2500 | Canadian Tire Corp Ltd – Class A <sup>(a)</sup> | 283128 |
| 100 | Fairfax Financial Holdings Ltd <sup>(a)</sup> | 57375 |
| 800 | iA Financial Corp Inc <sup>(a)</sup> | 45134 |
| 5200 | Magna International Inc | 320199 |
| 12100 | Manulife Financial Corp <sup>(a) (b)</sup> | 218163 |
| 10600 | Manulife Financial Corp <sup>(a) (b)</sup> | 190936 |
| 3200 | Onex Corp <sup>(a)</sup> | 168642 |
| 1400 | Power Corp of Canada <sup>(a)</sup> | 35220 |
| 9800 | Quebecor Inc – Class B <sup>(a)</sup> | 211205 |
| 83370 | Shaw Communications Inc – Class B <sup>(a)</sup> | 2275220 |
| 7900 | Teck Resources Ltd – Class B <sup>\* (a) (b)</sup> | 292825 |
| 3500 | Teck Resources Ltd – Class B <sup>(a) (b)</sup> | 129815 |
| 3900 | West Fraser Timber Co Ltd <sup>(a) (b)</sup> | 305065 |
| 900 | West Fraser Timber Co Ltd <sup>(a) (b)</sup> | 70533 |
|  | Total Canada | 4871853 |
|  | **China — 0.7%** |  |
| 154000 | Bank of Communications Co Ltd – Class H | 87257 |
| 21500 | Beijing Enterprises Holdings Ltd | 68379 |
| 22500 | China Conch Venture Holdings Ltd | 51490 |
| 43500 | China Overseas Land & Investment Ltd | 118865 |
| 212000 | China Railway Group Ltd – Class H | 119663 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **China — continued** | |
| 308000 | China Zhongwang Holdings Ltd <sup>\* (c)</sup> | 66245 |
| 146000 | CITIC Ltd | 149675 |
| 80000 | Dongfeng Motor Group Co Ltd – Class H | 45068 |
| 17500 | Kingboard Holdings Ltd | 57933 |
| 21400 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 35684 |
| 239500 | Shimao Group Holdings Ltd <sup>\* (c)</sup> | 135527 |
| 21600 | Sinopharm Group Co Ltd – Class H | 51244 |
| 374000 | Sunac China Holdings Ltd <sup>\* (c)</sup> | 219297 |
| 4200 | Vipshop Holdings Ltd ADR <sup>\* (a)</sup> | 46830 |
|  | Total China | 1253157 |
|  | **Denmark — 0.6%** |  |
| 61 | AP Moller – Maersk A/S – Class A <sup>(a)</sup> | 129507 |
| 53 | AP Moller – Maersk A/S – Class B <sup>(a)</sup> | 114902 |
| 23414 | Danske Bank A/S <sup>(a)</sup> | 421641 |
| 1492 | GN Store Nord A/S <sup>(a)</sup> | 36046 |
| 4159 | Pandora A/S | 316628 |
| 72 | Rockwool A/S – B Shares <sup>(a)</sup> | 15810 |
|  | Total Denmark | 1034534 |
|  | **Finland — 0.2%** |  |
| 71627 | Nokia Oyj <sup>(a)</sup> | 352899 |
|  | **France — 0.6%** |  |
| 11613 | ArcelorMittal SA | 318418 |
| 5142 | BNP Paribas SA <sup>(a)</sup> | 288939 |
| 496 | Cie de Saint-Gobain <sup>(a)</sup> | 22872 |
| 2417 | Publicis Groupe SA <sup>(a)</sup> | 159078 |
| 11937 | Societe Generale SA <sup>(a)</sup> | 300443 |
|  | Total France | 1089750 |
|  | **Germany — 0.5%** |  |
| 2582 | Bayerische Motoren Werke AG <sup>(a)</sup> | 234442 |
| 3994 | Fresenius SE & Co KGaA <sup>(a)</sup> | 111284 |
| 4275 | HeidelbergCement AG <sup>(a)</sup> | 234393 |
| 5466 | Mercedes-Benz Group AG <sup>(a)</sup> | 371377 |
|  | Total Germany | 951496 |
|  | **India — 0.6%** |  |
| 77235 | GAIL India Ltd | 90493 |
| 5934 | Hindalco Industries Ltd | 33227 |
| 30419 | Hindustan Petroleum Corp Ltd | 89886 |
| 56680 | Indian Oil Corp Ltd | 53773 |
| 73456 | NTPC Ltd | 155732 |
| 189372 | Oil & Natural Gas Corp Ltd | 331457 |
| 221209 | Tata Steel Ltd | 295824 |
|  | Total India | 1050392 |
|  | **Israel — 1.2%** |  |
| 36500 | Teva Pharmaceutical Industries Ltd Sponsored ADR <sup>\* (a)</sup> | 320105 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Israel — continued** | |
| 37547 | Tower Semiconductor Ltd <sup>\*</sup> | 1673470 |
| 11100 | ZIM Integrated Shipping Services Ltd | 233322 |
|  | Total Israel | 2226897 |
|  | **Italy — 0.3%** |  |
| 22406 | Stellantis NV <sup>(a)</sup> | 353465 |
| 873685 | Telecom Italia SPA <sup>\*</sup> <sup>(a)</sup> | 190613 |
|  | Total Italy | 544078 |
|  | **Japan — 8.5%** |  |
| 22100 | Aeon Mall Co Ltd | 266899 |
| 2600 | AGC Inc <sup>(a)</sup> | 87805 |
| 3600 | Aisin Corp | 99215 |
| 12400 | Amano Corp | 225100 |
| 42600 | Asahi Kasei Corp <sup>(a)</sup> | 316617 |
| 11000 | Credit Saison Co Ltd <sup>(a)</sup> | 141030 |
| 3800 | Daiwa House Industry Co Ltd <sup>(a)</sup> | 87510 |
| 17900 | Daiwabo Holdings Co Ltd | 285583 |
| 11900 | Denka Co Ltd | 288126 |
| 20100 | EXEO Group Inc <sup>(a)</sup> | 311995 |
| 7400 | Ezaki Glico Co Ltd <sup>(a)</sup> | 193092 |
| 17200 | Fuji Corp <sup>(a)</sup> | 262426 |
| 2700 | FUJIFILM Holdings Corp <sup>(a)</sup> | 145239 |
| 11700 | H.U. Group Holdings Inc <sup>(a)</sup> | 237301 |
| 17500 | Haseko Corp <sup>(a)</sup> | 193506 |
| 27600 | Honda Motor Co Ltd <sup>(a)</sup> | 672656 |
| 2100 | Honda Motor Co Ltd Sponsored ADR <sup>(a)</sup> | 51450 |
| 4200 | Idemitsu Kosan Co Ltd <sup>(a)</sup> | 98631 |
| 31300 | Inpex Corp <sup>(a)</sup> | 344914 |
| 10600 | ITOCHU Corp <sup>(a)</sup> | 332915 |
| 6200 | KDDI Corp <sup>(a)</sup> | 184416 |
| 18900 | Kirin Holdings Co Ltd <sup>(a)</sup> | 298348 |
| 22600 | K's Holdings Corp <sup>(a)</sup> | 187651 |
| 12100 | Kyudenko Corp <sup>(a)</sup> | 291118 |
| 9500 | Maruichi Steel Tube Ltd | 197595 |
| 9800 | Mitsubishi Corp <sup>(a)</sup> | 330056 |
| 2100 | Mitsubishi Electric Corp <sup>(a)</sup> | 21046 |
| 14000 | Mitsui OSK Lines Ltd <sup>(a)</sup> | 346757 |
| 7100 | Morinaga & Co Ltd <sup>(a)</sup> | 191279 |
| 7900 | MS&AD Insurance Group Holdings Inc <sup>(a)</sup> | 234482 |
| 8600 | NEC Corp <sup>(a)</sup> | 306165 |
| 10600 | NH Foods Ltd <sup>(a)</sup> | 285395 |
| 9500 | Nippon Telegraph & Telephone Corp <sup>(a)</sup> | 263425 |
| 15200 | Nippon Yusen KK <sup>(a)</sup> | 338343 |
| 42200 | Obayashi Corp <sup>(a)</sup> | 315490 |
| 2200 | ORIX Corp <sup>(a)</sup> | 35645 |
| 49200 | Penta-Ocean Construction Co Ltd <sup>(a)</sup> | 232837 |
| 3900 | Renesas Electronics Corp <sup>\* (a)</sup> | 38250 |
| 3300 | Rohm Co Ltd <sup>(a)</sup> | 264895 |
| 9000 | Sankyu Inc <sup>(a)</sup> | 325708 |
| 3300 | Sawai Group Holdings Co Ltd <sup>(a)</sup> | 102182 |
| 4500 | Secom Co Ltd <sup>(a)</sup> | 278213 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 21100 | Sekisui House Ltd <sup>(a)</sup> | 395069 |
| 33900 | Shimizu Corp <sup>(a)</sup> | 182773 |
| 17600 | Stanley Electric Co Ltd | 361884 |
| 8000 | Subaru Corp | 137023 |
| 18500 | SUMCO Corp <sup>(a)</sup> | 276788 |
| 60300 | Sumitomo Chemical Co Ltd <sup>(a)</sup> | 219844 |
| 20600 | Sumitomo Corp <sup>(a)</sup> | 337722 |
| 10700 | Sumitomo Mitsui Financial Group Inc <sup>(a)</sup> | 363166 |
| 8900 | Sumitomo Mitsui Trust Holdings Inc <sup>(a)</sup> | 285429 |
| 29300 | T&D Holdings Inc <sup>(a)</sup> | 356210 |
| 9500 | Taisei Corp <sup>(a)</sup> | 288792 |
| 5900 | Takara Holdings Inc <sup>(a)</sup> | 46140 |
| 19200 | Takuma Co Ltd | 179441 |
| 25100 | Teijin Ltd | 243546 |
| 13000 | THK Co Ltd <sup>(a)</sup> | 256430 |
| 33800 | Tokai Carbon Co Ltd | 260803 |
| 7900 | Tokyo Seimitsu Co Ltd <sup>(a)</sup> | 253158 |
| 15700 | Toppan Inc <sup>(a)</sup> | 244545 |
| 14600 | Tosoh Corp <sup>(a)</sup> | 173346 |
| 6000 | Toyota Industries Corp <sup>(a)</sup> | 344203 |
| 11700 | Tsumura & Co | 256397 |
| 6200 | Yamaha Motor Co Ltd | 155309 |
| 5700 | Zenkoku Hosho Co Ltd <sup>(a)</sup> | 212234 |
|  | Total Japan | 15541558 |
|  | **Netherlands — 1.1%** |  |
| 72184 | Aegon NV <sup>(a)</sup> | 353879 |
| 3938 | EXOR NV <sup>\*</sup> <sup>(a)</sup> | 309133 |
| 9170 | JDE Peet's NV <sup>(a)</sup> | 284060 |
| 10452 | Koninklijke Ahold Delhaize NV <sup>(a)</sup> | 304593 |
| 19425 | Koninklijke Philips NV <sup>(a)</sup> | 291076 |
| 6387 | NN Group NV <sup>(a)</sup> | 272958 |
| 4492 | Prosus NV <sup>\*</sup> | 293951 |
|  | Total Netherlands | 2109650 |
|  | **New Zealand — 0.1%** |  |
| 15249 | Auckland International Airport Ltd <sup>\*</sup> <sup>(a)</sup> | 77715 |
| 23340 | Meridian Energy Ltd <sup>(a)</sup> | 72442 |
|  | Total New Zealand | 150157 |
|  | **Poland — 0.0%** |  |
| 880 | Polski Koncern Naftowy ORLEN SA | 12953 |
|  | **Portugal — 0.1%** |  |
| 38712 | EDP – Energias de Portugal SA | 183690 |
|  | **South Africa — 0.1%** |  |
| 12999 | Bidvest Group Ltd (The) | 174814 |
|  | **South Korea — 0.5%** |  |
| 4998 | Kia Corp | 263214 |
| 1766 | LG Corp | 113890 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **South Korea — continued** | |
| 473 | LG Electronics Inc | 35693 |
| 162 | POSCO Holdings Inc | 37082 |
| 4200 | POSCO Holdings Inc Sponsored ADR <sup>(a)</sup> | 239652 |
| 60 | Samsung Electronics Co Ltd GDR (Registered) <sup>(a)</sup> | 71271 |
| 4827 | SK Square Co Ltd <sup>\*</sup> | 139851 |
|  | Total South Korea | 900653 |
|  | **Spain — 0.5%** |  |
| 69424 | Banco Bilbao Vizcaya Argentaria SA <sup>(a)</sup> | 409119 |
| 110304 | Banco Santander SA <sup>(a)</sup> | 329129 |
| 23285 | Telefonica SA <sup>(a)</sup> | 86915 |
|  | Total Spain | 825163 |
|  | **Sweden — 0.5%** |  |
| 18459 | Fastighets AB Balder – B Shares <sup>\*</sup> <sup>(a)</sup> | 82983 |
| 2233 | Industrivarden AB – A Shares <sup>(a)</sup> | 57629 |
| 6997 | Industrivarden AB – C Shares <sup>(a)</sup> | 179240 |
| 7324 | Investor AB – A Shares <sup>(a)</sup> | 141021 |
| 5594 | Investor AB – B Shares <sup>(a)</sup> | 104109 |
| 11059 | Kinnevik AB – Class B <sup>\*</sup> <sup>(a)</sup> | 170473 |
| 7327 | Skanska AB – B Shares <sup>(a)</sup> | 119279 |
| 3739 | Svenska Cellulosa AB SCA – Class B <sup>(a)</sup> | 50838 |
| 4729 | Telefonaktiebolaget LM Ericsson – B Shares <sup>(a)</sup> | 29848 |
|  | Total Sweden | 935420 |
|  | **Switzerland — 0.5%** |  |
| 9748 | Adecco Group AG (Registered) <sup>(a)</sup> | 331399 |
| 6104 | Logitech International SA (Registered) <sup>(a)</sup> | 370070 |
| 927 | Roche Holding AG – Genusschein <sup>(a)</sup> | 302780 |
|  | Total Switzerland | 1004249 |
|  | **Taiwan — 2.2%** |  |
| 35000 | Ruentex Development Co Ltd | 52834 |
| 62623 | Silicon Motion Technology Corp ADR <sup>(a)</sup> | 3951511 |
|  | Total Taiwan | 4004345 |
|  | **Thailand — 0.1%** |  |
| 21600 | Kasikornbank Pcl NVDR | 89005 |
| 248800 | Krung Thai Bank Pcl NVDR | 124857 |
| 7600 | Thai Oil Pcl NVDR | 12012 |
|  | Total Thailand | 225874 |
|  | **Turkey — 0.1%** |  |
| 75776 | Akbank TAS | 70880 |
| 28295 | Haci Omer Sabanci Holding AS | 64356 |
| 48687 | Turkiye Is Bankasi AS – Class C | 27400 |
|  | Total Turkey | 162636 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United Kingdom — 0.8%** | |
| 6320 | Berkeley Group Holdings Plc | 293081 |
| 174016 | BT Group Plc <sup>(a)</sup> | 256067 |
| 4965 | Coca-Cola HBC AG <sup>\*</sup> <sup>(a)</sup> | 121448 |
| 3500 | Haleon Plc ADR <sup>\*</sup> <sup>(a)</sup> | 24115 |
| 68574 | Kingfisher Plc <sup>(a)</sup> | 200538 |
| 104615 | M&G Plc <sup>(a)</sup> | 244452 |
| 95202 | Taylor Wimpey Plc <sup>(a)</sup> | 119995 |
| 18600 | Vodafone Group Plc Sponsored ADR <sup>(a)</sup> | 208878 |
| 1827 | WPP Plc <sup>(a)</sup> | 19201 |
|  | Total United Kingdom | 1487775 |
|  | **United States — 37.2%** |  |
| 59393 | 1Life Healthcare, Inc. <sup>\*</sup> <sup>(a)</sup> | 1009087 |
| 500 | 3M Co. <sup>(a)</sup> | 62985 |
| 72079 | Activision Blizzard, Inc. <sup>(a)</sup> | 5330242 |
| 2900 | Aflac, Inc. <sup>(a)</sup> | 208597 |
| 9400 | Ally Financial, Inc. <sup>(a)</sup> | 253894 |
| 5200 | AppLovin Corp. – Class A <sup>\*</sup> <sup>(a)</sup> | 74932 |
| 3400 | Arrow Electronics, Inc. <sup>\*</sup> | 369716 |
| 11000 | AT&T, Inc. <sup>(a)</sup> | 212080 |
| 4200 | Best Buy Co., Inc. <sup>(a)</sup> | 358260 |
| 1000 | Biogen, Inc. <sup>\*</sup> <sup>(a)</sup> | 305170 |
| 700 | Bio-Rad Laboratories, Inc. – Class A <sup>\* (a)</sup> | 290297 |
| 33924 | Black Knight, Inc. <sup>\*</sup> <sup>(a)</sup> | 2102949 |
| 8400 | BorgWarner, Inc. | 357084 |
| 3000 | Capital One Financial Corp. <sup>(a)</sup> | 309720 |
| 8100 | Carrier Global Corp. <sup>(a)</sup> | 358992 |
| 3400 | CBRE Group, Inc. – Class A <sup>\* (a)</sup> | 270640 |
| 4700 | Centene Corp. <sup>\*</sup> <sup>(a)</sup> | 409135 |
| 500 | Cigna Corp. <sup>(a)</sup> | 164445 |
| 6700 | Citigroup, Inc. <sup>(a)</sup> | 324347 |
| 16800 | Cleveland-Cliffs, Inc. <sup>\*</sup> <sup>(a)</sup> | 260064 |
| 4800 | Cognizant Technology Solutions Corp. – Class A <sup>(a)</sup> | 298608 |
| 10200 | Comcast Corp. – Class A <sup>(a)</sup> | 373728 |
| 38927 | Cowen, Inc. – Class A <sup>(a)</sup> | 1504918 |
| 2300 | CVS Health Corp. <sup>(a)</sup> | 234324 |
| 8000 | Dell Technologies, Inc. – Class C <sup>(a)</sup> | 358320 |
| 2500 | Discover Financial Services <sup>(a)</sup> | 270900 |
| 19700 | DISH Network Corp. – Class A <sup>\* (a)</sup> | 316185 |
| 4300 | DR Horton, Inc. <sup>(a)</sup> | 369800 |
| 7100 | eBay, Inc. <sup>(a)</sup> | 322624 |
| 6700 | Exelon Corp. <sup>(a)</sup> | 277179 |
| 1800 | FedEx Corp. <sup>(a)</sup> | 327996 |
| 7400 | Fidelity National Financial, Inc. <sup>(a)</sup> | 298664 |
| 33953 | First Horizon Corp. <sup>(a)</sup> | 843732 |
| 22525 | Flagstar Bancorp, Inc. | 845589 |
| 21800 | Ford Motor Co. <sup>(a)</sup> | 303020 |
| 18875 | ForgeRock, Inc. – Class A <sup>\*</sup> | 410531 |
| 4200 | Fortune Brands Home & Security, Inc. <sup>(a)</sup> | 274428 |
| 12900 | Fox Corp. – Class B <sup>(a)</sup> | 393708 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 12000 | Franklin Resources, Inc. <sup>(a)</sup> | 321720 |
| 500 | Garmin Ltd. <sup>(a)</sup> | 46495 |
| 7900 | General Motors Co. | 320424 |
| 1200 | Gilead Sciences, Inc. <sup>(a)</sup> | 105396 |
| 300 | Goldman Sachs Group, Inc. (The) <sup>(a)</sup> | 115845 |
| 7008 | HEICO Corp. – Class A <sup>(a)</sup> | 888474 |
| 1000 | Henry Schein, Inc. <sup>\* (a)</sup> | 80920 |
| 10600 | HP, Inc. <sup>(a)</sup> | 318424 |
| 5300 | IAC, Inc. <sup>\* (a)</sup> | 275017 |
| 4400 | Incyte Corp. <sup>\* (a)</sup> | 350548 |
| 11500 | Intel Corp. <sup>(a)</sup> | 345805 |
| 2700 | International Business Machines Corp. <sup>(a)</sup> | 402030 |
| 13100 | Invesco Ltd. <sup>(a)</sup> | 250341 |
| 2500 | Jazz Pharmaceuticals Plc <sup>\* (a)</sup> | 392275 |
| 20200 | Kinder Morgan, Inc. <sup>(a)</sup> | 386224 |
| 3200 | Knight-Swift Transportation Holdings, Inc. <sup>(a)</sup> | 177376 |
| 7100 | Kraft Heinz Co. (The) <sup>(a)</sup> | 279385 |
| 1600 | Kroger Co. (The) <sup>(a)</sup> | 78704 |
| 1300 | Laboratory Corp. of America Holdings <sup>(a)</sup> | 312910 |
| 4200 | Lennar Corp. – Class A <sup>(a)</sup> | 368886 |
| 43785 | Liberty Broadband Corp. – Class C <sup>\* (a)</sup> | 3978305 |
| 104863 | Liberty Global Plc – Class A <sup>\* (a)</sup> | 2105649 |
| 5900 | Liberty Global Plc – Class C <sup>\*</sup> | 122012 |
| 7919 | Liberty Media Corp.-Liberty Formula One – Class A <sup>\* (a)</sup> | 435307 |
| 6800 | Lincoln National Corp. | 264792 |
| 37500 | Lumen Technologies, Inc. <sup>(a)</sup> | 205125 |
| 3900 | LyondellBasell Industries NV – Class A <sup>(a)</sup> | 331539 |
| 2000 | Match Group, Inc. <sup>\* (a)</sup> | 101120 |
| 3000 | Meta Platforms, Inc. – Class A <sup>\* (a)</sup> | 354300 |
| 1600 | MetLife, Inc. <sup>(a)</sup> | 122720 |
| 4900 | Micron Technology, Inc. <sup>(a)</sup> | 282485 |
| 2800 | Mohawk Industries, Inc. <sup>\*</sup> | 283724 |
| 6300 | Molson Coors Brewing Co. – Class B <sup>(a)</sup> | 347193 |
| 3900 | Mosaic Co. (The) <sup>(a)</sup> | 200070 |
| 7000 | NRG Energy, Inc. <sup>(a)</sup> | 297150 |
| 2300 | Nucor Corp. <sup>(a)</sup> | 344885 |
| 10 | NVR, Inc. <sup>\* (a)</sup> | 46390 |
| 2400 | Occidental Petroleum Corp. <sup>(a)</sup> | 166776 |
| 3200 | Oracle Corp. <sup>(a)</sup> | 265696 |
| 700 | PACCAR, Inc. <sup>(a)</sup> | 74137 |
| 14800 | Paramount Global – Class B <sup>(a)</sup> | 297184 |
| 3800 | PayPal Holdings, Inc. <sup>\* (a)</sup> | 297958 |
| 153945 | Pershing Square Tontine Holdings Ltd. <sup>\* (c)</sup> | 15395 |
| 3200 | Pfizer, Inc. <sup>(a)</sup> | 160416 |
| 71867 | PNM Resources, Inc. <sup>(a)</sup> | 3521483 |
| 3200 | Prudential Financial, Inc. <sup>(a)</sup> | 345696 |
| 7400 | PulteGroup, Inc. <sup>(a)</sup> | 331372 |
| 500 | Regeneron Pharmaceuticals, Inc. <sup>\* (a)</sup> | 375850 |
| 136355 | Resolute Forest Products, Inc. <sup>\*</sup> | 2877090 |
| 11363 | Rogers Corp. <sup>\*</sup> | 1239022 |
| 41502 | Signify Health, Inc. – Class A <sup>\*</sup> <sup>(a)</sup> | 1187787 |
| 1500 | Skyworks Solutions, Inc. <sup>(a)</sup> | 143430 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 55366 | South Jersey Industries, Inc. <sup>(a)</sup> | 1921200 |
| 41973 | Sportsman's Warehouse Holdings, Inc. <sup>\*</sup> | 412175 |
| 1700 | SS&C Technologies Holdings, Inc. <sup>(a)</sup> | 91392 |
| 200 | Stanley Black & Decker, Inc. <sup>(a)</sup> | 16344 |
| 3500 | Steel Dynamics, Inc. <sup>(a)</sup> | 363755 |
| 71267 | STORE Capital Corp. (REIT) <sup>(a)</sup> | 2273417 |
| 78103 | Switch, Inc. – Class A <sup>(a)</sup> | 2675028 |
| 8100 | Synchrony Financial <sup>(a)</sup> | 304398 |
| 210835 | TEGNA, Inc. <sup>(a)</sup> | 4161883 |
| 3100 | Textron, Inc. <sup>(a)</sup> | 221278 |
| 4300 | Tyson Foods, Inc. – Class A <sup>(a)</sup> | 285004 |
| 82767 | Umpqua Holdings Corp. <sup>(a)</sup> | 1677687 |
| 100 | United Parcel Service, Inc. – Class B <sup>(a)</sup> | 18973 |
| 3000 | Universal Health Services, Inc. – Class B <sup>(a)</sup> | 392550 |
| 7000 | Verizon Communications, Inc. <sup>(a)</sup> | 272860 |
| 900 | Vertex Pharmaceuticals, Inc. <sup>\* (a)</sup> | 284760 |
| 31800 | Viatris, Inc. <sup>(a)</sup> | 350754 |
| 24445 | VMware, Inc. – Class A <sup>\* (a)</sup> | 2969823 |
| 7800 | Walgreens Boots Alliance, Inc. <sup>(a)</sup> | 323700 |
| 3943 | Warner Bros Discovery, Inc. <sup>\* (a)</sup> | 44950 |
| 19700 | Western Union Co. (The) <sup>(a)</sup> | 288802 |
| 6500 | Western Digital Corp. <sup>\* (a)</sup> | 238875 |
| 2300 | Westlake Corp. <sup>(a)</sup> | 247595 |
| 1900 | Whirlpool Corp. <sup>(a)</sup> | 278407 |
| 24954 | Zogenix, Inc. <sup>\* (c)</sup> | 18716 |
| 3300 | Zoom Video Communications, Inc. – Class A \* <sup>(a)</sup> | 248919 |
|  | Total United States | 68379392 |
|  | TOTAL COMMON STOCKS<br>(COST $122,212,245) | 112189624 |
|  | **PREFERRED STOCKS <sup>(d)</sup> — 0.3%** | **PREFERRED STOCKS <sup>(d)</sup> — 0.3%** |
|  | **Brazil — 0.1%** | **Brazil — 0.1%** |
| 19700 | Petroleo Brasileiro SA Sponsored ADR <sup>(a)</sup> | 201925 |
|  | **Germany — 0.2%** |  |
| 2200 | Bayerische Motoren Werke AG <sup>(a)</sup> | 190902 |
| 1214 | Volkswagen AG <sup>(a)</sup> | 179321 |
|  | Total Germany | 370223 |
|  | TOTAL PREFERRED STOCKS<br>(COST $540,915) | 572148 |
|  | **RIGHTS/WARRANTS — 0.2%** | **RIGHTS/WARRANTS — 0.2%** |
|  | **United States — 0.2%** | **United States — 0.2%** |
| 195149 | Bristol-Myers Squibb Co. CVR <sup>\* (c)</sup> | 361026 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $284,429) | 361026 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares/**<br> **Par Value†** | **Description** | **Value ($)** |
| | **INVESTMENT FUNDS — 2.1%** | **INVESTMENT FUNDS — 2.1%** |
| | **United States — 2.1%** | **United States — 2.1%** |
| 1000824 | Altaba, Inc. <sup>(c)</sup> | 3753090 |
|  | TOTAL INVESTMENT FUNDS<br>(COST $3,301,440) | 3753090 |
|  | **DEBT OBLIGATIONS — 36.2%** |  |
|  | **United States — 36.2%** |  |
|  | **Asset-Backed Securities — 2.9%** |  |
| 5418616 | OZLM VI Ltd, Series 14-6A, Class A1S, Variable Rate, 3 mo. LIBOR + 1.08%, 5.16%, due 04/17/31 | 5290205 |
|  | **U.S. Government — 23.5%** |  |
| 3000000 | U.S. Treasury Note, Variable Rate, USBM |  |
|  | + 0.05%, 4.38%, due 01/31/23 | 3001469 |
| 15000000 | U.S. Treasury Note, 0.13%, due 02/28/23 | 14842825 |
| 6025000 | U.S. Treasury Note, 0.13%, due 04/30/23 <sup>(a)</sup> | 5912737 |
| 5050000 | U.S. Treasury Note, 0.13%, due 06/30/23 <sup>(a)</sup> | 4916057 |
| 400000 | U.S. Treasury Note, 0.13%, due 07/31/23 | 387953 |
| 3500000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 10/31/23 | 3502630 |
| 10650000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 <sup>(a)</sup> | 10636424 |
|  | Total U.S. Government | 43200095 |
|  | **U.S. Government Agency — 9.8%** |  |
| 13000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 03/02/23 | 13000599 |
| 5000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 3.88%, due 12/14/23 | 5000562 |
|  | Total U.S. Government Agency | 18001161 |
|  | Total United States | 66491461 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $66,844,966) | 66491461 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **Shares/<br>Par Value†** | **Description** | **Value ($)** |
|  |  | **MUTUAL FUNDS — 3.3%** |  |
|  | | **United States — 3.3%** | |
|  | | **Affiliated Issuers — 3.3%** | |
|  | 431379 | GMO Emerging Markets ex-China Fund, Class VI | 6056565 |
|  |  | TOTAL MUTUAL FUNDS<br>(COST $6,060,879) | 6056565 |
|  | | **SHORT-TERM INVESTMENTS — 21.6%** | **SHORT-TERM INVESTMENTS — 21.6%** |
|  | | **Sovereign and Sovereign Agency<br>Issuers — 8.6%** | |
|  JPY | 2185000000 | Japan Treasury Discount Bill, Zero Coupon, due 01/11/23 | 15825432 |
|  |  | **Money Market Funds — 0.1%** |  |
|  | 198565 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(e)</sup> | 198565 |
|  |  | **Repurchase Agreements — 2.2%** |  |
|  | 3976963 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $3,977,383 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 04/30/29 and a market value of $4,058,125. | 3976963 |
|  |  | **U.S. Government — 10.7%** |  |
|  | 19900000 | U.S. Treasury Bill, 4.17%, due 02/23/23 <sup>(f)</sup> | 19708433 |
|  |  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $38,917,864) | 39709393 |

---

**PURCHASED OPTIONS — 0.0%** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Value ($)** |
|  **Equity Options – Puts – 0.0%** |  |  | | | |
|  Continental Resources, Inc. | 70.00 | 12/16/22 | 244 | USD 1,812,310 | 1220 |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Rate** | **Expiration<br>Date** | **Principal/<br>Notional<br>Amount** | **Principal/<br>Notional<br>Amount** | **Floating Rate<br>Index** | **Pay/Receive<br>Floating Rate** | **Value ($)** |
|  **Options on Credit Default Swaps – Puts – 0.0%** | **Options on Credit Default Swaps – Puts – 0.0%** |  |  |  | | | |
|  CDX.NA.IG.S39<br> DB | 85.00% | 12/21/22 | USD | 20010000 | Fixed Spread | Pay | 10366 |
|  | TOTAL PURCHASED OPTIONS<br>(COST $56,474) | TOTAL PURCHASED OPTIONS<br>(COST $56,474) | TOTAL PURCHASED OPTIONS<br>(COST $56,474) | TOTAL PURCHASED OPTIONS<br>(COST $56,474) | TOTAL PURCHASED OPTIONS<br>(COST $56,474) |  | 11586 |
|  | **TOTAL INVESTMENTS — 124.8%**<br>(Cost $238,219,212) | **TOTAL INVESTMENTS — 124.8%**<br>(Cost $238,219,212) | **TOTAL INVESTMENTS — 124.8%**<br>(Cost $238,219,212) | **TOTAL INVESTMENTS — 124.8%**<br>(Cost $238,219,212) | **TOTAL INVESTMENTS — 124.8%**<br>(Cost $238,219,212) |  | 229144893 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **SECURITIES SOLD SHORT — (32.0)%** |  |
| | **Common Stocks — (31.8)%** | |
| | **Australia — (0.6)%** | |
| (5348) | ASX Ltd | (257794) |
| (1304) | Cochlear Ltd | (191790) |
| (501) | Domino's Pizza Enterprises Ltd | (22946) |
| (7891) | IDP Education Ltd | (162463) |
| (74058) | Qantas Airways Ltd <sup>\*</sup> | (318052) |
| (2477) | Ramsay Health Care Ltd | (111477) |
|  | Total Australia | (1064522) |
|  | **Austria — (0.2)%** |  |
| (3788) | Verbund AG | (342903) |
|  | **Belgium — (0.2)%** |  |
| (5656) | Anheuser-Busch InBev SA/NV | (333565) |
|  | **Canada — (1.5)%** |  |
| (4100) | Agnico Eagle Mines Ltd | (206517) |
| (16100) | Algonquin Power & Utilities Corp | (121555) |
| (15200) | AltaGas Ltd | (255038) |
| (2600) | BCE Inc | (123864) |
| (7100) | Brookfield Renewable Corp – Class A | (231531) |
| (7900) | Enbridge Inc | (326191) |
| (2500) | Franco-Nevada Corp | (365300) |
| (17500) | Pan American Silver Corp | (286825) |
| (10800) | Pembina Pipeline Corp | (393984) |
| (5600) | Restaurant Brands International Inc | (371560) |
| (2200) | Ritchie Bros Auctioneers Inc | (120670) |
|  | Total Canada | (2803035) |
|  | **Denmark — (0.1)%** |  |
| (323) | Coloplast A/S – Class B | (38184) |
| (4886) | Tryg A/S | (113678) |
|  | Total Denmark | (151862) |
|  | **Finland — (0.0)%** |  |
| (1020) | Elisa Oyj | (53058) |
|  | **France — (0.9)%** |  |
| (10681) | Accor SA <sup>\*</sup> | (281339) |
| (1851) | Aeroports de Paris <sup>\*</sup> | (285309) |
| (527) | Euronext NV | (40315) |
| (20306) | Getlink SE | (335564) |
| (242) | Hermes International | (393317) |
| (313) | Sartorius Stedim Biotech | (106828) |
| (1409) | Ubisoft Entertainment SA <sup>\*</sup> | (39196) |
| (1369) | Wendel SE | (127473) |
|  | Total France | (1609341) |
|  | **Germany — (1.0)%** |  |
| (7480) | Delivery Hero SE <sup>\*</sup> | (327420) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Germany — continued** | |
| (1632) | Deutsche Boerse AG | (299920) |
| (638) | MTU Aero Engines AG | (134531) |
| (219) | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | (69172) |
| (2065) | Puma SE | (106871) |
| (822) | QIAGEN NV <sup>\*</sup> | (41038) |
| (274) | Rational AG | (172155) |
| (511) | Scout24 SE | (28048) |
| (2908) | Symrise AG – Class A | (333515) |
| (98860) | Telefonica Deutschland Holding AG | (236448) |
| (2391) | Zalando SE <sup>\*</sup> | (75204) |
|  | Total Germany | (1824322) |
|  | **Ireland — (0.0)%** |  |
| (339) | Flutter Entertainment Plc <sup>\*</sup> | (50476) |
|  | **Israel — (0.2)%** |  |
| (2200) | CyberArk Software Ltd <sup>\*</sup> | (327954) |
| (800) | Wix.com Ltd <sup>\*</sup> | (72392) |
|  | Total Israel | (400346) |
|  | **Italy — (0.8)%** |  |
| (9432) | Amplifon SPA | (267181) |
| (1437) | Ferrari NV <sup>(b)</sup> | (320741) |
| (600) | Ferrari NV <sup>(b)</sup> | (133830) |
| (25684) | FinecoBank Banca Fineco SPA | (417152) |
| (26970) | Infrastrutture Wireless Italiane SPA | (268993) |
|  | Total Italy | (1407897) |
|  | **Japan — (2.8)%** |  |
| (10200) | Aeon Co Ltd | (210505) |
| (15700) | ANA Holdings Inc <sup>\*</sup> | (338050) |
| (11000) | Asahi Intecc Co Ltd | (196909) |
| (100) | Fast Retailing Co Ltd | (59464) |
| (3500) | GMO Payment Gateway Inc | (316887) |
| (17200) | Japan Airlines Co Ltd <sup>\*</sup> | (343814) |
| (6200) | Japan Exchange Group Inc | (89771) |
| (5600) | Keio Corp | (209791) |
| (2700) | Keisei Electric Railway Co Ltd | (77351) |
| (1800) | Kintetsu Group Holdings Co Ltd | (64334) |
| (1700) | Lasertec Corp | (320453) |
| (10600) | M3 Inc | (332445) |
| (20300) | MonotaRO Co Ltd | (351196) |
| (3500) | Nidec Corp | (220404) |
| (15600) | Nihon M&A Center Holdings Inc | (213574) |
| (26800) | Nippon Paint Holdings Co Ltd | (221951) |
| (1300) | Nissin Foods Holdings Co Ltd | (99066) |
| (14100) | Odakyu Electric Railway Co Ltd | (186126) |
| (2200) | Oriental Land Co Ltd | (318011) |
| (60400) | Rakuten Group Inc | (290196) |
| (3700) | Shiseido Co Ltd | (158027) |
| (5000) | Tobu Railway Co Ltd | (120707) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| (13700) | Tokyu Corp | (174964) |
| (6100) | West Japan Railway Co | (259858) |
|  | Total Japan | (5173854) |
|  | **Netherlands — (0.6)%** |  |
| (218) | Adyen NV <sup>\*</sup> | (343420) |
| (1783) | IMCD NV | (263713) |
| (8366) | Just Eat Takeaway.com NV <sup>\*</sup> | (193825) |
| (746) | OCI NV | (31581) |
| (14316) | Universal Music Group NV | (340445) |
|  | Total Netherlands | (1172984) |
|  | **New Zealand — (0.1)%** |  |
| (5479) | Xero Ltd <sup>\*</sup> | (272280) |
|  | **Norway — (0.2)%** |  |
| (8389) | Aker BP ASA | (291855) |
|  | **Peru — (0.2)%** |  |
| (6100) | Southern Copper Corp | (372222) |
|  | **Singapore — (0.2)%** |  |
| (22100) | Grab Holdings Ltd – Class A <sup>\*</sup> | (66742) |
| (30200) | Singapore Airlines Ltd | (122523) |
| (28300) | Singapore Exchange Ltd | (189423) |
|  | Total Singapore | (378688) |
|  | **Spain — (0.4)%** |  |
| (8628) | Cellnex Telecom SA | (296704) |
| (15284) | Ferrovial SA | (411015) |
|  | Total Spain | (707719) |
|  | **Sweden — (0.2)%** |  |
| (3168) | Evolution AB | (326317) |
|  | **Switzerland — (0.4)%** |  |
| (6) | Chocoladefabriken Lindt & Spruengli AG | (63116) |
| (282) | Partners Group Holding AG | (280976) |
| (408) | Sika AG (Registered) | (104269) |
| (2239) | Straumann Holding AG (Registered) | (261317) |
|  | Total Switzerland | (709678) |
|  | **United Kingdom — (1.3)%** |  |
| (3262) | Admiral Group Plc | (79749) |
| (36828) | Auto Trader Group Plc | (254235) |
| (81) | Croda International Plc | (6698) |
| (3877) | Halma Plc | (102843) |
| (18955) | Hargreaves Lansdown Plc | (195302) |
| (55173) | Informa Plc | (413759) |
| (4001) | InterContinental Hotels Group Plc | (232871) |
| (4008) | London Stock Exchange Group Plc | (401343) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United Kingdom — continued** | |
| (33185) | Ocado Group Plc <sup>\*</sup> | (251235) |
| (1284) | Prudential Plc | (15273) |
| (307895) | Rolls-Royce Holdings Plc <sup>\*</sup> | (341163) |
| (815) | Spirax-Sarco Engineering Plc | (111306) |
|  | Total United Kingdom | (2405777) |
|  | **United States — (19.9)%** |  |
| (13800) | AES Corp. (The) | (399096) |
| (1800) | Alnylam Pharmaceuticals, Inc. <sup>\*</sup> | (397062) |
| (5800) | Altria Group, Inc. | (270164) |
| (800) | American Tower Corp. (REIT) | (177000) |
| (300) | Amgen, Inc. | (85920) |
| (100) | Analog Devices, Inc. | (17191) |
| (1000) | Aon Plc – Class A | (308280) |
| (8300) | Aramark | (345280) |
| (1800) | Arthur J Gallagher & Co. | (358398) |
| (1200) | Autodesk, Inc. <sup>\*</sup> | (242340) |
| (600) | Automatic Data Processing, Inc. | (158484) |
| (2400) | Bill.Com Holdings, Inc. <sup>\*</sup> | (289008) |
| (1200) | BioMarin Pharmaceutical, Inc. <sup>\*</sup> | (121176) |
| (2800) | Bio-Techne Corp. | (237972) |
| (2100) | Boeing Co. (The) <sup>\*</sup> | (375648) |
| (3722) | Broadcom, Inc. | (2050934) |
| (2100) | Burlington Stores, Inc. <sup>\*</sup> | (410928) |
| (7100) | Caesars Entertainment, Inc. <sup>\*</sup> | (360751) |
| (200) | CDW Corp. | (37728) |
| (4900) | Ceridian HCM Holding, Inc. <sup>\*</sup> | (335356) |
| (200) | Charles Schwab Corp. (The) | (16508) |
| (10459) | Charter Communications, Inc. – Class A <sup>\*</sup> | (4092502) |
| (200) | Chipotle Mexican Grill, Inc. – Class A <sup>\*</sup> | (325392) |
| (2900) | Clarivate Plc <sup>\*</sup> | (28391) |
| (6100) | Cloudflare, Inc. – Class A <sup>\*</sup> | (299754) |
| (1200) | CME Group, Inc. | (211800) |
| (49315) | Columbia Banking System, Inc. | (1679669) |
| (5300) | Coupa Software, Inc. <sup>\*</sup> | (335172) |
| (1000) | Crown Castle, Inc. (REIT) | (141430) |
| (8600) | Delta Air Lines, Inc. <sup>\*</sup> | (304182) |
| (3300) | Dexcom, Inc. <sup>\*</sup> | (383724) |
| (2100) | Diamondback Energy, Inc. | (310842) |
| (200) | DocuSign, Inc. – Class A <sup>\*</sup> | (9414) |
| (3700) | Dominion Energy, Inc. | (226107) |
| (2500) | Equity LifeStyle Properties, Inc. (REIT) | (166050) |
| (100) | Erie Indemnity Co. – Class A | (28239) |
| (3300) | Essential Utilities, Inc. | (159192) |
| (7600) | Exact Sciences Corp. <sup>\*</sup> | (341620) |
| (5500) | Fastenal Co. | (283305) |
| (5500) | Fortinet, Inc. <sup>\*</sup> | (292380) |
| (1000) | Gartner, Inc. <sup>\*</sup> | (350370) |
| (4300) | Guidewire Software, Inc. <sup>\*</sup> | (255033) |
| (5649) | HEICO Corp. | (916889) |
| (1400) | Hess Corp. | (201474) |
| (1000) | HubSpot, Inc. <sup>\*</sup> | (303030) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (800) | IDEXX Laboratories, Inc. <sup>\*</sup> | (340696) |
| (4900) | Ingersoll Rand, Inc. | (264453) |
| (1200) | Insulet Corp. <sup>\*</sup> | (359244) |
| (4889) | Intercontinental Exchange, Inc. | (529528) |
| (1600) | IQVIA Holdings, Inc. <sup>\*</sup> | (348832) |
| (3700) | Iron Mountain, Inc. (REIT) | (201021) |
| (93976) | Liberty Global Plc – Class C <sup>\*</sup> | (1943424) |
| (13379) | Liberty Media Corp.-Liberty Formula One – Class C <sup>\*</sup> | (815316) |
| (1100) | Linde Plc <sup>\*</sup> | (370128) |
| (3800) | Live Nation Entertainment, Inc. <sup>\*</sup> | (276488) |
| (200) | LPL Financial Holdings, Inc. | (47342) |
| (100) | Lululemon Athletica, Inc. <sup>\*</sup> | (38031) |
| (1100) | MarketAxess Holdings, Inc. | (294712) |
| (900) | Marriott International, Inc. – Class A | (148815) |
| (1700) | Marsh & McLennan Cos., Inc. | (294406) |
| (100) | Mastercard, Inc. – Class A | (35640) |
| (10099) | MaxLinear, Inc. <sup>\*</sup> | (369623) |
| (600) | McDonald's Corp. | (163674) |
| (400) | McKesson Corp. | (152672) |
| (1600) | MongoDB, Inc. – Class A <sup>\*</sup> | (244304) |
| (500) | Monolithic Power Systems, Inc. | (190980) |
| (600) | Moody's Corp. | (178962) |
| (200) | Motorola Solutions, Inc. | (54440) |
| (700) | MSCI, Inc. – Class A | (355481) |
| (90436) | New York Community Bancorp, Inc. | (845577) |
| (4100) | Newmont Corp. | (194627) |
| (10500) | NiSource, Inc. | (293370) |
| (4000) | Novocure Ltd. <sup>\*</sup> | (307360) |
| (5600) | Okta, Inc. <sup>\*</sup> | (298592) |
| (5000) | ONEOK, Inc. | (334600) |
| (29400) | Palantir Technologies, Inc. – Class A <sup>\*</sup> | (220500) |
| (300) | Palo Alto Networks, Inc. <sup>\*</sup> | (50970) |
| (2400) | Paychex, Inc. | (297672) |
| (3200) | Philip Morris International, Inc. | (318944) |
| (1200) | PTC, Inc. <sup>\*</sup> | (152652) |
| (200) | Public Storage (REIT) | (59592) |
| (7100) | ROBLOX Corp. – Class A <sup>\*</sup> | (225567) |
| (4700) | Roku, Inc. <sup>\*</sup> | (279039) |
| (8100) | Rollins, Inc. | (327564) |
| (6000) | Royal Caribbean Cruises Ltd. <sup>\*</sup> | (359580) |
| (500) | S&P Global, Inc. | (176400) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (2200) | Seagen, Inc. <sup>\*</sup> | (267058) |
| (700) | ServiceNow, Inc. <sup>\*</sup> | (291410) |
| (1200) | Sherwin-Williams Co. (The) | (299016) |
| (1400) | Simon Property Group, Inc. (REIT) | (167216) |
| (4900) | Snap, Inc. – Class A <sup>\*</sup> | (50519) |
| (1700) | Snowflake, Inc. – Class A <sup>\*</sup> | (242930) |
| (3400) | Starbucks Corp. | (347480) |
| (3000) | Sysco Corp. | (259530) |
| (11500) | Teladoc Health, Inc. <sup>\*</sup> | (327865) |
| (1500) | Tesla, Inc. <sup>\*</sup> | (292050) |
| (500) | T-Mobile U.S., Inc. <sup>\*</sup> | (75730) |
| (100) | Tractor Supply Co. | (22631) |
| (5200) | Trade Desk, Inc. (The) – Class A <sup>\*</sup> | (271128) |
| (500) | TransDigm Group, Inc. | (314250) |
| (5800) | Twilio, Inc. – Class A <sup>\*</sup> | (284316) |
| (10400) | Uber Technologies, Inc. <sup>\*</sup> | (303056) |
| (3200) | UDR, Inc. (REIT) | (132704) |
| (1200) | Vail Resorts, Inc. | (309048) |
| (600) | Vulcan Materials Co. | (109998) |
| (300) | Wayfair, Inc. – Class A <sup>\*</sup> | (10992) |
| (10600) | Williams Cos., Inc. (The) | (367820) |
| (200) | Yum! Brands, Inc. | (25732) |
| (2888) | Zillow Group, Inc. – Class C <sup>\*</sup> | (109686) |
| (100) | Zoetis, Inc. | (15414) |
| (2100) | Zscaler, Inc. <sup>\*</sup> | (280245) |
|  | Total United States | (36579827) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $65,402,619) | (58432528) |
|  | **PREFERRED STOCKS <sup>(d)</sup> — (0.2)%** |  |
|  | **Germany — (0.2)%** |  |
| (670) | Sartorius AG | (251891) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $316,086) | (251891) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $65,718,705) | **(58684419)** |
|  | Other Assets and Liabilities (net) — 7.2% | 13144366 |
|  | **TOTAL NET ASSETS — 100.0%** | **$183604840** |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 01/17/2023 | DB | CAD | 895415 | USD | 666811 | 645 |
| 02/16/2023 | JPM | CHF | 2317275 | USD | 2473510 | 1624 |
| 01/31/2023 | BCLY | CHF | 6459265 | USD | 6879097 | 1571 |
| 01/18/2023 | JPM | CZK | 16970976 | USD | 725069 | 1279 |
| 01/18/2023 | MSCI | EUR | 1871800 | USD | 1958953 | 3614 |
| 01/31/2023 | SSB | EUR | 2870000 | USD | 3007559 | 6777 |
| 02/08/2023 | MSCI | SEK | 11900000 | USD | 1144710 | 6240 |
| 02/09/2023 | JPM | USD | 1029024 | AUD | 1530000 | 12491 |
| 01/23/2023 | UBSA | USD | 477590 | AUD | 706714 | 3153 |
| 01/23/2023 | DB | USD | 7356 | AUD | 10927 | 77 |
| 12/02/2022 | MSCI | USD | 780599 | BRL | 4239119 | 36290 |
| 12/02/2022 | GS | USD | 103919 | BRL | 550000 | 2068 |
| 02/02/2023 | MSCI | USD | 658409 | BRL | 3589119 | 25044 |
| 02/02/2023 | MSCI | USD | 2844139 | CAD | 3871285 | 36534 |
| 02/02/2023 | BCLY | USD | 1008752 | CAD | 1360000 | 3241 |
| 02/07/2023 | BOA | USD | 686778 | CAD | 928543 | 4220 |
| 01/17/2023 | MSCI | USD | 309797 | CAD | 419507 | 2305 |
| 01/12/2023 | MSCI | USD | 222612 | CLP | 210000000 | 11670 |
| 01/31/2023 | MSCI | USD | 3641615 | EUR | 3486217 | 3464 |
| 01/31/2023 | DB | USD | 450254 | EUR | 432076 | 1511 |
| 02/21/2023 | MSCI | USD | 378240 | GBP | 320000 | 8390 |
| 02/16/2023 | MSCI | USD | 134492 | HUF | 54520539 | 1284 |
| 02/16/2023 | CITI | USD | 98439 | HUF | 40000000 | 1176 |
| 02/03/2023 | JPM | USD | 701538 | IDR | 11014143000 | 1431 |
| 12/12/2022 | MSCI | USD | 7105421 | JPY | 1024448285 | 322071 |
| 01/17/2023 | MSCI | USD | 3067658 | JPY | 445861155 | 180881 |
| 12/12/2022 | BCLY | USD | 316643 | JPY | 46917060 | 23517 |
| 12/12/2022 | JPM | USD | 383407 | JPY | 56504863 | 26267 |
| 01/17/2023 | BCLY | USD | 2280176 | JPY | 329320148 | 119247 |
| 01/17/2023 | DB | USD | 27503 | JPY | 3820805 | 335 |
| 01/24/2023 | MSCI | USD | 803913 | MXN | 16418725 | 39243 |
| 01/18/2023 | MSCI | USD | 3318258 | NOK | 34827768 | 224336 |
| 01/24/2023 | MSCI | USD | 64667 | NZD | 105329 | 1756 |
| 01/12/2023 | MSCI | USD | 288904 | PEN | 1160000 | 12473 |
| 12/02/2022 | CITI | USD | 174050 | PHP | 10000000 | 2754 |
| 12/02/2022 | JPM | USD | 87125 | PHP | 5000000 | 1277 |
| 12/02/2022 | BCLY | USD | 188527 | PHP | 10663090 | 0 |
| 02/21/2023 | BCLY | USD | 53777 | PLN | 250000 | 1205 |
| 02/08/2023 | MSCI | USD | 1105028 | SEK | 12055521 | 48321 |
| 02/08/2023 | BCLY | USD | 367429 | SEK | 3900000 | 5683 |
| 02/21/2023 | GS | USD | 58292 | SGD | 80000 | 547 |
| 02/21/2023 | MSCI | USD | 59477 | THB | 2100000 | 576 |
| 02/06/2023 | CITI | USD | 78972 | TWD | 2400000 | 364 |
| 01/23/2023 | BCLY | AUD | 424080 | USD | 286291 | (2190) |
| 01/23/2023 | DB | AUD | 280157 | USD | 185792 | (4785) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 12/02/2022 | CITI | BRL | 750000 | USD | 138119 | (6408) |
| 12/02/2022 | GS | BRL | 450000 | USD | 84008 | (2709) |
| 12/02/2022 | MSCI | BRL | 3589119 | USD | 666627 | (25005) |
| 02/07/2023 | MSCI | CAD | 4583142 | USD | 3391722 | (18937) |
| 02/16/2023 | JPM | CHF | 610000 | USD | 647102 | (3598) |
| 01/31/2023 | SSB | CHF | 187022 | USD | 198829 | (304) |
| 01/31/2023 | MSCI | CHF | 242235 | USD | 256231 | (1690) |
| 01/12/2023 | MSCI | CLP | 175903500 | USD | 181878 | (14364) |
| 01/12/2023 | MSCI | COP | 440000000 | USD | 87842 | (2671) |
| 01/23/2023 | BCLY | GBP | 253398 | USD | 302290 | (3660) |
| 02/21/2023 | BCLY | GBP | 320000 | USD | 382933 | (3696) |
| 02/03/2023 | MSCI | IDR | 1200000000 | USD | 76093 | (496) |
| 02/28/2023 | JPM | ILS | 967605 | USD | 282636 | (2536) |
| 02/23/2023 | MSCI | INR | 53926936 | USD | 655216 | (4400) |
| 01/11/2023 | CITI | JPY | 2185000000 | USD | 15173988 | (733548) |
| 12/12/2022 | MSCI | JPY | 21916421 | USD | 151336 | (7563) |
| 12/12/2022 | DB | JPY | 85016238 | USD | 585219 | (31168) |
| 01/17/2023 | BOA | JPY | 54000000 | USD | 370673 | (22771) |
| 01/17/2023 | DB | JPY | 48460427 | USD | 345356 | (7727) |
| 02/03/2023 | JPM | KRW | 761169825 | USD | 534106 | (50167) |
| 01/24/2023 | GS | MXN | 1600000 | USD | 79309 | (2857) |
| 01/18/2023 | BOA | NOK | 4300000 | USD | 417630 | (19755) |
| 01/24/2023 | BCLY | NZD | 317480 | USD | 195409 | (4800) |
| 02/28/2023 | MSCI | NZD | 2460000 | USD | 1529923 | (22264) |
| 01/24/2023 | MSCI | NZD | 206182 | USD | 128526 | (1496) |
| 01/24/2023 | DB | NZD | 215508 | USD | 134360 | (1543) |
| 01/12/2023 | MSCI | PEN | 440000 | USD | 109290 | (5026) |
| 12/02/2022 | JPM | PHP | 25663090 | USD | 442124 | (11608) |
| 02/01/2023 | BCLY | PHP | 10663090 | USD | 188261 | (528) |
| 02/21/2023 | MSCI | PLN | 857005 | USD | 184839 | (3640) |
| 02/27/2023 | BCLY | RON | 2841896 | USD | 590977 | (5744) |
| 01/27/2023 | BOA | SEK | 2874016 | USD | 263696 | (11060) |
| 02/08/2023 | BCLY | SEK | 5100000 | USD | 485333 | (2583) |
| 02/21/2023 | MSCI | SGD | 515848 | USD | 374506 | (4899) |
| 02/21/2023 | BCLY | THB | 20452251 | USD | 577095 | (7777) |
| 02/06/2023 | BCLY | TWD | 23443349 | USD | 732467 | (42490) |
| 02/02/2023 | JPM | USD | 641085 | CAD | 860000 | (1149) |
| 01/17/2023 | DB | USD | 167131 | CAD | 224157 | (364) |
| 02/07/2023 | BOA | USD | 207012 | CAD | 278113 | (47) |
| 01/12/2023 | MSCI | USD | 874118 | COP | 4095101500 | (31709) |
| 02/16/2023 | BOA | USD | 50253 | HUF | 20000000 | (445) |
| 01/27/2023 | BOA | USD | 276544 | SEK | 2874016 | (1788) |
|  |  |  |  |  |  | $52987 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Buys |  |  |  |  |
| 88 | CAC40 10 Euro | December 2022 | 6230573 | 146236 |
| 41 | Corn <sup>(g)</sup> | March 2023 | 1367350 | (7725) |
| 2 | DAX Index | December 2022 | 759145 | 124168 |
| 86 | FTSE 100 Index | December 2022 | 7908394 | 214802 |
| 9 | Hang Seng Index | December 2022 | 1081261 | 66161 |
| 343 | Mini MSCI Emerging Markets | December 2022 | 16849875 | 508387 |
| 109 | MSCI Singapore | December 2022 | 2395867 | 36637 |
| 7 | Silver <sup>(g)</sup> | March 2023 | 762335 | 6626 |
| 47 | Soybean <sup>(g)</sup> | January 2023 | 3453325 | 190765 |
| 2 | TOPIX Index | December 2022 | 291612 | 6961 |
|  |  |  | $41099737 | $1293018 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Sales |  |  |  |  |
| 7 | Australian Government Bond 10 Yr. | December 2022 | $573284 | $(3297) |
| 41 | Canadian Government Bond 10 Yr. | March 2023 | 3832539 | (12932) |
| 35 | E-mini Russell 2000 Index | December 2022 | 3303125 | (83357) |
| 7 | Euro Bund | December 2022 | 1026198 | (3012) |
| 3 | Euro Bund | March 2023 | 437770 | (75) |
| 38 | FTSE Taiwan Index | December 2022 | 1998790 | (39885) |
| 11 | Gold 100 OZ <sup>(g)</sup> | February 2023 | 1935890 | (12395) |
| 31 | MSCI EAFE | December 2022 | 3068690 | (204415) |
| 109 | S&P 500 E-Mini | December 2022 | 22242813 | (225833) |
| 14 | S&P/TSX 60 | December 2022 | 2581749 | (140412) |
| 8 | SPI 200 Futures | December 2022 | 999888 | (28406) |
| 71 | U.S. Treasury Note 10 Yr. (CBT) | March 2023 | 8058500 | (43987) |
| 2 | UK Gilt Long Bond | March 2023 | 253079 | 1107 |
| 4 | WTI Crude <sup>(g)</sup> | December 2022 | 322200 | 30352 |
|  |  |  | $50634515 | $(766547) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

**Written Options** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Notional<br>Amount** | **Value ($)** |
|  **Equity Options – Calls** |  |  |  |  |  |  |
|  Continental Resources, Inc. | 70.00 | 12/16/22 | (93) | USD | (690758) | (39990) |
|  **Index Options – Puts** |  |  |  |  |  |  |
|  S&P 500 Index | 3770.00 | 12/02/22 | (9) | USD | (3672099) | (315) |
|  S&P 500 Index | 3990.00 | 12/09/22 | (8) | USD | (3264088) | (12400) |
|  S&P 500 Index | 3965.00 | 12/16/22 | (8) | USD | (3264088) | (25520) |
|  S&P 500 Index | 4025.00 | 12/23/22 | (8) | USD | (3264088) | (44880) |
|  | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | Total Index Options – Puts | (83115) |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Exercise**<br>**Rate** | **Expiration**<br>**Date** | **Principal/**<br> **Notional<br>Amount** | **Principal/**<br> **Notional<br>Amount** | **Floating Rate<br>Index** | **Pay/Receive**<br>**Floating Rate** | **Value ($)** |
|  **Written Options on Credit Default Swaps – Puts** | **Written Options on Credit Default Swaps – Puts** | **Written Options on Credit Default Swaps – Puts** | **Written Options on Credit Default Swaps – Puts** | **Written Options on Credit Default Swaps – Puts** | **Written Options on Credit Default Swaps – Puts** | **Written Options on Credit Default Swaps – Puts** | **Written Options on Credit Default Swaps – Puts** | **Written Options on Credit Default Swaps – Puts** |
|  CDX.NA.IG.S39 | DB | 105.00% | 12/21/22 | USD | (22225000) | FixedSpread | Pay | (2066) |
|  CDX.NA.IG.S39 | BCLY | 105.00% | 12/21/22 | USD | (11125000) | FixedSpread | Pay | (1034) |
|  CDX.NA.IG.S39 | DB | 100.00% | 01/18/23 | USD | (20010000) | FixedSpread | Pay | (10675) |
|  |  |  |  | Total Written Options On Credit Default Swaps – Puts | Total Written Options On Credit Default Swaps – Puts | Total Written Options On Credit Default Swaps – Puts | Total Written Options On Credit Default Swaps – Puts | (13775) |
|  |  |  |  | TOTAL WRITTEN OPTIONS (Premiums $435,073) | TOTAL WRITTEN OPTIONS (Premiums $435,073) | TOTAL WRITTEN OPTIONS (Premiums $435,073) | TOTAL WRITTEN OPTIONS (Premiums $435,073) | $(136880) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HY.S37.V2 | USD | 4405500 | 5.00% | 3.81% | N/A | 12/20/2026 | Quarterly | (244505) | (177392) | 67113 |
|  ITRAXX.XO.36.V1 | EUR | 6675000 | 5.00% | 3.99% | N/A | 12/20/2026 | Quarterly | (237664) | (239366) | (1702) |
|  CDX.NA.IG.S39 | USD | 33350000 | 1.00% | 0.76% | N/A | 12/20/2027 | Quarterly | (137482) | (364182) | (226700) |
|  |  |  |  |  |  |  |  | $(619651) | $(780940) | $(161289) |

---

**OTC Credit Default Swaps** 

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counterparty** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HYS.31 | CITI | USD | 1631000 | 5.00% | 1.56% | N/A | 12/20/2023 | Quarterly | (6361) | (57903) | (51542) |
|  CDX.NA.HYS.31 | CITI | USD | 1780000 | 5.00% | 1.56% | N/A | 12/20/2023 | Quarterly | 18334 | (63192) | (81526) |
|  CMBX.NA.BBB-.9 | MLCS | USD | 2640000 | 3.00% | 11.56% | N/A | 09/17/2058 | Monthly | 212244 | 515803 | 303559 |
|  CMBX.NA.BBB-.10 | GS | USD | 1886000 | 3.00% | 8.64% | N/A | 11/17/2059 | Monthly | 351268 | 324457 | (26811) |
|  CMBX.NA.BBB-.13 | CGMI | USD | 1500000 | 3.00% | 6.96% | N/A | 12/16/2072 | Monthly | 65524 | 286734 | 221210 |
|  CMBX.NA.BBB-.13 | GS | USD | 576500 | 3.00% | 6.96% | N/A | 12/16/2072 | Monthly | 35496 | 110202 | 74706 |
|  CMBX.NA.BBB-.13 | MSCI | USD | 1668750 | 3.00% | 6.96% | N/A | 12/16/2072 | Monthly | 226077 | 318992 | 92915 |
|  **Sell Protection^:** |  |  |  |  |  |  |  |  |  |  |  |
|  CDX.NA.HYS.31.V14-5Y | CITI | USD | 1187000 | 5.00% | 0.38% | 1,187,000 USD | 12/20/2023 | Quarterly | 121668 | 56779 | (64889) |
|  CDX.NA.HYS.31.V14-5Y | CITI | USD | 1928000 | 5.00% | 0.38% | 1,928,000 USD | 12/20/2023 | Quarterly | 203886 | 92225 | (111661) |
|  CDX.NA.HYS.31.V14-5Y | CITI | USD | 3560000 | 5.00% | 0.38% | 3,560,000 USD | 12/20/2023 | Quarterly | 238520 | 170290 | (68230) |
|  CDX.NA.HYS.33.V12-5Y | CITI | USD | 4388727 | 5.00% | 0.22% | 4,388,727 USD | 12/20/2024 | Quarterly | 756836 | 408575 | (348261) |
|  CDX.NA.HYS.35 | GS | USD | 2225000 | 5.00% | 1.47% | 2,225,000 USD | 12/20/2025 | Quarterly | 132919 | 224187 | 91268 |
|  CDX.NA.HYS.37 | GS | USD | 11125000 | 5.00% | 0.59% | 11,125,000 USD | 12/20/2026 | Quarterly | 2081364 | 1755564 | (325800) |
|  ITRAXX.XO.36 35 | MSCI | EUR | 13350000 | 5.00% | 0.81% | 13,350,000 EUR | 12/20/2026 | Quarterly | 2319299 | 2085895 | (233404) |
|  CMBX.NA.A.9 | CGMI | USD | 1112500 | 2.00% | 3.86% | 1,112,500 USD | 09/17/2058 | Monthly | (33096) | (52470) | (19374) |
|  CMBX.NA.A.9 | CGMI | USD | 1780000 | 2.00% | 3.86% | 1,780,000 USD | 09/17/2058 | Monthly | (44602) | (83952) | (39350) |
|  CMBX.NA.A.9 | MLCS | USD | 4750000 | 2.00% | 3.86% | 4,750,000 USD | 09/17/2058 | Monthly | 9294 | (224029) | (233323) |
|  CMBX.NA.AAA.10 | GS | USD | 4610000 | 0.50% | 0.54% | 4,610,000 USD | 11/17/2059 | Monthly | 42163 | (7087) | (49250) |
|  CMBX.NA.AAA.13 | GS | USD | 1730000 | 0.50% | 0.72% | 1,730,000 USD | 12/16/2072 | Monthly | 4051 | (22523) | (26574) |
|  |  |  |  |  |  |  |  |  | $6734884 | $5838547 | $(896337) |

---

---

| | |
|:---|:---|
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.  |

---

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. <br>

(1) As of November 30, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized
in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The
implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of
default or other credit event occurring as defined under the terms of the contract.

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

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration**<br>**Date** | **Periodic**<br>**Payment**<br>**Frequency** | **Premiums**<br>**Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.86% | 3 Month AUD BBSW | AUD | 9246000 | 12/21/2024 | Quarterly | (7067) | (24268) | (17201) |
|  3.91% | 3 Month AUD BBSW | AUD | 4500000 | 12/21/2024 | Quarterly |  | (14700) | (14700) |
|  4.08% | 3 Month CAD CDOR | CAD | 16859000 | 12/21/2024 | Semi-Annually | (344) | 67568 | 67912 |
|  4.25% | 3 Month CAD CDOR | CAD | 1500000 | 12/21/2024 | Semi-Annually |  | 2499 | 2499 |
|  3 Month CAD CDOR | 4.15% | CAD | 7500000 | 12/21/2024 | Semi-Annually |  | (22955) | (22955) |
|  CHF - SARON - OIS - COMPOUND | 1.39% | CHF | 4000000 | 12/21/2024 | Semi-Annually |  | 13713 | 13713 |
|  CHF - SARON - OIS - COMPOUND | 1.74% | CHF | 7500000 | 12/21/2024 | Semi-Annually |  | 80920 | 80920 |
|  1.81% | CHF - SARON - OIS -<br>COMPOUND | CHF | 18227000 | 12/21/2024 | Semi-Annually | (1465) | (224184) | (222719) |
|  1.40% | CHF - SARON - OIS -<br>COMPOUND | CHF | 2500000 | 12/21/2024 | Semi-Annually |  | (8835) | (8835) |
|  EUR - EuroSTR - COMPOUND | 2.59% | EUR | 6500000 | 12/21/2024 | Annually |  | (7154) | (7154) |
|  EUR - EuroSTR - COMPOUND | 2.64% | EUR | 2000000 | 12/21/2024 | Annually |  | (411) | (411) |
|  2.14% | EUR - EuroSTR - COMPOUND | EUR | 3481000 | 12/21/2024 | Annually | 846 | 36297 | 35451 |
|  2.94% | EUR - EuroSTR - COMPOUND | EUR | 4500000 | 12/21/2024 | Annually |  | (26398) | (26398) |
|  GBP - SONIA - COMPOUND | 3.96% | GBP | 14100000 | 12/21/2024 | Annually | (35542) | (134446) | (98904) |
|  GBP - SONIA - COMPOUND | 4.58% | GBP | 1500000 | 12/21/2024 | Annually |  | 6851 | 6851 |
|  4.26% | GBP - SONIA - COMPOUND | GBP | 4000000 | 12/21/2024 | Annually |  | 10996 | 10996 |
|  5.22% | GBP - SONIA - COMPOUND | GBP | 3500000 | 12/21/2024 | Annually |  | (66960) | (66960) |
|  5.36% | GBP - SONIA - COMPOUND | GBP | 3000000 | 12/21/2024 | Annually |  | (66907) | (66907) |
|  3 Month SEK STIBOR | 3.29% | SEK | 127391000 | 12/21/2024 | Quarterly | 26213 | 21174 | (5039) |
|  3 Month SEK STIBOR | 3.45% | SEK | 25000000 | 12/21/2024 | Quarterly |  | 11236 | 11236 |
|  USD - SOFR - COMPOUND | 4.59% | USD | 3500000 | 12/21/2024 | Semi-Annually |  | 13340 | 13340 |
|  3.58% | USD - SOFR - COMPOUND | USD | 2613000 | 12/21/2024 | Semi-Annually | 879 | 40040 | 39161 |
|  4.47% | USD - SOFR - COMPOUND | USD | 5000000 | 12/21/2024 | Semi-Annually |  | (8329) | (8329) |
|  6 Month AUD BBSW | 4.14% | AUD | 1100000 | 12/21/2032 | Semi-Annually |  | (1046) | (1046) |
|  6 Month AUD BBSW | 4.19% | AUD | 1100000 | 12/21/2032 | Semi-Annually |  | 1976 | 1976 |
|  6 Month AUD BBSW | 4.21% | AUD | 1300000 | 12/21/2032 | Semi-Annually |  | 3959 | 3959 |
|  6 Month AUD BBSW | 4.25% | AUD | 4524000 | 12/21/2032 | Semi-Annually | 10593 | 23245 | 12652 |
|  6 Month AUD BBSW | 4.25% | AUD | 2205000 | 12/21/2032 | Semi-Annually | 5163 | 11330 | 6167 |
|  6 Month AUD BBSW | 4.29% | AUD | 1300000 | 12/21/2032 | Semi-Annually |  | 9948 | 9948 |
|  6 Month AUD BBSW | 4.57% | AUD | 1900000 | 12/21/2032 | Semi-Annually |  | 44015 | 44015 |
|  6 Month AUD BBSW | 4.73% | AUD | 3700000 | 12/21/2032 | Semi-Annually |  | 118469 | 118469 |
|  4.48% | 6 Month AUD BBSW | AUD | 2500000 | 12/21/2032 | Semi-Annually |  | (44732) | (44732) |
|  3.71% | 3 Month CAD CDOR | CAD | 6623000 | 12/21/2032 | Semi-Annually | (3007) | (98302) | (95295) |
|  3.66% | 3 Month CAD CDOR | CAD | 900000 | 12/21/2032 | Semi-Annually |  | (10576) | (10576) |
|  3.55% | 3 Month CAD CDOR | CAD | 2600000 | 12/21/2032 | Semi-Annually |  | (12800) | (12800) |
|  3.57% | 3 Month CAD CDOR | CAD | 1300000 | 12/21/2032 | Semi-Annually |  | (7733) | (7733) |
|  3.65% | 3 Month CAD CDOR | CAD | 2500000 | 12/21/2032 | Semi-Annually |  | (28117) | (28117) |
|  3.68% | 3 Month CAD CDOR | CAD | 1700000 | 12/21/2032 | Semi-Annually |  | (22659) | (22659) |
|  3 Month CAD CDOR | 3.41% | CAD | 1300000 | 12/21/2032 | Semi-Annually |  | (4855) | (4855) |
|  3 Month CAD CDOR | 3.57% | CAD | 1500000 | 12/21/2032 | Semi-Annually |  | 8969 | 8969 |
|  3 Month CAD CDOR | 3.59% | CAD | 400000 | 12/21/2032 | Semi-Annually |  | 2972 | 2972 |
|  3 Month CAD CDOR | 3.63% | CAD | 1300000 | 12/21/2032 | Semi-Annually |  | 12899 | 12899 |
|  3 Month CAD CDOR | 3.71% | CAD | 3686000 | 12/21/2032 | Semi-Annually | 3007 | 54712 | 51705 |
|  3 Month CAD CDOR | 3.79% | CAD | 2400000 | 12/21/2032 | Semi-Annually |  | 47582 | 47582 |
|  3 Month CAD CDOR | 3.84% | CAD | 2700000 | 12/21/2032 | Semi-Annually |  | 63238 | 63238 |
|  3 Month CAD CDOR | 3.97% | CAD | 1300000 | 12/21/2032 | Semi-Annually |  | 41109 | 41109 |
|  3 Month CAD CDOR | 4.04% | CAD | 2400000 | 12/21/2032 | Semi-Annually |  | 85960 | 85960 |
|  CHF - SARON - OIS - COMPOUND | 1.85% | CHF | 600000 | 12/21/2032 | Semi-Annually | (2802) | 11885 | 14687 |
|  CHF - SARON - OIS - COMPOUND | 1.86% | CHF | 7040000 | 12/21/2032 | Semi-Annually |  | 148130 | 148130 |
|  CHF - SARON - OIS - COMPOUND | 1.93% | CHF | 1300000 | 12/21/2032 | Semi-Annually |  | 36076 | 36076 |
|  CHF - SARON - OIS - COMPOUND | 2.05% | CHF | 3966000 | 12/21/2032 | Semi-Annually | 2493 | 156624 | 154131 |
|  CHF - SARON - OIS - COMPOUND | 2.18% | CHF | 800000 | 12/21/2032 | Semi-Annually | 3413 | 41460 | 38047 |
|  CHF - SARON - OIS - COMPOUND | 2.20% | CHF | 1700000 | 12/21/2032 | Semi-Annually | (1469) | 92296 | 93765 |
|  CHF - SARON - OIS - COMPOUND | 2.27% | CHF | 1100000 | 12/21/2032 | Semi-Annually |  | 67589 | 67589 |
|  2.01% | CHF - SARON - OIS -<br>COMPOUND | CHF | 1300000 | 12/21/2032 | Semi-Annually |  | (45567) | (45567) |
|  2.19% | CHF - SARON - OIS -<br>COMPOUND | CHF | 1600000 | 12/21/2032 | Semi-Annually | 2738 | (85398) | (88136) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration**<br>**Date** | **Periodic**<br>**Payment**<br>**Frequency** | **Premiums**<br>**Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  2.24% | CHF - SARON - OIS -<br>COMPOUND | CHF | 1000000 | 12/21/2032 | Semi-Annually |  | (57992) | (57992) |
|  2.18% | CHF - SARON - OIS -<br>COMPOUND | CHF | 900000 | 12/21/2032 | Semi-Annually | (4402) | (47255) | (42853) |
|  2.11% | CHF - SARON - OIS -<br>COMPOUND | CHF | 1200000 | 12/21/2032 | Semi-Annually |  | (53902) | (53902) |
|  1.98% | CHF - SARON - OIS -<br>COMPOUND | CHF | 1300000 | 12/21/2032 | Semi-Annually |  | (42040) | (42040) |
|  1.85% | CHF - SARON - OIS -<br>COMPOUND | CHF | 1300000 | 12/21/2032 | Semi-Annually | 7927 | (25558) | (33485) |
|  EUR - EuroSTR - COMPOUND | 2.21% | EUR | 766000 | 12/21/2032 | Annually | 465 | (14366) | (14831) |
|  EUR - EuroSTR - COMPOUND | 2.48% | EUR | 1100000 | 12/21/2032 | Annually |  | 7119 | 7119 |
|  EUR - EuroSTR - COMPOUND | 2.89% | EUR | 800000 | 12/21/2032 | Annually |  | 35134 | 35134 |
|  EUR - EuroSTR - COMPOUND | 2.94% | EUR | 6249000 | 12/21/2032 | Annually | 2207 | 302211 | 300004 |
|  EUR - EuroSTR - COMPOUND | 3.12% | EUR | 1000000 | 12/21/2032 | Annually |  | 65164 | 65164 |
|  2.82% | EUR - EuroSTR - COMPOUND | EUR | 900000 | 12/21/2032 | Annually |  | (33736) | (33736) |
|  2.80% | EUR - EuroSTR - COMPOUND | EUR | 430000 | 12/21/2032 | Annually |  | (15223) | (15223) |
|  2.80% | EUR - EuroSTR - COMPOUND | EUR | 1600000 | 12/21/2032 | Annually |  | (57012) | (57012) |
|  2.41% | EUR - EuroSTR - COMPOUND | EUR | 1400000 | 12/21/2032 | Annually |  | (247) | (247) |
|  2.75% | EUR - EuroSTR - COMPOUND | EUR | 470000 | 12/21/2032 | Annually |  | (14681) | (14681) |
|  2.69% | EUR - EuroSTR - COMPOUND | EUR | 1600000 | 12/21/2032 | Annually |  | (41386) | (41386) |
|  2.70% | EUR - EuroSTR - COMPOUND | EUR | 500000 | 12/21/2032 | Annually |  | (13164) | (13164) |
|  2.55% | EUR - EuroSTR - COMPOUND | EUR | 2200000 | 12/21/2032 | Annually |  | (28087) | (28087) |
|  2.63% | EUR - EuroSTR - COMPOUND | EUR | 1000000 | 12/21/2032 | Annually |  | (19802) | (19802) |
|  GBP - SONIA - COMPOUND | 3.30% | GBP | 800000 | 12/21/2032 | Annually |  | (5629) | (5629) |
|  GBP - SONIA - COMPOUND | 3.52% | GBP | 900000 | 12/21/2032 | Annually |  | 12599 | 12599 |
|  GBP - SONIA - COMPOUND | 4.12% | GBP | 700000 | 12/21/2032 | Annually |  | 51780 | 51780 |
|  GBP - SONIA - COMPOUND | 4.33% | GBP | 1300000 | 12/21/2032 | Annually |  | 123832 | 123832 |
|  GBP - SONIA - COMPOUND | 4.65% | GBP | 700000 | 12/21/2032 | Annually |  | 88749 | 88749 |
|  3.19% | GBP - SONIA - COMPOUND | GBP | 3040000 | 12/21/2032 | Annually | 20326 | 55706 | 35380 |
|  3.96% | GBP - SONIA - COMPOUND | GBP | 1050000 | 12/21/2032 | Annually |  | (61118) | (61118) |
|  3.93% | GBP - SONIA - COMPOUND | GBP | 510000 | 12/21/2032 | Annually |  | (28393) | (28393) |
|  3.90% | GBP - SONIA - COMPOUND | GBP | 540000 | 12/21/2032 | Annually |  | (28022) | (28022) |
|  3.79% | GBP - SONIA - COMPOUND | GBP | 1100000 | 12/21/2032 | Annually |  | (45540) | (45540) |
|  3.76% | GBP - SONIA - COMPOUND | GBP | 300000 | 12/21/2032 | Annually |  | (11435) | (11435) |
|  4.28% | 3 Month NZD Bank Bill Rate | NZD | 4610000 | 12/21/2032 | Quarterly | (30611) | 26098 | 56709 |
|  4.82% | 3 Month NZD Bank Bill Rate | NZD | 2400000 | 12/21/2032 | Quarterly |  | (51440) | (51440) |
|  4.75% | 3 Month NZD Bank Bill Rate | NZD | 1700000 | 12/21/2032 | Quarterly |  | (30186) | (30186) |
|  3 Month NZD Bank Bill Rate | 4.21% | NZD | 2300000 | 12/21/2032 | Quarterly |  | (22155) | (22155) |
|  3 Month NZD Bank Bill Rate | 4.45% | NZD | 2400000 | 12/21/2032 | Quarterly |  | 6705 | 6705 |
|  3 Month NZD Bank Bill Rate | 4.52% | NZD | 2300000 | 12/21/2032 | Quarterly |  | 14709 | 14709 |
|  3 Month NZD Bank Bill Rate | 4.76% | NZD | 2110000 | 12/21/2032 | Quarterly |  | 39071 | 39071 |
|  3 Month NZD Bank Bill Rate | 4.86% | NZD | 1990000 | 12/21/2032 | Quarterly |  | 46942 | 46942 |
|  3 Month SEK STIBOR | 2.69% | SEK | 15000000 | 12/21/2032 | Quarterly |  | (3734) | (3734) |
|  3.28% | 3 Month SEK STIBOR | SEK | 12000000 | 12/21/2032 | Quarterly |  | (55497) | (55497) |
|  3.17% | 3 Month SEK STIBOR | SEK | 20000000 | 12/21/2032 | Quarterly |  | (74457) | (74457) |
|  3.16% | 3 Month SEK STIBOR | SEK | 11000000 | 12/21/2032 | Quarterly |  | (40041) | (40041) |
|  2.91% | 3 Month SEK STIBOR | SEK | 28000000 | 12/21/2032 | Quarterly |  | (43422) | (43422) |
|  2.87% | 3 Month SEK STIBOR | SEK | 26956000 | 12/21/2032 | Quarterly | (3631) | (33438) | (29807) |
|  2.98% | 3 Month SEK STIBOR | SEK | 14000000 | 12/21/2032 | Quarterly |  | (30399) | (30399) |
|  3.08% | 3 Month SEK STIBOR | SEK | 11000000 | 12/21/2032 | Quarterly |  | (32987) | (32987) |
|  3.10% | 3 Month SEK STIBOR | SEK | 19000000 | 12/21/2032 | Quarterly |  | (60122) | (60122) |
|  3 Month SEK STIBOR | 3.19% | SEK | 20000000 | 12/21/2032 | Quarterly |  | 77767 | 77767 |
|  USD - SOFR - COMPOUND | 3.08% | USD | 2600000 | 12/21/2032 | Semi-Annually |  | (62244) | (62244) |
|  USD - SOFR - COMPOUND | 3.13% | USD | 587000 | 12/21/2032 | Semi-Annually | (788) | (11936) | (11148) |
|  USD - SOFR - COMPOUND | 3.22% | USD | 1100000 | 12/21/2032 | Semi-Annually |  | (13509) | (13509) |
|  USD - SOFR - COMPOUND | 3.48% | USD | 800000 | 12/21/2032 | Semi-Annually |  | 7185 | 7185 |
|  USD - SOFR - COMPOUND | 3.68% | USD | 2500000 | 12/21/2032 | Semi-Annually |  | 64497 | 64497 |
|  USD - SOFR - COMPOUND | 3.69% | USD | 1100000 | 12/21/2032 | Semi-Annually |  | 30085 | 30085 |
|  USD - SOFR - COMPOUND | 3.81% | USD | 2900000 | 12/21/2032 | Semi-Annually |  | 106194 | 106194 |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration**<br>**Date** | **Periodic**<br>**Payment**<br>**Frequency** | **Premiums**<br>**Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.13% | USD - SOFR - COMPOUND | USD | 6401000 | 12/21/2032 | Semi-Annually | 3409 | 126986 | 123577 |
|  3.79% | USD - SOFR - COMPOUND | USD | 800000 | 12/21/2032 | Semi-Annually |  | (28054) | (28054) |
|  3.70% | USD - SOFR - COMPOUND | USD | 1100000 | 12/21/2032 | Semi-Annually |  | (30501) | (30501) |
|  3.72% | USD - SOFR - COMPOUND | USD | 1200000 | 12/21/2032 | Semi-Annually |  | (35840) | (35840) |
|  3.91% | USD - SOFR - COMPOUND | USD | 700000 | 12/21/2032 | Semi-Annually |  | (32062) | (32062) |
|  3.44% | USD - SOFR - COMPOUND | USD | 1100000 | 12/21/2032 | Semi-Annually |  | (6743) | (6743) |
|  |  |  |  |  |  | $(1449) | $366923 | $368372 |

---

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  SOFR | Total Return on<br>iShares iBoxx<br>High Yield<br>Corporate<br>Bond ETF | MSCI | USD | 5000000 | 03/20/2023 | Quarterly | (187) | 123542 | 123729 |
|  SOFR | Total Return on<br>iShares iBoxx<br>High Yield<br>Corporate<br>Bond ETF | MSCI | USD | 10000000 | 03/20/2023 | Quarterly | (368) | 167993 | 168361 |
|  1 Month Federal Funds Rate plus 0.09% | Total Return on<br>MSCI World<br>Daily Total<br>Return Net<br>Value Index | GS | USD | 2849764 | 05/09/2023 | Monthly |  | 210980 | 210980 |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month<br>Federal Funds<br>Rate minus<br>0.08% | GS | USD | 2565392 | 05/09/2023 | Monthly |  | (203248) | (203248) |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month<br>Federal Funds<br>Rate minus<br>0.08% | GS | USD | 261775 | 05/09/2023 | Monthly |  | (20740) | (20740) |
|  1 Month Federal Funds Rate plus 0.01% | Total Return on<br>MSCI World<br>Daily Total<br>Return Net<br>Value Index | UBSA | USD | 3477142 | 05/12/2023 | Monthly |  | 88482 | 88482 |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month<br>Federal Funds<br>Rate plus<br>0.02% | UBSA | USD | 3597554 | 05/12/2023 | Monthly |  | (30375) | (30375) |
|  1 Month Federal Funds Rate plus 0.05% | Total Return on<br>MSCI World<br>Daily Total<br>Return Net<br>Value Index | UBSA | USD | 948282 | 05/22/2023 | Monthly |  | 12638 | 12638 |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month<br>Federal Funds<br>Rate plus<br>0.06% | UBSA | USD | 789297 | 05/22/2023 | Monthly |  | (9735) | (9735) |

---

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**OTC Total Return Swaps — continued** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  1 Month Federal Funds Rate plus 0.01% | Total Return on<br>MSCI World<br>Daily Total<br>Return Net<br>Value Index | UBSA | USD | 428805 | 08/09/2023 | Monthly |  | 31746 | 31746 |
|  Total Returnon MSCI World Daily Total Return Net Growth Index | 1 Month<br>Federal Funds<br>Rate minus<br>0.01% | UBSA | USD | 235597 | 08/09/2023 | Monthly |  | (18666) | (18666) |
|  Total Return on Equity Basket <sup>(h)</sup> | 1 Month<br>Federal Funds<br>Rate minus<br>0.75% | GS | USD | 1 | 05/24/2024 | Monthly |  | (507) | (507) |
|  Total Return on Equity Basket <sup>(h)</sup> | 1 Month<br>Federal Funds<br>Rate plus<br>1.00% | MORD | USD | 1 | 05/24/2024 | Monthly |  | (85) | (85) |
|  Total Return on Equity Basket <sup>(i)</sup> | 1 Month<br>Federal Funds<br>Rate minus<br>0.40% | MORD | USD | 2538483 | 06/18/2024 | Monthly |  | (80506) | (80506) |
|  Total Return on Equity Basket <sup>(h)</sup> | 1 Month<br>Federal Funds<br>Rate minus<br>0.40% | GS | USD | 1096794 | 06/24/2024 | Monthly |  | (13443) | (13443) |
|  |  |  |  |  |  |  | $(555) | $258076 | $258631 |

---

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

\* Non-income producing security.

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

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

(c) Investment valued using significant unobservable inputs.

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

(e) The rate disclosed is the 7 day net yield as of November 30, 2022.

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

(f) The rate shown represents yield-to-maturity.

(g) All or a portion of this security or derivative is owned by GMO Alternative Allocation SPC Ltd., which is a 100%
owned subsidiary of GMO Alternative Allocation Fund.

(h) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket
swap which has a notional amount of less than 1% of the Fund's total net assets.

------

**GMO Alternative Allocation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

(i) The following table represents the individual long and/or short positions within the custom equity basket swap
as of November 30, 2022:

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
| (82000) | Air China Ltd – Class H | 2.5% | (66000) |
| (181500) | Airports of Thailand Pcl NVDR | 14.8% | (387625) |
| (92000) | Alibaba Health Information Technology Ltd | 3.0% | (77662) |
| (222000) | China Molybdenum Co Ltd – Class H | 4.0% | (104003) |
| (9960) | Ganfeng Lithium Co Ltd – Class H | 3.4% | (88136) |
| (28000) | Genscript Biotech Corp | 2.8% | (72523) |
| (174500) | Gulf Energy Development Pcl NVDR | 10.1% | (263930) |
| (369) | Hanmi Pharm Co Ltd | 2.8% | (73777) |
| (3653) | Hotel Shilla Co Ltd | 7.8% | (205284) |
| (2341) | Kakao Corp | 3.9% | (102715) |
| (124000) | Kingdee International Software Group Co Ltd | 8.0% | (209252) |
| (12100) | Klabin SA | 1.7% | (45934) |
| (6360) | Korea Aerospace Industries Ltd | 9.0% | (236194) |
| (494) | Samsung Biologics Co Ltd | 12.8% | (335988) |
| (40355) | Samsung Heavy Industries Co Ltd | 6.2% | (161450) |
| (406) | Yuhan Corp | 0.7% | (18148) |
| (130000) | Zijin Mining Group Co Ltd – Class H | 6.5% | (172544) |
|  | TOTAL COMMON STOCKS |  | $(2621165) |

---

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

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

CDOR - Canadian Dollar Offering Rate

CVR - Contingent Value Right

ETF - Exchange-Traded Fund

EuroSTR - Euro Short-Term Rate

GDR - Global Depositary Receipt

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

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

OIS - Overnight Indexed Swaps

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

USBM - U.S. Treasury 3 Month Bill Money Market Yield

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CGMI - Citigroup Global Markets Inc.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MLCS - Merrill Lynch Capital Services, Inc.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

**Currency Abbreviations:** 

AUD - Australian Dollar

BRL - Brazil Real

CAD - Canada Dollar

CHF - Switzerland Franc

CLP - Chile Peso

COP - Colombia Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - United Kingdom Pound

HUF - Hungary Forint

IDR - Indonesia Rupiah

ILS - Israel Shekel

INR - Indian Rupee

JPY - Japan Yen

KRW - Korean Won

MXN - Mexico Peso

NOK - Norway Krone

NZD - New Zealand Dollar

PEN - Peru Nuevo Sol

PHP - Philippines Peso

PLN - Poland Zloty

RON - Romania New Leu

SEK - Sweden Krona

SGD - Singapore Dollar

THB - Thailand Baht

TWD - Taiwan New Dollar

USD - United States Dollar

------

**GMO Benchmark-Free Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **MUTUAL FUNDS — 100.0%** |  |
| | **Affiliated Issuers — 100.0%** | |
| 7645231 | GMO Emerging Country Debt Fund, Class VI | 145641657 |
| 6146389 | GMO High Yield Fund, Class VI | 109897440 |
| 313952720 | GMO Implementation Fund | 3867897510 |
| 8319562 | GMO Opportunistic Income Fund, Class VI | 202830909 |
| 4423466 | GMO SGM Major Markets Fund, Class VI | 120981792 |
|  | TOTAL MUTUAL FUNDS<br>(COST $4,754,175,324) | 4447249308 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** |  |
| 3074108 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 3074108 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $3,074,108) | 3074108 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $4,757,249,432) | **4450323416** |
|  | Other Assets and Liabilities (net) — (0.0%) | (2092538) |
|  | **TOTAL NET ASSETS — 100.0%** | **$4448230878** |

---

**Notes to Schedule of Investments:** 

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
|  | **COMMON STOCKS — 69.6%** |  |
| | **Argentina — 0.0%** | |
| 1400 | Banco BBVA Argentina SA ADR | 4522 |
|  | **Australia — 1.4%** |  |
| 13589 | Accent Group Ltd | 16774 |
| 223654 | Aurizon Holdings Ltd <sup>(a)</sup> | 581294 |
| 33572 | Austal Ltd | 55915 |
| 425997 | Beach Energy Ltd | 513561 |
| 1639 | BHP Group Ltd <sup>(a)</sup> | 50900 |
| 200238 | BlueScope Steel Ltd | 2413454 |
| 196144 | Brambles Ltd <sup>(a)</sup> | 1622473 |
| 3436 | Brickworks Ltd | 52750 |
| 14775 | Challenger Ltd <sup>(b)</sup> | 73913 |
| 181834 | Fortescue Metals Group Ltd <sup>(a) (b)</sup> | 2420150 |
| 297919 | GPT Group (The) (REIT) | 918467 |
| 123483 | GrainCorp Ltd – Class A | 682736 |
| 236656 | Grange Resources Ltd | 123629 |
| 125751 | Helia Group Ltd | 232443 |
| 43009 | HomeCo Daily Needs (REIT) | 39159 |
| 18596 | Incitec Pivot Ltd | 50923 |
| 30943 | JB Hi-Fi Ltd <sup>(a)</sup> <sup>(b)</sup> | 951632 |
| 5884 | McMillan Shakespeare Ltd | 59220 |
| 158806 | Metcash Ltd <sup>(b)</sup> | 454127 |
| 659912 | Mirvac Group (REIT) | 1012647 |
| 4524 | Monadelphous Group Ltd | 42528 |
| 3311 | National Australia Bank Ltd <sup>(a)</sup> | 71266 |
| 18241 | NRW Holdings Ltd | 34187 |
| 63758 | Nufarm Ltd <sup>(b)</sup> | 263832 |
| 1846 | Premier Investments Ltd | 32264 |
| 40325 | Rio Tinto Ltd <sup>(a)</sup> | 3010448 |
| 403428 | Scentre Group (REIT) <sup>(a)</sup> | 822867 |
| 24597 | Sims Ltd | 219763 |
| 24820 | Southern Cross Media Group Ltd <sup>(b)</sup> | 17791 |
| 341622 | Stockland (REIT) <sup>(a)</sup> | 891932 |
| 8432 | Super Retail Group Ltd | 63870 |
| 135821 | Viva Energy Group Ltd | 255216 |
|  | Total Australia | 18052131 |
|  | **Austria — 0.0%** |  |
| 1459 | Strabag SE | 60853 |
| 1513 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 35458 |
|  | Total Austria | 96311 |
|  | **Belgium — 0.4%** |  |
| 1112 | Ackermans & van Haaren NV | 176748 |
| 50092 | Ageas SA/NV | 2028318 |
| 11800 | Bekaert SA | 421364 |
| 1235 | Cie d'Entreprises CFE <sup>\*</sup> | 12160 |
| 331 | Deme Group NV <sup>\*</sup> | 41156 |
| 12643 | Econocom Group SA <sup>(a)</sup> | 37430 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Belgium — continued** | |
| 963 | Orange Belgium SA <sup>\*</sup> | 17168 |
| 6690 | Proximus SADP | 69983 |
| 3825 | Sofina SA | 832600 |
| 2378 | Solvay SA <sup>(a)</sup> | 235885 |
| 1347 | Telenet Group Holding NV | 21504 |
| 20592 | UCB SA | 1662115 |
|  | Total Belgium | 5556431 |
|  | **Brazil — 0.9%** |  |
| 92100 | Banco do Brasil SA | 626145 |
| 9000 | BB Seguridade Participacoes SA | 54319 |
| 3300 | Cia Paranaense de Energia | 25322 |
| 7700 | Companhia Energetica de Minas Gerais | 26812 |
| 11000 | CPFL Energia SA | 73978 |
| 13500 | EDP – Energias do Brasil SA | 55203 |
| 64127 | Enauta Participacoes SA | 165590 |
| 41800 | Itau Unibanco Holding SA | 181398 |
| 56000 | JBS SA | 237949 |
| 66810 | Localiza Rent a Car SA | 773754 |
| 204 | Localiza Rent a Car SA GDR <sup>\* (c)</sup> | 2363 |
| 299300 | Marfrig Global Foods SA | 504663 |
| 243700 | Petroleo Brasileiro SA Sponsored ADR | 2848853 |
| 47300 | Ser Educacional SA <sup>\*</sup> | 50314 |
| 66200 | Telefonica Brasil SA | 485400 |
| 65300 | Telefonica Brasil SA ADR | 477343 |
| 836500 | TIM SA | 2095542 |
| 15500 | TIM SA ADR | 193130 |
| 43700 | Transmissora Alianca de Energia Eletrica SA | 290865 |
| 13452 | Vale SA | 222180 |
| 93500 | Vale SA Sponsored ADR – Class B <sup>(a)</sup> | 1542750 |
| 267140 | Vibra Energia SA | 850940 |
|  | Total Brazil | 11784813 |
|  | **Canada — 2.5%** |  |
| 26100 | Alimentation Couche-Tard Inc <sup>(a)</sup> | 1189018 |
| 4100 | Atco Ltd – Class I <sup>(a)</sup> | 131277 |
| 5100 | Bank of Montreal <sup>(a)</sup> | 498114 |
| 1800 | Bank of Nova Scotia (The) <sup>(a)</sup> | 93960 |
| 17500 | Birchcliff Energy Ltd <sup>(b)</sup> | 139724 |
| 63400 | BlackBerry Ltd <sup>\*</sup> <sup>(a)</sup> | 308758 |
| 57048 | Brookfield Asset Management Inc – Class A <sup>(a)</sup> | 2689813 |
| 6700 | Canaccord Genuity Group Inc | 39000 |
| 15600 | Canadian Apartment Properties (REIT) <sup>(a)</sup> | 506799 |
| 1700 | Canadian National Railway Co <sup>(a)</sup> | 218331 |
| 14400 | Canadian Tire Corp Ltd – Class A <sup>(a)</sup> | 1630819 |
| 25000 | Canfor Corp <sup>\*</sup> | 442887 |
| 46900 | Celestica Inc <sup>\* (b) (d)</sup> | 523339 |
| 16200 | Celestica Inc <sup>\*</sup> <sup>(d)</sup> | 180792 |
| 12300 | Cenovus Energy Inc <sup>(d)</sup> | 244647 |
| 7100 | Cenovus Energy Inc <sup>(d)</sup> | 141192 |
| 4003 | Cogeco Inc <sup>(b)</sup> | 178553 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Canada — continued** | |
| 2900 | DREAM UnLtd Corp – Class A <sup>(b)</sup> | 62305 |
| 4400 | Element Fleet Management Corp | 62345 |
| 3600 | Enerplus Corp | 66888 |
| 400 | Fairfax Financial Holdings Ltd <sup>(a)</sup> | 229500 |
| 14600 | Finning International Inc | 369789 |
| 1900 | Hardwoods Distribution Inc | 36753 |
| 11300 | Hydro One Ltd <sup>(a)</sup> | 316029 |
| 5900 | iA Financial Corp Inc | 332863 |
| 21200 | Imperial Oil Ltd <sup>(d)</sup> | 1209460 |
| 2700 | Imperial Oil Ltd <sup>(b)</sup> <sup>(d)</sup> | 153612 |
| 44100 | Interfor Corp <sup>\*</sup> <sup>(b)</sup> | 826168 |
| 13128 | International Petroleum Corp <sup>\*</sup> | 152548 |
| 4700 | Loblaw Cos Ltd <sup>(a)</sup> | 424176 |
| 30100 | Magna International Inc | 1853461 |
| 71400 | Manulife Financial Corp <sup>(a)</sup> <sup>(d)</sup> | 1287342 |
| 60400 | Manulife Financial Corp <sup>(a)</sup> <sup>(d)</sup> | 1087977 |
| 15900 | Mullen Group Ltd <sup>(a)</sup> | 180968 |
| 3300 | National Bank of Canada <sup>(b)</sup> | 235341 |
| 35389 | Nutrien Ltd <sup>(a)</sup> | 2845276 |
| 16800 | Onex Corp | 885367 |
| 12600 | Parex Resources Inc <sup>(b)</sup> | 180408 |
| 6900 | Power Corp of Canada <sup>(a)</sup> | 173584 |
| 17300 | PrairieSky Royalty Ltd <sup>(b)</sup> | 283714 |
| 49400 | Quebecor Inc – Class B <sup>(a)</sup> | 1064644 |
| 4600 | Rogers Sugar Inc | 20826 |
| 14600 | Russel Metals Inc <sup>(b)</sup> | 314218 |
| 7300 | Sleep Country Canada Holdings Inc | 125362 |
| 1600 | Spin Master Corp | 40810 |
| 4600 | Suncor Energy Inc <sup>(d)</sup> | 151253 |
| 1000 | Suncor Energy Inc <sup>(d)</sup> | 32870 |
| 107000 | Teck Resources Ltd – Class B<sup>\*</sup> <sup>(d)</sup> | 3966115 |
| 62800 | Teck Resources Ltd – Class B <sup>(d)</sup> | 2329252 |
| 15600 | Uni-Select Inc <sup>\*</sup> | 528021 |
| 1500 | Wajax Corp | 23083 |
| 22600 | West Fraser Timber Co Ltd <sup>(b)</sup> <sup>(d)</sup> | 1767812 |
| 4900 | West Fraser Timber Co Ltd <sup>(d)</sup> | 384013 |
|  | Total Canada | 33161176 |
|  | **Chile — 0.1%** |  |
| 484745 | Banco de Chile | 45849 |
| 1433 | CAP SA | 10519 |
| 241464 | Cencosud SA | 360013 |
| 37376 | Cencosud Shopping SA | 47761 |
| 7100 | Cia Cervecerias Unidas SA Sponsored ADR | 86478 |
| 1696576 | Colbun SA | 150947 |
| 337799 | Falabella SA | 604282 |
| 28643 | Inversiones La Construccion SA | 90448 |
|  | Total Chile | 1396297 |
|  | **China — 3.9%** |  |
| 116000 | 361 Degrees International Ltd <sup>\*</sup> | 50749 |
| 454500 | 3SBio Inc | 482139 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **China — continued** | |
| 7698000 | Agricultural Bank of China Ltd – Class H | 2573255 |
| 215169 | Alibaba Group Holding Ltd <sup>\*</sup> | 2341717 |
| 116000 | Anhui Conch Cement Co Ltd – Class H | 422511 |
| 838000 | BAIC Motor Corp Ltd – Class H | 231478 |
| 5530000 | Bank of China Ltd – Class H | 1959825 |
| 2189091 | Bank of Communications Co Ltd – Class H | 1240342 |
| 118000 | Beijing Enterprises Holdings Ltd | 375290 |
| 234000 | China BlueChemical Ltd – Class H | 54406 |
| 2998000 | China Cinda Asset Management Co Ltd – Class H | 394407 |
| 446000 | China Communications Services Corp Ltd – Class H | 153750 |
| 142500 | China Conch Venture Holdings Ltd | 326104 |
| 4405000 | China Construction Bank Corp – Class H | 2665906 |
| 683000 | China Dongxiang Group Co Ltd | 28332 |
| 1894000 | China Energy Engineering Corp Ltd – Class H <sup>(b)</sup> | 232833 |
| 1059000 | China Everbright Environment Group Ltd | 489996 |
| 1058000 | China Greenfresh Group Co Ltd <sup>(e)</sup> |  |
| 1348500 | China Hongqiao Group Ltd | 1274419 |
| 280000 | China Lesso Group Holdings Ltd | 343267 |
| 52000 | China Lilang Ltd | 24604 |
| 274645 | China Medical System Holdings Ltd | 402256 |
| 34780 | China Merchants Port Holdings Co Ltd | 50766 |
| 98000 | China National Building Material Co Ltd – Class H | 87381 |
| 462000 | China Overseas Grand Oceans Group Ltd | 214116 |
| 1161500 | China Overseas Land & Investment Ltd | 3173828 |
| 7248000 | China Petroleum & Chemical Corp – Class H | 3421737 |
| 2421042 | China Railway Group Ltd – Class H | 1366554 |
| 693000 | China Reinsurance Group Corp – Class H | 44244 |
| 1097000 | China Resources Pharmaceutical Group Ltd | 903665 |
| 56000 | China Shineway Pharmaceutical Group Ltd | 50827 |
| 336000 | China South City Holdings Ltd <sup>\*</sup> <sup>(b)</sup> | 24706 |
| 552000 | China State Construction International Holdings Ltd | 666558 |
| 1420000 | China Traditional Chinese Medicine Holdings Co Ltd | 711963 |
| 1776400 | China Zhongwang Holdings Ltd <sup>\*</sup> <sup>(c)</sup> | 382073 |
| 1874000 | CITIC Ltd | 1921165 |
| 2504000 | CSPC Pharmaceutical Group Ltd | 3225945 |
| 1060000 | Dongfeng Motor Group Co Ltd – Class H | 597159 |
| 98000 | Far East Horizon Ltd | 74576 |
| 92500 | Fosun International Ltd | 70713 |
| 130000 | Fufeng Group Ltd | 82821 |
| 52000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 139612 |
| 284600 | Haier Smart Home Co Ltd – Class H | 947193 |
| 71500 | Hengan International Group Co Ltd | 329575 |
| 67000 | Hisense Home Appliances Group Co Ltd – Class H | 69759 |
| 198750 | Kingboard Holdings Ltd | 657951 |
| 120200 | Legend Holdings Corp – Class H | 123448 |
| 2628000 | Lenovo Group Ltd | 2244432 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **China — continued** | |
| 38481 | Livzon Pharmaceutical Group Inc – Class H | 134846 |
| 249000 | Lonking Holdings Ltd | 44516 |
| 610000 | Metallurgical Corp of China Ltd – Class H | 137445 |
| 52000 | MMG Ltd <sup>\*</sup> | 13685 |
| 23500 | NetDragon Websoft Holdings Ltd | 46815 |
| 511000 | Nexteer Automotive Group Ltd <sup>(b)</sup> | 339918 |
| 46000 | People's Insurance Co Group of China Ltd – Class H | 15524 |
| 5628000 | PetroChina Co Ltd – Class H | 2560919 |
| 2190000 | PICC Property & Casualty Co Ltd – Class H | 2218705 |
| 245000 | Poly Property Group Co Ltd | 61140 |
| 12000 | Road King Infrastructure Ltd | 4996 |
| 328900 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 548438 |
| 1294500 | Shimao Group Holdings Ltd <sup>\*</sup> <sup>(c)</sup> | 732522 |
| 242000 | Shougang Fushan Resources Group Ltd | 82056 |
| 616000 | Sino-Ocean Group Holding Ltd | 78524 |
| 276500 | Sinopec Engineering Group Co Ltd – Class H | 113699 |
| 424000 | Sinopharm Group Co Ltd – Class H | 1005902 |
| 324000 | Sinotruk Hong Kong Ltd | 425270 |
| 588000 | Skyworth Group Ltd | 224611 |
| 58000 | SSY Group Ltd | 29098 |
| 1768000 | Sunac China Holdings Ltd <sup>\* (b) (c)</sup> | 1036678 |
| 339000 | TCL Electronics Holdings Ltd <sup>\*</sup> | 139495 |
| 47420 | Tencent Holdings Ltd | 1793249 |
| 100000 | Tianjin Port Development Holdings Ltd | 7041 |
| 250000 | Tianneng Power International Ltd <sup>(b)</sup> | 270021 |
| 21800 | Vipshop Holdings Ltd ADR <sup>\*</sup> | 243070 |
| 312000 | Yadea Group Holdings Ltd | 591924 |
| 84000 | Zhongsheng Group Holdings Ltd | 433340 |
|  | Total China | 50983800 |
|  | **Colombia — 0.0%** |  |
| 49335 | Ecopetrol SA | 23400 |
| 1535 | Ecopetrol SA Sponsored ADR | 15151 |
|  | Total Colombia | 38551 |
|  | **Czech Republic — 0.0%** |  |
| 62965 | Moneta Money Bank AS | 193677 |
| 212 | Philip Morris CR AS | 153747 |
|  | Total Czech Republic | 347424 |
|  | **Denmark — 0.5%** |  |
| 372 | AP Moller – Maersk A/S – Class A <sup>(a)</sup> | 789780 |
| 320 | AP Moller – Maersk A/S – Class B <sup>(a)</sup> | 693746 |
| 121878 | Danske Bank A/S | 2194790 |
| 12221 | GN Store Nord A/S <sup>(a)</sup> | 295252 |
| 3288 | Matas A/S | 32800 |
| 25474 | Pandora A/S | 1939355 |
| 633 | Rockwool A/S – B Shares | 138998 |
| 5669 | Scandinavian Tobacco Group A/S | 100701 |
|  | Total Denmark | 6185422 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Egypt — 0.0%** | |
| 93413 | Commercial International Bank Egypt SAE | 153100 |
| 249818 | Eastern Co SAE | 131274 |
| 24934 | Misr Fertilizers Production Co SAE | 135511 |
|  | Total Egypt | 419885 |
|  | **Finland — 0.5%** |  |
| 24014 | Metsa Board Oyj – Class B | 213663 |
| 43552 | Neste Oyj | 2248004 |
| 588682 | Nokia Oyj <sup>(a)</sup> | 2900381 |
| 109983 | Outokumpu Oyj | 554783 |
| 48565 | Stora Enso Oyj – R Shares <sup>(a)</sup> | 714447 |
| 16983 | UPM-Kymmene Oyj <sup>(a)</sup> | 623469 |
|  | Total Finland | 7254747 |
|  | **France — 2.7%** |  |
| 20633 | ALD SA <sup>(a)</sup> | 207655 |
| 2515 | APERAM SA | 79838 |
| 67932 | ArcelorMittal SA | 1862635 |
| 12043 | Arkema SA | 1070763 |
| 470 | Axway Software SA | 7881 |
| 28265 | BNP Paribas SA | 1588267 |
| 651 | Boiron SA | 30699 |
| 60641 | Cie de Saint-Gobain | 2796250 |
| 48595 | Coface SA | 594877 |
| 36534 | Derichebourg SA | 197642 |
| 691 | Eiffage SA | 68039 |
| 2156 | Eramet SA | 184496 |
| 389 | HEXAOM | 7320 |
| 15202 | Ipsen SA | 1699359 |
| 11848 | IPSOS | 677788 |
| 3429 | Kering SA <sup>(a)</sup> | 2060270 |
| 4483 | LVMH Moet Hennessy Louis Vuitton SE <sup>(a)</sup> | 3478936 |
| 948 | Mersen SA | 36517 |
| 14915 | Metropole Television SA | 214452 |
| 44356 | Publicis Groupe SA <sup>(a)</sup> | 2919353 |
| 10895 | Quadient SA | 166228 |
| 3372 | Rexel SA <sup>\*</sup> | 61965 |
| 1465 | Rothschild & Co | 57445 |
| 29696 | Safran SA <sup>(a)</sup> | 3670001 |
| 27271 | Sanofi <sup>(a)</sup> | 2463370 |
| 5618 | SES SA, ADR – Class A | 38518 |
| 3971 | SMCP SA <sup>\*</sup> | 28386 |
| 5441 | Societe BIC SA | 359449 |
| 143070 | Societe Generale SA | 3600932 |
| 48900 | STMicroelectronics NV | 1901232 |
| 577 | Synergie SE | 18471 |
| 5430 | Technip Energies NV | 85998 |
| 58030 | Television Francaise 1 | 438609 |
| 56823 | TotalEnergies SE <sup>(a)</sup> | 3551442 |
|  | Total France | 36225083 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Germany — 1.1%** | |
| 3415 | 1&1 AG | 49084 |
| 188 | Amadeus Fire AG | 22354 |
| 4009 | Aurubis AG | 321850 |
| 19052 | Bayer AG (Registered) <sup>(a)</sup> | 1105719 |
| 19520 | Bayerische Motoren Werke AG <sup>(a)</sup> | 1772389 |
| 19770 | Beiersdorf AG <sup>(a)</sup> | 2150053 |
| 23946 | Commerzbank AG <sup>\*</sup> | 200574 |
| 425 | Deutsche Boerse AG | 78104 |
| 13626 | Deutsche Pfandbriefbank AG | 108221 |
| 11405 | Deutsche Telekom AG <sup>(a)</sup> | 232009 |
| 307 | Draegerwerk AG & Co KGaA <sup>(a)</sup> | 12330 |
| 1126 | Elmos Semiconductor SE | 70291 |
| 22053 | Fresenius SE & Co KGaA <sup>(a)</sup> | 614458 |
| 2270 | Hamburger Hafen und Logistik AG <sup>(a)</sup> | 27535 |
| 25033 | HeidelbergCement AG <sup>(a)</sup> | 1372527 |
| 798 | Henkel AG & Co KGaA <sup>(a)</sup> | 53090 |
| 3550 | Hornbach Holding AG & Co KGaA | 281589 |
| 70272 | Kloeckner & Co SE | 666899 |
| 28496 | Mercedes-Benz Group AG <sup>(a)</sup> | 1936109 |
| 11548 | Merck KGaA <sup>(a)</sup> | 2115767 |
| 15641 | ProSiebenSat.1 Media SE | 142122 |
| 2233 | RTL Group SA | 92751 |
| 22524 | Salzgitter AG | 660524 |
| 3131 | Siltronic AG | 259841 |
| 2910 | Takkt AG | 40594 |
| 2997 | Volkswagen AG <sup>(a)</sup> | 578564 |
|  | Total Germany | 14965348 |
|  | **Greece — 0.0%** |  |
| 12055 | FF Group <sup>\*</sup> <sup>(e)</sup> |  |
| 635 | Hellenic Telecommunications Organization SA | 9823 |
| 14501 | JUMBO SA | 231596 |
| 12631 | Mytilineos SA | 238333 |
|  | Total Greece | 479752 |
|  | **Hong Kong — 0.7%** |  |
| 113400 | ASMPT Ltd | 844206 |
| 45400 | Bank of East Asia Ltd (The) | 52360 |
| 86000 | BOC Hong Kong Holdings Ltd | 274511 |
| 71400 | Champion (REIT) | 24763 |
| 32000 | Chow Sang Sang Holdings International Ltd | 37172 |
| 284000 | CITIC Telecom International Holdings Ltd | 93732 |
| 88000 | CK Asset Holdings Ltd <sup>(a)</sup> | 526723 |
| 48500 | CK Hutchison Holdings Ltd <sup>(a)</sup> | 281941 |
| 550000 | CSI Properties Ltd | 9912 |
| 99700 | Dah Sing Banking Group Ltd | 69517 |
| 30800 | Dah Sing Financial Holdings Ltd | 68802 |
| 392000 | First Pacific Co Ltd | 123018 |
| 254573 | Galaxy Entertainment Group Ltd | 1547666 |
| 104000 | Giordano International Ltd | 19106 |
| 23000 | Health & Happiness H&H International Holdings Ltd | 27989 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Hong Kong — continued** | |
| 287000 | HKT Trust & HKT Ltd – Class SS | 349945 |
| 298000 | IGG Inc <sup>\*</sup> | 105382 |
| 96000 | Johnson Electric Holdings Ltd | 120381 |
| 103000 | K Wah International Holdings Ltd | 32423 |
| 29500 | Kerry Logistics Network Ltd | 51971 |
| 93500 | Kerry Properties Ltd | 178744 |
| 41800 | Luk Fook Holdings International Ltd | 101338 |
| 64000 | NWS Holdings Ltd | 52770 |
| 172000 | Pacific Textiles Holdings Ltd | 56670 |
| 331000 | PCCW Ltd | 144737 |
| 126000 | Power Assets Holdings Ltd <sup>(a)</sup> | 649988 |
| 250000 | Shun Tak Holdings Ltd <sup>\*</sup> | 40303 |
| 38000 | Sino Land Co Ltd <sup>(a)</sup> | 47527 |
| 240000 | SITC International Holdings Co Ltd | 532405 |
| 55500 | SmarTone Telecommunications Holdings Ltd | 28176 |
| 93000 | Sun Hung Kai & Co Ltd | 33941 |
| 64500 | Swire Pacific Ltd – Class A <sup>(a)</sup> | 506931 |
| 56500 | Texhong Textile Group Ltd | 46733 |
| 46000 | Texwinca Holdings Ltd | 7699 |
| 230000 | VSTECS Holdings Ltd | 124843 |
| 39500 | VTech Holdings Ltd | 251916 |
| 1839000 | WH Group Ltd | 1077500 |
| 71000 | Yue Yuen Industrial Holdings Ltd | 89547 |
|  | Total Hong Kong | 8633288 |
|  | **Hungary — 0.2%** |  |
| 40419 | MOL Hungarian Oil & Gas Plc | 292609 |
| 65012 | OTP Bank Nyrt | 1792495 |
| 5739 | Richter Gedeon Nyrt | 123460 |
|  | Total Hungary | 2208564 |
|  | **India — 2.7%** |  |
| 392 | ACC Ltd | 12323 |
| 42762 | Arvind Ltd <sup>\*</sup> | 50542 |
| 19526 | Asian Paints Ltd | 764134 |
| 33918 | Aurobindo Pharma Ltd | 196753 |
| 60206 | Axis Bank Ltd | 667963 |
| 4001 | Bajaj Consumer Care Ltd | 8144 |
| 14411 | Bandhan Bank Ltd <sup>\*</sup> | 42340 |
| 68024 | Bharat Electronics Ltd | 88513 |
| 141815 | Brightcom Group Ltd | 63773 |
| 17362 | Cipla Ltd | 244957 |
| 2326 | Clean Science & Technology Ltd | 43139 |
| 723003 | Coal India Ltd | 2042280 |
| 17049 | Cochin Shipyard Ltd | 140397 |
| 811 | Colgate-Palmolive India Ltd | 16255 |
| 12689 | Coromandel International Ltd | 145391 |
| 684 | Cummins India Ltd | 11918 |
| 1380 | Deepak Fertilisers & Petrochemicals Corp Ltd | 13802 |
| 23833 | Dhampur Bio Organics Ltd <sup>\*</sup> | 58824 |
| 61328 | Exide Industries Ltd | 142997 |
| 1510796 | GAIL India Ltd | 1770131 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **India — continued** | |
| 1879 | GHCL Ltd | 13427 |
| 37406 | Glenmark Pharmaceuticals Ltd | 198391 |
| 1958 | Great Eastern Shipping Co Ltd (The) | 16101 |
| 6496 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd | 48174 |
| 163404 | Gujarat State Fertilizers & Chemicals Ltd | 266716 |
| 11427 | HCL Technologies Ltd | 158783 |
| 26184 | HDFC Bank Ltd | 520422 |
| 6338 | Hero MotoCorp Ltd | 222801 |
| 260995 | Hindalco Industries Ltd | 1461440 |
| 10605 | Hindustan Aeronautics Ltd | 361769 |
| 159926 | Hindustan Petroleum Corp Ltd | 472567 |
| 3865 | Hindustan Unilever Ltd | 127719 |
| 17007 | Hindustan Zinc Ltd | 64520 |
| 18492 | Housing Development Finance Corp Ltd | 615005 |
| 96682 | ICICI Bank Ltd | 1132310 |
| 187350 | Indian Oil Corp Ltd | 177741 |
| 38157 | Indus Towers Ltd | 94138 |
| 25115 | Infosys Ltd | 511750 |
| 34300 | Infosys Ltd Sponsored ADR <sup>(a)</sup> | 698005 |
| 1002190 | ITC Ltd | 4202006 |
| 137849 | Karnataka Bank Ltd (The) | 244936 |
| 12649 | Larsen + Toubro Infotech Ltd <sup>(c)</sup> | 760865 |
| 379 | Mahanagar Gas Ltd | 4220 |
| 43619 | Mahindra & Mahindra Ltd | 702957 |
| 14132 | Manappuram Finance Ltd | 20113 |
| 3128 | Maruti Suzuki India Ltd | 346475 |
| 2895 | Muthoot Finance Ltd | 38671 |
| 280421 | National Aluminium Co Ltd | 268191 |
| 3564 | NCC Ltd | 3643 |
| 532175 | NMDC Ltd | 777329 |
| 457826 | NMDC Steel Ltd <sup>(c)</sup> | 216443 |
| 380863 | NTPC Ltd | 807455 |
| 2706758 | Oil & Natural Gas Corp Ltd | 4737632 |
| 14471 | Oil India Ltd | 36743 |
| 278 | Oracle Financial Services Software Ltd | 10686 |
| 142 | Page Industries Ltd | 83124 |
| 81585 | Petronet LNG Ltd | 214030 |
| 508 | PI Industries Ltd | 21926 |
| 3294 | Piramal Enterprises Ltd | 33512 |
| 348262 | Power Finance Corp Ltd | 584484 |
| 167093 | Power Grid Corp of India Ltd | 459999 |
| 15658 | Rajesh Exports Ltd | 148544 |
| 477379 | REC Ltd | 650478 |
| 96254 | Redington Ltd | 214795 |
| 6214 | Reliance Industries Ltd | 209154 |
| 2569 | Shriram Transport Finance Co Ltd | 42983 |
| 191881 | Sun Pharmaceutical Industries Ltd | 2491235 |
| 15527 | Sun TV Network Ltd | 94446 |
| 4326 | Tata Chemicals Ltd | 55335 |
| 1 | Tata Consultancy Services Ltd | 42 |
| 1416462 | Tata Steel Ltd | 1894244 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **India — continued** | |
| 24037 | Titan Co Ltd | 790143 |
| 35130 | Vardhman Textiles Ltd <sup>\*</sup> | 150274 |
|  | Total India | 35003468 |
|  | **Indonesia — 0.5%** |  |
| 2917200 | Adaro Energy Indonesia Tbk PT | 721924 |
| 251400 | Adaro Minerals Indonesia Tbk PT <sup>\*</sup> | 26049 |
| 531900 | Astra International Tbk PT | 205792 |
| 3687800 | Bank Central Asia Tbk PT | 2190843 |
| 987596 | Bank Mandiri Persero Tbk PT | 666194 |
| 168300 | Bank Negara Indonesia Persero Tbk PT | 106616 |
| 2588500 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 120245 |
| 3593100 | Bank Rakyat Indonesia Persero Tbk PT | 1143011 |
| 259500 | Bank Tabungan Negara Persero Tbk PT | 25421 |
| 1043300 | Bukit Asam Tbk PT | 253136 |
| 1134100 | Global Mediacom Tbk PT <sup>\*</sup> | 21147 |
| 6300 | Gudang Garam Tbk PT | 7989 |
| 92600 | Indo Tambangraya Megah Tbk PT | 246631 |
| 572600 | Indofood Sukses Makmur Tbk PT | 235126 |
| 2681400 | Kalbe Farma Tbk PT | 353943 |
| 2116700 | Media Nusantara Citra Tbk PT <sup>\*</sup> | 107400 |
| 1576700 | Perusahaan Gas Negara Tbk PT | 189761 |
| 92800 | Tower Bersama Infrastructure Tbk PT | 13686 |
| 127248 | United Tractors Tbk PT | 250289 |
|  | Total Indonesia | 6885203 |
|  | **Ireland — 0.5%** |  |
| 1633 | AIB Group Plc | 5303 |
| 284410 | Bank of Ireland Group Plc | 2358339 |
| 17104 | Glanbia Plc | 206277 |
| 4004 | Kingspan Group Plc <sup>(b)</sup> | 227291 |
| 15644 | Origin Enterprises Plc | 63895 |
| 9611 | Permanent TSB Group Holdings Plc <sup>\*</sup> | 17761 |
| 96472 | Ryanair Holdings Plc <sup>\*</sup> | 1302253 |
| 14919 | Ryanair Holdings Plc Sponsored ADR <sup>\*</sup> <sup>(a)</sup> | 1129219 |
| 30251 | Smurfit Kappa Group Plc <sup>(d)</sup> | 1098971 |
| 3738 | Smurfit Kappa Group Plc <sup>(d)</sup> | 135092 |
|  | Total Ireland | 6544401 |
|  | **Israel — 0.3%** |  |
| 7984 | Bank Hapoalim BM | 77626 |
| 18026 | Bank Leumi Le-Israel BM | 165244 |
| 220793 | Oil Refineries Ltd | 82072 |
| 210700 | Teva Pharmaceutical Industries Ltd Sponsored ADR <sup>\*</sup> | 1847839 |
| 63000 | ZIM Integrated Shipping Services Ltd | 1324260 |
|  | Total Israel | 3497041 |
|  | **Italy — 0.6%** |  |
| 4940 | ACEA SPA <sup>(a)</sup> | 67906 |
| 13898 | Anima Holding SPA | 53189 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Italy — continued** | |
| 21679 | Banca IFIS SPA | 298769 |
| 22824 | Banco BPM SPA | 79100 |
| 76892 | CIR SpA-Compagnie Industriali <sup>\*</sup> | 34584 |
| 22116 | Credito Emiliano SPA | 156735 |
| 900 | Eni SPA – Sponsored ADR | 26649 |
| 9620 | Esprinet SPA | 71117 |
| 124389 | Italgas SPA <sup>(a)</sup> | 732037 |
| 7750 | Iveco Group NV <sup>\*</sup> | 52339 |
| 196366 | Leonardo SPA | 1575496 |
| 72418 | MFE-MediaForEurope NV – Class A | 30469 |
| 8774 | Snam SPA <sup>(a)</sup> | 44789 |
| 120687 | Stellantis NV <sup>(a)</sup> <sup>(d)</sup> | 1903893 |
| 8200 | Stellantis NV <sup>(a)</sup> <sup>(d)</sup> | 128084 |
| 5265030 | Telecom Italia SPA <sup>\* (b)</sup> | 1148678 |
| 27701 | Terna – Rete Elettrica Nazionale <sup>(a)</sup> | 212188 |
| 2778 | Unieuro SPA <sup>(b)</sup> | 37700 |
| 215934 | Unipol Gruppo SPA | 1104572 |
|  | Total Italy | 7758294 |
|  | **Japan — 13.6%** |  |
| 6200 | ADEKA Corp | 102771 |
| 1600 | Advantest Corp <sup>(a)</sup> | 108900 |
| 185700 | Aeon Mall Co Ltd | 2242678 |
| 23000 | AGC Inc | 776735 |
| 6100 | Aichi Corp | 35659 |
| 17500 | Aisin Corp | 482295 |
| 101400 | Amano Corp | 1840733 |
| 9000 | AOKI Holdings Inc | 45144 |
| 43300 | Arcs Co Ltd | 662155 |
| 216800 | Asahi Kasei Corp <sup>(a)</sup> | 1611329 |
| 4300 | Bandai Namco Holdings Inc <sup>(a)</sup> | 284920 |
| 3600 | Bando Chemical Industries Ltd | 26353 |
| 64900 | Brother Industries Ltd | 1054052 |
| 111300 | Canon Inc <sup>(a)</sup> <sup>(b)</sup> | 2601604 |
| 8100 | Canon Marketing Japan Inc | 184289 |
| 4200 | Central Glass Co Ltd | 106971 |
| 1600 | Chiyoda Integre Co Ltd | 28072 |
| 106000 | Chugoku Marine Paints Ltd | 800067 |
| 70300 | Citizen Watch Co Ltd | 308705 |
| 3900 | CONEXIO Corp | 34051 |
| 105800 | Credit Saison Co Ltd | 1356448 |
| 38600 | Dai Nippon Printing Co Ltd | 799469 |
| 5400 | Dai Nippon Toryo Co Ltd | 30216 |
| 3400 | Daicel Corp | 24800 |
| 1500 | Dai-Dan Co Ltd | 24065 |
| 1400 | Daiichi Jitsugyo Co Ltd | 43186 |
| 24300 | Daiwa House Industry Co Ltd <sup>(a)</sup> | 559605 |
| 209300 | Daiwabo Holdings Co Ltd | 3339247 |
| 96800 | Denka Co Ltd | 2343747 |
| 13900 | Dentsu Group Inc <sup>(a)</sup> | 450119 |
| 3700 | DTS Corp <sup>(a)</sup> | 89279 |
| 2400 | Ehime Bank Ltd (The) | 15463 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Japan — continued** | |
| 500 | Eizo Corp | 13148 |
| 6200 | Exedy Corp | 75422 |
| 167400 | EXEO Group Inc | 2598409 |
| 71900 | Ezaki Glico Co Ltd | 1876119 |
| 132000 | Fuji Corp | 2013970 |
| 17900 | Fuji Electric Co Ltd | 741688 |
| 28100 | FUJIFILM Holdings Corp <sup>(a)</sup> | 1511560 |
| 12000 | Fukuoka Financial Group Inc | 235114 |
| 2400 | Furuno Electric Co Ltd | 17898 |
| 2100 | G-7 Holdings Inc | 23461 |
| 99000 | H.U. Group Holdings Inc <sup>(a)</sup> | 2007932 |
| 6900 | Hanwa Co Ltd | 181112 |
| 234300 | Haseko Corp | 2590762 |
| 2500 | Heiwado Co Ltd | 36983 |
| 52100 | Hogy Medical Co Ltd <sup>(a)</sup> | 1325799 |
| 158700 | Honda Motor Co Ltd <sup>(a)</sup> | 3867773 |
| 7400 | Honda Motor Co Ltd Sponsored ADR <sup>(a)</sup> | 181300 |
| 16300 | Hosiden Corp | 194201 |
| 30300 | Idemitsu Kosan Co Ltd | 711554 |
| 12300 | Inabata & Co Ltd | 212989 |
| 341100 | Inpex Corp | 3758795 |
| 152300 | ITOCHU Corp <sup>(a)</sup> | 4783298 |
| 5100 | Itochu Enex Co Ltd | 37859 |
| 600 | Itochu-Shokuhin Co Ltd | 22646 |
| 24000 | Itoham Yonekyu Holdings Inc | 119638 |
| 8000 | Itoki Corp | 31381 |
| 5800 | Jaccs Co Ltd | 165599 |
| 9400 | Japan Aviation Electronics Industry Ltd | 162320 |
| 141800 | Japan Tobacco Inc <sup>(a)</sup> | 2901140 |
| 7100 | JVCKenwood Corp | 19249 |
| 5100 | Kaga Electronics Co Ltd | 164541 |
| 63400 | Kajima Corp | 717394 |
| 3500 | Kamei Corp | 30764 |
| 7600 | Kandenko Co Ltd | 48127 |
| 3400 | Kaneka Corp | 87369 |
| 106300 | Kanematsu Corp | 1187027 |
| 136300 | KDDI Corp <sup>(a)</sup> | 4054185 |
| 168600 | Kirin Holdings Co Ltd | 2661451 |
| 5097 | Kohnan Shoji Co Ltd | 123049 |
| 2200 | Kokuyo Co Ltd | 29085 |
| 14401 | Komeri Co Ltd | 271867 |
| 61000 | Konoike Transport Co Ltd <sup>(a)</sup> | 706472 |
| 183500 | K's Holdings Corp | 1523624 |
| 700 | Kureha Corp | 50067 |
| 3000 | Kyokuto Kaihatsu Kogyo Co Ltd | 29926 |
| 96300 | Kyudenko Corp | 2316912 |
| 10000 | Macnica Holdings Inc | 253454 |
| 88900 | Macromill Inc | 725040 |
| 800 | Makino Milling Machine Co Ltd | 27050 |
| 98800 | Mandom Corp | 1041826 |
| 165900 | Marubeni Corp <sup>(a)</sup> | 1876723 |
| 103000 | Maruichi Steel Tube Ltd | 2142347 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Japan — continued** | |
| 1000 | Maruzen Showa Unyu Co Ltd | 23545 |
| 1300 | Matsuda Sangyo Co Ltd | 21995 |
| 95200 | Maxell Ltd | 983886 |
| 19000 | Mazda Motor Corp | 151058 |
| 6600 | MCJ Co Ltd | 46312 |
| 117900 | Mebuki Financial Group Inc | 268028 |
| 1300 | Melco Holdings Inc | 29549 |
| 32900 | Mirarth Holdings Inc | 93546 |
| 72000 | Mitsubishi Corp <sup>(a)</sup> | 2424900 |
| 11700 | Mitsubishi Electric Corp <sup>(a)</sup> | 117255 |
| 10700 | Mitsubishi HC Capital Inc | 51050 |
| 133300 | Mitsubishi Motors Corp <sup>\*</sup> | 621903 |
| 2200 | Mitsubishi Research Institute Inc <sup>(a)</sup> | 82640 |
| 2200 | Mitsubishi Shokuhin Co Ltd | 52084 |
| 310700 | Mitsubishi UFJ Financial Group Inc <sup>(a)</sup> | 1694415 |
| 1700 | Mitsuboshi Belting Ltd | 42619 |
| 32700 | Mitsui & Co Ltd <sup>(a)</sup> | 949076 |
| 6300 | Mitsui DM Sugar Holdings Co Ltd | 89620 |
| 85900 | Mitsui OSK Lines Ltd <sup>(a)</sup> | 2127600 |
| 3500 | Mitsui-Soko Holdings Co Ltd <sup>(a)</sup> | 90591 |
| 66900 | Morinaga & Co Ltd | 1802336 |
| 63900 | MS&AD Insurance Group Holdings Inc <sup>(a)</sup> | 1896634 |
| 2900 | Nagase & Co Ltd | 42909 |
| 74000 | NEC Corp <sup>(a)</sup> | 2634441 |
| 77700 | NGK Spark Plug Co Ltd | 1522413 |
| 90300 | NH Foods Ltd | 2431244 |
| 11900 | Nichias Corp | 211197 |
| 4400 | Nichiha Corp | 91304 |
| 5200 | Nichireki Co Ltd | 49153 |
| 126600 | Nikon Corp | 1237859 |
| 4100 | Nippn Corp | 47349 |
| 2000 | Nippon Densetsu Kogyo Co Ltd | 24848 |
| 6100 | Nippon Soda Co Ltd | 190641 |
| 2300 | Nippon Steel Trading Corp | 85719 |
| 20900 | Nippon Suisan Kaisha Ltd | 79656 |
| 145900 | Nippon Telegraph & Telephone Corp <sup>(a)</sup> | 4045659 |
| 34800 | Nippon Television Holdings Inc | 269059 |
| 79700 | Nippon Yusen KK <sup>(a)</sup> | 1774077 |
| 7600 | Nisshinbo Holdings Inc | 56516 |
| 1500 | Nissin Corp | 22329 |
| 8400 | Nissin Electric Co Ltd | 82706 |
| 2800 | Nitto Kogyo Corp | 47657 |
| 11600 | Nojima Corp | 118372 |
| 1600 | Nomura Real Estate Holdings Inc <sup>(a)</sup> | 38756 |
| 1600 | Noritake Co Ltd | 47284 |
| 225800 | Obayashi Corp | 1688096 |
| 19400 | ORIX Corp <sup>(a)</sup> | 314322 |
| 2500 | Osaka Soda Co Ltd | 75598 |
| 104400 | Pacific Industrial Co Ltd | 827392 |
| 5600 | PAL GROUP Holdings Co Ltd | 99022 |
| 403000 | Penta-Ocean Construction Co Ltd | 1907180 |
| 2500 | Prima Meat Packers Ltd | 37169 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Japan — continued** | |
| 5700 | Proto Corp | 52564 |
| 20800 | Renesas Electronics Corp <sup>\*</sup> <sup>(a)</sup> | 204000 |
| 500 | Restar Holdings Corp | 8110 |
| 27900 | Rohm Co Ltd <sup>(a)</sup> | 2239569 |
| 2100 | Roland DG Corp | 47765 |
| 1800 | Ryobi Ltd | 16438 |
| 15600 | San-A Co Ltd | 495063 |
| 8800 | Sanki Engineering Co Ltd | 102485 |
| 82000 | Sankyu Inc <sup>(a)</sup> | 2967562 |
| 3100 | Sanwa Holdings Corp | 29378 |
| 40600 | Sawai Group Holdings Co Ltd | 1257147 |
| 40100 | Secom Co Ltd <sup>(a)</sup> | 2479184 |
| 10400 | Sega Sammy Holdings Inc | 138690 |
| 73600 | Seiko Epson Corp | 1158195 |
| 4800 | Seiko Group Corp | 111524 |
| 9900 | Sekisui Chemical Co Ltd | 140019 |
| 142800 | Sekisui House Ltd <sup>(a)</sup> | 2673740 |
| 2900 | Sekisui Jushi Corp | 38350 |
| 11200 | Shimamura Co Ltd <sup>(a)</sup> | 1016828 |
| 183400 | Shimizu Corp | 988806 |
| 5700 | Shinmaywa Industries Ltd | 42203 |
| 7700 | Shizuoka Gas Co Ltd <sup>(a)</sup> | 62018 |
| 800 | Sinanen Holdings Co Ltd | 22137 |
| 3600 | Sinko Industries Ltd | 40709 |
| 27300 | SKY Perfect JSAT Holdings Inc | 101319 |
| 117960 | Sojitz Corp | 2102151 |
| 183200 | Stanley Electric Co Ltd | 3766887 |
| 5700 | Star Micronics Co Ltd | 73302 |
| 50700 | Subaru Corp | 868382 |
| 160800 | SUMCO Corp | 2405811 |
| 1200 | Sumitomo Bakelite Co Ltd | 38183 |
| 666400 | Sumitomo Chemical Co Ltd | 2429583 |
| 114700 | Sumitomo Corp <sup>(a)</sup> | 1880422 |
| 42500 | Sumitomo Forestry Co Ltd | 742056 |
| 95200 | Sumitomo Mitsui Financial Group Inc | 3231157 |
| 84400 | Sumitomo Mitsui Trust Holdings Inc | 2706764 |
| 1500 | Sumitomo Seika Chemicals Co Ltd | 46382 |
| 4300 | Sumitomo Warehouse Co Ltd (The) <sup>(a)</sup> | 62972 |
| 4400 | Suntory Beverage & Food Ltd <sup>(a)</sup> | 149942 |
| 271500 | T&D Holdings Inc | 3300714 |
| 78700 | Tachi-S Co Ltd | 631433 |
| 51100 | Taisei Corp | 1553397 |
| 34300 | Takara Holdings Inc | 268238 |
| 2000 | Takeuchi Manufacturing Co Ltd | 46552 |
| 161400 | Takuma Co Ltd | 1508429 |
| 3000 | Tamron Co Ltd | 76198 |
| 223500 | Teijin Ltd | 2168622 |
| 2900 | T-Gaia Corp <sup>(b)</sup> | 34869 |
| 115600 | THK Co Ltd | 2280258 |
| 64600 | Toho Holdings Co Ltd <sup>(a)</sup> | 1005397 |
| 290500 | Tokai Carbon Co Ltd | 2241520 |
| 90100 | Tokyo Gas Co Ltd <sup>(a)</sup> | 1657390 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Japan — continued** | |
| 72200 | Tokyo Seimitsu Co Ltd | 2313674 |
| 147400 | Toppan Inc | 2295923 |
| 92200 | Tosei Corp <sup>(b)</sup> | 945475 |
| 77000 | Tosoh Corp | 914224 |
| 3000 | Towa Pharmaceutical Co Ltd | 46219 |
| 28500 | Toyo Construction Co Ltd | 173481 |
| 3600 | Toyota Boshoku Corp | 50571 |
| 52500 | Toyota Industries Corp | 3011779 |
| 16400 | Toyota Tsusho Corp <sup>(a)</sup> | 633087 |
| 3000 | TPR Co Ltd | 27034 |
| 70000 | Tsumura & Co | 1533997 |
| 4400 | TV Asahi Holdings Corp | 44106 |
| 5500 | Wacoal Holdings Corp | 93521 |
| 13100 | YAMABIKO Corp | 108696 |
| 115000 | Yamada Holdings Co Ltd <sup>(a)</sup> | 398576 |
| 36300 | Yamaha Motor Co Ltd | 909306 |
| 1000 | Yamato Kogyo Co Ltd | 34477 |
| 5300 | Yamazen Corp | 38783 |
| 4400 | Yellow Hat Ltd | 55422 |
| 39900 | Yokogawa Bridge Holdings Corp | 563143 |
| 3500 | Yokogawa Electric Corp | 66009 |
| 3000 | Yokohama Rubber Co Ltd (The) <sup>(b)</sup> | 49679 |
| 5400 | Yuasa Trading Co Ltd | 141683 |
| 52900 | Zenkoku Hosho Co Ltd | 1969678 |
|  | Total Japan | 178790472 |
|  | **Kuwait — 0.0%** |  |
| 13850 | Humansoft Holding Co KSC | 151419 |
|  | **Malaysia — 0.1%** |  |
| 90900 | AMMB Holdings Bhd | 85567 |
| 58900 | Hartalega Holdings Bhd | 23041 |
| 64800 | Hibiscus Petroleum Bhd | 16243 |
| 17700 | Hong Leong Bank Bhd | 83186 |
| 69700 | IOI Corp Bhd | 60078 |
| 116300 | Kossan Rubber Industries Bhd | 29170 |
| 39100 | Kuala Lumpur Kepong Bhd | 184050 |
| 409200 | Petronas Chemicals Group Bhd | 788553 |
| 8300 | Petronas Gas Bhd | 31394 |
| 15900 | PPB Group Bhd | 61630 |
| 84400 | RHB Bank Bhd | 106913 |
| 28200 | Sime Darby Plantation Bhd | 27049 |
| 86600 | Telekom Malaysia Bhd | 109463 |
|  | Total Malaysia | 1606337 |
|  | **Mexico — 1.3%** |  |
| 18800 | Alpek SAB de CV | 26523 |
| 978837 | America Movil SAB de CV – Series L | 951238 |
| 29739 | America Movil SAB de CV – Class L Sponsored ADR | 578721 |
| 68912 | Arca Continental SAB de CV | 573612 |
| 80100 | Banco del Bajio SA | 260261 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Mexico — continued** | |
| 6100 | Cemex SAB de CV Sponsored ADR <sup>\*</sup> | 27877 |
| 1376 | Coca-Cola Femsa SAB de CV Sponsored ADR | 93995 |
| 495200 | Credito Real SAB de CV SOFOM ER <sup>\*</sup> <sup>(e)</sup> |  |
| 50992 | El Puerto de Liverpool SAB de CV – Class C1 | 296216 |
| 439088 | Fomento Economico Mexicano SAB de CV | 3504238 |
| 4013 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 320518 |
| 71600 | Gentera SAB de CV | 76001 |
| 6439 | Grupo Aeroportuario del Centro Norte SAB de CV – Class B | 55897 |
| 18855 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 306259 |
| 9896 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 245425 |
| 224 | Grupo Aeroportuario del Sureste SAB de CV ADR | 55393 |
| 533925 | Grupo Financiero Banorte SAB de CV – Class O | 4285181 |
| 16656 | Grupo Financiero Inbursa SAB de CV – Class O <sup>\*</sup> | 31406 |
| 662628 | Grupo Mexico SAB de CV – Series B | 2695983 |
| 35612 | Grupo Televisa SAB Sponsored ADR | 194442 |
| 7245 | Grupo Televisa SAB | 7979 |
| 24456 | Kimberly-Clark de Mexico SAB de CV – Class A | 41613 |
| 47700 | Qualitas Controladora SAB de CV | 200823 |
| 23400 | Regional SAB de CV | 170849 |
| 56968 | Sitios Latinoamerica SAB de CV <sup>\*</sup> | 25393 |
| 8151 | Unifin Financiera SAB de CV SOFOM ENR <sup>\*</sup> | 507 |
| 401268 | Wal-Mart de Mexico SAB de CV | 1585813 |
|  | Total Mexico | 16612163 |
|  | **Netherlands — 1.7%** |  |
| 13672 | ABN AMRO Bank NV CVA GDR | 176313 |
| 372299 | Aegon NV <sup>(a)</sup> <sup>(b)</sup> | 1825183 |
| 1600 | AerCap Holdings NV <sup>\*</sup> | 98240 |
| 43150 | ASR Nederland NV | 1974920 |
| 51980 | EXOR NV <sup>\*</sup> | 4080429 |
| 9049 | ForFarmers NV <sup>(b)</sup> | 27542 |
| 48350 | JDE Peet's NV | 1497744 |
| 151609 | Koninklijke Ahold Delhaize NV <sup>(a)</sup> | 4418204 |
| 112316 | Koninklijke Philips NV <sup>(a)</sup> | 1683011 |
| 43879 | NN Group NV <sup>(a)</sup> | 1875233 |
| 26397 | Prosus NV <sup>\*</sup> | 1727386 |
| 53813 | Randstad NV <sup>(a)</sup> <sup>(b)</sup> | 3117032 |
| 12550 | Signify NV | 428640 |
| 1274 | Wolters Kluwer NV <sup>(a)</sup> | 140408 |
|  | Total Netherlands | 23070285 |
|  | **New Zealand — 0.1%** |  |
| 59921 | Auckland International Airport Ltd <sup>\* (a)</sup> | 305382 |
| 147126 | Meridian Energy Ltd <sup>(a)</sup> | 456647 |
| 45757 | Spark New Zealand Ltd | 149173 |
|  | Total New Zealand | 911202 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Norway — 0.4%** | |
| 13133 | BW LPG Ltd | 117107 |
| 180574 | DNO ASA | 230776 |
| 129800 | Elkem ASA <sup>\*</sup> | 480667 |
| 75392 | Equinor ASA <sup>(a)</sup> | 2903406 |
| 52495 | Europris ASA | 333624 |
| 75183 | Norsk Hydro ASA | 566137 |
| 3159 | Selvaag Bolig ASA | 9301 |
| 4756 | SpareBank 1 Nord Norge | 44330 |
| 4209 | SpareBank 1 SMN | 50151 |
| 3527 | Stolt-Nielsen Ltd <sup>(a)</sup> | 91345 |
| 31610 | Wallenius Wilhelmsen ASA <sup>(a)</sup> | 296120 |
|  | Total Norway | 5122964 |
|  | **Panama — 0.0%** |  |
| 297879 | BAC Holding International Corp <sup>\*</sup> | 17029 |
|  | **Philippines — 0.0%** |  |
| 110400 | Converge Information and Communications Technology Solutions Inc <sup>\*</sup> | 30406 |
| 13420 | GT Capital Holdings Inc | 104587 |
| 758080 | Megaworld Corp | 30164 |
| 33900 | Puregold Price Club Inc | 21369 |
|  | Total Philippines | 186526 |
|  | **Poland — 0.4%** |  |
| 5274 | Asseco Poland SA | 86522 |
| 102737 | Bank Polska Kasa Opieki SA | 1965170 |
| 3461 | Budimex SA | 211730 |
| 32437 | Cyfrowy Polsat SA | 136000 |
| 3450 | KGHM Polska Miedz SA | 91327 |
| 39 | LPP SA | 84540 |
| 14558 | Orange Polska SA | 20504 |
| 113384 | Polski Koncern Naftowy ORLEN SA | 1668921 |
| 51778 | Powszechny Zaklad Ubezpieczen SA | 370663 |
|  | Total Poland | 4635377 |
|  | **Portugal — 0.5%** |  |
| 31475 | Altri SGPS SA | 184382 |
| 218698 | EDP – Energias de Portugal SA | 1037731 |
| 268035 | Galp Energia SGPS SA | 3302640 |
| 21622 | Jeronimo Martins SGPS SA | 482420 |
| 98216 | Navigator Co SA (The) | 398960 |
| 61689 | NOS SGPS SA | 247811 |
| 566079 | Sonae SGPS SA | 575060 |
|  | Total Portugal | 6229004 |
|  | **Qatar — 0.1%** |  |
| 29310 | Ooredoo QPSC | 71498 |
| 7568 | Qatar Gas Transport Co Ltd | 8284 |
| 163520 | Qatar National Bank QPSC | 884059 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Qatar — continued** | |
| 14520 | Qatar National Cement Co QSC | 18361 |
|  | Total Qatar | 982202 |
|  | **Russia — 0.2%** |  |
| 3038020 | Alrosa PJSC <sup>(e)</sup> <sup>(f)</sup> | 226235 |
| 10190 | Detsky Mir PJSC <sup>\*</sup> <sup>(e)</sup> | 815 |
| 148200000 | Federal Grid Co Unified Energy System PJSC <sup>\*</sup> <sup>(e)</sup> | 14671 |
| 68395 | Fix Price Group Ltd GDR <sup>\*</sup> <sup>(e)</sup> | 16912 |
| 180610 | Gazprom Neft PJSC <sup>(e)</sup> | 96895 |
| 2050858 | Gazprom PJSC <sup>(e)</sup> | 394511 |
| 7736 | Globaltrans Investment Plc Sponsored GDR (Registered) <sup>\* (e)</sup> | 2873 |
| 6310100 | Inter RAO UES PJSC <sup>(e)</sup> | 23741 |
| 19776 | LSR Group PJSC – Class A <sup>\*</sup> <sup>(e)</sup> | 10630 |
| 1 | LSR Group PJSC GDR (Registered) <sup>(e)</sup> |  |
| 74944 | LUKOIL PJSC <sup>(e)</sup> | 395272 |
| 1561 | Magnit PJSC <sup>(e)</sup> | 8586 |
| 1863335 | Magnitogorsk Iron & Steel Works PJSC <sup>(e)</sup> <sup>(f)</sup> | 66782 |
| 25400 | Mechel PJSC <sup>\*</sup> <sup>(e)</sup> | 2957 |
| 4554 | MMC Norilsk Nickel PJSC <sup>(e)</sup> | 74616 |
| 1 | MMC Norilsk Nickel PJSC ADR <sup>\*</sup> <sup>(c)</sup> | 2 |
| 16770 | Mobile TeleSystems PJSC <sup>(e)</sup> | 4529 |
| 20400 | Mobile TeleSystems PJSC ADR <sup>\* (e)</sup> | 11042 |
| 361420 | Moscow Exchange MICEX-RTS PJSC <sup>\* (e)</sup> | 35981 |
| 3294000 | Mosenergo PJSC <sup>\*</sup> <sup>(e)</sup> | 6575 |
| 75720 | Novatek PJSC <sup>(e)</sup> | 89583 |
| 1212010 | Novolipetsk Steel PJSC <sup>(e)</sup> | 147312 |
| 3466 | PhosAgro PJSC <sup>(e)</sup> | 25564 |
| 67 | PhosAgro PJSC GDR <sup>(e) (f)</sup> | 165 |
| 130264 | Polymetal International Plc <sup>\*</sup> | 377735 |
| 10215 | Polyus PJSC <sup>\*</sup> <sup>(e)</sup> | 84365 |
| 5248 | Ros Agro Plc GDR (Registered) <sup>\*</sup> <sup>(e)</sup> | 4527 |
| 1879040 | ROSSETI PJSC <sup>\*</sup> <sup>(e)</sup> | 1235 |
| 24471200 | RusHydro PJSC <sup>(e)</sup> | 21168 |
| 3677652 | Sberbank of Russia PJSC <sup>\* (e) (f)</sup> | 571653 |
| 425 | Severstal PAO <sup>\*</sup> <sup>(e)</sup> (f) | 384 |
| 91185 | Severstal PJSC GDR (Registered) <sup>(e) (f)</sup> | 82549 |
| 11580 | SFI PJSC <sup>\*</sup> <sup>(e)</sup> | 6054 |
| 5940620 | Surgutneftegas PJSC <sup>(e)</sup> | 147189 |
| 332388 | Tatneft PJSC <sup>(e)</sup> | 138821 |
| 1300440 | Unipro PJSC <sup>(e)</sup> | 2066 |
| 50950 | United Co Rusal International PJSC <sup>(e)</sup> | 2239 |
| 8456 | X5 Retail Group NV GDR (Registered) <sup>(e)</sup> | 9707 |
|  | Total Russia | 3105941 |
|  | **Saudi Arabia — 0.2%** |  |
| 15086 | Almarai Co JSC | 214902 |
| 97196 | Saudi Arabian Oil Co | 869480 |
| 45475 | Saudi Basic Industries Corp | 1012726 |
| 53215 | Saudi Telecom Co | 547049 |
|  | Total Saudi Arabia | 2644157 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Singapore — 0.8%** | |
| 51300 | AIMS APAC (REIT) | 45446 |
| 39000 | Bumitama Agri Ltd | 17613 |
| 80000 | City Developments Ltd | 491488 |
| 251500 | ComfortDelGro Corp Ltd | 228791 |
| 112535 | DBS Group Holdings Ltd | 2934772 |
| 187200 | First Real Estate Investment Trust <sup>(b)</sup> | 33117 |
| 1318100 | Golden Agri-Resources Ltd | 281383 |
| 161540 | Japfa Ltd | 60934 |
| 43216 | Jardine Cycle & Carriage Ltd <sup>(b)</sup> | 963880 |
| 265800 | Keppel Corp Ltd | 1483570 |
| 51220 | Lendlease Global Commercial (REIT) | 27438 |
| 40900 | Sasseur Real Estate Investment Trust | 23476 |
| 37700 | Sheng Siong Group Ltd | 45721 |
| 237800 | Silverlake Axis Ltd | 65893 |
| 11100 | Singapore Exchange Ltd | 74297 |
| 114700 | StarHub Ltd | 90654 |
| 9200 | United Overseas Bank Ltd | 212129 |
| 42300 | UOL Group Ltd | 208600 |
| 7400 | Venture Corp Ltd | 95011 |
| 138700 | Wilmar International Ltd | 420751 |
| 1676099 | Yangzijiang Financial Holding Ltd <sup>\*</sup> | 428787 |
| 2244199 | Yangzijiang Shipbuilding Holdings Ltd | 2376766 |
| 154600 | Yanlord Land Group Ltd | 112311 |
|  | Total Singapore | 10722828 |
|  | **South Africa — 1.2%** |  |
| 274815 | Absa Group Ltd | 3295367 |
| 9184 | African Rainbow Minerals Ltd | 159051 |
| 12489 | Anglo American Platinum Ltd | 1262321 |
| 2455 | Aspen Pharmacare Holdings Ltd | 20373 |
| 10455 | Astral Foods Ltd | 102128 |
| 3066 | AVI Ltd | 13155 |
| 37545 | Barloworld Ltd | 227602 |
| 78339 | Bidvest Group Ltd (The) | 1053525 |
| 77272 | Blue Label Telecoms Ltd <sup>\*</sup> | 23381 |
| 3429 | Capitec Bank Holdings Ltd | 407108 |
| 1441 | Clicks Group Ltd | 24790 |
| 379023 | FirstRand Ltd | 1473063 |
| 32778 | Foschini Group Ltd (The) | 199829 |
| 13000 | Gold Fields Ltd Sponsored ADR | 144950 |
| 33283 | Impala Platinum Holdings Ltd | 404508 |
| 27160 | Investec Ltd | 163929 |
| 55493 | Kumba Iron Ore Ltd | 1567743 |
| 17129 | Lewis Group Ltd | 49321 |
| 15058 | Metair Investments Ltd | 24107 |
| 29618 | Motus Holdings Ltd | 202180 |
| 40792 | Mr Price Group Ltd | 398692 |
| 84963 | MTN Group Ltd | 696242 |
| 9954 | MultiChoice Group | 68984 |
| 9909 | Nedbank Group Ltd | 130980 |
| 9707 | Ninety One Ltd | 22671 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **South Africa — continued** | |
| 358966 | Old Mutual Ltd | 230590 |
| 301368 | Pepkor Holdings Ltd | 387899 |
| 8062 | Raubex Group Ltd | 12989 |
| 825 | Reinet Investments SCA | 14564 |
| 20426 | Reunert Ltd | 56627 |
| 257788 | RMB Holdings Ltd | 9129 |
| 54961 | Sanlam Ltd | 180467 |
| 60287 | Sappi Ltd | 171448 |
| 1581 | Shoprite Holdings Ltd | 23071 |
| 58781 | Sibanye Stillwater Ltd | 163553 |
| 22800 | Sibanye Stillwater Ltd ADR | 255588 |
| 94907 | Telkom SA SOC Ltd <sup>\*</sup> | 191564 |
| 6538 | Thungela Resources Ltd | 119340 |
| 19370 | Tiger Brands Ltd | 218498 |
| 194175 | Truworths International Ltd | 643291 |
| 45534 | Vodacom Group Ltd | 331620 |
| 108958 | Woolworths Holdings Ltd | 414906 |
|  | Total South Africa | 15561144 |
|  | **South Korea — 3.3%** |  |
| 1819 | Alteogen Inc <sup>\*</sup> | 50549 |
| 1287 | AMOREPACIFIC Group | 30886 |
| 196 | BGF retail Co Ltd | 30760 |
| 6413 | BH Co Ltd | 129602 |
| 123371 | BNK Financial Group Inc | 699104 |
| 7334 | Cheil Worldwide Inc | 136029 |
| 383 | CJ CheilJedang Corp | 115520 |
| 313 | CJ ENM Co Ltd | 19888 |
| 318 | CJ Logistics Corp <sup>\*</sup> | 21315 |
| 6844 | Coway Co Ltd | 301319 |
| 889 | Daihan Pharmaceutical Co Ltd | 20444 |
| 8035 | Daou Data Corp | 172974 |
| 2744 | DB HiTek Co Ltd | 95189 |
| 3823 | DB Insurance Co Ltd | 181714 |
| 21976 | DGB Financial Group Inc | 133153 |
| 976 | DL E&C Co Ltd | 31521 |
| 49509 | Dongwon Development Co Ltd | 135975 |
| 4011 | Doosan Bobcat Inc | 109789 |
| 4460 | E-MART Inc | 315483 |
| 166 | Green Cross Corp | 16237 |
| 3317 | GS Engineering & Construction Corp | 59991 |
| 13118 | GS Holdings Corp | 487583 |
| 2753 | GS Retail Co Ltd | 62801 |
| 50426 | Hana Financial Group Inc | 1724672 |
| 1994 | Handsome Co Ltd | 39606 |
| 31985 | Hankook Tire & Technology Co Ltd | 835352 |
| 28766 | HDC Hyundai Development Co-Engineering & Construction | 244636 |
| 1985 | HMM Co Ltd | 34210 |
| 2813 | Hyundai Department Store Co Ltd | 129945 |
| 12350 | Hyundai Engineering & Construction Co Ltd | 390376 |
| 5202 | Hyundai Glovis Co Ltd | 705698 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **South Korea — continued** | |
| 1022 | Hyundai Home Shopping Network Corp | 38763 |
| 1286 | Hyundai Marine & Fire Insurance Co Ltd | 29664 |
| 11046 | Hyundai Mobis Co Ltd | 1807993 |
| 1318 | INTOPS Co Ltd | 30475 |
| 24197 | JB Financial Group Co Ltd | 155659 |
| 12395 | KB Financial Group Inc | 492177 |
| 4000 | KB Financial Group Inc ADR | 157640 |
| 3100 | KC Co Ltd | 43295 |
| 401 | KCC Corp | 73798 |
| 1095 | KCC Glass Corp | 34411 |
| 104615 | Kia Corp | 5509434 |
| 926 | KIWOOM Securities Co Ltd | 65695 |
| 187 | Korea Investment Holdings Co Ltd | 8312 |
| 895 | Korea Petrochemical Ind Co Ltd | 111642 |
| 6570 | Korea Real Estate Investment & Trust Co Ltd | 7015 |
| 1137 | Korea Zinc Co Ltd | 549681 |
| 20967 | KT Skylife Co Ltd | 137521 |
| 74067 | KT&G Corp | 5620136 |
| 5061 | Kumho Petrochemical Co Ltd | 582159 |
| 2360 | LF Corp | 29051 |
| 8933 | LG Corp | 576093 |
| 44277 | LG Electronics Inc | 3341125 |
| 234 | LG H&H Co Ltd | 118086 |
| 10450 | LOTTE Fine Chemical Co Ltd | 500544 |
| 7883 | LX International Corp | 248398 |
| 3863 | LX Semicon Co Ltd | 263584 |
| 822 | Meritz Financial Group Inc | 23949 |
| 94 | NCSoft Corp | 34052 |
| 1743 | NH Investment & Securities Co Ltd | 12864 |
| 649 | Orion Corp | 58279 |
| 5323 | POSCO Holdings Inc | 1218435 |
| 34446 | POSCO Holdings Inc Sponsored ADR <sup>(a)</sup> | 1965489 |
| 3147 | PSK Inc | 43704 |
| 1056 | Samjin Pharmaceutical Co Ltd | 21010 |
| 115782 | Samsung Electronics Co Ltd | 5563204 |
| 1454 | Samsung Electronics Co Ltd GDR (Registered) <sup>(a)</sup> | 1727140 |
| 94 | Samsung Fire & Marine Insurance Co Ltd | 14754 |
| 1213 | Samsung SDS Co Ltd | 118525 |
| 12731 | SD Biosensor Inc | 322092 |
| 787 | Sebang Global Battery Co Ltd | 29279 |
| 5854 | Seegene Inc | 137028 |
| 43125 | Shinhan Financial Group Co Ltd | 1250199 |
| 309 | SK Chemicals Co Ltd | 21096 |
| 25209 | SK Square Co Ltd <sup>\*</sup> | 730371 |
| 7093 | SK Telecom Co Ltd Sponsored ADR | 152145 |
| 5883 | SL Corp | 127079 |
| 136243 | Woori Financial Group Inc | 1361059 |
| 41140 | Woori Technology Investment Co Ltd <sup>\*</sup> | 142268 |
| 6570 | Youngone Corp | 239391 |
|  | Total South Korea | 43308084 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Spain — 1.7%** | |
| 207000 | Acerinox SA | 2047860 |
| 42139 | Amadeus IT Group SA <sup>\*</sup> <sup>(a)</sup> | 2278351 |
| 35785 | Atresmedia Corp de Medios de Comunicacion SA | 125807 |
| 907632 | Banco Bilbao Vizcaya Argentaria SA | 5348713 |
| 3351275 | Banco de Sabadell SA | 3129149 |
| 848946 | Banco Santander SA | 2533114 |
| 90446 | Bankinter SA | 594870 |
| 49032 | CaixaBank SA <sup>(a)</sup> | 182292 |
| 18156 | Cia de Distribucion Integral Logista Holdings SA <sup>(a)</sup> | 428230 |
| 33188 | Ence Energia y Celulosa SA | 109953 |
| 33423 | Faes Farma SA | 128470 |
| 1233 | Grupo Catalana Occidente SA | 39001 |
| 83139 | Industria de Diseno Textil SA <sup>(a)</sup> | 2170244 |
| 10082 | Mediaset Espana Comunicacion SA <sup>\*</sup> | 33579 |
| 156663 | Repsol SA | 2418927 |
| 130830 | Telefonica SA <sup>(a)</sup> | 488346 |
| 69606 | Unicaja Banco SA | 71963 |
|  | Total Spain | 22128869 |
|  | **Sweden — 0.6%** |  |
| 88506 | Fastighets AB Balder – B Shares <sup>\*</sup> | 397879 |
| 18054 | Industrivarden AB – A Shares <sup>(a)</sup> | 465939 |
| 36780 | Industrivarden AB – C Shares <sup>(a)</sup> <sup>(b)</sup> | 942181 |
| 46981 | Investor AB – A Shares | 904604 |
| 57234 | Investor AB – B Shares <sup>(a)</sup> | 1065174 |
| 21646 | Inwido AB | 217969 |
| 68220 | Kinnevik AB – Class B <sup>\*</sup> | 1051603 |
| 16304 | New Wave Group AB – B Shares | 330368 |
| 37085 | Skanska AB – B Shares | 603719 |
| 237859 | SSAB AB – A Shares | 1377382 |
| 51144 | SSAB AB – B Shares | 289145 |
| 16663 | Svenska Cellulosa AB SCA – Class B | 226562 |
| 27307 | Telefonaktiebolaget LM Ericsson – B Shares | 172352 |
|  | Total Sweden | 8044877 |
|  | **Switzerland — 0.8%** |  |
| 51076 | Adecco Group AG (Registered) | 1736411 |
| 956 | DKSH Holding AG | 72083 |
| 31980 | Logitech International SA (Registered) <sup>(b)</sup> | 1938864 |
| 6408 | Mobilezone Holding AG (Registered) | 111635 |
| 417 | Roche Holding AG <sup>(a)</sup> | 167515 |
| 8917 | Roche Holding AG – Genusschein <sup>(a)</sup> | 2912505 |
| 1848 | u-blox Holding AG <sup>\*</sup> | 240596 |
| 152122 | UBS Group AG (Registered) <sup>(a)</sup> | 2807058 |
| 1582 | Zurich Insurance Group AG <sup>(a)</sup> | 760051 |
|  | Total Switzerland | 10746718 |
|  | **Taiwan — 3.3%** |  |
| 42560 | Acer Inc | 34157 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Taiwan — continued** | |
| 14414 | Acter Group Corp Ltd | 47256 |
| 328650 | AmTRAN Technology Co Ltd | 103809 |
| 39800 | ASE Technology Holding Co Ltd ADR <sup>(a)</sup> | 270640 |
| 3000 | ASMedia Technology Inc | 71929 |
| 418035 | Asustek Computer Inc | 3633602 |
| 19000 | Aten International Co Ltd | 47685 |
| 8400 | Aurora Corp | 21413 |
| 338000 | Catcher Technology Co Ltd | 2016182 |
| 705399 | Cathay Financial Holding Co Ltd | 1003824 |
| 43367 | Chailease Holding Co Ltd | 286239 |
| 170000 | Chicony Electronics Co Ltd | 460517 |
| 214000 | Chipbond Technology Corp | 406752 |
| 9280 | Chong Hong Construction Co Ltd | 21687 |
| 53200 | Chunghwa Telecom Co Ltd | 195824 |
| 2500 | Chunghwa Telecom Co Ltd Sponsored ADR <sup>(a)</sup> | 91300 |
| 582000 | Compal Electronics Inc | 409843 |
| 48440 | Coretronic Corp | 91717 |
| 18640 | Elan Microelectronics Corp | 54824 |
| 11760 | Elite Material Co Ltd | 73860 |
| 5000 | Elite Semiconductor Microelectronics Technology Inc | 12076 |
| 376200 | Evergreen Marine Corp Taiwan Ltd | 2019724 |
| 256000 | Far EasTone Telecommunications Co Ltd | 565268 |
| 91000 | Farglory Land Development Co Ltd | 161527 |
| 2600 | First Financial Holding Co Ltd | 2219 |
| 43701 | FLEXium Interconnect Inc | 152656 |
| 181000 | Formosa Plastics Corp | 530892 |
| 120821 | Foxconn Technology Co Ltd | 205371 |
| 920765 | Fubon Financial Holding Co Ltd | 1828840 |
| 6080 | Fusheng Precision Co Ltd | 42802 |
| 9000 | Gamania Digital Entertainment Co Ltd | 19629 |
| 11560 | Getac Technology Corp | 16077 |
| 15000 | Gigabyte Technology Co Ltd | 53461 |
| 265000 | Grand Pacific Petrochemical | 179927 |
| 13000 | Holtek Semiconductor Inc | 30314 |
| 1776318 | Hon Hai Precision Industry Co Ltd | 5816173 |
| 69000 | Huaku Development Co Ltd | 199617 |
| 33687 | Innodisk Corp | 206571 |
| 12109 | International Games System Co Ltd | 153791 |
| 63000 | King's Town Bank Co Ltd | 71448 |
| 31000 | Kung Long Batteries Industrial Co Ltd | 138852 |
| 21000 | Largan Precision Co Ltd | 1582260 |
| 422000 | Lite-On Technology Corp | 900611 |
| 4807 | Makalot Industrial Co Ltd | 36596 |
| 109000 | MediaTek Inc | 2633854 |
| 5408 | Merry Electronics Co Ltd | 15539 |
| 216000 | Micro-Star International Co Ltd | 870499 |
| 99000 | Mitac Holdings Corp | 95882 |
| 147280 | Nan Ya Plastics Corp | 368372 |
| 77903 | Nantex Industry Co Ltd | 98508 |
| 85000 | Nanya Technology Corp | 158620 |
| 26000 | Nichidenbo Corp | 44197 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Taiwan — continued** | |
| 4800 | Nien Made Enterprise Co Ltd | 45568 |
| 122000 | Novatek Microelectronics Corp | 1195389 |
| 51000 | Phison Electronics Corp | 547738 |
| 625000 | Pou Chen Corp | 658280 |
| 26000 | Powertech Technology Inc | 70911 |
| 64000 | Primax Electronics Ltd | 120767 |
| 44000 | Quanta Computer Inc | 102552 |
| 130472 | Radiant Opto-Electronics Corp | 446199 |
| 3000 | Raydium Semiconductor Corp | 30700 |
| 6000 | Realtek Semiconductor Corp | 62376 |
| 244200 | Ruentex Development Co Ltd | 368627 |
| 259400 | Ruentex Industries Ltd | 561924 |
| 31760 | Shin Zu Shing Co Ltd | 87663 |
| 68000 | Shinkong Insurance Co Ltd | 110027 |
| 24900 | Simplo Technology Co Ltd | 246748 |
| 7945 | Sinmag Equipment Corp | 22112 |
| 2000 | Soft-World International Corp | 5062 |
| 28080 | Syncmold Enterprise Corp | 53538 |
| 12000 | TaiDoc Technology Corp | 71831 |
| 181000 | Taiwan Semiconductor Manufacturing Co Ltd | 2906833 |
| 30042 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR <sup>(a)</sup> | 2492885 |
| 22400 | Teco Electric and Machinery Co Ltd | 20552 |
| 7360 | Test Research Inc | 15738 |
| 36681 | TOPBI International Holdings Ltd <sup>\*</sup> | 14590 |
| 40000 | Transcend Information Inc | 88082 |
| 49000 | Tripod Technology Corp | 154690 |
| 13000 | Tung Ho Steel Enterprise Corp | 22675 |
| 37624 | United Integrated Services Co Ltd | 219947 |
| 148000 | Universal Inc | 118477 |
| 214850 | Wan Hai Lines Ltd | 537948 |
| 298000 | Winbond Electronics Corp | 208030 |
| 286000 | Wistron Corp | 256903 |
| 116000 | WPG Holdings Ltd | 183115 |
| 983000 | Yang Ming Marine Transport Corp | 2138629 |
| 1573000 | Yuanta Financial Holding Co Ltd | 1157393 |
| 6000 | Yulon Nissan Motor Co Ltd | 40995 |
| 9669 | Zeng Hsing Industrial Co Ltd | 36697 |
| 40000 | Zhen Ding Technology Holding Ltd | 156659 |
|  | Total Taiwan | 44134083 |
|  | **Thailand — 0.9%** |  |
| 2229700 | AP Thailand Pcl NVDR | 641846 |
| 513400 | Bangkok Bank Pcl NVDR | 2109420 |
| 234200 | Bangkok Dusit Medical Services Pcl NVDR | 201756 |
| 32300 | CP ALL Pcl (Foreign Registered) | 59801 |
| 34600 | CP ALL Pcl NVDR | 64060 |
| 69100 | GFPT Pcl NVDR | 26766 |
| 10300 | Kasikornbank Pcl (Foreign Registered) | 42442 |
| 608400 | Kasikornbank Pcl NVDR | 2506976 |
| 87000 | Kiatnakin Phatra Bank Pcl NVDR | 177461 |
| 6653900 | Krung Thai Bank Pcl NVDR | 3339165 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Thailand — continued** | |
| 53632 | Pruksa Holding Pcl NVDR | 18462 |
| 73000 | PTG Energy Pcl NVDR | 30849 |
| 281000 | PTT Exploration & Production Pcl NVDR | 1498296 |
| 47400 | Regional Container Lines Pcl NVDR | 40645 |
| 3851300 | Sansiri Pcl NVDR | 172381 |
| 141300 | Somboon Advance Technology Pcl NVDR | 88724 |
| 270400 | Sri Trang Gloves Thailand Pcl NVDR | 76931 |
| 23760 | Supalai Pcl (Foreign Registered) | 15529 |
| 62524 | Supalai Pcl NVDR | 40863 |
| 82700 | Thai Oil Pcl NVDR | 130709 |
| 88000 | Thai Vegetable Oil Pcl NVDR | 70593 |
|  | Total Thailand | 11353675 |
|  | **Turkey — 0.7%** |  |
| 4346935 | Akbank TAS | 4066084 |
| 113472 | Arcelik AS | 563290 |
| 339228 | Aselsan Elektronik Sanayi Ve Ticaret AS | 887701 |
| 12363 | Dogus Otomotiv Servis ve Ticaret AS | 104481 |
| 105457 | Enerjisa Enerji AS | 164649 |
| 401627 | Haci Omer Sabanci Holding AS | 913479 |
| 159553 | KOC Holding AS | 607588 |
| 580824 | Turkiye Garanti Bankasi AS | 839853 |
| 974065 | Turkiye Is Bankasi AS – Class C | 548187 |
| 73176 | Vestel Elektronik Sanayi ve Ticaret AS | 235828 |
| 387322 | Yapi ve Kredi Bankasi AS | 251382 |
|  | Total Turkey | 9182522 |
|  | **United Arab Emirates — 0.0%** |  |
| 300669 | Abu Dhabi National Oil Co for Distribution PJSC | 373130 |
| 52716 | Emaar Development PJSC <sup>\*</sup> | 60445 |
| 60948 | Emaar Properties PJSC | 101333 |
|  | Total United Arab Emirates | 534908 |
|  | **United Kingdom — 3.9%** |  |
| 144532 | 3i Group Plc <sup>(a)</sup> | 2374728 |
| 3173 | AG Barr Plc | 19223 |
| 191969 | Airtel Africa Plc | 287123 |
| 32573 | BAE Systems Plc <sup>(a)</sup> | 322594 |
| 79624 | Balfour Beatty Plc | 311756 |
| 4859 | Bank of Georgia Group Plc | 148218 |
| 467944 | Barratt Developments Plc | 2262871 |
| 40282 | Bellway Plc | 978819 |
| 71194 | Berkeley Group Holdings Plc | 3301525 |
| 87700 | BP Plc Sponsored ADR <sup>(a)</sup> | 3148430 |
| 49574 | British American Tobacco Plc <sup>(a)</sup> | 2032634 |
| 39600 | British American Tobacco Plc Sponsored ADR <sup>(a)</sup> | 1634292 |
| 2171246 | BT Group Plc | 3195012 |
| 19796 | Bunzl Plc | 732116 |
| 596976 | Centrica Plc <sup>(a)</sup> | 689163 |
| 2505 | Clarkson Plc <sup>(a)</sup> | 93502 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United Kingdom — continued** | |
| 16039 | CMC Markets Plc | 45943 |
| 63769 | Coats Group Plc | 51620 |
| 113106 | Coca-Cola HBC AG <sup>\*</sup> | 2766674 |
| 191485 | Compass Group Plc <sup>(a)</sup> | 4365462 |
| 35626 | Crest Nicholson Holdings Plc | 98610 |
| 3800 | EMIS Group Plc <sup>(a)</sup> | 86132 |
| 23265 | Evraz Plc <sup>(e)</sup> | 574 |
| 217661 | Ferrexpo Plc | 379124 |
| 1720 | Galliford Try Holdings Plc | 3261 |
| 15360 | GSK Plc Sponsored ADR <sup>(a)</sup> | 531302 |
| 21500 | Haleon Plc ADR <sup>\*</sup> <sup>(a)</sup> | 148135 |
| 55459 | Halfords Group Plc | 130559 |
| 87293 | IG Group Holdings Plc | 868351 |
| 81442 | Imperial Brands Plc <sup>(a)</sup> | 2094775 |
| 4947 | Inchcape Plc <sup>(a)</sup> | 50102 |
| 24001 | Indivior Plc <sup>\*</sup> | 497785 |
| 20749 | International Personal Finance Plc | 19630 |
| 136342 | Investec Plc | 861101 |
| 4789 | Keller Group Plc | 42442 |
| 491424 | Kingfisher Plc | 1437119 |
| 269923 | Legal & General Group Plc <sup>(a)</sup> | 828014 |
| 911388 | M&G Plc | 2129619 |
| 13089 | Morgan Advanced Materials Plc | 48206 |
| 11562 | Morgan Sindall Group Plc | 228553 |
| 88646 | OSB Group Plc | 510324 |
| 12678 | Paragon Banking Group Plc | 72506 |
| 85408 | Persimmon Plc | 1322871 |
| 69441 | Plus500 Ltd | 1594057 |
| 35451 | Redde Northgate Plc <sup>(a)</sup> | 162288 |
| 101597 | Redrow Plc | 559810 |
| 197393 | S4 Capital Plc <sup>\*</sup> | 455763 |
| 58036 | Serica Energy Plc | 221752 |
| 95106 | Shell Plc <sup>(a)</sup> | 2783353 |
| 47117 | Spirent Communications Plc | 164203 |
| 23834 | Standard Chartered Plc | 177540 |
| 472355 | Taylor Wimpey Plc | 595370 |
| 3340 | TBC Bank Group Plc | 88561 |
| 19589 | Unilever Plc <sup>(a)</sup> | 979472 |
| 11263 | Vesuvius Plc | 52025 |
| 111200 | Vodafone Group Plc Sponsored ADR <sup>(a)</sup> | 1248776 |
| 14969 | Wickes Group Plc | 24998 |
| 87354 | WPP Plc <sup>(a)</sup> | 918063 |
|  | Total United Kingdom | 51176831 |
|  | **United States — 14.0%** |  |
| 3400 | 3M Co. <sup>(a)</sup> | 428298 |
| 6669 | ADTRAN Holdings, Inc. | 135181 |
| 15000 | Aflac, Inc. <sup>(a)</sup> | 1078950 |
| 51100 | Ally Financial, Inc. <sup>(a)</sup> | 1380211 |
| 20883 | Alphabet, Inc. – Class A <sup>\* (a)</sup> | 2108974 |
| 18642 | American Express Co. <sup>(a)</sup> | 2937793 |
| 40300 | AppLovin Corp. – Class A <sup>\*</sup> <sup>(a)</sup> | 580723 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United States — continued** | |
| 16700 | Arrow Electronics, Inc. <sup>\*</sup> | 1815958 |
| 57800 | AT&T, Inc. <sup>(a)</sup> | 1114384 |
| 22100 | Best Buy Co., Inc. <sup>(a)</sup> | 1885130 |
| 7000 | Biogen, Inc. <sup>\*</sup> <sup>(a)</sup> | 2136190 |
| 3600 | Bio-Rad Laboratories, Inc. – Class A <sup>\*</sup> | 1492956 |
| 1238 | Booking Holdings, Inc. <sup>\*</sup> <sup>(a)</sup> | 2574359 |
| 107423 | BorgWarner, Inc. | 4566552 |
| 15400 | Capital One Financial Corp. <sup>(a)</sup> | 1589896 |
| 8810 | CarMax, Inc. <sup>\*</sup> <sup>(a)</sup> | 611062 |
| 42000 | Carrier Global Corp. <sup>(a)</sup> | 1861440 |
| 20700 | CBRE Group, Inc. – Class A <sup>\*</sup> <sup>(a)</sup> | 1647720 |
| 22900 | Centene Corp. <sup>\*</sup> <sup>(a)</sup> | 1993445 |
| 15388 | Chevron Corp. <sup>(a)</sup> | 2820774 |
| 3200 | Cigna Corp. <sup>(a)</sup> | 1052448 |
| 36700 | Citigroup, Inc. <sup>(a)</sup> | 1776647 |
| 107000 | Cleveland-Cliffs, Inc. <sup>\*</sup> | 1656360 |
| 27200 | Cognizant Technology Solutions Corp. – Class A <sup>(a)</sup> | 1692112 |
| 53000 | Comcast Corp. – Class A <sup>(a)</sup> | 1941920 |
| 13200 | CVS Health Corp. <sup>(a)</sup> | 1344816 |
| 41604 | Darling Ingredients, Inc. <sup>\*</sup> | 2988415 |
| 41400 | Dell Technologies, Inc. – Class C | 1854306 |
| 14000 | Discover Financial Services <sup>(a)</sup> | 1517040 |
| 102500 | DISH Network Corp. – Class A <sup>\*</sup> <sup>(a)</sup> | 1645125 |
| 23700 | DR Horton, Inc. <sup>(a)</sup> | 2038200 |
| 38500 | eBay, Inc. <sup>(a)</sup> | 1749440 |
| 27449 | EOG Resources, Inc. <sup>(a)</sup> | 3895837 |
| 38600 | Exelon Corp. <sup>(a)</sup> | 1596882 |
| 9500 | FedEx Corp. <sup>(a)</sup> | 1731090 |
| 41800 | Fidelity National Financial, Inc. <sup>(a)</sup> | 1687048 |
| 121800 | Ford Motor Co. <sup>(a)</sup> | 1693020 |
| 24200 | Fortune Brands Home & Security, Inc. | 1581228 |
| 10200 | Fox Corp. – Class A <sup>(a)</sup> | 330990 |
| 61900 | Fox Corp. – Class B <sup>(a)</sup> | 1889188 |
| 65200 | Franklin Resources, Inc. <sup>(a)</sup> | 1748012 |
| 3100 | Garmin Ltd. <sup>(a)</sup> | 288269 |
| 45100 | General Motors Co. | 1829256 |
| 7300 | Gilead Sciences, Inc. <sup>(a)</sup> | 641159 |
| 1600 | Goldman Sachs Group, Inc. (The) <sup>(a)</sup> | 617840 |
| 31279 | Green Plains, Inc. <sup>\*</sup> | 1081002 |
| 4400 | Henry Schein, Inc. <sup>\*</sup> <sup>(a)</sup> | 356048 |
| 18449 | Hilton Worldwide Holdings, Inc. <sup>(a)</sup> | 2631196 |
| 58500 | HP, Inc. | 1757340 |
| 30600 | IAC, Inc. <sup>\*</sup> <sup>(a)</sup> | 1587834 |
| 24400 | Incyte Corp. <sup>\*</sup> <sup>(a)</sup> | 1943948 |
| 60000 | Intel Corp. <sup>(a)</sup> | 1804200 |
| 30392 | Intercontinental Exchange, Inc. <sup>(a)</sup> | 3291757 |
| 15300 | International Business Machines Corp. <sup>(a)</sup> | 2278170 |
| 73500 | Invesco Ltd. | 1404585 |
| 12800 | Jazz Pharmaceuticals Plc <sup>\*</sup> | 2008448 |
| 113900 | Kinder Morgan, Inc. <sup>(a)</sup> | 2177768 |
| 22400 | Knight-Swift Transportation Holdings, Inc. <sup>(a)</sup> | 1241632 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United States — continued** | |
| 38900 | Kraft Heinz Co. (The) <sup>(a)</sup> | 1530715 |
| 10600 | Kroger Co. (The) <sup>(a)</sup> | 521414 |
| 8300 | Laboratory Corp. of America Holdings <sup>(a)</sup> | 1997810 |
| 3370 | Lam Research Corp. <sup>(a)</sup> | 1591921 |
| 47573 | Las Vegas Sands Corp. <sup>\*</sup> <sup>(a)</sup> | 2228319 |
| 22900 | Lennar Corp. – Class A | 2011307 |
| 18900 | Liberty Global Plc – Class A <sup>\*</sup> | 379512 |
| 38900 | Liberty Global Plc – Class C <sup>\*</sup> | 804452 |
| 39100 | Lincoln National Corp. | 1522554 |
| 196000 | Lumen Technologies, Inc. | 1072120 |
| 20800 | LyondellBasell Industries NV – Class A <sup>(a)</sup> | 1768208 |
| 2070 | Markel Corp. <sup>\*</sup> | 2742419 |
| 15000 | Match Group, Inc. <sup>\*</sup> <sup>(a)</sup> | 758400 |
| 26122 | Meta Platforms, Inc. – Class A <sup>\*</sup> <sup>(a)</sup> | 3085008 |
| 9800 | MetLife, Inc. <sup>(a)</sup> | 751660 |
| 52284 | Micron Technology, Inc. <sup>(a)</sup> | 3014173 |
| 15400 | Mohawk Industries, Inc. <sup>\*</sup> | 1560482 |
| 35100 | Molson Coors Brewing Co. – Class B <sup>(a)</sup> | 1934361 |
| 26200 | Mosaic Co. (The) <sup>(a)</sup> | 1344060 |
| 32800 | NRG Energy, Inc. <sup>(a)</sup> | 1392360 |
| 12100 | Nucor Corp. <sup>(a)</sup> | 1814395 |
| 12300 | Occidental Petroleum Corp. | 854727 |
| 20500 | Oracle Corp. <sup>(a)</sup> | 1702115 |
| 21295 | Otis Worldwide Corp. <sup>(a)</sup> | 1662926 |
| 2800 | PACCAR, Inc. <sup>(a)</sup> | 296548 |
| 89900 | Paramount Global – Class B <sup>(a)</sup> | 1805192 |
| 21200 | PayPal Holdings, Inc. <sup>\*</sup> <sup>(a)</sup> | 1662292 |
| 24900 | Pfizer, Inc. <sup>(a)</sup> | 1248237 |
| 17600 | Prudential Financial, Inc. <sup>(a)</sup> | 1901328 |
| 39900 | PulteGroup, Inc. | 1786722 |
| 1000 | Quest Diagnostics, Inc. <sup>(a)</sup> | 151830 |
| 34987 | Raytheon Technologies Corp. <sup>(a)</sup> | 3453917 |
| 2900 | Regeneron Pharmaceuticals, Inc. <sup>\*</sup> <sup>(a)</sup> | 2179930 |
| 7900 | Resolute Forest Products, Inc. <sup>\*</sup> | 166381 |
| 35261 | Sensata Technologies Holding Plc | 1590271 |
| 10300 | Skyworks Solutions, Inc. <sup>(a)</sup> | 984886 |
| 12900 | SS&C Technologies Holdings, Inc. <sup>(a)</sup> | 693504 |
| 3200 | Stanley Black & Decker, Inc. | 261504 |
| 20400 | Steel Dynamics, Inc. <sup>(a)</sup> | 2120172 |
| 46700 | Synchrony Financial <sup>(a)</sup> | 1754986 |
| 19400 | Textron, Inc. <sup>(a)</sup> | 1384772 |
| 23400 | Tyson Foods, Inc. – Class A <sup>(a)</sup> | 1550952 |
| 800 | United Parcel Service, Inc. – Class B <sup>(a)</sup> | 151784 |
| 15500 | Universal Health Services, Inc. – Class B <sup>(a)</sup> | 2028175 |
| 59023 | US Bancorp <sup>(a)</sup> | 2679054 |
| 42700 | Verizon Communications, Inc. <sup>(a)</sup> | 1664446 |
| 5300 | Vertex Pharmaceuticals, Inc. <sup>\*</sup> <sup>(a)</sup> | 1676920 |
| 158700 | Viatris, Inc. | 1750461 |
| 43800 | Walgreens Boots Alliance, Inc. <sup>(a)</sup> | 1817700 |
| 20248 | Warner Bros Discovery, Inc. <sup>\*</sup> <sup>(a)</sup> | 230827 |
| 64600 | Wells Fargo & Co. <sup>(a)</sup> | 3097570 |
| 108300 | Western Union Co. (The) <sup>(a)</sup> | 1587678 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United States — continued** | |
| 40400 | Western Digital Corp. <sup>\*</sup> | 1484700 |
| 13800 | Westlake Corp. | 1485570 |
| 10500 | Whirlpool Corp. | 1538565 |
| 19200 | Zoom Video Communications, Inc. – Class A <sup>\*</sup> <sup>(a)</sup> | 1448256 |
|  | Total United States | 184791120 |
|  | **Vietnam — 0.3%** |  |
| 228600 | Duc Giang Chemicals JSC | 570747 |
| 718700 | Hoa Phat Group JSC | 540834 |
| 305600 | Hoa Sen Group <sup>\*</sup> | 140979 |
| 110400 | IDICO Corp JSC | 161748 |
| 362100 | Nam Kim Steel JSC | 163079 |
| 7900 | PetroVietnam Technical Services Corp | 6817 |
| 428365 | Saigon – Hanoi Commercial Joint Stock Bank <sup>\*</sup> | 177756 |
| 705400 | SSI Securities Corp | 558069 |
| 153300 | Vietnam Dairy Products JSC | 517165 |
| 419100 | Vietnam Joint Stock Commercial Bank for Industry and Trade | 468050 |
| 54800 | Vinhomes JSC | 121846 |
| 1443600 | VNDirect Securities Corp | 808333 |
|  | Total Vietnam | 4235423 |
|  | TOTAL COMMON STOCKS<br>(COST $1,047,457,271) | 917468112 |
|  | **PREFERRED STOCKS <sup>(g)</sup> — 1.5%** |  |
|  | **Brazil — 1.1%** |  |
| 41600 | Banco do Estado do Rio Grande do Sul SA – Class B | 79924 |
| 396417 | Bradespar SA | 2161851 |
| 311500 | Cia Energetica de Minas Gerais | 689107 |
| 35100 | Cia Energetica de Minas Gerais Sponsored ADR <sup>(a)</sup> | 76869 |
| 850600 | Cia Paranaense de Energia – Class B | 1324414 |
| 70500 | Gerdau SA | 428895 |
| 110067 | Gerdau SA Sponsored ADR | 671409 |
| 46300 | Itau Unibanco Holding SA | 231975 |
| 302200 | Itau Unibanco Holding SA Sponsored ADR | 1504956 |
| 848000 | Petroleo Brasileiro SA | 4356553 |
| 255500 | Petroleo Brasileiro SA Sponsored ADR | 2618875 |
| 397 | Unipar Carbocloro SA – Class B | 7435 |
|  | Total Brazil | 14152263 |
|  | **Colombia — 0.0%** |  |
| 297879 | Grupo Aval Acciones y Valores SA | 34428 |
|  | **Germany — 0.2%** |  |
| 14456 | Bayerische Motoren Werke AG <sup>(a)</sup> | 1254404 |
| 2245 | Draegerwerk AG & Co KGaA <sup>(a)</sup> | 101754 |
| 1552 | Villeroy & Boch AG | 27130 |
| 7307 | Volkswagen AG <sup>(a)</sup> | 1079322 |
|  | Total Germany | 2462610 |

---

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **<br>Value ($)** |
| | **Russia — 0.0%** | |
| 12924 | Bashneft PJSC <sup>(e)</sup> | 10303 |
| 56000 | Nizhnekamskneftekhim PJSC <sup>(e)</sup> | 4517 |
| 20810 | Sberbank of Russia PJSC <sup>\*</sup> <sup>(e)</sup> <sup>(f)</sup> | 3119 |
| 9254300 | Surgutneftegas PJSC <sup>(e)</sup> | 263473 |
| 161 | Transneft PJSC <sup>(e)</sup> | 16344 |
|  | Total Russia | 297756 |
|  | **South Korea — 0.2%** |  |
| 2160 | Hyundai Motor Co GDR (Registered) | 66977 |
| 4881 | LG Electronics Inc | 172001 |
| 25 | LG H&H Co Ltd | 5298 |
| 55756 | Samsung Electronics Co Ltd | 2397600 |
| 89 | Samsung Electronics Co Ltd GDR (Registered) <sup>(a)</sup> | 96218 |
|  | Total South Korea | 2738094 |
|  | **Taiwan — 0.0%** |  |
| 10589 | Chailease Holding Co Ltd | 33119 |
|  | TOTAL PREFERRED STOCKS<br>(COST $24,556,145) | 19718270 |
|  | **RIGHTS/WARRANTS — 0.0%** |  |
|  | **France — 0.0%** |  |
| 20633 | ALD SA <sup>\*</sup> | 44874 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $0) | 44874 |
|  | **DEBT OBLIGATIONS — 15.8%** |  |
|  | **United States — 15.8%** |  |
|  | **Asset-Backed Securities — 0.0%** |  |
| 2571735 | Crest G-Star LP, Series 2001-1A, Class D, 144A, 9.00%, due 11/28/35 <sup>(h)</sup> | 2 |
|  | **U.S. Government — 15.8%** |  |
| 82400000 | U.S. Treasury Note, 0.13%, due 04/30/23 | 80864657 |
| 7000000 | U.S. Treasury Note, 0.13%, due 05/31/23 | 6846328 |
| 13700000 | U.S. Treasury Note, 0.13%, due 06/30/23 | 13336629 |
| 1000000 | U.S. Treasury Note, 0.13%, due 07/31/23 | 969883 |
| 43725000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 10/31/23 | 43757858 |
| 32000000 | U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24 | 31943844 |
| 30000000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 <sup>(a)</sup> | 29961756 |
|  | Total U.S. Government | 207680955 |
|  | Total United States | 207680957 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $210,510,240) | 207680957 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **MUTUAL FUNDS — 22.4%** | |
| | **United States — 22.4%** | |
| | **Affiliated Issuers — 22.4%** | |
| 2800923 | GMO Emerging Country Debt Fund, Class VI | 53357590 |
| 3533772 | GMO High Yield Fund, Class VI | 63183843 |
| 2847952 | GMO Opportunistic Income Fund, Class VI | 69433055 |
| 1831428 | GMO Resources Fund | 51188418 |
| 1794827 | GMO SGM Major Markets Fund, Class VI | 49088520 |
| 1657998 | GMO U.S. Treasury Fund <sup>(i)</sup> | 8256829 |
|  | Total Affiliated Issuers | 294508255 |
|  | TOTAL MUTUAL FUNDS<br>(COST $323,050,932) | 294508255 |
|  | **SHORT-TERM INVESTMENTS — 10.4%** | **SHORT-TERM INVESTMENTS — 10.4%** |
|  | **Money Market Funds — 0.2%** |  |
| 3144650 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(j)</sup> | 3144650 |
|  | **Repurchase Agreements — 10.2%** |  |
| 133999703 | Nomura Securities International, Inc. Repurchase Agreement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $134,013,847 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $136,734,306. | 133999703 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $137,144,353) | 137144353 |
|  | **TOTAL INVESTMENTS — 119.7**%<br>(Cost $1,742,718,941) | **1576564821** |
|  | **SECURITIES SOLD SHORT — (19.6)%** | **SECURITIES SOLD SHORT — (19.6)%** |
|  | **Common Stocks — (19.5)%** |  |
|  | **Australia — (0.5)%** |  |
| (33231) | ASX Ltd | (1601861) |
| (6551) | Cochlear Ltd | (963511) |
| (3164) | Domino's Pizza Enterprises Ltd | (144910) |
| (42664) | IDP Education Ltd | (878384) |
| (14050) | Northern Star Resources Ltd | (102870) |
| (406727) | Qantas Airways Ltd <sup>\*</sup> | (1746742) |
| (15246) | Ramsay Health Care Ltd | (686145) |
|  | Total Australia | (6124423) |
|  | **Austria — (0.1)%** |  |
| (18618) | Verbund AG | (1685368) |
|  | **Belgium — (0.1)%** |  |
| (31099) | Anheuser-Busch InBev SA/NV | (1834075) |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Canada — (1.2)%** | |
| (26900) | Agnico Eagle Mines Ltd | (1354953) |
| (100000) | Algonquin Power & Utilities Corp | (755000) |
| (78600) | AltaGas Ltd | (1318814) |
| (15100) | BCE Inc | (719364) |
| (43400) | Brookfield Renewable Corp – Class A | (1415274) |
| (4800) | Cameco Corp | (117024) |
| (41800) | Enbridge Inc | (1725922) |
| (11800) | Franco-Nevada Corp | (1724216) |
| (93300) | Pan American Silver Corp | (1529187) |
| (54300) | Pembina Pipeline Corp | (1980864) |
| (30700) | Restaurant Brands International Inc | (2036945) |
| (13400) | Ritchie Bros Auctioneers Inc | (734990) |
|  | Total Canada | (15412553) |
|  | **Denmark — (0.1)%** |  |
| (2474) | Coloplast A/S – Class B | (292468) |
| (28496) | Tryg A/S | (662991) |
|  | Total Denmark | (955459) |
|  | **Finland — (0.0)%** |  |
| (5949) | Elisa Oyj | (309450) |
|  | **France — (0.7)%** |  |
| (56459) | Accor SA <sup>\*</sup> | (1487139) |
| (10985) | Aeroports de Paris <sup>\*</sup> | (1693201) |
| (2709) | Euronext NV | (207235) |
| (106747) | Getlink SE | (1764036) |
| (1320) | Hermes International | (2145367) |
| (1721) | Sartorius Stedim Biotech | (587383) |
| (7165) | Ubisoft Entertainment SA <sup>\*</sup> | (199317) |
| (7186) | Wendel SE | (669116) |
|  | Total France | (8752794) |
|  | **Germany — (0.7)%** |  |
| (180) | Carl Zeiss Meditec AG | (24540) |
| (43232) | Delivery Hero SE <sup>\*</sup> | (1892380) |
| (9066) | Deutsche Boerse AG | (1666099) |
| (3557) | MTU Aero Engines AG | (750040) |
| (1241) | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | (391978) |
| (12721) | Puma SE | (658358) |
| (2828) | QIAGEN NV <sup>\*</sup> | (141188) |
| (1450) | Rational AG | (911041) |
| (3144) | Scout24 SE | (172568) |
| (14560) | Symrise AG – Class A | (1669868) |
| (510353) | Telefonica Deutschland Holding AG | (1220637) |
| (4025) | United Internet AG | (85570) |
| (8276) | Zalando SE <sup>\*</sup> | (260304) |
|  | Total Germany | (9844571) |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Ireland — (0.0)%** | |
| (1749) | Flutter Entertainment Plc <sup>\*</sup> | (260422) |
|  | **Israel — (0.2)%** |  |
| (12400) | CyberArk Software Ltd <sup>\*</sup> | (1848468) |
| (5900) | Wix.com Ltd <sup>\*</sup> | (533891) |
|  | Total Israel | (2382359) |
|  | **Italy — (0.6)%** |  |
| (50192) | Amplifon SPA | (1421794) |
| (7808) | Ferrari NV <sup>(d)</sup> | (1742760) |
| (3000) | Ferrari NV <sup>(d)</sup> | (669150) |
| (131536) | FinecoBank Banca Fineco SPA | (2136369) |
| (149718) | Infrastrutture Wireless Italiane SPA | (1493253) |
|  | Total Italy | (7463326) |
|  | **Japan — (2.2)%** |  |
| (56100) | Aeon Co Ltd | (1157775) |
| (83300) | ANA Holdings Inc <sup>\*</sup> | (1793601) |
| (58100) | Asahi Intecc Co Ltd | (1040039) |
| (400) | Fast Retailing Co Ltd | (237856) |
| (18800) | GMO Payment Gateway Inc | (1702137) |
| (1200) | Hoya Corp | (124176) |
| (82100) | Japan Airlines Co Ltd <sup>\*</sup> | (1641110) |
| (44900) | Japan Exchange Group Inc | (650114) |
| (31200) | Keio Corp | (1168836) |
| (17700) | Keisei Electric Railway Co Ltd | (507078) |
| (6600) | Kintetsu Group Holdings Co Ltd | (235892) |
| (10500) | Lasertec Corp | (1979270) |
| (58500) | M3 Inc | (1834722) |
| (106800) | MonotaRO Co Ltd | (1847669) |
| (20700) | Nidec Corp | (1303532) |
| (81200) | Nihon M&A Center Holdings Inc | (1111683) |
| (138700) | Nippon Paint Holdings Co Ltd | (1148678) |
| (7800) | Nissin Foods Holdings Co Ltd | (594399) |
| (79000) | Odakyu Electric Railway Co Ltd | (1042832) |
| (12100) | Oriental Land Co Ltd | (1749061) |
| (323600) | Rakuten Group Inc | (1554759) |
| (19100) | Shiseido Co Ltd | (815760) |
| (32000) | Tobu Railway Co Ltd | (772526) |
| (72700) | Tokyu Corp | (928459) |
| (36500) | West Japan Railway Co | (1554888) |
|  | Total Japan | (28496852) |
|  | **Netherlands — (0.5)%** |  |
| (1157) | Adyen NV <sup>\*</sup> | (1822644) |
| (10866) | IMCD NV | (1607127) |
| (48697) | Just Eat Takeaway.com NV <sup>\*</sup> | (1128221) |
| (4509) | OCI NV | (190884) |
| (85149) | Universal Music Group NV | (2024909) |
|  | Total Netherlands | (6773785) |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **New Zealand — (0.1)%** | |
| (32072) | Xero Ltd <sup>\*</sup> | (1593827) |
|  | **Norway — (0.1)%** |  |
| (51081) | Aker BP ASA | (1777121) |
|  | **Peru — (0.1)%** |  |
| (31220) | Southern Copper Corp | (1905044) |
|  | **Russia — (0.0)%** |  |
| (1138) | Magnit PJSC <sup>(e)</sup> | (6259) |
|  | **Singapore — (0.2)%** |  |
| (168000) | Grab Holdings Ltd – Class A <sup>\*</sup> | (507360) |
| (153000) | Singapore Airlines Ltd | (620731) |
| (161700) | Singapore Exchange Ltd | (1082322) |
|  | Total Singapore | (2210413) |
|  | **Spain — (0.3)%** |  |
| (49210) | Cellnex Telecom SA <sup>\*</sup> | (1692259) |
| (81470) | Ferrovial SA | (2190912) |
|  | Total Spain | (3883171) |
|  | **Sweden — (0.2)%** |  |
| (8140) | EQT AB | (186838) |
| (17805) | Evolution AB | (1833985) |
|  | Total Sweden | (2020823) |
|  | **Switzerland — (0.3)%** |  |
| (2) | Chocoladefabriken Lindt & Spruengli AG (Registered) | (205978) |
| (16) | Givaudan SA | (54091) |
| (1517) | Partners Group Holding AG | (1511492) |
| (2061) | Sika AG (Registered) | (526710) |
| (11856) | Straumann Holding AG (Registered) | (1383730) |
|  | Total Switzerland | (3682001) |
|  | **United Kingdom — (1.0)%** |  |
| (17037) | Admiral Group Plc | (416520) |
| (210889) | Auto Trader Group Plc | (1455832) |
| (495) | Croda International Plc | (40934) |
| (19026) | Halma Plc | (504690) |
| (104148) | Hargreaves Lansdown Plc | (1073087) |
| (296710) | Informa Plc | (2225116) |
| (20585) | InterContinental Hotels Group Plc | (1198112) |
| (21377) | London Stock Exchange Group Plc | (2140596) |
| (176230) | Ocado Group Plc <sup>\*</sup> | (1334192) |
| (5349) | Prudential Plc | (63626) |
| (1910590) | Rolls-Royce Holdings Plc <sup>\*</sup> | (2117026) |
| (4608) | Spirax-Sarco Engineering Plc | (629321) |
|  | Total United Kingdom | (13199052) |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United States — (10.3)%** | |
| (300) | AbbVie, Inc. | (48354) |
| (75500) | AES Corp. (The) | (2183460) |
| (700) | Albemarle Corp. | (194593) |
| (9400) | Alnylam Pharmaceuticals, Inc. <sup>\*</sup> | (2073546) |
| (31900) | Altria Group, Inc. | (1485902) |
| (4200) | American Tower Corp. (REIT) | (929250) |
| (1700) | Amgen, Inc. | (486880) |
| (5500) | Aon Plc – Class A | (1695540) |
| (44200) | Aramark | (1838720) |
| (10000) | Arthur J Gallagher & Co. | (1991100) |
| (7300) | Autodesk, Inc. <sup>\*</sup> | (1474235) |
| (3600) | Automatic Data Processing, Inc. | (950904) |
| (13800) | Bill.Com Holdings, Inc. <sup>\*</sup> | (1661796) |
| (8300) | BioMarin Pharmaceutical, Inc. <sup>\*</sup> | (838134) |
| (17600) | Bio-Techne Corp. | (1495824) |
| (11900) | Boeing Co. (The) <sup>\*</sup> | (2128672) |
| (3600) | Broadcom, Inc. | (1983708) |
| (3100) | Brown & Brown, Inc. | (184729) |
| (11800) | Burlington Stores, Inc. <sup>\*</sup> | (2309024) |
| (39400) | Caesars Entertainment, Inc. <sup>\*</sup> | (2001914) |
| (1700) | Catalent, Inc. <sup>\*</sup> | (85221) |
| (30400) | Ceridian HCM Holding, Inc. <sup>\*</sup> | (2080576) |
| (1000) | Charles Schwab Corp. (The) | (82540) |
| (1300) | Chipotle Mexican Grill, Inc. – Class A <sup>\*</sup> | (2115048) |
| (34400) | Cloudflare, Inc. – Class A <sup>\*</sup> | (1690416) |
| (7400) | CME Group, Inc. | (1306100) |
| (32900) | Coupa Software, Inc. <sup>\*</sup> | (2080596) |
| (6300) | Crown Castle, Inc. (REIT) | (891009) |
| (50300) | Delta Air Lines, Inc. <sup>\*</sup> | (1779111) |
| (17500) | Dexcom, Inc. <sup>\*</sup> | (2034900) |
| (12400) | Diamondback Energy, Inc. | (1835448) |
| (19500) | Dominion Energy, Inc. | (1191645) |
| (3700) | Dynatrace, Inc. <sup>\*</sup> | (143375) |
| (12900) | Equity LifeStyle Properties, Inc. (REIT) | (856818) |
| (500) | Erie Indemnity Co. – Class A | (141195) |
| (15000) | Essential Utilities, Inc. | (723600) |
| (45200) | Exact Sciences Corp. <sup>\*</sup> | (2031740) |
| (500) | Extra Space Storage, Inc. (REIT) | (80345) |
| (200) | Fair Isaac Corp. <sup>\*</sup> | (123944) |
| (32200) | Fastenal Co. | (1658622) |
| (29400) | Fortinet, Inc. <sup>\*</sup> | (1562904) |
| (5000) | Gartner, Inc. <sup>\*</sup> | (1751850) |
| (26200) | Guidewire Software, Inc. <sup>\*</sup> | (1553922) |
| (9000) | Hess Corp. | (1295190) |
| (5300) | HubSpot, Inc. <sup>\*</sup> | (1606059) |
| (4600) | IDEXX Laboratories, Inc. <sup>\*</sup> | (1959002) |
| (29600) | Ingersoll Rand, Inc. | (1597512) |
| (6800) | Insulet Corp. <sup>\*</sup> | (2035716) |
| (8900) | IQVIA Holdings, Inc. <sup>\*</sup> | (1940378) |
| (20500) | Iron Mountain, Inc. (REIT) | (1113765) |
| (32300) | Liberty Media Corp.-Liberty Formula One – Class C <sup>\*</sup> | (1968362) |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United States — continued** | |
| (5900) | Linde Plc <sup>\*</sup> | (1985232) |
| (20700) | Live Nation Entertainment, Inc. <sup>\*</sup> | (1506132) |
| (700) | LPL Financial Holdings, Inc. | (165697) |
| (6300) | MarketAxess Holdings, Inc. | (1687896) |
| (4400) | Marriott International, Inc. – Class A | (727540) |
| (9000) | Marsh & McLennan Cos., Inc. | (1558620) |
| (300) | Mastercard, Inc. – Class A | (106920) |
| (3500) | McDonald's Corp. | (954765) |
| (2500) | McKesson Corp. | (954200) |
| (9700) | MongoDB, Inc. – Class A <sup>\*</sup> | (1481093) |
| (3200) | Monolithic Power Systems, Inc. | (1222272) |
| (3000) | Moody's Corp. | (894810) |
| (300) | Motorola Solutions, Inc. | (81660) |
| (3900) | MSCI, Inc. – Class A | (1980537) |
| (26700) | Newmont Corp. | (1267449) |
| (55600) | NiSource, Inc. | (1553464) |
| (24700) | Novocure Ltd. <sup>\*</sup> | (1897948) |
| (31200) | Okta, Inc. <sup>\*</sup> | (1663584) |
| (27800) | ONEOK, Inc. | (1860376) |
| (176100) | Palantir Technologies, Inc. – Class A <sup>\*</sup> | (1320750) |
| (200) | Palo Alto Networks, Inc. <sup>\*</sup> | (33980) |
| (12700) | Paychex, Inc. | (1575181) |
| (15200) | Philip Morris International, Inc. | (1514984) |
| (6800) | PTC, Inc. <sup>\*</sup> | (865028) |
| (1000) | Public Storage (REIT) | (297960) |
| (42500) | ROBLOX Corp. – Class A <sup>\*</sup> | (1350225) |
| (28100) | Roku, Inc. <sup>\*</sup> | (1668297) |
| (46700) | Rollins, Inc. | (1888548) |
| (35500) | Royal Caribbean Cruises Ltd. <sup>\*</sup> | (2127515) |
| (3400) | S&P Global, Inc. | (1199520) |
| (11800) | Seagen, Inc. <sup>\*</sup> | (1432402) |
| (4100) | ServiceNow, Inc. <sup>\*</sup> | (1706830) |
| (7200) | Sherwin-Williams Co. (The) | (1794096) |
| (7800) | Simon Property Group, Inc. (REIT) | (931632) |
| (37100) | Snap, Inc. – Class A <sup>\*</sup> | (382501) |
| (9800) | Snowflake, Inc. – Class A <sup>\*</sup> | (1400420) |
| (17500) | Starbucks Corp. | (1788500) |
| (19500) | Sysco Corp. | (1686945) |
| (58600) | Teladoc Health, Inc. <sup>\*</sup> | (1670686) |
| (7700) | Tesla, Inc. <sup>\*</sup> | (1499190) |
| (3400) | T-Mobile U.S., Inc. <sup>\*</sup> | (514964) |
| (31000) | Trade Desk, Inc. (The) – Class A <sup>\*</sup> | (1616340) |
| (2700) | TransDigm Group, Inc. | (1696950) |
| (32900) | Twilio, Inc. – Class A <sup>\*</sup> | (1612758) |
| (61100) | Uber Technologies, Inc. <sup>\*</sup> | (1780454) |
| (20700) | UDR, Inc. (REIT) | (858429) |
| (6700) | Vail Resorts, Inc. | (1725518) |
| (3400) | Vulcan Materials Co. | (623322) |
| (62400) | Williams Cos., Inc. (The) | (2165280) |
| (500) | Yum! Brands, Inc. | (64330) |
| (14956) | Zillow Group, Inc. – Class C <sup>\*</sup> | (568029) |
| (600) | Zoetis, Inc. | (92484) |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United States — continued** | |
| (11100) | Zscaler, Inc. <sup>\*</sup> | (1481295) |
|  | Total United States | (135758732) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $281,534,479) | (256331880) |
|  | **PREFERRED STOCKS <sup>(g)</sup> — (0.1)%** | **PREFERRED STOCKS <sup>(g)</sup> — (0.1)%** |
|  | **Germany — (0.1)%** |  |
| (4129) | Sartorius AG | (1552325) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $1,689,655) | (1552325) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $283,224,134) | **(257884205)** |
|  | Other Assets and Liabilities (net) — (0.1%) | (1326372) |
|  | **TOTAL NET ASSETS — 100.0%** | **$1317354244** |

---

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition<br>Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30,<br>2022** |
| Alrosa PJSC | 12/06/17 | $4239436 | 0.0% | $226235 |
| Magnitogorsk Iron & Steel Works PJSC | 09/08/17 | 1550653 | 0.0% | 66782 |
| PhosAgro PJSC GDR | 12/03/20 | 1365 | 0.0% | 165 |
| Sberbank of Russia PJSC | 09/09/20 | 12774954 | 0.0% | 571653 |
| Sberbank of Russia PJSC | 01/10/22 | 77024 | 0.0% | 3119 |
| Severstal PAO | 02/02/21 | 7249 | 0.0% | 384 |
| Severstal PJSC GDR (Registered) | 03/16/20 | 1679360 | 0.0% | 82549 |
|  |  |  |  | $950887 |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 02/16/2023 | JPM | CHF | 3422004 | USD | 3652721 | 2398 |
| 01/18/2023 | JPM | CZK | 25105948 | USD | 1072629 | 1892 |
| 01/31/2023 | SSB | EUR | 4230000 | USD | 4432744 | 9989 |
| 02/08/2023 | MSCI | SEK | 17700000 | USD | 1702635 | 9281 |
| 02/09/2023 | JPM | USD | 1520009 | AUD | 2260000 | 18437 |
| 12/02/2022 | MSCI | USD | 2022561 | BRL | 10846468 | 67579 |
| 12/02/2022 | GS | USD | 151451 | BRL | 800000 | 2711 |
| 02/02/2023 | MSCI | USD | 976525 | BRL | 5323234 | 37144 |
| 12/02/2022 | CITI | USD | 188890 | BRL | 1000000 | 3813 |
| 02/02/2023 | MSCI | USD | 4209083 | CAD | 5729172 | 54067 |
| 02/02/2023 | BCLY | USD | 1490883 | CAD | 2010000 | 4783 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 01/12/2023 | MSCI | USD | 308080 | CLP | 290000000 | 15452 |
| 02/21/2023 | MSCI | USD | 567360 | GBP | 480000 | 12585 |
| 02/16/2023 | MSCI | USD | 195193 | HUF | 79127316 | 1863 |
| 02/16/2023 | CITI | USD | 147658 | HUF | 60000000 | 1764 |
| 02/03/2023 | JPM | USD | 1061104 | IDR | 16659337000 | 2165 |
| 01/17/2023 | MSCI | USD | 3990555 | JPY | 579997183 | 235299 |
| 01/24/2023 | MSCI | USD | 1114902 | MXN | 22770191 | 54424 |
| 01/18/2023 | MSCI | USD | 4315102 | NOK | 45290448 | 291729 |
| 01/12/2023 | MSCI | USD | 378563 | PEN | 1520000 | 16343 |
| 12/02/2022 | CITI | USD | 183849 | PHP | 10500000 | 1794 |
| 12/02/2022 | JPM | USD | 121975 | PHP | 7000000 | 1788 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Forward Currency Contracts — continued** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 12/02/2022 | BCLY | USD | 276383 | PHP | 15632240 | 0 |
| 12/05/2022 | SSB | USD | 50595 | PHP | 2860107 | 45 |
| 02/21/2023 | BCLY | USD | 86043 | PLN | 400000 | 1928 |
| 02/08/2023 | MSCI | USD | 1641369 | SEK | 17906846 | 71774 |
| 02/08/2023 | BCLY | USD | 537011 | SEK | 5700000 | 8306 |
| 02/21/2023 | GS | USD | 94725 | SGD | 130000 | 890 |
| 02/21/2023 | MSCI | USD | 93464 | THB | 3300000 | 906 |
| 02/06/2023 | CITI | USD | 108587 | TWD | 3300000 | 500 |
| 12/02/2022 | CITI | BRL | 1000000 | USD | 184159 | (8544) |
| 12/02/2022 | MSCI | BRL | 10846468 | USD | 2031994 | (58145) |
| 12/02/2022 | GS | BRL | 800000 | USD | 151111 | (3051) |
| 02/16/2023 | JPM | CHF | 900000 | USD | 954740 | (5309) |
| 01/12/2023 | MSCI | CLP | 235887500 | USD | 243900 | (19263) |
| 02/21/2023 | BCLY | GBP | 480000 | USD | 574352 | (5593) |
| 02/03/2023 | MSCI | IDR | 2000000000 | USD | 126822 | (826) |
| 02/28/2023 | JPM | ILS | 1383563 | USD | 404137 | (3626) |
| 02/23/2023 | MSCI | INR | 79049384 | USD | 960456 | (6450) |
| 02/03/2023 | JPM | KRW | 1127005899 | USD | 790809 | (74279) |
| 02/28/2023 | MSCI | NZD | 3640000 | USD | 2263789 | (32943) |
| 01/12/2023 | MSCI | PEN | 560000 | USD | 139096 | (6396) |
| 12/02/2022 | JPM | PHP | 33132240 | USD | 570803 | (14987) |
| 02/01/2023 | BCLY | PHP | 15632240 | USD | 275993 | (773) |
| 02/21/2023 | MSCI | PLN | 1274008 | USD | 274778 | (5411) |
| 02/27/2023 | BCLY | RON | 4234153 | USD | 880499 | (8558) |
| 02/08/2023 | BCLY | SEK | 7400000 | USD | 704208 | (3747) |
| 02/21/2023 | MSCI | SGD | 771598 | USD | 560180 | (7328) |
| 02/21/2023 | BCLY | THB | 30239025 | USD | 853246 | (11499) |
| 02/06/2023 | BCLY | TWD | 34626001 | USD | 1081860 | (62758) |
| 02/02/2023 | JPM | USD | 939265 | CAD | 1260000 | (1683) |
| 01/12/2023 | MSCI | USD | 1148621 | COP | 5381955400 | (41492) |
| 02/16/2023 | BOA | USD | 75379 | HUF | 30000000 | (668) |
|  |  |  |  |  |  | $548320 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Sales |  |  |  |  |
| 162 | S&P 500 E-Mini | December 2022 | $33058125 | $169850 |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

**Swap Contracts** 

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.86% | 3 Month AUD BBSW | AUD | 12310000 | 12/21/2024 | Quarterly | (9409) | (32311) | (22902) |
|  3.91% | 3 Month AUD BBSW | AUD | 6500000 | 12/21/2024 | Quarterly |  | (21234) | (21234) |
|  4.08% | 3 Month CAD CDOR | CAD | 21713000 | 12/21/2024 | Semi-Annually | (443) | 87022 | 87465 |
|  4.25% | 3 Month CAD CDOR | CAD | 3500000 | 12/21/2024 | Semi-Annually |  | 5832 | 5832 |
|  3 Month CAD CDOR | 4.15% | CAD | 9500000 | 12/21/2024 | Semi-Annually |  | (29077) | (29077) |
|  CHF - SARON - OIS - COMPOUND | 1.39% | CHF | 4500000 | 12/21/2024 | Semi-Annually |  | 15427 | 15427 |
|  CHF - SARON - OIS - COMPOUND | 1.74% | CHF | 10500000 | 12/21/2024 | Semi-Annually |  | 113288 | 113288 |
|  1.81% | CHF - SARON - OIS - COMPOUND | CHF | 24142000 | 12/21/2024 | Semi-Annually | (1940) | (296935) | (294995) |
|  1.40% | CHF - SARON - OIS - COMPOUND | CHF | 3500000 | 12/21/2024 | Semi-Annually |  | (12369) | (12369) |
|  EUR - EuroSTR - COMPOUND | 2.59% | EUR | 9000000 | 12/21/2024 | Annually |  | (9906) | (9906) |
|  EUR - EuroSTR - COMPOUND | 2.64% | EUR | 3000000 | 12/21/2024 | Annually |  | (617) | (617) |
|  2.14% | EUR - EuroSTR - COMPOUND | EUR | 4748000 | 12/21/2024 | Annually | 1154 | 49509 | 48355 |
|  2.94% | EUR - EuroSTR - COMPOUND | EUR | 5500000 | 12/21/2024 | Annually |  | (32265) | (32265) |
|  GBP - SONIA - COMPOUND | 3.96% | GBP | 18390000 | 12/21/2024 | Annually | (46356) | (175352) | (128996) |
|  GBP - SONIA - COMPOUND | 4.58% | GBP | 3000000 | 12/21/2024 | Annually |  | 13701 | 13701 |
|  4.26% | GBP - SONIA - COMPOUND | GBP | 5500000 | 12/21/2024 | Annually |  | 15120 | 15120 |
|  5.22% | GBP - SONIA - COMPOUND | GBP | 4500000 | 12/21/2024 | Annually |  | (86091) | (86091) |
|  5.36% | GBP - SONIA - COMPOUND | GBP | 4000000 | 12/21/2024 | Annually |  | (89210) | (89210) |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3 Month SEK STIBOR | 3.29% | SEK | 165657000 | 12/21/2024 | Quarterly | 34087 | 27535 | (6552) |
|  3 Month SEK STIBOR | 3.45% | SEK | 35000000 | 12/21/2024 | Quarterly |  | 15730 | 15730 |
|  USD - SOFR - COMPOUND | 4.59% | USD | 4500000 | 12/21/2024 | Semi-Annually |  | 17151 | 17151 |
|  3.58% | USD - SOFR - COMPOUND | USD | 3466000 | 12/21/2024 | Semi-Annually | 1165 | 53111 | 51946 |
|  4.47% | USD - SOFR - COMPOUND | USD | 7000000 | 12/21/2024 | Semi-Annually |  | (11661) | (11661) |
|  6 Month AUD BBSW | 4.14% | AUD | 1500000 | 12/21/2032 | Semi-Annually |  | (1426) | (1426) |
|  6 Month AUD BBSW | 4.19% | AUD | 1500000 | 12/21/2032 | Semi-Annually |  | 2695 | 2695 |
|  6 Month AUD BBSW | 4.21% | AUD | 1900000 | 12/21/2032 | Semi-Annually |  | 5787 | 5787 |
|  6 Month AUD BBSW | 4.25% | AUD | 5846000 | 12/21/2032 | Semi-Annually | 13688 | 30037 | 16349 |
|  6 Month AUD BBSW | 4.25% | AUD | 2777000 | 12/21/2032 | Semi-Annually | 6502 | 14269 | 7767 |
|  6 Month AUD BBSW | 4.29% | AUD | 1900000 | 12/21/2032 | Semi-Annually |  | 14540 | 14540 |
|  6 Month AUD BBSW | 4.57% | AUD | 4100000 | 12/21/2032 | Semi-Annually |  | 94980 | 94980 |
|  6 Month AUD BBSW | 4.73% | AUD | 4800000 | 12/21/2032 | Semi-Annually |  | 153690 | 153690 |
|  4.48% | 6 Month AUD BBSW | AUD | 3300000 | 12/21/2032 | Semi-Annually |  | (59047) | (59047) |
|  3.71% | 3 Month CAD CDOR | CAD | 8634000 | 12/21/2032 | Semi-Annually | (3921) | (128150) | (124229) |
|  3.66% | 3 Month CAD CDOR | CAD | 1100000 | 12/21/2032 | Semi-Annually |  | (12927) | (12927) |
|  3.55% | 3 Month CAD CDOR | CAD | 3400000 | 12/21/2032 | Semi-Annually |  | (16738) | (16738) |
|  3.57% | 3 Month CAD CDOR | CAD | 1700000 | 12/21/2032 | Semi-Annually |  | (10112) | (10112) |
|  3.65% | 3 Month CAD CDOR | CAD | 3200000 | 12/21/2032 | Semi-Annually |  | (35990) | (35990) |
|  3.68% | 3 Month CAD CDOR | CAD | 2200000 | 12/21/2032 | Semi-Annually |  | (29323) | (29323) |
|  3 Month CAD CDOR | 3.41% | CAD | 2000000 | 12/21/2032 | Semi-Annually |  | (7470) | (7470) |
|  3 Month CAD CDOR | 3.57% | CAD | 2200000 | 12/21/2032 | Semi-Annually |  | 13155 | 13155 |
|  3 Month CAD CDOR | 3.59% | CAD | 1000000 | 12/21/2032 | Semi-Annually |  | 7430 | 7430 |
|  3 Month CAD CDOR | 3.63% | CAD | 1600000 | 12/21/2032 | Semi-Annually |  | 15875 | 15875 |
|  3 Month CAD CDOR | 3.71% | CAD | 4750000 | 12/21/2032 | Semi-Annually | 3875 | 70505 | 66630 |
|  3 Month CAD CDOR | 3.79% | CAD | 3200000 | 12/21/2032 | Semi-Annually |  | 63443 | 63443 |
|  3 Month CAD CDOR | 3.84% | CAD | 3500000 | 12/21/2032 | Semi-Annually |  | 81975 | 81975 |
|  3 Month CAD CDOR | 3.97% | CAD | 1600000 | 12/21/2032 | Semi-Annually |  | 50595 | 50595 |
|  3 Month CAD CDOR | 4.04% | CAD | 2500000 | 12/21/2032 | Semi-Annually |  | 89542 | 89542 |
|  CHF - SARON - OIS - COMPOUND | 1.85% | CHF | 700000 | 12/21/2032 | Semi-Annually | (3269) | 13865 | 17134 |
|  CHF - SARON - OIS - COMPOUND | 1.86% | CHF | 9192000 | 12/21/2032 | Semi-Annually |  | 193410 | 193410 |
|  CHF - SARON - OIS - COMPOUND | 1.93% | CHF | 1900000 | 12/21/2032 | Semi-Annually |  | 52726 | 52726 |
|  CHF - SARON - OIS - COMPOUND | 2.05% | CHF | 5258000 | 12/21/2032 | Semi-Annually | 3447 | 207648 | 204201 |
|  CHF - SARON - OIS - COMPOUND | 2.18% | CHF | 1100000 | 12/21/2032 | Semi-Annually | 4693 | 57007 | 52314 |
|  CHF - SARON - OIS - COMPOUND | 2.20% | CHF | 2200000 | 12/21/2032 | Semi-Annually | (1901) | 119442 | 121343 |
|  CHF - SARON - OIS - COMPOUND | 2.27% | CHF | 1400000 | 12/21/2032 | Semi-Annually |  | 86023 | 86023 |
|  2.01% | CHF - SARON - OIS - COMPOUND | CHF | 1700000 | 12/21/2032 | Semi-Annually |  | (59588) | (59588) |
|  2.19% | CHF - SARON - OIS - COMPOUND | CHF | 2200000 | 12/21/2032 | Semi-Annually | 3765 | (117423) | (121188) |
|  2.24% | CHF - SARON - OIS - COMPOUND | CHF | 1300000 | 12/21/2032 | Semi-Annually |  | (75389) | (75389) |
|  2.18% | CHF - SARON - OIS - COMPOUND | CHF | 1000000 | 12/21/2032 | Semi-Annually | (4891) | (52506) | (47615) |
|  2.11% | CHF - SARON - OIS - COMPOUND | CHF | 800000 | 12/21/2032 | Semi-Annually |  | (35935) | (35935) |
|  1.98% | CHF - SARON - OIS - COMPOUND | CHF | 1700000 | 12/21/2032 | Semi-Annually |  | (54975) | (54975) |
|  1.85% | CHF - SARON - OIS - COMPOUND | CHF | 1700000 | 12/21/2032 | Semi-Annually | 10366 | (33422) | (43788) |
|  EUR - EuroSTR - COMPOUND | 2.21% | EUR | 1109000 | 12/21/2032 | Annually | 673 | (20799) | (21472) |
|  EUR - EuroSTR - COMPOUND | 2.48% | EUR | 1600000 | 12/21/2032 | Annually |  | 10355 | 10355 |
|  EUR - EuroSTR - COMPOUND | 2.89% | EUR | 1200000 | 12/21/2032 | Annually |  | 52702 | 52702 |
|  EUR - EuroSTR - COMPOUND | 2.94% | EUR | 8108000 | 12/21/2032 | Annually | 2864 | 392116 | 389252 |
|  EUR - EuroSTR - COMPOUND | 3.12% | EUR | 1300000 | 12/21/2032 | Annually |  | 84713 | 84713 |
|  2.82% | EUR - EuroSTR - COMPOUND | EUR | 1200000 | 12/21/2032 | Annually |  | (44981) | (44981) |
|  2.80% | EUR - EuroSTR - COMPOUND | EUR | 580000 | 12/21/2032 | Annually |  | (20533) | (20533) |
|  2.80% | EUR - EuroSTR - COMPOUND | EUR | 1500000 | 12/21/2032 | Annually |  | (53449) | (53449) |
|  2.41% | EUR - EuroSTR - COMPOUND | EUR | 1900000 | 12/21/2032 | Annually |  | (336) | (336) |
|  2.75% | EUR - EuroSTR - COMPOUND | EUR | 620000 | 12/21/2032 | Annually |  | (19366) | (19366) |
|  2.69% | EUR - EuroSTR - COMPOUND | EUR | 2400000 | 12/21/2032 | Annually |  | (62079) | (62079) |
|  2.70% | EUR - EuroSTR - COMPOUND | EUR | 700000 | 12/21/2032 | Annually |  | (18430) | (18430) |
|  2.55% | EUR - EuroSTR - COMPOUND | EUR | 3200000 | 12/21/2032 | Annually |  | (40854) | (40854) |
|  2.63% | EUR - EuroSTR - COMPOUND | EUR | 1500000 | 12/21/2032 | Annually |  | (29704) | (29704) |
|  GBP - SONIA - COMPOUND | 3.30% | GBP | 1000000 | 12/21/2032 | Annually |  | (7036) | (7036) |
|  GBP - SONIA - COMPOUND | 3.52% | GBP | 1200000 | 12/21/2032 | Annually |  | 16799 | 16799 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  GBP - SONIA - COMPOUND | 4.12% | GBP | 900000 | 12/21/2032 | Annually |  | 66575 | 66575 |
|  GBP - SONIA - COMPOUND | 4.33% | GBP | 1700000 | 12/21/2032 | Annually |  | 161935 | 161935 |
|  GBP - SONIA - COMPOUND | 4.65% | GBP | 1000000 | 12/21/2032 | Annually |  | 126784 | 126784 |
|  3.96% | GBP - SONIA - COMPOUND | GBP | 3940000 | 12/21/2032 | Annually | 26344 | 72198 | 45854 |
|  3.96% | GBP - SONIA - COMPOUND | GBP | 1400000 | 12/21/2032 | Annually |  | (81491) | (81491) |
|  3.93% | GBP - SONIA - COMPOUND | GBP | 680000 | 12/21/2032 | Annually |  | (37857) | (37857) |
|  3.90% | GBP - SONIA - COMPOUND | GBP | 720000 | 12/21/2032 | Annually |  | (37363) | (37363) |
|  3.79% | GBP - SONIA - COMPOUND | GBP | 1600000 | 12/21/2032 | Annually |  | (66240) | (66240) |
|  3.76% | GBP - SONIA - COMPOUND | GBP | 700000 | 12/21/2032 | Annually |  | (26682) | (26682) |
|  4.28% | 3 Month NZD Bank Bill Rate | NZD | 5980000 | 12/21/2032 | Quarterly | (39708) | 33854 | 73562 |
|  4.82% | 3 Month NZD Bank Bill Rate | NZD | 3100000 | 12/21/2032 | Quarterly |  | (66444) | (66444) |
|  4.75% | 3 Month NZD Bank Bill Rate | NZD | 2200000 | 12/21/2032 | Quarterly |  | (39064) | (39064) |
|  3 Month NZD Bank Bill Rate | 4.21% | NZD | 2900000 | 12/21/2032 | Quarterly |  | (27934) | (27934) |
|  3 Month NZD Bank Bill Rate | 4.45% | NZD | 3500000 | 12/21/2032 | Quarterly |  | 9779 | 9779 |
|  3 Month NZD Bank Bill Rate | 4.52% | NZD | 3100000 | 12/21/2032 | Quarterly |  | 19825 | 19825 |
|  3 Month NZD Bank Bill Rate | 4.76% | NZD | 2730000 | 12/21/2032 | Quarterly |  | 50552 | 50552 |
|  3 Month NZD Bank Bill Rate | 4.86% | NZD | 2570000 | 12/21/2032 | Quarterly |  | 60624 | 60624 |
|  3 Month SEK STIBOR | 2.69% | SEK | 23000000 | 12/21/2032 | Quarterly |  | (5726) | (5726) |
|  3.28% | 3 Month SEK STIBOR | SEK | 17000000 | 12/21/2032 | Quarterly |  | (78621) | (78621) |
|  3.17% | 3 Month SEK STIBOR | SEK | 25000000 | 12/21/2032 | Quarterly |  | (93071) | (93071) |
|  3.16% | 3 Month SEK STIBOR | SEK | 25000000 | 12/21/2032 | Quarterly |  | (91003) | (91003) |
|  2.91% | 3 Month SEK STIBOR | SEK | 37000000 | 12/21/2032 | Quarterly |  | (57379) | (57379) |
|  2.87% | 3 Month SEK STIBOR | SEK | 33993000 | 12/21/2032 | Quarterly | (4578) | (42168) | (37590) |
|  2.98% | 3 Month SEK STIBOR | SEK | 18000000 | 12/21/2032 | Quarterly |  | (39085) | (39085) |
|  3.08% | 3 Month SEK STIBOR | SEK | 16000000 | 12/21/2032 | Quarterly |  | (47981) | (47981) |
|  3.10% | 3 Month SEK STIBOR | SEK | 28000000 | 12/21/2032 | Quarterly |  | (88601) | (88601) |
|  3 Month SEK STIBOR | 3.19% | SEK | 26000000 | 12/21/2032 | Quarterly |  | 101097 | 101097 |
|  USD - SOFR - COMPOUND | 3.08% | USD | 3400000 | 12/21/2032 | Semi-Annually |  | (81396) | (81396) |
|  USD - SOFR - COMPOUND | 3.13% | USD | 765000 | 12/21/2032 | Semi-Annually | (1027) | (15555) | (14528) |
|  USD - SOFR - COMPOUND | 3.22% | USD | 1500000 | 12/21/2032 | Semi-Annually |  | (18422) | (18422) |
|  USD - SOFR - COMPOUND | 3.48% | USD | 1000000 | 12/21/2032 | Semi-Annually |  | 8981 | 8981 |
|  USD - SOFR - COMPOUND | 3.68% | USD | 3700000 | 12/21/2032 | Semi-Annually |  | 95455 | 95455 |
|  USD - SOFR - COMPOUND | 3.69% | USD | 1500000 | 12/21/2032 | Semi-Annually |  | 41026 | 41026 |
|  USD - SOFR - COMPOUND | 3.81% | USD | 3400000 | 12/21/2032 | Semi-Annually |  | 124504 | 124504 |
|  3.13% | USD - SOFR - COMPOUND | USD | 8359000 | 12/21/2032 | Semi-Annually | 4452 | 165830 | 161378 |
|  3.79% | USD - SOFR - COMPOUND | USD | 1000000 | 12/21/2032 | Semi-Annually |  | (35067) | (35067) |
|  3.70% | USD - SOFR - COMPOUND | USD | 1500000 | 12/21/2032 | Semi-Annually |  | (41592) | (41592) |
|  3.72% | USD - SOFR - COMPOUND | USD | 1500000 | 12/21/2032 | Semi-Annually |  | (44800) | (44800) |
|  3.91% | USD - SOFR - COMPOUND | USD | 1100000 | 12/21/2032 | Semi-Annually |  | (50384) | (50384) |
|  3.44% | USD - SOFR - COMPOUND | USD | 1500000 | 12/21/2032 | Semi-Annually |  | (9195) | (9195) |
|  |  |  |  |  |  | $(368) | $479632 | $480000 |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional**<br>**Amount** | **Notional**<br>**Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Total Return on Equity Basket <sup>(k)</sup>  | 1 Month Federal Funds Rate<br>minus 0.75% | GS | USD | 1 | 05/24/2024 | Monthly | – | (3770) | (3770) |
|  Total Return on Equity Basket <sup>(k)</sup>  | 1 Month Federal Funds Rate<br>minus 1.00% | MORD | USD | 1 | 05/24/2024 | Monthly | – | (1101) | (1101) |
|  Total Return on Equity Basket <sup>(l)</sup>  | 1 Month Federal Funds Rate | MORD | USD | 14365174 | 06/18/2024 | Monthly | – | (451060) | (451060) |
|  Total Return on Equity Basket <sup>(k)</sup>  | 1 Month Federal Funds Rate | GS | USD | 5656494 | 06/24/2024 | Monthly | – | (61190) | (61190) |
|  |  |  |  |  |  |  | $– $| (517121) | $(517121) |

---

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

\* Non-income producing security.

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

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

(c) Investment valued using significant unobservable inputs.

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

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

(f) The security is restricted as to resale.

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

(h) Security is in default.

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

(j) The rate disclosed is the 7 day net yield as of November 30, 2022.

(k) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket
swap which has a notional amount of less than 1% of the Fund's total net assets.

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

(l) The following table represents the individual long and/or short positions within the custom equity basket swap
as of November 30, 2022:

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
| (466000) | Air China Ltd – Class H | 2.5% | (375076) |
| (929800) | Airports of Thailand Pcl NVDR | 13.4% | (1985752) |
| (418000) | Alibaba Health Information Technology Ltd | 2.4% | (352855) |
| (1014000) | China Molybdenum Co Ltd – Class H | 3.2% | (475039) |
| (1692) | Elisa Oyj | 0.6% | (88013) |
| (68560) | Ganfeng Lithium Co Ltd – Class H | 4.1% | (606686) |
| (148000) | Genscript Biotech Corp | 2.6% | (383334) |
| (964600) | Gulf Energy Development Pcl NVDR | 9.8% | (1458949) |
| (2340) | Hanmi Pharm Co Ltd | 3.2% | (467854) |
| (1800) | Hapvida Participacoes e Investimentos SA | 0.0% | (1804) |
| (19103) | Hotel Shilla Co Ltd | 7.2% | (1073512) |
| (11818) | Kakao Corp | 3.5% | (518531) |
| (620000) | Kingdee International Software Group Co Ltd | 7.1% | (1046262) |
| (72600) | Klabin SA | 1.9% | (275607) |
| (33540) | Korea Aerospace Industries Ltd | 8.4% | (1245587) |
| (400) | Lojas Renner SA | 0.0% | (1784) |
| (83100) | Microport Scientific Corp | 1.3% | (199698) |
| 4262 | Nokia Oyj | (0.1%) | 20998 |
| (880) | POSCO Chemical Co Ltd | 1.0% | (148639) |
| (2510) | Samsung Biologics Co Ltd | 11.5% | (1707146) |
| (237080) | Samsung Heavy Industries Co Ltd | 6.4% | (948497) |
| (10922) | Yuhan Corp | 3.3% | (488208) |
| (754000) | Zijin Mining Group Co Ltd – Class H | 6.7% | (1000757) |
|  | TOTAL COMMON STOCKS |  | $(14828592) |

---

------

**GMO Benchmark-Free Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

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

ADR - American Depositary Receipt

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

CDOR - Canadian Dollar Offering Rate

CVA - Certificaaten van aandelen (Share Certificates)

EuroSTR - Euro Short-Term Rate

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

NVDR - Non-Voting Depositary Receipt

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

OIS - Overnight Indexed Swaps

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

REIT - Real Estate Investment Trust

SARON - Swiss Average Rate Overnight

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

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate

USBM - U.S. Treasury 3 Month Bill Money Market Yield

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

**Currency Abbreviations:** 

AUD - Australian Dollar

BRL - Brazil Real

CAD - Canada Dollar

CHF - Switzerland Franc

CLP - Chile Peso

COP - Colombia Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - United Kingdom Pound

HUF - Hungary Forint

IDR - Indonesia Rupiah

ILS - Israel Shekel

INR - Indian Rupee

JPY - Japan Yen

KRW - Korean Won

MXN - Mexico Peso

NOK - Norway Krone

NZD - New Zealand Dollar

PEN - Peru Nuevo Sol

PHP - Philippines Peso

PLN - Poland Zloty

RON - Romania New Leu

SEK - Sweden Krona

SGD - Singapore Dollar

THB - Thailand Baht

TWD - Taiwan New Dollar

USD - United States Dollar

------

**GMO Global Asset Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **MUTUAL FUNDS — 99.9%** |  |
| | **Affiliated Issuers — 99.9%** | |
| 2766256 | GMO Alternative Allocation Fund, Class VI | 49875588 |
| 958520 | GMO Asset Allocation Bond Fund, Class VI | 19803034 |
| 534599 | GMO Emerging Country Debt Fund, Class VI | 10184103 |
| 1814731 | GMO Emerging Markets ex-China Fund, Class VI | 25478822 |
| 1237619 | GMO Emerging Markets Fund, Class VI | 29294450 |
| 412268 | GMO High Yield Fund, Class VI | 7371357 |
| 3036569 | GMO International Equity Fund, Class IV | 65104032 |
| 893107 | GMO-Usonian Japan Value Creation Fund, Class VI | 14512988 |
| 2351702 | GMO Multi-Sector Fixed Income Fund, Class IV | 39837829 |
| 427330 | GMO Opportunistic Income Fund, Class VI | 10418308 |
| 515310 | GMO Quality Cyclicals Fund, Class VI | 11846985 |
| 407900 | GMO Quality Fund, Class VI | 10695143 |
| 472145 | GMO Small Cap Quality Fund, Class VI | 10882935 |
| 2816147 | GMO U.S. Equity Fund, Class VI | 35905880 |
| 618299 | GMO U.S. Small Cap Value Fund, Class VI | 10647107 |
| 30315 | GMO U.S. Treasury Fund | 150969 |
|  | TOTAL MUTUAL FUNDS<br>(COST $408,417,789) | 352009530 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** |  |
| 210546 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 210546 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $210,546) | 210546 |
|  | **TOTAL INVESTMENTS — 99.9%**<br>(Cost $408,628,335) | **352220076** |
|  | Other Assets and Liabilities (net) — 0.1% | 191397 |
|  | **TOTAL NET ASSETS — 100.0%** | **$352411473** |

---

**Notes to Schedule of Investments:** 

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO Global Developed Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **MUTUAL FUNDS — 100.0%** |  |
|  | **Affiliated Issuers — 100.0%** |  |
| 472778 | GMO Emerging Markets ex-China Fund, Class VI | 6637805 |
| 1548126 | GMO International Equity Fund, Class IV | 33191826 |
| 190127 | GMO-Usonian Japan Value Creation Fund, Class VI | 3089557 |
| 174676 | GMO Quality Cyclicals Fund, Class VI | 4015805 |
| 402818 | GMO Quality Fund, Class VI | 10561893 |
| 178080 | GMO Small Cap Quality Fund, Class VI | 4104737 |
| 1257353 | GMO U.S. Equity Fund, Class VI | 16031255 |
| 234727 | GMO U.S. Small Cap Value Fund, Class VI | 4041988 |
|  | TOTAL MUTUAL FUNDS (COST $82,437,275) | 81674866 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** | **Money Market Funds — 0.0%** |
| 45313 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 45313 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $45,313) | 45313 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $82,482,588) | **81720179** |
|  | Other Assets and Liabilities (net) — (0.0%) | (23964) |
|  | **TOTAL NET ASSETS — 100.0%** | **$81696215** |

---

**Notes to Schedule of Investments:** 

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO Global Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
|  | **MUTUAL FUNDS — 100.0%** |  |
|  | **Affiliated Issuers — 100.0%** |  |
| 9667336 | GMO Emerging Markets ex-China Fund, Class VI | 135729394 |
| 7069153 | GMO Emerging Markets Fund, Class VI | 167326852 |
| 21957820 | GMO International Equity Fund, Class IV | 470775660 |
| 3294402 | GMO-Usonian Japan Value Creation Fund, Class VI | 53534036 |
| 2953418 | GMO Quality Cyclicals Fund, Class VI | 67899075 |
| 7116824 | GMO Quality Fund, Class VI | 186603111 |
| 3153607 | GMO Small Cap Quality Fund, Class VI | 72690649 |
| 11422235 | GMO U.S. Equity Fund, Class VI | 145633495 |
| 3783860 | GMO U.S. Small Cap Value Fund, Class VI | 65158074 |
|  | TOTAL MUTUAL FUNDS<br>(COST $1,501,665,042) | 1365350346 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** |  |
| 488276 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 488276 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $488,276) | 488276 |
|  | **TOTAL INVESTMENTS — 100.0%**<br>(Cost $1,502,153,318) | **1365838622** |
|  | Other Assets and Liabilities (net) — (0.0%) | (90988) |
|  | **TOTAL NET ASSETS — 100.0%** | **$1365747634** |

---

**Notes to Schedule of Investments:** 

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
|  | **COMMON STOCKS — 80.2%** | **COMMON STOCKS — 80.2%** |
| | **Argentina — 0.0%** | |
| 154985 | Adecoagro SA | 1280176 |
|  | **Australia — 1.5%** |  |
| 49016 | Accent Group Ltd | 60504 |
| 655803 | Aurizon Holdings Ltd <sup>(a)</sup> | 1704482 |
| 96471 | Austal Ltd | 160674 |
| 2246950 | Beach Energy Ltd | 2708813 |
| 7701 | BHP Group Ltd <sup>(a)</sup> | 239157 |
| 619649 | BlueScope Steel Ltd | 7468583 |
| 645307 | Brambles Ltd <sup>(a)</sup> | 5337880 |
| 4366 | Brickworks Ltd | 67028 |
| 43105 | Challenger Ltd <sup>(b)</sup> | 215638 |
| 729437 | Fortescue Metals Group Ltd <sup>(a)</sup> | 9708562 |
| 982395 | GPT Group (The) (REIT) | 3028666 |
| 355838 | GrainCorp Ltd – Class A | 1967424 |
| 548337 | Grange Resources Ltd | 286450 |
| 310059 | Helia Group Ltd | 573125 |
| 66858 | HomeCo Daily Needs (REIT) | 60873 |
| 82636 | Incitec Pivot Ltd | 226291 |
| 80571 | JB Hi-Fi Ltd <sup>(a)</sup> <sup>(b)</sup> | 2477909 |
| 449614 | Jupiter Mines Ltd | 56709 |
| 17168 | McMillan Shakespeare Ltd | 172788 |
| 469488 | Metcash Ltd <sup>(b)</sup> | 1342564 |
| 2011384 | Mirvac Group (REIT) | 3086507 |
| 13006 | Monadelphous Group Ltd | 122263 |
| 96512 | Mount Gibson Iron Ltd <sup>\* (b)</sup> | 30315 |
| 4841 | National Australia Bank Ltd <sup>(a)</sup> | 104197 |
| 51945 | NRW Holdings Ltd | 97356 |
| 183278 | Nufarm Ltd <sup>(b)</sup> | 758410 |
| 479081 | Perenti Ltd <sup>\*</sup> | 361432 |
| 904 | Premier Investments Ltd | 15800 |
| 117498 | Rio Tinto Ltd <sup>(a)</sup> | 8771769 |
| 163417 | Sandfire Resources Ltd | 565634 |
| 1365382 | Scentre Group (REIT) <sup>(a)</sup> | 2784953 |
| 43773 | Sims Ltd | 391092 |
| 79010 | Southern Cross Media Group Ltd | 56634 |
| 1147261 | Stockland (REIT) | 2995353 |
| 106070 | Sunrise Energy Metals Ltd <sup>\*</sup> | 147561 |
| 11725 | Super Retail Group Ltd | 88814 |
| 351076 | Viva Energy Group Ltd | 659694 |
|  | Total Australia | 58901904 |
|  | **Austria — 0.1%** |  |
| 38015 | OMV AG | 2017520 |
| 4397 | Strabag SE | 183392 |
|  | Total Austria | 2200912 |
|  | **Belgium — 0.5%** |  |
| 2657 | Ackermans & van Haaren NV | 422319 |
| 160421 | Ageas SA/NV | 6495743 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Belgium — continued** | |
| 20043 | AGFA-Gevaert NV <sup>\*</sup> | 57955 |
| 33831 | Bekaert SA | 1208066 |
| 3217 | Cie d'Entreprises CFE <sup>\*</sup> | 31675 |
| 476 | Deme Group NV <sup>\*</sup> | 59185 |
| 32497 | Econocom Group SA <sup>(a)</sup> | 96208 |
| 4864 | Orange Belgium SA <sup>\*</sup> | 86713 |
| 11981 | Proximus SADP | 125331 |
| 12508 | Sofina SA <sup>(b)</sup> | 2722657 |
| 6069 | Solvay SA <sup>(a)</sup> | 602014 |
| 2973 | Telenet Group Holding NV | 47463 |
| 75247 | UCB SA | 6073677 |
|  | Total Belgium | 18029006 |
|  | **Brazil — 1.0%** |  |
| 347700 | Banco do Brasil SA | 2363852 |
| 24200 | BB Seguridade Participacoes SA | 146058 |
| 65100 | CPFL Energia SA | 437818 |
| 67400 | Dexco SA | 108451 |
| 17700 | EDP – Energias do Brasil SA | 72378 |
| 286135 | Enauta Participacoes SA | 738861 |
| 111800 | Itau Unibanco Holding SA | 485174 |
| 132500 | JBS SA | 563004 |
| 199313 | Localiza Rent a Car SA | 2308326 |
| 611 | Localiza Rent a Car SA GDR <sup>\* (c)</sup> | 7076 |
| 771800 | Marfrig Global Foods SA | 1301367 |
| 758000 | Petroleo Brasileiro SA Sponsored ADR | 8861020 |
| 226926 | Sao Martinho SA | 1253278 |
| 134800 | Ser Educacional SA <sup>\*</sup> | 143389 |
| 53700 | SLC Agricola SA | 464424 |
| 70500 | Suzano SA | 722070 |
| 193600 | Telefonica Brasil SA | 1419538 |
| 208800 | Telefonica Brasil SA ADR <sup>(a)</sup> | 1526328 |
| 2420000 | TIM SA | 6062416 |
| 29600 | TIM SA ADR | 368816 |
| 138100 | Transmissora Alianca de Energia Eletrica SA | 919185 |
| 189644 | Vale SA | 3132259 |
| 194600 | Vale SA Sponsored ADR – Class B <sup>(a)</sup> | 3210900 |
| 702500 | Vibra Energia SA | 2237722 |
|  | Total Brazil | 38853710 |
|  | **Canada — 3.2%** |  |
| 9200 | Algoma Steel Group Inc <sup>(b)</sup> | 61007 |
| 77800 | Alimentation Couche-Tard Inc <sup>(a)</sup> | 3544277 |
| 58000 | Anaergia Inc <sup>\*</sup> | 186269 |
| 8600 | Atco Ltd – Class I <sup>(a)</sup> | 275361 |
| 14900 | Bank of Montreal <sup>(a)</sup> | 1455274 |
| 5200 | Bank of Nova Scotia (The) <sup>(a)</sup> | 271440 |
| 76300 | Birchcliff Energy Ltd <sup>(b)</sup> | 609197 |
| 203700 | BlackBerry Ltd <sup>\* (a)</sup> | 992019 |
| 165310 | Brookfield Asset Management Inc – Class A <sup>(a)</sup> | 7794366 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Canada — continued** | |
| 50600 | Canadian Apartment Properties (REIT) | 1643846 |
| 4000 | Canadian National Railway Co <sup>(a)</sup> | 513720 |
| 41600 | Canadian Solar Inc <sup>\*</sup> | 1491360 |
| 47300 | Canadian Tire Corp Ltd – Class A <sup>(b)</sup> | 5356787 |
| 74300 | Canfor Corp <sup>\*</sup> | 1316261 |
| 124500 | Celestica Inc <sup>\* (b)</sup> <sup>(d)</sup> | 1389247 |
| 51100 | Celestica Inc <sup>\* (d)</sup> | 570276 |
| 38500 | Cenovus Energy Inc <sup>(d)</sup> | 765765 |
| 10800 | Cenovus Energy Inc <sup>(b)</sup> <sup>(d)</sup> | 214772 |
| 10700 | Cogeco Inc <sup>(b)</sup> | 477270 |
| 60100 | Crescent Point Energy Corp | 466977 |
| 12000 | DREAM UnLtd Corp – Class A <sup>(b)</sup> | 257815 |
| 9200 | Element Fleet Management Corp | 130359 |
| 43366 | Enerflex Ltd <sup>(b)</sup> | 287570 |
| 5000 | Enerplus Corp | 92900 |
| 1300 | Fairfax Financial Holdings Ltd <sup>(a)</sup> | 745875 |
| 41300 | Finning International Inc | 1046048 |
| 89000 | First Quantum Minerals Ltd | 2115913 |
| 5500 | Hardwoods Distribution Inc | 106390 |
| 31500 | Hydro One Ltd <sup>(a)</sup> | 880965 |
| 12200 | iA Financial Corp Inc | 688294 |
| 53200 | Imperial Oil Ltd <sup>(d)</sup> | 3035060 |
| 15400 | Imperial Oil Ltd <sup>(b)</sup> <sup>(d)</sup> | 876157 |
| 122900 | Interfor Corp <sup>\*</sup> | 2302405 |
| 28968 | International Petroleum Corp <sup>\*</sup> | 336609 |
| 429900 | Ivanhoe Mines Ltd – Class A <sup>\* (b)</sup> | 3847895 |
| 110972 | Largo Inc <sup>\*</sup> | 618734 |
| 114700 | Li-Cycle Holdings Corp <sup>\*</sup> | 730639 |
| 11900 | Loblaw Cos Ltd <sup>(a)</sup> | 1073977 |
| 102300 | Magna International Inc | 6299304 |
| 312800 | Manulife Financial Corp <sup>(a)</sup> <sup>(d)</sup> | 5634423 |
| 106600 | Manulife Financial Corp <sup>(a)</sup> <sup>(d)</sup> | 1921998 |
| 9400 | Minto Apartment Real Estate Investment Trust | 101397 |
| 49800 | Mullen Group Ltd <sup>(a)</sup> | 566805 |
| 10600 | National Bank of Canada | 755944 |
| 114442 | Nutrien Ltd <sup>(a)</sup> | 9201137 |
| 62100 | Onex Corp | 3272697 |
| 32300 | Parex Resources Inc | 462475 |
| 28800 | Power Corp of Canada <sup>(a)</sup> | 724523 |
| 36900 | PrairieSky Royalty Ltd <sup>(b)</sup> | 605147 |
| 170500 | Quebecor Inc – Class B <sup>(b)</sup> | 3674531 |
| 13200 | Rogers Sugar Inc | 59761 |
| 41600 | Russel Metals Inc <sup>(b)</sup> | 895305 |
| 401690 | Shaw Communications Inc – Class B <sup>(a)</sup> | 10962376 |
| 24700 | Sleep Country Canada Holdings Inc | 424168 |
| 12400 | Spin Master Corp | 316280 |
| 9200 | Suncor Energy Inc <sup>(d)</sup> | 302506 |
| 3800 | Suncor Energy Inc <sup>(d)</sup> | 124906 |
| 72000 | Tamarack Valley Energy Ltd <sup>(b)</sup> | 277263 |
| 344800 | Teck Resources Ltd – Class B <sup>(d)</sup> | 12780529 |
| 204100 | Teck Resources Ltd – Class B <sup>(d)</sup> | 7570069 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Canada — continued** | |
| 46200 | Uni-Select Inc <sup>\*</sup> | 1563756 |
| 36400 | Vermilion Energy Inc | 719992 |
| 4500 | Wajax Corp | 69249 |
| 71100 | West Fraser Timber Co Ltd <sup>(b)</sup> <sup>(d)</sup> | 5561567 |
| 18500 | West Fraser Timber Co Ltd <sup>(d)</sup> | 1449845 |
|  | Total Canada | 124867049 |
|  | **Chile — 0.1%** |  |
| 705737 | Banco de Chile | 66750 |
| 1900 | Banco Santander Chile ADR | 29659 |
| 19742 | CAP SA | 144922 |
| 723223 | Cencosud SA | 1078297 |
| 107776 | Cencosud Shopping SA | 137721 |
| 24800 | Cia Cervecerias Unidas SA Sponsored ADR | 302064 |
| 6067355 | Colbun SA | 539823 |
| 3849027 | Enel Chile SA | 175062 |
| 954067 | Falabella SA | 1706711 |
| 62938 | Inversiones La Construccion SA | 198745 |
|  | Total Chile | 4379754 |
|  | **China — 3.8%** |  |
| 476000 | 361 Degrees International Ltd <sup>\*</sup> | 208244 |
| 1103000 | 3SBio Inc | 1170076 |
| 21386000 | Agricultural Bank of China Ltd – Class H | 7148821 |
| 623581 | Alibaba Group Holding Ltd <sup>\*</sup> | 6786528 |
| 280500 | Anhui Conch Cement Co Ltd – Class H | 1021676 |
| 2446000 | BAIC Motor Corp Ltd – Class H | 675651 |
| 14787000 | Bank of China Ltd – Class H | 5240495 |
| 6347871 | Bank of Communications Co Ltd – Class H | 3596712 |
| 349000 | Beijing Enterprises Holdings Ltd | 1109969 |
| 684000 | China BlueChemical Ltd – Class H | 159034 |
| 9392000 | China Cinda Asset Management Co Ltd – Class H | 1235582 |
| 1316000 | China Communications Services Corp Ltd – Class H | 453667 |
| 404500 | China Conch Venture Holdings Ltd | 925677 |
| 12068000 | China Construction Bank Corp – Class H | 7303552 |
| 1741000 | China Dongxiang Group Co Ltd | 72219 |
| 4516000 | China Energy Engineering Corp Ltd – Class H <sup>(b)</sup> | 555161 |
| 3218000 | China Everbright Environment Group Ltd | 1488958 |
| 3659000 | China Greenfresh Group Co Ltd <sup>(e)</sup> |  |
| 835000 | China High Speed Transmission Equipment Group Co Ltd <sup>\*</sup> | 389706 |
| 3691500 | China Hongqiao Group Ltd | 3488705 |
| 835000 | China Lesso Group Holdings Ltd | 1023673 |
| 207000 | China Lilang Ltd | 97943 |
| 825925 | China Medical System Holdings Ltd | 1209683 |
| 96158 | China Merchants Port Holdings Co Ltd | 140355 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **China — continued** | |
| 176000 | China National Building Material Co Ltd – Class H | 156929 |
| 310000 | China Oilfield Services Ltd – Class H | 391894 |
| 1303000 | China Overseas Grand Oceans Group Ltd | 603880 |
| 3327000 | China Overseas Land & Investment Ltd | 9091112 |
| 20112000 | China Petroleum & Chemical Corp – Class H | 9494753 |
| 7450000 | China Railway Group Ltd – Class H | 4205143 |
| 629000 | China Railway Signal & Communication Corp Ltd – Class H | 202069 |
| 2139000 | China Reinsurance Group Corp – Class H | 136563 |
| 3229500 | China Resources Pharmaceutical Group Ltd | 2660333 |
| 138000 | China Shineway Pharmaceutical Group Ltd | 125252 |
| 2324000 | China South City Holdings Ltd <sup>\* (b)</sup> | 170885 |
| 1488000 | China State Construction International Holdings Ltd | 1796807 |
| 3642000 | China Traditional Chinese Medicine Holdings Co Ltd | 1826035 |
| 336000 | China Water Affairs Group Ltd | 273825 |
| 4237600 | China Zhongwang Holdings Ltd <sup>\* (b) (c)</sup> | 911434 |
| 5292158 | CITIC Ltd | 5425352 |
| 6754000 | CSPC Pharmaceutical Group Ltd | 8701290 |
| 2978313 | Dongfeng Motor Group Co Ltd – Class H | 1677855 |
| 131000 | Far East Horizon Ltd | 99688 |
| 157500 | Fosun International Ltd | 120404 |
| 176000 | Fufeng Group Ltd | 112127 |
| 168000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co Ltd – Class H | 451053 |
| 709400 | Haier Smart Home Co Ltd – Class H | 2360994 |
| 169000 | Hengan International Group Co Ltd | 778996 |
| 192000 | Hisense Home Appliances Group Co Ltd – Class H | 199905 |
| 137600 | Inner Mongolia Eerduosi Resources Co Ltd – Class A | 313454 |
| 594788 | Kingboard Holdings Ltd | 1969015 |
| 370400 | Legend Holdings Corp – Class H | 380409 |
| 7042000 | Lenovo Group Ltd | 6014191 |
| 110900 | Livzon Pharmaceutical Group Inc – Class H | 388619 |
| 760000 | Lonking Holdings Ltd | 135872 |
| 1784000 | Metallurgical Corp of China Ltd – Class H | 401969 |
| 296000 | MMG Ltd <sup>\*</sup> | 77901 |
| 55000 | NetDragon Websoft Holdings Ltd | 109568 |
| 1395000 | Nexteer Automotive Group Ltd <sup>(b)</sup> | 927957 |
| 15280000 | PetroChina Co Ltd – Class H | 6952885 |
| 6394000 | PICC Property & Casualty Co Ltd – Class H | 6477808 |
| 712000 | Poly Property Group Co Ltd | 177679 |
| 98000 | Road King Infrastructure Ltd | 40800 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **China — continued** | |
| 1039200 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 1732857 |
| 3118000 | Shimao Group Holdings Ltd <sup>\* (b) (c)</sup> | 1764390 |
| 314000 | Shougang Fushan Resources Group Ltd | 106470 |
| 1787500 | Sino-Ocean Group Holding Ltd | 227860 |
| 806500 | Sinopec Engineering Group Co Ltd – Class H | 331639 |
| 1314400 | Sinopharm Group Co Ltd – Class H | 3118296 |
| 959000 | Sinotruk Hong Kong Ltd | 1258746 |
| 1768000 | Skyworth Group Ltd | 675362 |
| 166000 | SSY Group Ltd | 83280 |
| 5905000 | Sunac China Holdings Ltd <sup>\* (b) (c)</sup> | 3462434 |
| 1119000 | TCL Electronics Holdings Ltd <sup>\*</sup> | 460458 |
| 137060 | Tencent Holdings Ltd | 5183101 |
| 844000 | Tianjin Port Development Holdings Ltd | 59425 |
| 674000 | Tianneng Power International Ltd <sup>(b)</sup> | 727976 |
| 89100 | Vipshop Holdings Ltd ADR <sup>\*</sup> | 993466 |
| 223700 | Western Mining Co Ltd – Class A | 343932 |
| 497200 | Xinjiang Goldwind Science & Technology Co Ltd – Class H | 538880 |
| 790000 | Yadea Group Holdings Ltd | 1498782 |
| 160000 | Zhongsheng Group Holdings Ltd | 825410 |
|  | Total China | 145237556 |
|  | **Colombia — 0.0%** |  |
| 140155 | Ecopetrol SA | 66478 |
|  | **Czech Republic — 0.0%** |  |
| 180239 | Moneta Money Bank AS | 554404 |
| 627 | Philip Morris CR AS | 454715 |
|  | Total Czech Republic | 1009119 |
|  | **Denmark — 0.6%** |  |
| 1231 | AP Moller – Maersk A/S – Class A <sup>(a)</sup> | 2613491 |
| 1062 | AP Moller – Maersk A/S – Class B <sup>(a)</sup> | 2302369 |
| 403680 | Danske Bank A/S | 7269507 |
| 28129 | GN Store Nord A/S <sup>(a)</sup> | 679580 |
| 9656 | Matas A/S | 96325 |
| 82458 | Pandora A/S | 6277592 |
| 2051 | Rockwool A/S – B Shares | 450370 |
| 4657 | Scandinavian Tobacco Group A/S | 82724 |
| 100818 | Vestas Wind Systems A/S | 2619474 |
|  | Total Denmark | 22391432 |
|  | **Egypt — 0.0%** |  |
| 574898 | Commercial International Bank Egypt SAE | 942232 |
| 713067 | Eastern Co SAE | 374702 |
| 34352 | Misr Fertilizers Production Co SAE | 186696 |
|  | Total Egypt | 1503630 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Finland — 0.6%** | |
| 22296 | Kemira Oyj | 323294 |
| 72894 | Metsa Board Oyj – Class B | 648571 |
| 133640 | Neste Oyj | 6898037 |
| 1825114 | Nokia Oyj <sup>(a)</sup> | 8992165 |
| 277791 | Outokumpu Oyj | 1401249 |
| 2910 | Sanoma Oyj | 34359 |
| 142886 | Stora Enso Oyj – R Shares <sup>(a)</sup> | 2102017 |
| 43852 | UPM-Kymmene Oyj <sup>(a)</sup> | 1609867 |
|  | Total Finland | 22009559 |
|  | **France — 2.8%** |  |
| 52004 | ALD SA <sup>(a)</sup> | 523379 |
| 4629 | APERAM SA | 146946 |
| 231512 | ArcelorMittal SA | 6347853 |
| 33601 | Arkema SA | 2987521 |
| 1542 | Axway Software SA | 25857 |
| 95160 | BNP Paribas SA | 5347231 |
| 1836 | Boiron SA | 86580 |
| 909 | Caisse Regionale de Credit Agricole Mutuel Nord de France | 14902 |
| 170112 | Cie de Saint-Gobain | 7844128 |
| 145434 | Coface SA | 1780333 |
| 133711 | Derichebourg SA | 723351 |
| 1170 | Eiffage SA | 115203 |
| 8542 | Eramet SA | 730967 |
| 694 | Groupe Crit <sup>(b)</sup> | 44819 |
| 989 | HEXAOM | 18611 |
| 46120 | Ipsen SA | 5155536 |
| 35065 | IPSOS | 2005961 |
| 10084 | Kering SA <sup>(a)</sup> | 6058840 |
| 12957 | LVMH Moet Hennessy Louis Vuitton SE <sup>(a)</sup> | 10055001 |
| 4919 | Mersen SA | 189481 |
| 35264 | Metropole Television SA | 507037 |
| 134599 | Publicis Groupe SA | 8858823 |
| 30028 | Quadient SA | 458144 |
| 5563 | Rexel SA <sup>\*</sup> | 102227 |
| 2899 | Rothschild & Co | 113675 |
| 86083 | Safran SA <sup>(a)</sup> | 10638627 |
| 75703 | Sanofi <sup>(a)</sup> | 6838197 |
| 22576 | SES SA, ADR – Class A | 154784 |
| 8907 | SMCP SA <sup>\*</sup> | 63671 |
| 13980 | Societe BIC SA | 923562 |
| 437359 | Societe Generale SA | 11007899 |
| 134700 | STMicroelectronics NV | 5237136 |
| 1570 | Synergie SE | 50260 |
| 54059 | Technip Energies NV | 856164 |
| 157792 | Television Francaise 1 | 1192641 |
| 158623 | TotalEnergies SE <sup>(a)</sup> <sup>(d)</sup> | 9913951 |
| 2651 | TotalEnergies SE <sup>(d)</sup> | 164493 |
| 70565 | Veolia Environnement SA <sup>(a)</sup> | 1826354 |
|  | Total France | 109110145 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Germany — 1.1%** | |
| 12037 | 1&1 AG | 173008 |
| 369 | Amadeus Fire AG | 43875 |
| 9196 | Aurubis AG | 738272 |
| 51910 | Bayer AG (Registered) <sup>(a)</sup> | 3012696 |
| 57240 | Bayerische Motoren Werke AG <sup>(a)</sup> | 5197314 |
| 57385 | Beiersdorf AG <sup>(a)</sup> | 6240808 |
| 77131 | Commerzbank AG <sup>\*</sup> | 646058 |
| 1623 | Deutsche Boerse AG | 298266 |
| 31878 | Deutsche Pfandbriefbank AG | 253184 |
| 29349 | Deutsche Telekom AG <sup>(a)</sup> | 597039 |
| 1918 | Draegerwerk AG & Co KGaA <sup>(a)</sup> | 77029 |
| 4253 | Elmos Semiconductor SE | 265496 |
| 69919 | Fresenius SE & Co KGaA <sup>(a)</sup> | 1948138 |
| 5683 | Hamburger Hafen und Logistik AG <sup>(a)</sup> | 68934 |
| 77414 | HeidelbergCement AG <sup>(a)</sup> | 4244510 |
| 2040 | Henkel AG & Co KGaA <sup>(a)</sup> | 135720 |
| 9418 | Hornbach Holding AG & Co KGaA | 747044 |
| 203715 | Kloeckner & Co SE | 1933305 |
| 97112 | Mercedes-Benz Group AG <sup>(a)</sup> | 6598100 |
| 32133 | Merck KGaA <sup>(a)</sup> | 5887248 |
| 35127 | ProSiebenSat.1 Media SE | 319181 |
| 6871 | RTL Group SA | 285396 |
| 63702 | Salzgitter AG | 1868084 |
| 7876 | Siltronic AG | 653627 |
| 4711 | Traton SE | 75364 |
| 9094 | Volkswagen AG | 1755577 |
| 1076 | Wuestenrot & Wuerttembergische AG | 17020 |
|  | Total Germany | 44080293 |
|  | **Greece — 0.0%** |  |
| 2256 | Hellenic Telecommunications Organization SA | 34899 |
| 50224 | JUMBO SA | 802129 |
| 1195 | Motor Oil Hellas Corinth Refineries SA | 24122 |
| 37689 | Mytilineos SA | 711149 |
| 2145 | OPAP SA | 29701 |
|  | Total Greece | 1602000 |
|  | **Hong Kong — 0.7%** |  |
| 348900 | ASMPT Ltd | 2597386 |
| 197000 | Bank of East Asia Ltd (The) | 227201 |
| 238000 | BOC Hong Kong Holdings Ltd | 759695 |
| 122000 | Chow Sang Sang Holdings International Ltd | 141717 |
| 904000 | CITIC Telecom International Holdings Ltd | 298358 |
| 232500 | CK Asset Holdings Ltd <sup>(a)</sup> | 1391628 |
| 121000 | CK Hutchison Holdings Ltd <sup>(a)</sup> | 703400 |
| 1170000 | CSI Properties Ltd | 21087 |
| 220400 | Dah Sing Banking Group Ltd | 153676 |
| 76400 | Dah Sing Financial Holdings Ltd | 170664 |
| 1256000 | First Pacific Co Ltd | 394160 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Hong Kong — continued** | |
| 733827 | Galaxy Entertainment Group Ltd | 4461270 |
| 254000 | Giordano International Ltd | 46662 |
| 30000 | Hang Lung Group Ltd | 52839 |
| 63500 | Health & Happiness H&H International Holdings Ltd | 77275 |
| 853000 | HKT Trust & HKT Ltd – Class SS | 1040081 |
| 977000 | IGG Inc <sup>\*</sup> | 345497 |
| 256000 | Johnson Electric Holdings Ltd | 321015 |
| 290000 | K Wah International Holdings Ltd | 91288 |
| 98000 | Kerry Logistics Network Ltd | 172650 |
| 240000 | Kerry Properties Ltd | 458807 |
| 65000 | Luk Fook Holdings International Ltd | 157583 |
| 221000 | NWS Holdings Ltd | 182220 |
| 143000 | Pacific Basin Shipping Ltd <sup>(a)</sup> | 48287 |
| 601000 | Pacific Textiles Holdings Ltd | 198016 |
| 277000 | PAX Global Technology Ltd | 237874 |
| 1029000 | PCCW Ltd | 449953 |
| 335500 | Power Assets Holdings Ltd <sup>(a)</sup> | 1730721 |
| 636000 | Shun Tak Holdings Ltd <sup>\*</sup> | 102531 |
| 460000 | Singamas Container Holdings Ltd | 43945 |
| 74000 | Sino Land Co Ltd <sup>(a)</sup> | 92552 |
| 600000 | SITC International Holdings Co Ltd | 1331013 |
| 126000 | SmarTone Telecommunications Holdings Ltd | 63967 |
| 217000 | Sun Hung Kai & Co Ltd | 79195 |
| 182500 | Swire Pacific Ltd – Class A <sup>(a)</sup> | 1434339 |
| 40000 | TAI Cheung Holdings Ltd | 21297 |
| 137500 | Texhong Textile Group Ltd | 113731 |
| 414000 | VPower Group International Holdings Ltd – Class H <sup>\*</sup> | 27326 |
| 660000 | VSTECS Holdings Ltd | 358246 |
| 124300 | VTech Holdings Ltd | 792738 |
| 5522000 | WH Group Ltd | 3235429 |
| 237500 | Yue Yuen Industrial Holdings Ltd | 299541 |
|  | Total Hong Kong | 24926860 |
|  | **Hungary — 0.2%** |  |
| 304677 | MOL Hungarian Oil & Gas Plc | 2205679 |
| 180229 | OTP Bank Nyrt | 4969230 |
| 24687 | Richter Gedeon Nyrt | 531076 |
|  | Total Hungary | 7705985 |
|  | **India — 2.7%** |  |
| 64791 | Arvind Ltd <sup>\*</sup> | 76579 |
| 50899 | Asian Paints Ltd | 1991891 |
| 83662 | Aurobindo Pharma Ltd | 485309 |
| 175502 | Axis Bank Ltd | 1947129 |
| 15336 | Bajaj Consumer Care Ltd | 31215 |
| 31862 | Bandhan Bank Ltd <sup>\*</sup> | 93612 |
| 146546 | Bharat Electronics Ltd | 190685 |
| 507285 | Brightcom Group Ltd | 228120 |
| 43322 | Castrol India Ltd | 69948 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **India — continued** | |
| 40169 | Cipla Ltd | 566736 |
| 22915 | City Union Bank Ltd | 53833 |
| 5608 | Clean Science & Technology Ltd | 104010 |
| 1976412 | Coal India Ltd | 5582808 |
| 60192 | Cochin Shipyard Ltd | 495675 |
| 5642 | Colgate-Palmolive India Ltd | 113082 |
| 34665 | Coromandel International Ltd | 397194 |
| 7819 | Deepak Fertilisers & Petrochemicals Corp Ltd | 78202 |
| 65110 | Dhampur Bio Organics Ltd <sup>\*</sup> | 160704 |
| 17305 | Dhampur Sugar Mills Ltd | 48741 |
| 6542 | EID Parry India Ltd | 48839 |
| 32586 | Engineers India Ltd | 32389 |
| 225817 | Exide Industries Ltd | 526532 |
| 5172785 | GAIL India Ltd | 6060718 |
| 13170 | GHCL Ltd | 94113 |
| 89912 | Glenmark Pharmaceuticals Ltd | 476869 |
| 10666 | Great Eastern Shipping Co Ltd (The) | 87710 |
| 19091 | Gujarat Mineral Development Corp Ltd | 37223 |
| 24946 | Gujarat Narmada Valley Fertilizers & Chemicals Ltd | 184996 |
| 491026 | Gujarat State Fertilizers & Chemicals Ltd | 801476 |
| 32058 | HCL Technologies Ltd | 445460 |
| 79112 | HDFC Bank Ltd | 1572395 |
| 13999 | Hero MotoCorp Ltd | 492109 |
| 751452 | Hindalco Industries Ltd | 4207750 |
| 25382 | Hindustan Aeronautics Ltd | 865858 |
| 499357 | Hindustan Petroleum Corp Ltd | 1475555 |
| 13970 | Hindustan Unilever Ltd | 461639 |
| 58692 | Hindustan Zinc Ltd | 222661 |
| 49255 | Housing Development Finance Corp Ltd | 1638117 |
| 231833 | ICICI Bank Ltd | 2715157 |
| 936174 | Indian Oil Corp Ltd | 888158 |
| 58693 | Indus Towers Ltd | 144803 |
| 31057 | Infosys Ltd | 632826 |
| 115200 | Infosys Ltd Sponsored ADR <sup>(a)</sup> | 2344320 |
| 2768950 | ITC Ltd | 11609719 |
| 366696 | Karnataka Bank Ltd (The) | 651562 |
| 56979 | Kiri Industries Ltd <sup>\*</sup> | 348422 |
| 27845 | L&T Finance Holdings Ltd | 30014 |
| 35532 | Larsen + Toubro Infotech Ltd <sup>(c)</sup> | 2137254 |
| 8751 | Mahanagar Gas Ltd | 97436 |
| 112706 | Mahindra & Mahindra Ltd | 1816352 |
| 68793 | Manappuram Finance Ltd | 97906 |
| 8479 | Maruti Suzuki India Ltd | 939181 |
| 10993 | Muthoot Finance Ltd | 146845 |
| 700230 | National Aluminium Co Ltd | 669690 |
| 43893 | NCC Ltd | 44869 |
| 1429048 | NMDC Ltd | 2087360 |
| 1429048 | NMDC Steel Ltd <sup>(c)</sup> | 675600 |
| 1207164 | NTPC Ltd | 2559268 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **India — continued** | |
| 7979941 | Oil & Natural Gas Corp Ltd | 13967270 |
| 183841 | Oil India Ltd | 466782 |
| 2574 | Oracle Financial Services Software Ltd | 98946 |
| 214 | Page Industries Ltd | 125271 |
| 220452 | Petronet LNG Ltd | 578333 |
| 2508 | PI Industries Ltd | 108250 |
| 16971 | Piramal Enterprises Ltd | 172659 |
| 1047220 | Power Finance Corp Ltd | 1757537 |
| 341127 | Power Grid Corp of India Ltd | 939107 |
| 97251 | PTC India Ltd | 104539 |
| 45714 | Rajesh Exports Ltd | 433680 |
| 1396831 | REC Ltd | 1903326 |
| 248299 | Redington Ltd | 554091 |
| 29047 | Reliance Industries Ltd | 977677 |
| 14844 | Shriram Transport Finance Co Ltd | 248359 |
| 532318 | Sun Pharmaceutical Industries Ltd | 6911206 |
| 43486 | Sun TV Network Ltd | 264512 |
| 7595 | Tata Chemicals Ltd | 97150 |
| 1 | Tata Consultancy Services Ltd | 42 |
| 4312033 | Tata Steel Ltd | 5766510 |
| 67488 | Titan Co Ltd | 2218463 |
| 128580 | Vardhman Textiles Ltd <sup>\*</sup> | 550022 |
| 348508 | Vedanta Ltd | 1318167 |
| 26774 | Welspun Corp Ltd | 83176 |
| 11241 | Zensar Technologies Ltd | 31057 |
|  | Total India | 102760756 |
|  | **Indonesia — 0.5%** |  |
| 9287200 | Adaro Energy Indonesia Tbk PT | 2298316 |
| 714200 | Adaro Minerals Indonesia Tbk PT <sup>\*</sup> | 74001 |
| 1454000 | Astra International Tbk PT | 562551 |
| 9338600 | Bank Central Asia Tbk PT | 5547862 |
| 2993892 | Bank Mandiri Persero Tbk PT | 2019564 |
| 633300 | Bank Negara Indonesia Persero Tbk PT | 401190 |
| 3007300 | Bank Pembangunan Daerah Jawa Timur Tbk PT | 139699 |
| 9310700 | Bank Rakyat Indonesia Persero Tbk PT | 2961853 |
| 780800 | Bank Tabungan Negara Persero Tbk PT | 76489 |
| 3495600 | Bukit Asam Tbk PT | 848139 |
| 3326300 | Global Mediacom Tbk PT <sup>\*</sup> | 62023 |
| 18000 | Gudang Garam Tbk PT | 22827 |
| 763700 | Indika Energy Tbk PT | 141573 |
| 339700 | Indo Tambangraya Megah Tbk PT | 904759 |
| 1641700 | Indofood Sukses Makmur Tbk PT | 674130 |
| 7260800 | Kalbe Farma Tbk PT | 958420 |
| 5089000 | Media Nusantara Citra Tbk PT <sup>\*</sup> | 258213 |
| 16119700 | Panin Financial Tbk PT | 485087 |
| 3096700 | Perusahaan Gas Negara Tbk PT | 372698 |
| 263500 | Tower Bersama Infrastructure Tbk PT | 38860 |
| 445700 | United Tractors Tbk PT | 876666 |
|  | Total Indonesia | 19724920 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Ireland — 0.5%** | |
| 49187 | AIB Group Plc | 159724 |
| 810629 | Bank of Ireland Group Plc | 6721767 |
| 43587 | Glanbia Plc | 525667 |
| 10301 | Kingspan Group Plc | 584745 |
| 38104 | Origin Enterprises Plc | 155629 |
| 24839 | Permanent TSB Group Holdings Plc <sup>\*</sup> | 45902 |
| 194970 | Ryanair Holdings Plc <sup>\*</sup> | 2631855 |
| 58051 | Ryanair Holdings Plc Sponsored ADR <sup>\* (a)</sup> | 4393880 |
| 92050 | Smurfit Kappa Group Plc <sup>(d)</sup> | 3344032 |
| 12943 | Smurfit Kappa Group Plc <sup>(d)</sup> | 467763 |
|  | Total Ireland | 19030964 |
|  | **Israel — 0.5%** |  |
| 15657 | Bank Hapoalim BM | 152228 |
| 42981 | Bank Leumi Le-Israel BM | 394007 |
| 4764 | Delek Group Ltd <sup>\*</sup> | 607981 |
| 5366 | Equital Ltd <sup>\*</sup> | 173814 |
| 5509 | Naphtha Israel Petroleum Corp Ltd <sup>\*</sup> | 31127 |
| 541530 | Oil Refineries Ltd | 201295 |
| 709200 | Teva Pharmaceutical Industries Ltd Sponsored ADR <sup>\*</sup> | 6219684 |
| 180911 | Tower Semiconductor Ltd <sup>\*</sup> | 8063203 |
| 214300 | ZIM Integrated Shipping Services Ltd | 4504586 |
|  | Total Israel | 20347925 |
|  | **Italy — 0.6%** |  |
| 8512 | ACEA SPA <sup>(a)</sup> | 117007 |
| 58641 | Anima Holding SPA | 224424 |
| 24111 | Arnoldo Mondadori Editore SPA | 46381 |
| 54207 | Banca IFIS SPA | 747054 |
| 80774 | Banco BPM SPA | 279935 |
| 60809 | Credito Emiliano SPA | 430950 |
| 92602 | Eni SPA | 1380695 |
| 22309 | Esprinet SPA | 164923 |
| 133568 | IMMSI SPA | 58447 |
| 351552 | Italgas SPA <sup>(a)</sup> | 2068905 |
| 11092 | Iveco Group NV <sup>\*</sup> | 74909 |
| 549689 | Leonardo SPA | 4410300 |
| 274757 | MFE-MediaForEurope NV – Class A | 115603 |
| 1452 | Prima Industrie SPA <sup>(b)</sup> | 37340 |
| 2198 | Sabaf SPA | 42237 |
| 44543 | Snam SPA <sup>(a)</sup> | 227379 |
| 412248 | Stellantis NV <sup>(a)</sup> | 6503402 |
| 17217138 | Telecom Italia SPA <sup>\* (b)</sup> | 3756283 |
| 78652 | Terna – Rete Elettrica Nazionale <sup>(a)</sup> | 602470 |
| 6329 | Unieuro SPA <sup>(b)</sup> | 85890 |
| 628622 | Unipol Gruppo SPA | 3215605 |
|  | Total Italy | 24590139 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Japan — 13.3%** | |
| 13000 | ADEKA Corp | 215488 |
| 3400 | Advantest Corp <sup>(a)</sup> | 231413 |
| 513000 | Aeon Mall Co Ltd | 6195442 |
| 43834 | AGC Inc | 1480321 |
| 15500 | Aichi Corp | 90609 |
| 51400 | Aisin Corp | 1416568 |
| 266800 | Amano Corp | 4843271 |
| 23200 | AOKI Holdings Inc | 116372 |
| 122900 | Arcs Co Ltd | 1879420 |
| 779500 | Asahi Kasei Corp <sup>(a)</sup> | 5793503 |
| 11400 | Bandai Namco Holdings Inc | 755368 |
| 9100 | Bando Chemical Industries Ltd | 66614 |
| 195200 | Brother Industries Ltd | 3170278 |
| 5600 | Canon Electronics Inc | 64667 |
| 310600 | Canon Inc <sup>(a)</sup> | 7260183 |
| 5400 | Canon Inc Sponsored ADR <sup>(a)</sup> | 126144 |
| 23700 | Canon Marketing Japan Inc | 539216 |
| 12500 | Central Glass Co Ltd | 318367 |
| 4000 | Chiyoda Integre Co Ltd | 70179 |
| 276100 | Chugoku Marine Paints Ltd <sup>(b)</sup> | 2083949 |
| 205900 | Citizen Watch Co Ltd | 904157 |
| 9600 | CONEXIO Corp | 83819 |
| 290700 | Credit Saison Co Ltd | 3727027 |
| 111500 | Dai Nippon Printing Co Ltd <sup>(a)</sup> | 2309347 |
| 13700 | Dai Nippon Toryo Co Ltd | 76659 |
| 14600 | Daicel Corp | 106495 |
| 4000 | Dai-Dan Co Ltd | 64172 |
| 4800 | Daiichi Jitsugyo Co Ltd | 148066 |
| 7000 | Daiken Corp | 109300 |
| 3700 | Daito Pharmaceutical Co Ltd <sup>(b)</sup> | 70107 |
| 78700 | Daiwa House Industry Co Ltd <sup>(a)</sup> | 1812384 |
| 590100 | Daiwabo Holdings Co Ltd | 9414665 |
| 271500 | Denka Co Ltd | 6573628 |
| 42000 | Dentsu Group Inc | 1360071 |
| 16600 | Ebara Corp | 645404 |
| 3000 | Eizo Corp | 78885 |
| 21300 | Exedy Corp | 259110 |
| 476300 | EXEO Group Inc | 7393203 |
| 202800 | Ezaki Glico Co Ltd | 5291751 |
| 10800 | FJ Next Co Ltd | 75969 |
| 376200 | Fuji Corp | 5739815 |
| 49400 | Fuji Electric Co Ltd | 2046892 |
| 5000 | Fuji Pharma Co Ltd | 37125 |
| 78500 | FUJIFILM Holdings Corp <sup>(a)</sup> | 4222687 |
| 30800 | Fukuoka Financial Group Inc | 603459 |
| 9000 | Furuno Electric Co Ltd | 67118 |
| 10300 | Furyu Corp | 87226 |
| 3400 | G-7 Holdings Inc | 37985 |
| 270900 | H.U. Group Holdings Inc <sup>(a)</sup> | 5494431 |
| 26400 | Hachijuni Bank Ltd (The) | 100030 |
| 19100 | Hanwa Co Ltd | 501340 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Japan — continued** | |
| 657894 | Haseko Corp | 7274634 |
| 7800 | Heiwado Co Ltd | 115388 |
| 3200 | Hochiki Corp | 33755 |
| 123500 | Hogy Medical Co Ltd <sup>(a)</sup> | 3142730 |
| 474300 | Honda Motor Co Ltd <sup>(a)</sup> | 11559449 |
| 29500 | Honda Motor Co Ltd Sponsored ADR <sup>(a)</sup> | 722750 |
| 42000 | Hosiden Corp | 500395 |
| 4500 | Hosokawa Micron Corp | 96879 |
| 5900 | Hyakujushi Bank Ltd (The) | 77276 |
| 88300 | Idemitsu Kosan Co Ltd | 2073604 |
| 40000 | Inabata & Co Ltd | 692648 |
| 1195000 | Inpex Corp | 13168454 |
| 479700 | ITOCHU Corp <sup>(a)</sup> | 15065976 |
| 1300 | Itochu-Shokuhin Co Ltd | 49067 |
| 58500 | Itoham Yonekyu Holdings Inc | 291618 |
| 25000 | Itoki Corp | 98066 |
| 15600 | Jaccs Co Ltd | 445404 |
| 29100 | Japan Aviation Electronics Industry Ltd | 502502 |
| 391700 | Japan Tobacco Inc <sup>(a)</sup> | 8013940 |
| 20100 | JVCKenwood Corp | 54494 |
| 11500 | Kaga Electronics Co Ltd | 371025 |
| 173100 | Kajima Corp | 1958689 |
| 14900 | Kamei Corp | 130965 |
| 6200 | Kandenko Co Ltd | 39261 |
| 13200 | Kaneka Corp | 339198 |
| 290500 | Kanematsu Corp | 3243944 |
| 385900 | KDDI Corp <sup>(a)</sup> | 11478429 |
| 469700 | Kirin Holdings Co Ltd | 7414493 |
| 20500 | Kitz Corp | 127152 |
| 14579 | Kohnan Shoji Co Ltd | 351958 |
| 4900 | Kokuyo Co Ltd | 64779 |
| 42400 | Komeri Co Ltd | 800442 |
| 193800 | Konoike Transport Co Ltd <sup>(a)</sup> | 2244496 |
| 400 | Krosaki Harima Corp | 14682 |
| 494800 | K's Holdings Corp | 4108388 |
| 1000 | Kureha Corp | 71524 |
| 9000 | Kyosan Electric Manufacturing Co Ltd | 27245 |
| 277300 | Kyudenko Corp | 6671648 |
| 28600 | Macnica Holdings Inc | 724877 |
| 251300 | Macromill Inc | 2049523 |
| 2300 | Makino Milling Machine Co Ltd | 77767 |
| 271500 | Mandom Corp | 2862914 |
| 457900 | Marubeni Corp <sup>(a)</sup> | 5179935 |
| 288700 | Maruichi Steel Tube Ltd | 6004810 |
| 5400 | Maruzen Showa Unyu Co Ltd | 127143 |
| 6100 | Matsuda Sangyo Co Ltd | 103209 |
| 256100 | Maxell Ltd | 2646777 |
| 44800 | Mazda Motor Corp | 356180 |
| 22400 | MCJ Co Ltd | 157180 |
| 330600 | Mebuki Financial Group Inc | 751570 |
| 1600 | Melco Holdings Inc | 36368 |
| 75800 | Mirarth Holdings Inc | 215526 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Japan — continued** | |
| 224200 | Mitsubishi Corp <sup>(a)</sup> | 7550868 |
| 23400 | Mitsubishi Electric Corp <sup>(a)</sup> | 234510 |
| 51400 | Mitsubishi HC Capital Inc | 245230 |
| 44500 | Mitsubishi Materials Corp | 711400 |
| 341100 | Mitsubishi Motors Corp <sup>\*</sup> | 1591382 |
| 5300 | Mitsubishi Research Institute Inc <sup>(a)</sup> | 199088 |
| 8000 | Mitsubishi Shokuhin Co Ltd | 189397 |
| 893700 | Mitsubishi UFJ Financial Group Inc <sup>(a)</sup> | 4873829 |
| 3900 | Mitsuboshi Belting Ltd | 97774 |
| 87900 | Mitsui & Co Ltd <sup>(a)</sup> | 2551185 |
| 12600 | Mitsui DM Sugar Holdings Co Ltd | 179241 |
| 281000 | Mitsui OSK Lines Ltd <sup>(a)</sup> | 6959903 |
| 11200 | Mitsui-Soko Holdings Co Ltd <sup>(a)</sup> | 289891 |
| 16500 | Modec Inc <sup>\*</sup> | 184633 |
| 182900 | Morinaga & Co Ltd | 4927463 |
| 174400 | MS&AD Insurance Group Holdings Inc <sup>(a)</sup> | 5176415 |
| 18200 | MTI Ltd | 67366 |
| 3700 | Nagase & Co Ltd | 54747 |
| 201300 | NEC Corp <sup>(a)</sup> | 7166392 |
| 216900 | NGK Spark Plug Co Ltd | 4249826 |
| 252500 | NH Foods Ltd | 6798328 |
| 35900 | Nichias Corp | 637142 |
| 13300 | Nichiha Corp | 275986 |
| 8400 | Nichireki Co Ltd | 79401 |
| 349200 | Nikon Corp | 3414380 |
| 7000 | Nippn Corp | 80840 |
| 4200 | Nippon Densetsu Kogyo Co Ltd | 52181 |
| 8800 | Nippon Soda Co Ltd | 275023 |
| 6000 | Nippon Steel Trading Corp | 223614 |
| 79300 | Nippon Suisan Kaisha Ltd | 302237 |
| 430800 | Nippon Telegraph & Telephone Corp <sup>(a)</sup> | 11945646 |
| 102600 | Nippon Television Holdings Inc | 793259 |
| 272300 | Nippon Yusen KK <sup>(a)</sup> | 6061244 |
| 8300 | Nisshin Oillio Group Ltd (The) | 201649 |
| 17500 | Nisshinbo Holdings Inc | 130136 |
| 3800 | Nissin Corp | 56567 |
| 19500 | Nissin Electric Co Ltd | 191995 |
| 6600 | Nittetsu Mining Co Ltd | 151939 |
| 8900 | Nitto Kogyo Corp | 151482 |
| 41200 | Nojima Corp | 420423 |
| 2400 | Nomura Real Estate Holdings Inc | 58134 |
| 814500 | Obayashi Corp | 6089257 |
| 68700 | ORIX Corp <sup>(a)</sup> | 1113088 |
| 10400 | Osaka Soda Co Ltd | 314487 |
| 10200 | Osaki Electric Co Ltd | 39725 |
| 274100 | Pacific Industrial Co Ltd | 2172302 |
| 11500 | PAL GROUP Holdings Co Ltd | 203349 |
| 1111900 | Penta-Ocean Construction Co Ltd | 5262019 |
| 10800 | Prima Meat Packers Ltd | 160571 |
| 8000 | Proto Corp | 73774 |
| 66800 | Renesas Electronics Corp <sup>\* (a)</sup> | 655154 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Japan — continued** | |
| 77300 | Rohm Co Ltd | 6204971 |
| 43000 | San-A Co Ltd | 1364596 |
| 21600 | Sanki Engineering Co Ltd | 251555 |
| 225000 | Sankyu Inc <sup>(a)</sup> | 8142700 |
| 5700 | Sanwa Holdings Corp | 54018 |
| 118700 | Sawai Group Holdings Co Ltd | 3675453 |
| 106500 | Secom Co Ltd | 6584367 |
| 21000 | Sega Sammy Holdings Inc | 280046 |
| 9500 | Seikitokyu Kogyo Co Ltd | 55279 |
| 198800 | Seiko Epson Corp | 3128385 |
| 27800 | Sekisui Chemical Co Ltd | 393184 |
| 471200 | Sekisui House Ltd | 8822594 |
| 7500 | Sekisui Jushi Corp | 99182 |
| 32800 | Shimamura Co Ltd | 2977855 |
| 680600 | Shimizu Corp | 3669472 |
| 9100 | Shin-Etsu Polymer Co Ltd | 83411 |
| 17600 | Shinmaywa Industries Ltd | 130310 |
| 6200 | Shinnihon Corp | 33832 |
| 9700 | Shizuoka Gas Co Ltd <sup>(a)</sup> | 78126 |
| 2000 | Sinanen Holdings Co Ltd | 55343 |
| 10600 | Sinko Industries Ltd | 119866 |
| 84900 | SKY Perfect JSAT Holdings Inc | 315090 |
| 349620 | Sojitz Corp | 6230537 |
| 504900 | Stanley Electric Co Ltd | 10381557 |
| 21500 | Star Micronics Co Ltd | 276491 |
| 168900 | Subaru Corp | 2892895 |
| 445000 | SUMCO Corp | 6657873 |
| 3200 | Sumitomo Bakelite Co Ltd | 101823 |
| 1938500 | Sumitomo Chemical Co Ltd | 7067448 |
| 373100 | Sumitomo Corp <sup>(a)</sup> | 6116700 |
| 8300 | Sumitomo Electric Industries Ltd | 97469 |
| 126900 | Sumitomo Forestry Co Ltd | 2215691 |
| 10400 | Sumitomo Metal Mining Co Ltd | 350778 |
| 260700 | Sumitomo Mitsui Financial Group Inc | 8848346 |
| 231600 | Sumitomo Mitsui Trust Holdings Inc | 7427566 |
| 1500 | Sumitomo Seika Chemicals Co Ltd | 46382 |
| 18600 | Sumitomo Warehouse Co Ltd (The) <sup>(a)</sup> | 272389 |
| 10600 | Suntory Beverage & Food Ltd <sup>(a)</sup> | 361224 |
| 747200 | T&D Holdings Inc | 9083955 |
| 179900 | Tachi-S Co Ltd | 1443389 |
| 170500 | Taisei Corp | 5183057 |
| 93500 | Takara Holdings Inc | 731204 |
| 5500 | Takeuchi Manufacturing Co Ltd | 128017 |
| 435800 | Takuma Co Ltd | 4072945 |
| 7500 | Tamron Co Ltd | 190495 |
| 615300 | Teijin Ltd | 5970260 |
| 321300 | THK Co Ltd | 6337776 |
| 194000 | Toho Holdings Co Ltd <sup>(a)</sup> | 3019304 |
| 794200 | Tokai Carbon Co Ltd <sup>(b)</sup> | 6128108 |
| 3300 | Token Corp | 192151 |
| 260200 | Tokyo Gas Co Ltd <sup>(a)</sup> | 4786379 |
| 197500 | Tokyo Seimitsu Co Ltd | 6328956 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Japan — continued** | |
| 420600 | Toppan Inc | 6551323 |
| 255800 | Tosei Corp <sup>(b)</sup> | 2623130 |
| 227300 | Tosoh Corp | 2698742 |
| 7000 | Towa Pharmaceutical Co Ltd | 107845 |
| 69300 | Toyo Construction Co Ltd | 421832 |
| 3300 | Toyo Ink SC Holdings Co Ltd <sup>(b)</sup> | 45280 |
| 8700 | Toyota Boshoku Corp | 122214 |
| 140500 | Toyota Industries Corp | 8060094 |
| 45900 | Toyota Tsusho Corp <sup>(a)</sup> | 1771871 |
| 177500 | Tsumura & Co | 3889778 |
| 18800 | TV Asahi Holdings Corp | 188452 |
| 14000 | Unipres Corp | 90581 |
| 11700 | Wacoal Holdings Corp | 198946 |
| 4600 | Warabeya Nichiyo Holdings Co Ltd | 61918 |
| 23800 | YAMABIKO Corp | 197479 |
| 311100 | Yamada Holdings Co Ltd <sup>(a)</sup> | 1078234 |
| 107300 | Yamaha Motor Co Ltd <sup>(b)</sup> | 2687840 |
| 1700 | Yamato Kogyo Co Ltd | 58611 |
| 23300 | Yamazen Corp | 170498 |
| 21200 | Yellow Hat Ltd | 267031 |
| 106000 | Yokogawa Bridge Holdings Corp | 1496068 |
| 8800 | Yokogawa Electric Corp | 165965 |
| 4100 | Yokohama Rubber Co Ltd (The) <sup>(b)</sup> | 67895 |
| 7200 | Yuasa Trading Co Ltd | 188911 |
| 144900 | Zenkoku Hosho Co Ltd | 5395205 |
|  | Total Japan | 514843240 |
|  | **Kuwait — 0.0%** |  |
| 13649 | Humansoft Holding Co KSC | 149222 |
|  | **Malaysia — 0.1%** |  |
| 144700 | AMMB Holdings Bhd | 136211 |
| 330500 | Hartalega Holdings Bhd | 129285 |
| 293600 | Hibiscus Petroleum Bhd | 73593 |
| 24400 | Hong Leong Bank Bhd | 114675 |
| 208300 | IOI Corp Bhd | 179545 |
| 369700 | Kossan Rubber Industries Bhd | 92726 |
| 83100 | Kuala Lumpur Kepong Bhd | 391165 |
| 24800 | MISC Bhd | 40280 |
| 1156900 | Petronas Chemicals Group Bhd | 2229415 |
| 33800 | Petronas Gas Bhd | 127846 |
| 43900 | PPB Group Bhd | 170160 |
| 193500 | RHB Bank Bhd | 245115 |
| 87700 | Sime Darby Plantation Bhd | 84122 |
| 189300 | Telekom Malaysia Bhd | 239277 |
| 38200 | TIME dotCom Bhd | 41985 |
|  | Total Malaysia | 4295400 |
|  | **Mexico — 1.3%** |  |
| 56500 | Alpek SAB de CV | 79710 |
| 2808510 | America Movil SAB de CV – Series L | 2729323 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Mexico — continued** | |
| 87509 | America Movil SAB de CV – Class L Sponsored ADR | 1702925 |
| 211615 | Arca Continental SAB de CV | 1761448 |
| 286102 | Banco del Bajio SA | 929602 |
| 8400 | Cemex SAB de CV Sponsored ADR <sup>\*</sup> | 38388 |
| 2396 | Coca-Cola Femsa SAB de CV Sponsored ADR | 163671 |
| 1136700 | Credito Real SAB de CV SOFOM ER <sup>\* (e)</sup> |  |
| 100800 | El Puerto de Liverpool SAB de CV – Class C1 | 585553 |
| 1272710 | Fomento Economico Mexicano SAB de CV | 10157141 |
| 9754 | Fomento Economico Mexicano SAB de CV Sponsored ADR | 779052 |
| 178200 | Gentera SAB de CV | 189154 |
| 19660 | Grupo Aeroportuario del Centro Norte SAB de CV – Class B | 170667 |
| 54340 | Grupo Aeroportuario del Pacifico SAB de CV – Class B | 882638 |
| 29772 | Grupo Aeroportuario del Sureste SAB de CV – Class B | 738359 |
| 588 | Grupo Aeroportuario del Sureste SAB de CV ADR | 145406 |
| 1495569 | Grupo Financiero Banorte SAB de CV – Class O | 12003154 |
| 29255 | Grupo Herdez SAB de CV – Series <sup>\*</sup> | 59878 |
| 2667240 | Grupo Mexico SAB de CV – Series B | 10851992 |
| 106189 | Grupo Televisa SAB Sponsored ADR | 579792 |
| 20524 | Grupo Televisa SAB | 22605 |
| 92451 | Qualitas Controladora SAB de CV | 389230 |
| 119900 | Regional SAB de CV | 875418 |
| 155399 | Sitios Latinoamerica SAB de CV <sup>\*</sup> | 69267 |
| 196849 | Unifin Financiera SAB de CV SOFOM ENR <sup>\*</sup> | 12243 |
| 1008072 | Wal-Mart de Mexico SAB de CV | 3983906 |
|  | Total Mexico | 49900522 |
|  | **Netherlands — 1.9%** |  |
| 36537 | ABN AMRO Bank NV CVA GDR | 471178 |
| 1233584 | Aegon NV <sup>(a)</sup> <sup>(b)</sup> | 6047602 |
| 5200 | AerCap Holdings NV <sup>\*</sup> | 319280 |
| 119292 | ASR Nederland NV | 5459842 |
| 9661 | Brunel International NV | 98102 |
| 16510 | Evander Gold Mines Ltd <sup>(c)</sup> | 172 |
| 164175 | EXOR NV <sup>\*</sup> | 12887735 |
| 64477 | ForFarmers NV <sup>(b)</sup> | 196242 |
| 174151 | JDE Peet's NV | 5394697 |
| 461534 | Koninklijke Ahold Delhaize NV <sup>(a)</sup> | 13450068 |
| 378174 | Koninklijke Philips NV <sup>(a)</sup> | 5666789 |
| 145219 | NN Group NV <sup>(a)</sup> | 6206146 |
| 85452 | Prosus NV <sup>\*</sup> | 5591869 |
| 152641 | Randstad NV <sup>(b)</sup> | 8841486 |
| 14156 | SBM Offshore NV | 226820 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Netherlands — continued** | |
| 30532 | Signify NV | 1042809 |
| 3523 | Wolters Kluwer NV <sup>(a)</sup> | 388271 |
|  | Total Netherlands | 72289108 |
|  | **New Zealand — 0.1%** |  |
| 210854 | Auckland International Airport Ltd <sup>\* (a)</sup> | 1074600 |
| 526190 | Meridian Energy Ltd <sup>(a)</sup> | 1633179 |
| 131368 | Spark New Zealand Ltd | 428274 |
|  | Total New Zealand | 3136053 |
|  | **Norway — 0.5%** |  |
| 80560 | Austevoll Seafood ASA | 658917 |
| 22764 | BW LPG Ltd | 202987 |
| 706585 | DNO ASA | 903025 |
| 372580 | Elkem ASA <sup>\*</sup> | 1379714 |
| 275700 | Equinor ASA <sup>(a)</sup> | 10617427 |
| 159733 | Europris ASA | 1015158 |
| 210703 | Norsk Hydro ASA | 1586618 |
| 10799 | SpareBank 1 Nord Norge | 100655 |
| 2118 | SpareBank 1 SMN | 25236 |
| 9566 | Stolt-Nielsen Ltd <sup>(a)</sup> | 247749 |
| 20920 | TGS ASA | 286215 |
| 109931 | Wallenius Wilhelmsen ASA <sup>(a)</sup> | 1029824 |
|  | Total Norway | 18053525 |
|  | **Pakistan — 0.0%** |  |
| 86608 | Fauji Fertilizer Co Ltd | 39688 |
| 43862 | Pakistan Oilfields Ltd | 82041 |
|  | Total Pakistan | 121729 |
|  | **Panama — 0.0%** |  |
| 494873 | BAC Holding International Corp <sup>\*</sup> | 28290 |
|  | **Philippines — 0.0%** |  |
| 321500 | Converge Information and Communications Technology Solutions Inc <sup>\*</sup> | 88548 |
| 41730 | GT Capital Holdings Inc | 325216 |
| 63200 | Manila Electric Co | 313409 |
| 5535024 | Megaworld Corp | 220239 |
| 223000 | Puregold Price Club Inc | 140569 |
|  | Total Philippines | 1087981 |
|  | **Poland — 0.4%** |  |
| 17571 | Asseco Poland SA | 288259 |
| 278736 | Bank Polska Kasa Opieki SA | 5331708 |
| 14181 | Budimex SA | 867535 |
| 75238 | Cyfrowy Polsat SA | 315453 |
| 6780 | KGHM Polska Miedz SA | 179478 |
| 41356 | Orange Polska SA | 58246 |
| 406367 | Polski Koncern Naftowy ORLEN SA | 5981395 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Poland — continued** | |
| 184021 | Powszechny Zaklad Ubezpieczen SA | 1317351 |
|  | Total Poland | 14339425 |
|  | **Portugal — 0.6%** |  |
| 77338 | Altri SGPS SA | 453050 |
| 700229 | EDP – Energias de Portugal SA | 3322617 |
| 1176231 | Galp Energia SGPS SA <sup>(b)</sup> | 14493134 |
| 65009 | Jeronimo Martins SGPS SA | 1450450 |
| 297612 | Navigator Co SA (The) | 1208919 |
| 192336 | NOS SGPS SA | 772634 |
| 23211 | REN – Redes Energeticas Nacionais SGPS SA | 61468 |
| 1605581 | Sonae SGPS SA | 1631054 |
|  | Total Portugal | 23393326 |
|  | **Qatar — 0.1%** |  |
| 84512 | Ooredoo QPSC | 206155 |
| 447008 | Qatar National Bank QPSC | 2416717 |
| 160925 | Qatar National Cement Co QSC | 203498 |
|  | Total Qatar | 2826370 |
|  | **Russia — 0.2%** |  |
| 10221010 | Alrosa PJSC <sup>(e)</sup> <sup>(f)</sup> | 761137 |
| 376870000 | Federal Grid Co Unified Energy System PJSC <sup>\* (e)</sup> | 37307 |
| 214678 | Fix Price Group Ltd GDR <sup>\* (e)</sup> | 53085 |
| 415363 | Gazprom Neft PJSC <sup>(e)</sup> | 222836 |
| 4924596 | Gazprom PJSC <sup>(e)</sup> | 947314 |
| 75924 | Globaltrans Investment Plc Sponsored GDR (Registered) <sup>\*</sup> <sup>(e)</sup> | 28197 |
| 18204300 | Inter RAO UES PJSC <sup>(e)</sup> | 68492 |
| 88304 | LSR Group PJSC – Class A <sup>\* (e)</sup> | 47465 |
| 4 | LSR Group PJSC GDR (Registered) <sup>(e)</sup> |  |
| 192855 | LUKOIL PJSC <sup>(e)</sup> | 1017162 |
| 5760219 | Magnitogorsk Iron & Steel Works PJSC <sup>(e) (f)</sup> | 206448 |
| 71800 | Mechel PJSC <sup>\* (e)</sup> | 8359 |
| 12797 | MMC Norilsk Nickel PJSC <sup>(e)</sup> | 209676 |
| 8 | MMC Norilsk Nickel PJSC ADR <sup>\* (c)</sup> | 13 |
| 23942 | Mobile TeleSystems PJSC <sup>(e)</sup> | 6466 |
| 37065 | Mobile TeleSystems PJSC ADR <sup>\* (e)</sup> | 20062 |
| 1472470 | Moscow Exchange MICEX-RTS PJSC <sup>\* (e)</sup> | 146591 |
| 7545000 | Mosenergo PJSC <sup>\* (e)</sup> | 15059 |
| 191960 | Novatek PJSC <sup>(e)</sup> | 227106 |
| 3493400 | Novolipetsk Steel PJSC <sup>(e)</sup> | 424601 |
| 6115 | PhosAgro PJSC <sup>(e)</sup> | 45102 |
| 118 | PhosAgro PJSC GDR <sup>(e)</sup> <sup>(f)</sup> | 291 |
| 254956 | Polymetal International Plc <sup>\*</sup> | 739312 |
| 25552 | Polyus PJSC <sup>\* (e)</sup> | 211032 |
| 1493 | Ros Agro Plc GDR (Registered) <sup>\* (d) (e)</sup> | 1288 |
| 1208 | Ros Agro Plc GDR (Registered) <sup>\* (d)</sup> <sup>(e)</sup> | 1091 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Russia — continued** | |
| 49974140 | RusHydro PJSC <sup>(e)</sup> | 43228 |
| 8073970 | Sberbank of Russia PJSC <sup>\* (e) (f)</sup> | 1255014 |
| 7395 | Severstal PAO <sup>\* (e) (f)</sup> | 6681 |
| 261549 | Severstal PJSC GDR (Registered) <sup>(e)</sup> <sup>(f)</sup> | 236777 |
| 29090 | SFI PJSC <sup>\* (e)</sup> | 15209 |
| 27770670 | Surgutneftegas PJSC <sup>(e)</sup> | 688066 |
| 986916 | Tatneft PJSC <sup>(e)</sup> | 412184 |
| 725480 | Unipro PJSC <sup>(e)</sup> | 1153 |
| 55470 | United Co Rusal International PJSC <sup>(e)</sup> | 2437 |
| 752312000 | VTB Bank PJSC <sup>\* (e) (f)</sup> | 14522 |
|  | Total Russia | 8120763 |
|  | **Saudi Arabia — 0.2%** |  |
| 40577 | Almarai Co JSC | 578025 |
| 268681 | Saudi Arabian Oil Co | 2403522 |
| 130843 | Saudi Basic Industries Corp | 2913866 |
| 135350 | Saudi Telecom Co | 1391396 |
|  | Total Saudi Arabia | 7286809 |
|  | **Singapore — 0.8%** |  |
| 171000 | AIMS APAC (REIT) | 151486 |
| 621000 | Asian Pay Television Trust | 49306 |
| 102600 | Bumitama Agri Ltd | 46336 |
| 241400 | City Developments Ltd | 1483066 |
| 611200 | ComfortDelGro Corp Ltd | 556011 |
| 324224 | DBS Group Holdings Ltd | 8455355 |
| 512600 | First Real Estate Investment Trust <sup>(b)</sup> | 90682 |
| 64400 | First Resources Ltd | 76958 |
| 3966000 | Golden Agri-Resources Ltd | 846647 |
| 627199 | Japfa Ltd <sup>(b)</sup> | 236585 |
| 128400 | Jardine Cycle & Carriage Ltd <sup>(b)</sup> | 2863806 |
| 792400 | Keppel Corp Ltd | 4422803 |
| 242500 | Sasseur Real Estate Investment Trust | 139192 |
| 76000 | Sheng Siong Group Ltd | 92170 |
| 502900 | Silverlake Axis Ltd | 139351 |
| 6700 | Singapore Exchange Ltd | 44846 |
| 279000 | StarHub Ltd | 220509 |
| 26800 | United Overseas Bank Ltd | 617940 |
| 121400 | UOL Group Ltd | 598678 |
| 18100 | Venture Corp Ltd | 232391 |
| 355200 | Wilmar International Ltd | 1077509 |
| 5441477 | Yangzijiang Financial Holding Ltd <sup>\* (b)</sup> | 1392062 |
| 6766277 | Yangzijiang Shipbuilding Holdings Ltd | 7165968 |
| 506900 | Yanlord Land Group Ltd | 368244 |
|  | Total Singapore | 31367901 |
|  | **South Africa — 1.2%** |  |
| 756571 | Absa Group Ltd | 9072209 |
| 39872 | AECI Ltd | 213246 |
| 70657 | African Rainbow Minerals Ltd | 1223655 |
| 43489 | Anglo American Platinum Ltd | 4395633 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **South Africa — continued** | |
| 5467 | Aspen Pharmacare Holdings Ltd | 45368 |
| 25568 | Astral Foods Ltd | 249758 |
| 28952 | AVI Ltd | 124218 |
| 102603 | Barloworld Ltd | 621990 |
| 256174 | Bidvest Group Ltd (The) | 3445101 |
| 302582 | Blue Label Telecoms Ltd <sup>\*</sup> | 91555 |
| 9950 | Capitec Bank Holdings Ltd | 1181314 |
| 3087 | Clicks Group Ltd | 53107 |
| 4274 | Exxaro Resources Ltd | 55904 |
| 903458 | FirstRand Ltd | 3511266 |
| 48390 | Foschini Group Ltd (The) | 295007 |
| 35900 | Gold Fields Ltd Sponsored ADR | 400285 |
| 205717 | Impala Platinum Holdings Ltd | 2500198 |
| 24044 | Investec Ltd | 145122 |
| 161064 | Kumba Iron Ore Ltd | 4550249 |
| 120662 | Lewis Group Ltd | 347430 |
| 88955 | Motus Holdings Ltd | 607228 |
| 114310 | Mr Price Group Ltd | 1117242 |
| 211867 | MTN Group Ltd | 1736176 |
| 23041 | MultiChoice Group | 159680 |
| 16215 | Nedbank Group Ltd | 214335 |
| 78892 | Ninety One Ltd | 184256 |
| 926150 | Old Mutual Ltd | 594934 |
| 10559 | Omnia Holdings Ltd | 42996 |
| 800762 | Pepkor Holdings Ltd | 1030684 |
| 1446 | Reinet Investments SCA | 25527 |
| 67877 | Reunert Ltd | 188176 |
| 157003 | Sanlam Ltd | 515526 |
| 3420 | Santam Ltd | 52027 |
| 176331 | Sappi Ltd | 501460 |
| 21903 | Sasol Ltd | 380805 |
| 2402 | Shoprite Holdings Ltd | 35052 |
| 757944 | Sibanye Stillwater Ltd | 2108917 |
| 83500 | Sibanye Stillwater Ltd ADR | 936035 |
| 207029 | Telkom SA SOC Ltd <sup>\*</sup> | 417877 |
| 16996 | Thungela Resources Ltd | 310232 |
| 51308 | Tiger Brands Ltd | 578765 |
| 539179 | Truworths International Ltd | 1786270 |
| 80115 | Tsogo Sun Gaming Ltd | 59032 |
| 126998 | Vodacom Group Ltd | 924914 |
| 277042 | Woolworths Holdings Ltd | 1054959 |
|  | Total South Africa | 48085720 |
|  | **South Korea — 3.2%** |  |
| 5169 | Alteogen Inc <sup>\*</sup> | 143643 |
| 3656 | AMOREPACIFIC Group | 87737 |
| 1902 | BGF retail Co Ltd | 298495 |
| 23701 | BH Co Ltd | 478979 |
| 269005 | BNK Financial Group Inc | 1524365 |
| 483 | Caregen Co Ltd | 41023 |
| 41705 | Cheil Worldwide Inc | 773534 |
| 1197 | CJ CheilJedang Corp | 361039 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **South Korea — continued** | |
| 890 | CJ ENM Co Ltd | 56551 |
| 902 | CJ Logistics Corp <sup>\*</sup> | 60459 |
| 18807 | Coway Co Ltd | 828012 |
| 4096 | Daeduck Electronics Co Ltd | 73771 |
| 2948 | Daihan Pharmaceutical Co Ltd | 67794 |
| 5507 | Daou Data Corp | 118552 |
| 7964 | DB HiTek Co Ltd | 276271 |
| 7076 | DB Insurance Co Ltd | 336334 |
| 483 | Dentium Co Ltd | 32754 |
| 62560 | DGB Financial Group Inc | 379051 |
| 274760 | Dongwon Development Co Ltd | 754620 |
| 6754 | Doosan Bobcat Inc | 184870 |
| 14200 | E-MART Inc | 1004453 |
| 470 | Green Cross Corp | 45972 |
| 11495 | GS Engineering & Construction Corp | 207899 |
| 41751 | GS Holdings Corp | 1551843 |
| 1316 | HAESUNG DS Co Ltd | 43159 |
| 143867 | Hana Financial Group Inc | 4920545 |
| 11389 | Handsome Co Ltd | 226214 |
| 95128 | Hankook Tire & Technology Co Ltd | 2484456 |
| 73755 | HDC Hyundai Development Co-Engineering & Construction | 627237 |
| 5968 | HMM Co Ltd | 102853 |
| 7232 | Huchems Fine Chemical Corp | 119478 |
| 5313 | Hyundai Department Store Co Ltd | 245431 |
| 31983 | Hyundai Engineering & Construction Co Ltd | 1010964 |
| 16909 | Hyundai Glovis Co Ltd | 2293857 |
| 2982 | Hyundai Home Shopping Network Corp | 113102 |
| 19328 | Hyundai Marine & Fire Insurance Co Ltd | 445834 |
| 31160 | Hyundai Mobis Co Ltd | 5100223 |
| 5444 | Industrial Bank of Korea | 46599 |
| 1070 | Innox Advanced Materials Co Ltd | 24056 |
| 14726 | INTOPS Co Ltd | 340492 |
| 64794 | JB Financial Group Co Ltd | 416819 |
| 31775 | KB Financial Group Inc | 1261713 |
| 7900 | KB Financial Group Inc ADR | 311339 |
| 8906 | KC Co Ltd | 124382 |
| 3229 | KC Tech Co Ltd | 41164 |
| 223 | KCC Corp | 41040 |
| 2072 | KCC Glass Corp | 65115 |
| 309540 | Kia Corp | 16301584 |
| 1585 | KIWOOM Securities Co Ltd | 112447 |
| 263 | Korea Investment Holdings Co Ltd | 11691 |
| 5712 | Korea Petrochemical Ind Co Ltd | 712513 |
| 3162 | Korea Zinc Co Ltd | 1528665 |
| 54413 | KT Skylife Co Ltd | 356892 |
| 202217 | KT&G Corp | 15344040 |
| 17607 | Kumho Petrochemical Co Ltd | 2025306 |
| 23897 | LG Corp | 1541129 |
| 128842 | LG Electronics Inc | 9722365 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **South Korea — continued** | |
| 451 | LG H&H Co Ltd | 227592 |
| 33058 | LOTTE Fine Chemical Co Ltd | 1583444 |
| 5172 | LOTTE Himart Co Ltd | 53096 |
| 18715 | LX International Corp | 589721 |
| 14430 | LX Semicon Co Ltd | 984604 |
| 2694 | MegaStudyEdu Co Ltd | 161283 |
| 2336 | Meritz Financial Group Inc | 68060 |
| 48514 | Meritz Securities Co Ltd | 218225 |
| 117 | NCSoft Corp | 42384 |
| 6196 | NH Investment & Securities Co Ltd | 45730 |
| 2052 | NHN KCP Corp <sup>\*</sup> | 22134 |
| 373 | NongShim Co Ltd | 93532 |
| 5359 | Orion Corp | 481225 |
| 11638 | POSCO Holdings Inc | 2663940 |
| 104200 | POSCO Holdings Inc Sponsored ADR | 5945652 |
| 5021 | PSK Inc | 69729 |
| 971 | S-1 Corp | 47494 |
| 615 | Samsung Electro-Mechanics Co Ltd | 67323 |
| 216214 | Samsung Electronics Co Ltd | 10388856 |
| 4235 | Samsung Electronics Co Ltd GDR (Registered) | 5030564 |
| 1328 | Samsung Fire & Marine Insurance Co Ltd | 208444 |
| 6155 | Samsung SDS Co Ltd | 601418 |
| 6658 | Samsung Securities Co Ltd | 180180 |
| 562 | Samyang Foods Co Ltd | 48004 |
| 4824 | Sangsangin Co Ltd | 22915 |
| 38626 | SD Biosensor Inc | 977230 |
| 23672 | Seegene Inc | 554105 |
| 2649 | SFA Engineering Corp | 81471 |
| 111065 | Shinhan Financial Group Co Ltd <sup>(d)</sup> | 3219787 |
| 400 | Shinhan Financial Group Co Ltd <sup>(d)</sup> | 11608 |
| 878 | SK Chemicals Co Ltd | 59944 |
| 81274 | SK Square Co Ltd <sup>\*</sup> | 2354720 |
| 31667 | SK Telecom Co Ltd Sponsored ADR | 679257 |
| 12640 | SL Corp | 273038 |
| 1507 | SNT Motiv Co Ltd | 51700 |
| 548 | Soulbrain Co Ltd | 90082 |
| 162 | Taekwang Industrial Co Ltd | 91349 |
| 1120 | Unid Co Ltd | 84412 |
| 1757 | UNIDBTPLUS Co Ltd | 8473 |
| 400036 | Woori Financial Group Inc | 3996334 |
| 152064 | Woori Technology Investment Co Ltd <sup>\*</sup> | 525858 |
| 333 | Young Poong Corp | 194774 |
| 24451 | Youngone Corp | 890921 |
|  | Total South Korea | 121741337 |
|  | **Spain — 1.8%** |  |
| 626459 | Acerinox SA | 6197586 |
| 122116 | Amadeus IT Group SA <sup>\* (a)</sup> | 6602507 |
| 86040 | Atresmedia Corp de Medios de Comunicacion SA <sup>(b)</sup> | 302485 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Spain — continued** | |
| 2725937 | Banco Bilbao Vizcaya Argentaria SA | 16064061 |
| 9359119 | Banco de Sabadell SA | 8738787 |
| 2841655 | Banco Santander SA | 8479028 |
| 238606 | Bankinter SA | 1569330 |
| 130062 | CaixaBank SA <sup>(a)</sup> | 483547 |
| 57498 | Cia de Distribucion Integral Logista Holdings SA <sup>(a)</sup> | 1356157 |
| 90444 | Ence Energia y Celulosa SA | 299643 |
| 88295 | Faes Farma SA | 339384 |
| 2936 | Grupo Catalana Occidente SA | 92869 |
| 8364 | Iberdrola SA <sup>(a)</sup> | 94492 |
| 232265 | Industria de Diseno Textil SA <sup>(a)</sup> | 6062998 |
| 48202 | Mediaset Espana Comunicacion SA <sup>\*</sup> | 160539 |
| 620888 | Repsol SA | 9586710 |
| 384426 | Telefonica SA <sup>(a)</sup> | 1434938 |
| 282493 | Unicaja Banco SA | 292059 |
|  | Total Spain | 68157120 |
|  | **Sweden — 0.6%** |  |
| 306413 | Fastighets AB Balder – B Shares <sup>\*</sup> | 1377482 |
| 57745 | Industrivarden AB – A Shares <sup>(a)</sup> <sup>(b)</sup> | 1490288 |
| 113735 | Industrivarden AB – C Shares <sup>(b)</sup> | 2913511 |
| 141954 | Investor AB – A Shares | 2733277 |
| 168534 | Investor AB – B Shares <sup>(a)</sup> | 3136562 |
| 55175 | Inwido AB | 555595 |
| 213672 | Kinnevik AB – Class B <sup>\*</sup> | 3293729 |
| 47636 | New Wave Group AB – B Shares | 965248 |
| 118802 | Skanska AB – B Shares | 1934017 |
| 729664 | SSAB AB – A Shares | 4225302 |
| 89923 | SSAB AB – B Shares | 508383 |
| 53537 | Svenska Cellulosa AB SCA – Class B | 727928 |
| 89135 | Telefonaktiebolaget LM Ericsson – B Shares | 562590 |
|  | Total Sweden | 24423912 |
|  | **Switzerland — 0.9%** |  |
| 174616 | Adecco Group AG (Registered) | 5936353 |
| 4014 | DKSH Holding AG <sup>(a)</sup> | 302659 |
| 1277 | Gurit Holding AG <sup>(b)</sup> | 131269 |
| 109335 | Logitech International SA (Registered) <sup>(b)</sup> | 6628696 |
| 14408 | Mobilezone Holding AG (Registered) | 251005 |
| 28374 | Roche Holding AG – Genusschein <sup>(a)</sup> | 9267625 |
| 6403 | u-blox Holding AG <sup>\*</sup> | 833623 |
| 431226 | UBS Group AG (Registered) <sup>(a)</sup> | 7957273 |
| 2982 | Zehnder Group AG – Class RG | 177287 |
| 4665 | Zurich Insurance Group AG <sup>(a)</sup> | 2241238 |
|  | Total Switzerland | 33727028 |
|  | **Taiwan — 3.7%** | **Taiwan — 3.7%** |
| 30000 | Acer Inc | 24077 |
| 11774 | Acter Group Corp Ltd | 38601 |
| 7000 | Advantech Co Ltd | 76197 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Taiwan — continued** | **Taiwan — continued** |
| 748235 | AmTRAN Technology Co Ltd | 236340 |
| 127700 | ASE Technology Holding Co Ltd ADR <sup>(a)</sup> | 868360 |
| 71000 | Asia Cement Corp | 95404 |
| 7000 | ASMedia Technology Inc | 167834 |
| 5000 | ASROCK Inc | 21451 |
| 1106672 | Asustek Computer Inc | 9619303 |
| 58000 | Aten International Co Ltd | 145564 |
| 932000 | Catcher Technology Co Ltd | 5559412 |
| 1544000 | Cathay Financial Holding Co Ltd | 2197201 |
| 225673 | Chailease Holding Co Ltd | 1489528 |
| 442490 | Chicony Electronics Co Ltd | 1198672 |
| 191000 | China Steel Corp | 181313 |
| 633000 | Chipbond Technology Corp | 1203150 |
| 63000 | ChipMOS Technologies Inc | 69481 |
| 113540 | Chong Hong Construction Co Ltd | 265341 |
| 5000 | Chroma ATE Inc | 32620 |
| 188560 | Chunghwa Telecom Co Ltd | 694072 |
| 4500 | Chunghwa Telecom Co Ltd Sponsored ADR <sup>(a)</sup> | 164340 |
| 1432000 | Compal Electronics Inc | 1008411 |
| 52000 | Compeq Manufacturing Co Ltd | 83370 |
| 145080 | Coretronic Corp | 274698 |
| 13000 | Elan Microelectronics Corp | 38235 |
| 17000 | Elite Semiconductor Microelectronics |  |
|  | Technology Inc | 41059 |
| 1036000 | Evergreen Marine Corp Taiwan Ltd | 5562025 |
| 650000 | Far EasTone Telecommunications Co Ltd | 1435250 |
| 271000 | Farglory Land Development Co Ltd | 481031 |
| 194340 | First Financial Holding Co Ltd | 165885 |
| 100709 | FLEXium Interconnect Inc | 351795 |
| 35000 | Formosa Advanced Technologies Co Ltd | 45157 |
| 11000 | Formosa Chemicals & Fibre Corp | 27235 |
| 9000 | Formosa International Hotels Corp | 69450 |
| 679000 | Formosa Plastics Corp | 1991577 |
| 356000 | Foxconn Technology Co Ltd | 605127 |
| 2129148 | Fubon Financial Holding Co Ltd | 4228953 |
| 26000 | Getac Technology Corp | 36159 |
| 18000 | Gigabyte Technology Co Ltd | 64153 |
| 834000 | Grand Pacific Petrochemical | 566262 |
| 700160 | HannStar Display Corp | 261913 |
| 16000 | Holtek Semiconductor Inc | 37309 |
| 4841406 | Hon Hai Precision Industry Co Ltd | 15852149 |
| 207000 | Huaku Development Co Ltd | 598852 |
| 41941 | International Games System Co Ltd | 532675 |
| 3000 | King Slide Works Co Ltd | 40436 |
| 235000 | King's Town Bank Co Ltd | 266514 |
| 148000 | Kung Long Batteries Industrial Co Ltd | 662907 |
| 61000 | Largan Precision Co Ltd | 4596088 |
| 1109000 | Lite-On Technology Corp | 2366771 |
| 11000 | Makalot Industrial Co Ltd | 83745 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Taiwan — continued** | **Taiwan — continued** |
| 304000 | MediaTek Inc | 7345795 |
| 131039 | Mercuries Life Insurance Co Ltd <sup>\*</sup> | 25709 |
| 523000 | Micro-Star International Co Ltd | 2107736 |
| 489000 | Mitac Holdings Corp | 473600 |
| 421000 | Nan Ya Plastics Corp | 1052991 |
| 276502 | Nantex Industry Co Ltd | 349637 |
| 363000 | Nanya Technology Corp | 677402 |
| 6000 | Nien Made Enterprise Co Ltd | 56960 |
| 326000 | Novatek Microelectronics Corp | 3194237 |
| 106000 | Phison Electronics Corp | 1138436 |
| 1709566 | Pou Chen Corp | 1800597 |
| 62000 | Powertech Technology Inc | 169094 |
| 305000 | Primax Electronics Ltd | 575531 |
| 94880 | Quanta Computer Inc | 221140 |
| 440263 | Radiant Opto-Electronics Corp | 1505648 |
| 18000 | Raydium Semiconductor Corp | 184198 |
| 34000 | Realtek Semiconductor Corp | 353462 |
| 845700 | Ruentex Development Co Ltd | 1276610 |
| 668000 | Ruentex Industries Ltd | 1447051 |
| 24000 | Shanghai Commercial & Savings Bank Ltd (The) | 39658 |
| 132280 | Shin Zu Shing Co Ltd | 365116 |
| 128000 | Shinkong Insurance Co Ltd | 207109 |
| 301728 | Silicon Motion Technology Corp ADR | 19039037 |
| 90000 | Simplo Technology Co Ltd | 891859 |
| 10000 | Soft-World International Corp | 25311 |
| 292000 | Syncmold Enterprise Corp | 556734 |
| 43000 | Synnex Technology International Corp | 81770 |
| 23000 | T3EX Global Holdings Corp | 59426 |
| 24311 | Tah Hsin Industrial Corp | 55580 |
| 47000 | TaiDoc Technology Corp | 281339 |
| 10000 | Taiwan Hon Chuan Enterprise Co Ltd | 26236 |
| 139000 | Taiwan Semiconductor Manufacturing Co Ltd | 2232319 |
| 151425 | Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR <sup>(a)</sup> | 12565246 |
| 96000 | Taiwan Union Technology Corp | 179887 |
| 5000 | Thinking Electronic Industrial Co Ltd | 19692 |
| 122699 | TOPBI International Holdings Ltd <sup>\*</sup> | 48803 |
| 289000 | Transcend Information Inc | 636393 |
| 223000 | Tripod Technology Corp | 703997 |
| 16000 | Tung Ho Steel Enterprise Corp | 27908 |
| 121681 | United Integrated Services Co Ltd | 711336 |
| 59000 | United Microelectronics Corp <sup>\*</sup> | 87434 |
| 304000 | Universal Inc | 243358 |
| 582400 | Wan Hai Lines Ltd | 1458232 |
| 806000 | Winbond Electronics Corp | 562657 |
| 712000 | Wistron Corp | 639563 |
| 2000 | Wiwynn Corp | 56948 |
| 363000 | WPG Holdings Ltd | 573023 |
| 20000 | WT Microelectronics Co Ltd | 41070 |
| 4000 | Yageo Corp | 60814 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Taiwan — continued** | **Taiwan — continued** |
| 2759000 | Yang Ming Marine Transport Corp | 6002519 |
| 239000 | Youngtek Electronics Corp | 477456 |
| 4729290 | Yuanta Financial Holding Co Ltd | 3479751 |
| 121000 | Zhen Ding Technology Holding Ltd | 473892 |
|  | Total Taiwan | 143590759 |
|  | **Thailand — 0.8%** | **Thailand — 0.8%** |
| 5829700 | AP Thailand Pcl NVDR | 1678150 |
| 1424900 | Bangkok Bank Pcl NVDR | 5854524 |
| 470200 | Bangkok Dusit Medical Services Pcl NVDR | 405062 |
| 147600 | CP ALL Pcl (Foreign Registered) | 273272 |
| 47300 | CP ALL Pcl NVDR | 87573 |
| 226000 | GFPT Pcl NVDR | 87542 |
| 52300 | Kasikornbank Pcl (Foreign Registered) | 215508 |
| 1739800 | Kasikornbank Pcl NVDR | 7169027 |
| 157500 | Kiatnakin Phatra Bank Pcl NVDR | 321266 |
| 19717600 | Krung Thai Bank Pcl NVDR | 9894998 |
| 159808 | Pruksa Holding Pcl (Foreign Registered) | 55012 |
| 565380 | Pruksa Holding Pcl NVDR | 194625 |
| 236200 | PTG Energy Pcl NVDR | 99816 |
| 669600 | PTT Exploration & Production Pcl NVDR | 3570316 |
| 136000 | Regional Container Lines Pcl NVDR | 116619 |
| 10844900 | Sansiri Pcl NVDR | 485410 |
| 849700 | SC Asset Corp Pcl (Foreign Registered) | 99744 |
| 207800 | Somboon Advance Technology Pcl NVDR | 130480 |
| 897300 | Sri Trang Gloves Thailand Pcl NVDR | 255289 |
| 272400 | Thai Oil Pcl NVDR | 430532 |
| 208230 | Thai Vegetable Oil Pcl NVDR | 167041 |
|  | Total Thailand | 31591806 |
|  | **Turkey — 0.7%** | **Turkey — 0.7%** |
| 11780661 | Akbank TAS | 11019525 |
| 271525 | Arcelik AS | 1347885 |
| 871192 | Aselsan Elektronik Sanayi Ve Ticaret AS | 2279758 |
| 46503 | Dogus Otomotiv Servis ve Ticaret AS | 393003 |
| 447192 | Enerjisa Enerji AS | 698198 |
| 1284375 | Haci Omer Sabanci Holding AS | 2921243 |
| 421726 | KOC Holding AS | 1605959 |
| 253254 | Koza Anadolu Metal Madencilik Isletmeleri AS <sup>\*</sup> | 619952 |
| 17601 | Mavi Giyim Sanayi Ve Ticaret AS – Class B | 107926 |
| 20776 | Oyak Cimento Fabrikalari AS <sup>\*</sup> | 23520 |
| 1688951 | Turkiye Garanti Bankasi AS | 2442169 |
| 2486873 | Turkiye Is Bankasi AS – Class C | 1399568 |
| 20420 | Vestel Beyaz Esya Sanayi ve Ticaret AS | 13955 |
| 194461 | Vestel Elektronik Sanayi ve Ticaret AS | 626700 |
| 1125564 | Yapi ve Kredi Bankasi AS | 730519 |
|  | Total Turkey | 26229880 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Ukraine — 0.0%** | **Ukraine — 0.0%** |
| 36516 | Kernel Holding SA | 151016 |
|  | **United Arab Emirates — 0.0%** | **United Arab Emirates — 0.0%** |
| 736772 | Abu Dhabi National Oil Co for Distribution PJSC | 914335 |
| 148356 | Emaar Development PJSC <sup>\*</sup> | 170107 |
| 103538 | Emaar Properties PJSC | 172143 |
|  | Total United Arab Emirates | 1256585 |
|  | **United Kingdom — 4.3%** | **United Kingdom — 4.3%** |
| 411512 | 3i Group Plc | 6761332 |
| 15686 | AG Barr Plc | 95029 |
| 567156 | Airtel Africa Plc | 848279 |
| 78106 | Anglo American Plc | 3247267 |
| 81548 | BAE Systems Plc <sup>(a)</sup> | 807630 |
| 207297 | Balfour Beatty Plc | 811641 |
| 16420 | Bank of Georgia Group Plc | 500872 |
| 1363799 | Barratt Developments Plc | 6595023 |
| 120558 | Bellway Plc | 2929457 |
| 227385 | Berkeley Group Holdings Plc | 10544671 |
| 728160 | BP Plc <sup>(a)</sup> | 4348378 |
| 249400 | BP Plc Sponsored ADR <sup>(a)</sup> | 8953460 |
| 86767 | British American Tobacco Plc <sup>(a)</sup> | 3557622 |
| 167900 | British American Tobacco Plc Sponsored ADR <sup>(a)</sup> | 6929233 |
| 6404759 | BT Group Plc | 9424673 |
| 59690 | Bunzl Plc <sup>(a)</sup> | 2207516 |
| 1502132 | Centrica Plc <sup>(a)</sup> | 1734097 |
| 5464 | Clarkson Plc <sup>(a)</sup> | 203951 |
| 89563 | Coats Group Plc | 72499 |
| 344027 | Coca-Cola HBC AG <sup>\*</sup> | 8415210 |
| 554102 | Compass Group Plc <sup>(a)</sup> | 12632379 |
| 110718 | Crest Nicholson Holdings Plc | 306460 |
| 14271 | EMIS Group Plc <sup>(a)</sup> | 323473 |
| 30601 | Evraz Plc <sup>(e)</sup> | 755 |
| 883231 | Ferrexpo Plc | 1538418 |
| 684468 | Glencore Plc <sup>(a)</sup> | 4670890 |
| 40280 | GSK Plc Sponsored ADR <sup>(a)</sup> | 1393285 |
| 32500 | Haleon Plc ADR <sup>\* (a)</sup> | 223925 |
| 187410 | Halfords Group Plc | 441192 |
| 229549 | IG Group Holdings Plc | 2283448 |
| 223669 | Imperial Brands Plc <sup>(a)</sup> | 5753004 |
| 11716 | Inchcape Plc <sup>(a)</sup> | 118657 |
| 71019 | Indivior Plc <sup>\*</sup> | 1472946 |
| 27836 | International Personal Finance Plc | 26335 |
| 367489 | Investec Plc | 2320965 |
| 11440 | Keller Group Plc | 101387 |
| 1561637 | Kingfisher Plc | 4566848 |
| 782526 | Legal & General Group Plc <sup>(a)</sup> | 2400473 |
| 2773082 | M&G Plc | 6479797 |
| 43933 | Morgan Sindall Group Plc | 868449 |
| 266365 | OSB Group Plc | 1533431 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United Kingdom — continued** | **United Kingdom — continued** |
| 21878 | Paragon Banking Group Plc | 125121 |
| 250057 | Persimmon Plc | 3873095 |
| 187331 | Plus500 Ltd | 4300287 |
| 102635 | Redde Northgate Plc <sup>(a)</sup> | 469843 |
| 302803 | Redrow Plc | 1668476 |
| 572045 | S4 Capital Plc <sup>\*</sup> | 1320801 |
| 220505 | Serica Energy Plc | 842535 |
| 450621 | Shell Plc <sup>(a)</sup> | 13187784 |
| 135527 | Spirent Communications Plc | 472312 |
| 61535 | Standard Chartered Plc | 458376 |
| 1506480 | Taylor Wimpey Plc | 1898812 |
| 8168 | TBC Bank Group Plc | 216577 |
| 54111 | Unilever Plc | 2705611 |
| 5300 | Unilever Plc Sponsored ADR <sup>(a)</sup> | 267014 |
| 56109 | Vesuvius Plc | 259173 |
| 372000 | Vodafone Group Plc Sponsored ADR <sup>(a)</sup> | 4177560 |
| 26057 | Wincanton Plc <sup>(a)</sup> | 114916 |
| 243127 | WPP Plc <sup>(a)</sup> | 2555187 |
|  | Total United Kingdom | 167357837 |
|  | **United States — 22.2%** | **United States — 22.2%** |
| 311541 | 1Life Healthcare, Inc. <sup>\* (a)</sup> | 5293082 |
| 9200 | 3M Co. <sup>(a)</sup> | 1158924 |
| 347288 | Activision Blizzard, Inc. <sup>(a)</sup> | 25681948 |
| 17805 | ADTRAN Holdings, Inc. | 360907 |
| 61232 | Aemetis, Inc. <sup>\*</sup> | 337388 |
| 44300 | Aflac, Inc. <sup>(a)</sup> | 3186499 |
| 25200 | AGCO Corp. | 3344544 |
| 35600 | Alcoa Corp. | 1784628 |
| 160400 | Ally Financial, Inc. | 4332404 |
| 60519 | Alphabet, Inc. – Class A <sup>\* (a)</sup> | 6111814 |
| 56300 | Ameresco, Inc. – Class A <sup>\*</sup> | 3688776 |
| 54027 | American Express Co. <sup>(a)</sup> | 8514115 |
| 1888723 | Anchor Hocking Holdings, Inc. <sup>(e)</sup> | 1624302 |
| 112600 | AppLovin Corp. – Class A <sup>\* (a)</sup> | 1622566 |
| 59100 | Arrow Electronics, Inc. <sup>\*</sup> | 6426534 |
| 180300 | AT&T, Inc. <sup>(a)</sup> | 3476184 |
| 72600 | Best Buy Co., Inc. <sup>(a)</sup> | 6192780 |
| 19300 | Biogen, Inc. <sup>\* (a)</sup> | 5889781 |
| 12200 | Bio-Rad Laboratories, Inc. – Class A <sup>\*</sup> | 5059462 |
| 163452 | Black Knight, Inc. <sup>\* (a)</sup> | 10132389 |
| 3878 | Booking Holdings, Inc. <sup>\* (a)</sup> | 8064107 |
| 331045 | BorgWarner, Inc. | 14072723 |
| 99576 | Bruin Blocker LLC <sup>(c)</sup> | 57226 |
| 5000 | California Resources Corp. | 226900 |
| 50500 | Capital One Financial Corp. <sup>(a)</sup> | 5213620 |
| 25533 | CarMax, Inc. <sup>\* (a)</sup> | 1770969 |
| 144100 | Carrier Global Corp. <sup>(a)</sup> | 6386512 |
| 71300 | CBRE Group, Inc. – Class A <sup>\* (a)</sup> | 5675480 |
| 79100 | Centene Corp. <sup>\* (a)</sup> | 6885655 |
| 44597 | Chevron Corp. <sup>(a)</sup> | 8175076 |
| 9900 | Cigna Corp. <sup>(a)</sup> | 3256011 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United States — continued** | **United States — continued** |
| 130121 | Citigroup, Inc. <sup>(a)</sup> | 6299158 |
| 216800 | Clean Energy Fuels Corp. <sup>\*</sup> | 1465568 |
| 360200 | Cleveland-Cliffs, Inc. <sup>\*</sup> | 5575896 |
| 85500 | Cognizant Technology Solutions Corp. – Class A <sup>(a)</sup> | 5318955 |
| 180500 | Comcast Corp. – Class A <sup>(a)</sup> | 6613520 |
| 198325 | Cowen, Inc. – Class A | 7667244 |
| 40500 | CVS Health Corp. <sup>(a)</sup> | 4126140 |
| 159670 | Darling Ingredients, Inc. \* | 11469096 |
| 3800 | Deere & Co. <sup>(a)</sup> | 1675800 |
| 140200 | Dell Technologies, Inc. – Class C | 6279558 |
| 43000 | Discover Financial Services <sup>(a)</sup> | 4659480 |
| 349000 | DISH Network Corp. – Class A <sup>\*</sup> | 5601450 |
| 78000 | DR Horton, Inc. <sup>(a)</sup> | 6708000 |
| 131200 | eBay, Inc. <sup>(a)</sup> | 5961728 |
| 79549 | EOG Resources, Inc. <sup>(a)</sup> | 11290389 |
| 121600 | Exelon Corp. <sup>(a)</sup> | 5030592 |
| 5800 | Exxon Mobil Corp. <sup>(a)</sup> | 645772 |
| 32400 | FedEx Corp. <sup>(a)</sup> | 5903928 |
| 136800 | Fidelity National Financial, Inc. <sup>(a)</sup> | 5521248 |
| 177577 | First Horizon Corp. | 4412788 |
| 115557 | Flagstar Bancorp, Inc. | 4338010 |
| 425700 | Ford Motor Co. <sup>(a)</sup> | 5917230 |
| 97586 | ForgeRock, Inc. – Class A <sup>\*</sup> | 2122495 |
| 74400 | Fortune Brands Home & Security, Inc. | 4861296 |
| 54300 | Fox Corp. – Class A <sup>(a)</sup> | 1762035 |
| 182100 | Fox Corp. – Class B <sup>(a)</sup> | 5557692 |
| 217900 | Franklin Resources, Inc. <sup>(a)</sup> | 5841899 |
| 63200 | Freeport-McMoRan, Inc. <sup>(a)</sup> | 2515360 |
| 6600 | Garmin Ltd. <sup>(a)</sup> | 613734 |
| 147300 | General Motors Co. | 5974488 |
| 20800 | Gilead Sciences, Inc. <sup>(a)</sup> | 1826864 |
| 4700 | Goldman Sachs Group, Inc. (The) <sup>(a)</sup> | 1814905 |
| 157444 | GrafTech International Ltd. | 850198 |
| 154765 | Green Plains, Inc. <sup>\*</sup> | 5348678 |
| 5716 | Gulfport Energy Corp. <sup>\*</sup> | 463510 |
| 36178 | HEICO Corp. – Class A | 4586647 |
| 10800 | Henry Schein, Inc. <sup>\* (a)</sup> | 873936 |
| 20300 | Hess Corp. | 2921373 |
| 53572 | Hilton Worldwide Holdings, Inc. <sup>(a)</sup> | 7640439 |
| 192900 | HP, Inc. <sup>(a)</sup> | 5794716 |
| 102900 | IAC, Inc. <sup>\*</sup> | 5339481 |
| 82400 | Incyte Corp. <sup>\* (a)</sup> | 6564808 |
| 204400 | Intel Corp. <sup>(a)</sup> | 6146308 |
| 86032 | Intercontinental Exchange, Inc. <sup>(a)</sup> | 9318126 |
| 50100 | International Business Machines Corp. <sup>(a)</sup> | 7459890 |
| 215100 | Invesco Ltd. | 4110561 |
| 45800 | Jazz Pharmaceuticals Plc <sup>\*</sup> | 7186478 |
| 376100 | Kinder Morgan, Inc. | 7191032 |
| 67000 | Knight-Swift Transportation Holdings, Inc. <sup>(a)</sup> | 3713810 |
| 1018600 | Kosmos Energy Ltd. <sup>\*</sup> | 6773690 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United States — continued** | **United States — continued** |
| 139500 | Kraft Heinz Co. (The) <sup>(a)</sup> | 5489325 |
| 26900 | Kroger Co. (The) <sup>(a)</sup> | 1323211 |
| 27400 | Laboratory Corp. of America Holdings <sup>(a)</sup> | 6595180 |
| 9767 | Lam Research Corp. <sup>(a)</sup> | 4613735 |
| 137871 | Las Vegas Sands Corp. <sup>\* (a)</sup> | 6457878 |
| 73700 | Lennar Corp. – Class A | 6473071 |
| 210964 | Liberty Broadband Corp. – Class C <sup>\*</sup> | 19168189 |
| 562525 | Liberty Global Plc – Class A <sup>\*</sup> | 11295502 |
| 150900 | Liberty Global Plc – Class C <sup>\*</sup> | 3120612 |
| 41543 | Liberty Media Corp.-Liberty Formula One – Class A <sup>\*</sup> | 2283619 |
| 120000 | Lincoln National Corp. | 4672800 |
| 74600 | Livent Corp. <sup>\*</sup> | 2088054 |
| 594600 | Lumen Technologies, Inc. | 3252462 |
| 74800 | LyondellBasell Industries NV – Class A <sup>(a)</sup> | 6358748 |
| 14300 | Marathon Oil Corp. | 438009 |
| 5988 | Markel Corp. <sup>\*</sup> | 7933142 |
| 16800 | Match Group, Inc. <sup>\* (a)</sup> | 849408 |
| 83757 | Meta Platforms, Inc. – Class A <sup>\* (a)</sup> | 9891702 |
| 28900 | MetLife, Inc. <sup>(a)</sup> | 2216630 |
| 155864 | Micron Technology, Inc. <sup>(a)</sup> | 8985560 |
| 48100 | Mohawk Industries, Inc. <sup>\*</sup> | 4873973 |
| 130700 | Molson Coors Brewing Co. – Class B <sup>(a)</sup> | 7202877 |
| 104400 | Mosaic Co. (The) <sup>(a)</sup> | 5355720 |
| 1288200 | NII Holdings, Inc. <sup>(c)</sup> | 450870 |
| 126300 | NRG Energy, Inc. <sup>(a)</sup> | 5361435 |
| 41200 | Nucor Corp. <sup>(a)</sup> | 6177940 |
| 160 | NVR, Inc. <sup>\*</sup> | 742242 |
| 36400 | Occidental Petroleum Corp. | 2529436 |
| 61700 | Oracle Corp. <sup>(a)</sup> | 5122951 |
| 61715 | Otis Worldwide Corp. <sup>(a)</sup> | 4819324 |
| 6800 | PACCAR, Inc. <sup>(a)</sup> | 720188 |
| 302700 | Paramount Global – Class B | 6078216 |
| 48276 | Park Hotels & Resorts, Inc. (REIT) | 619381 |
| 71100 | PayPal Holdings, Inc. <sup>\* (a)</sup> | 5574951 |
| 755227 | Pershing Square Tontine Holdings Ltd. <sup>(c)</sup> | 75523 |
| 58300 | Pfizer, Inc. <sup>(a)</sup> | 2922579 |
| 346268 | PNM Resources, Inc. | 16967132 |
| 15300 | PotlatchDeltic Corp. (REIT) | 731187 |
| 63400 | Prudential Financial, Inc. <sup>(a)</sup> | 6849102 |
| 131100 | PulteGroup, Inc. | 5870658 |
| 1700 | Quest Diagnostics, Inc. <sup>(a)</sup> | 258111 |
| 101380 | Raytheon Technologies Corp. <sup>(a)</sup> | 10008234 |
| 9500 | Regeneron Pharmaceuticals, Inc. <sup>\* (a)</sup> | 7141150 |
| 661978 | Resolute Forest Products, Inc. <sup>\* (d)</sup> | 13967736 |
| 20600 | Resolute Forest Products, Inc. <sup>\* (d)</sup> | 433853 |
| 57307 | Rogers Corp. <sup>\*</sup> | 6248755 |
| 102176 | Sensata Technologies Holding Plc | 4608138 |
| 217698 | Signify Health, Inc. – Class A <sup>\* (a)</sup> | 6230517 |
| 114350 | Skillsoft Corp. <sup>\*</sup> | 219552 |
| 30600 | Skyworks Solutions, Inc. <sup>(a)</sup> | 2925972 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United States — continued** | **United States — continued** |
| 10900 | SolarEdge Technologies, Inc. <sup>\* (a)</sup> | 3257574 |
| 266761 | South Jersey Industries, Inc. <sup>(a)</sup> | 9256607 |
| 298457 | Southeastern Grocers, Inc. <sup>\* (e)</sup> | 6267597 |
| 202235 | Sportsman's Warehouse Holdings, Inc. <sup>\*</sup> | 1985948 |
| 29900 | SS&C Technologies Holdings, Inc. <sup>(a)</sup> | 1607424 |
| 7800 | Stanley Black & Decker, Inc. | 637416 |
| 66700 | Steel Dynamics, Inc. <sup>(a)</sup> | 6932131 |
| 343374 | STORE Capital Corp. (REIT) <sup>(a)</sup> | 10953631 |
| 143252 | Sunrun, Inc. <sup>\*</sup> | 4667150 |
| 402186 | Switch, Inc. – Class A <sup>(a)</sup> | 13774870 |
| 166000 | Synchrony Financial <sup>(a)</sup> | 6238280 |
| 1507100 | Syncora Holdings Ltd. <sup>\* (e)</sup> | 15071 |
| 36000 | TechnipFMC Plc <sup>\*</sup> | 446400 |
| 1015832 | TEGNA, Inc. | 20052524 |
| 23689 | Tempur Sealy International, Inc. | 752599 |
| 67000 | Textron, Inc. <sup>(a)</sup> | 4782460 |
| 5869 | TRU TAJ Liquidation Unit Trust/TRU TAJ Finance, Inc. <sup>(e)</sup> | 59 |
| 160204 | TRU TAJ LLC/TRU TAJ Finance, Inc. <sup>\* (e)</sup> | 780994 |
| 83500 | Tyson Foods, Inc. – Class A <sup>(a)</sup> | 5534380 |
| 398785 | Umpqua Holdings Corp. | 8083372 |
| 1200 | United Parcel Service, Inc. – Class B <sup>(a)</sup> | 227676 |
| 50700 | Universal Health Services, Inc. – Class B <sup>(a)</sup> | 6634095 |
| 171053 | US Bancorp <sup>(a)</sup> | 7764096 |
| 137500 | Verizon Communications, Inc. <sup>(a)</sup> | 5359750 |
| 19300 | Vertex Pharmaceuticals, Inc. <sup>\* (a)</sup> | 6106520 |
| 518800 | Viatris, Inc. <sup>(a)</sup> | 5722364 |
| 117780 | VMware, Inc. – Class A <sup>\* (a)</sup> | 14309092 |
| 148600 | Walgreens Boots Alliance, Inc. <sup>(a)</sup> | 6166900 |
| 64277 | Warner Bros Discovery, Inc. <sup>\* (a)</sup> | 732758 |
| 187207 | Wells Fargo & Co. <sup>(a)</sup> | 8976576 |
| 364700 | Western Union Co. (The) <sup>(a)</sup> | 5346502 |
| 126300 | Western Digital Corp. <sup>\*</sup> | 4641525 |
| 44300 | Westlake Corp. | 4768895 |
| 107060 | Westmoreland Mining Holdings <sup>(c)</sup> | 107060 |
| 34000 | Whirlpool Corp. | 4982020 |
| 99222 | Zogenix, Inc. <sup>\* (c)</sup> | 74416 |
| 65100 | Zoom Video Communications, Inc. – Class A <sup>\* (a)</sup> | 4910493 |
|  | Total United States | 859111070 |
|  | **Vietnam — 0.3%** | **Vietnam — 0.3%** |
| 536900 | Duc Giang Chemicals JSC | 1340482 |
| 2425400 | Hoa Phat Group JSC | 1825153 |
| 735300 | Hoa Sen Group <sup>\*</sup> | 339207 |
| 298700 | IDICO Corp JSC | 437628 |
| 733600 | Nam Kim Steel JSC | 330392 |
| 39600 | PetroVietNam Ca Mau Fertilizer JSC | 47317 |
| 32200 | Petrovietnam Fertilizer & Chemicals JSC | 53904 |
| 70500 | PetroVietnam Technical Services Corp | 60832 |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Vietnam — continued** | **Vietnam — continued** |
| 35000 | Pha Lai Thermal Power JSC | 18934 |
| 1135075 | Saigon – Hanoi Commercial Joint Stock Bank <sup>\*</sup> | 471016 |
| 219800 | Saigon Thuong Tin Commercial JSB <sup>\*</sup> | 180603 |
| 2011600 | SSI Securities Corp | 1591453 |
| 331600 | Vietnam Dairy Products JSC | 1118669 |
| 1329600 | Vietnam Joint Stock Commercial Bank for Industry and Trade | 1484894 |
| 202500 | Vinhomes JSC | 450253 |
| 3875600 | VNDirect Securities Corp | 2170113 |
|  | Total Vietnam | 11920850 |
|  | TOTAL COMMON STOCKS<br>(COST $3,564,392,395) | 3103194856 |
|  | **PREFERRED STOCKS <sup>(g)</sup> — 1.9%** | **PREFERRED STOCKS <sup>(g)</sup> — 1.9%** |
|  | **Brazil — 1.3%** |  |
| 70900 | Banco do Estado do Rio Grande do Sul SA – Class B | 136216 |
| 2145178 | Bradespar SA | 11698679 |
| 833820 | Cia Energetica de Minas Gerais | 1844596 |
| 50 | Cia Energetica de Minas Gerais Sponsored ADR <sup>(a)</sup> | 110 |
| 2488400 | Cia Paranaense de Energia – Class B | 3874526 |
| 189400 | Gerdau SA | 1152236 |
| 331504 | Gerdau SA Sponsored ADR | 2022174 |
| 171700 | Itau Unibanco Holding SA | 860262 |
| 799800 | Itau Unibanco Holding SA Sponsored ADR | 3983004 |
| 2957300 | Petroleo Brasileiro SA | 15192966 |
| 857980 | Petroleo Brasileiro SA Sponsored ADR | 8794295 |
| 5940 | Unipar Carbocloro SA – Class B | 111237 |
|  | Total Brazil | 49670301 |
|  | **Chile — 0.1%** | **Chile — 0.1%** |
| 34984 | Embotelladora Andina SA – Class B | 67441 |
| 23000 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 2280680 |
|  | Total Chile | 2348121 |
|  | **Germany — 0.2%** | **Germany — 0.2%** |
| 52738 | Bayerische Motoren Werke AG | 4576286 |
| 4088 | Draegerwerk AG & Co KGaA <sup>(a)</sup> | 185289 |
| 3461 | Villeroy & Boch AG | 60500 |
| 22038 | Volkswagen AG <sup>(a)</sup> | 3255247 |
|  | Total Germany | 8077322 |
|  | **Russia — 0.0%** | **Russia — 0.0%** |
| 15222 | Bashneft PJSC <sup>(e)</sup> | 12135 |
| 79750 | Nizhnekamskneftekhim PJSC <sup>(e)</sup> | 6433 |
| 49530 | Sberbank of Russia PJSC <sup>\* (e) (f)</sup> | 7424 |
| 20862000 | Surgutneftegas PJSC <sup>(e)</sup> | 593947 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **Shares /**<br> **Par Value†** | **Shares /**<br> **Par Value†** | **Description** | **<br>Value ($)** |
|  | | **Russia — continued** | **Russia — continued** |
|  | 12313 | Tatneft PJSC <sup>(e)</sup> | 4975 |
|  | 337 | Transneft PJSC <sup>(e)</sup> | 34211 |
|  |  | Total Russia | 659125 |
|  |  | **South Korea — 0.3%** | **South Korea — 0.3%** |
|  | 5895 | Hyundai Motor Co GDR (Registered) | 182790 |
|  | 6750 | LG Electronics Inc | 237863 |
|  | 71 | LG H&H Co Ltd | 15047 |
|  | 216689 | Samsung Electronics Co Ltd | 9317985 |
|  | 1358 | Samsung Electronics Co Ltd GDR (Registered) | 1468129 |
|  |  | Total South Korea | 11221814 |
|  |  | **Taiwan — 0.0%** | **Taiwan — 0.0%** |
|  | 68864 | Chailease Holding Co Ltd | 215385 |
|  |  | **United States — 0.0%** | **United States — 0.0%** |
|  | 39 | Gulfport Energy Corp. <sup>(c)</sup> | 217425 |
|  | 2313 | Murray Energy Corp. <sup>(e)</sup> | 1399365 |
|  |  | Total United States | 1616790 |
|  |  | TOTAL PREFERRED STOCKS<br>(COST $85,902,427) | 73808858 |
|  |  | **RIGHTS/WARRANTS — 0.0%** |  |
|  |  | **Australia — 0.0%** |  |
|  | 18570 | Sandfire Resources Ltd. <sup>\* (c)</sup> |  |
|  |  | **Canada — 0.0%** |  |
|  | 222285 | Clementia Pharmaceuticals Inc <sup>\* (c)</sup> | 277856 |
|  |  | **France — 0.0%** |  |
|  | 52004 | ALD SA <sup>\*</sup> | 113101 |
|  |  | **United States — 0.0%** |  |
|  | 408963 | Bristol-Myers Squibb Co. CVR <sup>\* (c)</sup> | 756582 |
|  |  | TOTAL RIGHTS/WARRANTS<br>(COST $1,183,901) | 1147539 |
|  |  | **INVESTMENT FUNDS — 0.4%** |  |
|  |  | **United States — 0.4%** |  |
|  | 4418828 | Altaba, Inc. <sup>(c)</sup> | 16570605 |
|  |  | TOTAL INVESTMENT FUNDS<br>(COST $12,512,701) | 16570605 |
|  |  | **DEBT OBLIGATIONS — 33.2%** |  |
|  |  | **Austria — 0.0%** |  |
|  |  | **Corporate Debt — 0.0%** |  |
|  EUR | 1600000 | ams-OSRAM AG, Reg S, 2.13%, due 11/03/27 | 1138167 |

---

---

| | | | |
|:---|:---|:---|:---|
| **Par Value†** | **Par Value†** | **Description** | **<br>Value ($)** |
|  | | **Canada — 0.1%** | |
|  | | **Corporate Debt — 0.1%** | |
|  | 4539000 | Bombardier Inc, 144A, 7.88%, due 04/15/27 | 4465196 |
|  |  | **China — 0.0%** |  |
|  |  | **Corporate Debt — 0.0%** |  |
|  | 6630000 | Scenery Journey Ltd, Reg S,<br>11.50%, due 10/24/22 <sup>(h)</sup> | 364650 |
|  | 709000 | Scenery Journey Ltd, Reg S,<br>13.00%, due 11/06/22 <sup>(h)</sup> | 38995 |
|  | 2130000 | Scenery Journey Ltd, Reg S,<br>12.00%, due 10/24/23 <sup>(h)</sup> | 117150 |
|  |  | Total China | 520795 |
|  |  | **Israel — 0.1%** |  |
|  |  | **Corporate Debt — 0.1%** |  |
|  | 5496000 | Teva Pharmaceutical Finance Co LLC,<br>6.15%, due 02/01/36 | 4694958 |
|  |  | **Netherlands — 0.0%** |  |
|  |  | **Corporate Debt — 0.0%** |  |
|  EUR | 490150 | Evander Gold Mines Ltd, Variable Rate,<br>10.00%, due 04/19/26 <sup>(e)</sup> <sup>(h)</sup> | 51 |
|  |  | **Ukraine — 0.1%** |  |
|  |  | **Corporate Debt — 0.1%** |  |
|  | 319000 | MHP Lux SA, 144A, 6.95%, due 04/03/26 <sup>(c)</sup> <sup>(h)</sup> | 159500 |
|  | 1740000 | MHP Lux SA, Reg S, 6.25%, due 09/19/29 <sup>(c)</sup> <sup>(h)</sup> | 852600 |
|  | 814000 | MHP SE, Reg S, 7.75%, due 05/10/24 <sup>(c)</sup> <sup>(h)</sup> | 423280 |
|  |  | Total Ukraine | 1435380 |
|  |  | **United Kingdom — 0.1%** |  |
|  |  | **Corporate Debt — 0.1%** |  |
|  GBP | 2447000 | Deuce Finco Plc, Reg. S, 144A, 5.50%, due 06/15/27 | 2347365 |
|  |  | **United States — 32.8%** |  |
|  |  | **Asset-Backed Securities — 0.0%** |  |
|  | 7063382 | Crest G-Star LP, Series 2001-1A, Class D, 144A, 9.00%, due 11/28/35 <sup>(h)</sup> | 7 |
|  |  | **Bank Loans — 0.6%** |  |
|  | 253261 | American Consolidated Natural Resources, Inc., 2020 Exit Term Loan, Variable Rate, 1 mo. LIBOR plus 13.00%, 16.91%, due 09/16/25 <sup>(c)</sup> | 253261 |
|  | 4016250 | American Tire Distributors Holdings, Inc.,<br>10.27%, due 10/20/28 <sup>(c)</sup> | 3654788 |
|  | 640205 | Envision Healthcare Corp., 2018 1st Lien Term Loan, Variable Rate, 2 mo. LIBOR plus<br>3.75%, 3.75%, due 10/10/25 <sup>(c)</sup> | 182459 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **<br>Value ($)** |
| | **Bank Loans — continued** | |
| 843617 | Envision Healthcare Corp., 2022 Third Out Term Loan, Variable Rate, 3mo. SOFR plus 4.25%,<br>7.88%, due 03/31/27 <sup>(c)</sup> | 189814 |
| 344808 | Envision Healthcare Corp., 2022 Second Out Term Loan, Variable Rate, 1mo. SOFR plus 4.25%, 8.38%, due 03/31/27 <sup>(c)</sup> | 115511 |
| 2429173 | Frontier Communications Corp., 2021 1st Lien Term Loan, Variable Rate, 3 mo. LIBOR plus 3.75%,<br>7.44%, due 05/01/28 <sup>(c)</sup> | 2307714 |
| 9725219 | Gibson Brands, Inc., 2021 Term Loan, Variable Rate, 1 mo. LIBOR plus 5.00%, 9.13%, due 08/11/28 <sup>(c)</sup> | 7585671 |
| 2165542 | Peloton Interactive, Inc, Term Loan, Variable Rate, 8.35%, due 05/25/27 <sup>(c)</sup> | 2097868 |
| 4892368 | SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, Variable Rate, 1 mo. LIBOR plus 3.00%, 7.13%, due 08/25/28 <sup>(c)</sup> | 4786350 |
| 1260370 | TGP Holdings III LLC, 2021 Term Loan, Variable Rate, 1 mo. LIBOR plus 3.25%, 7.00%, due 06/29/28 <sup>(c)</sup> | 1009090 |
| 166188 | TGP Holdings III LLC, 2021 Delayed Draw Term Loan, Variable Rate, 7.62%, due 06/29/28 <sup>(c)</sup> | 133055 |
|  | Total Bank Loans | 22315581 |
|  | **Corporate Debt — 3.0%** |  |
| 4136037 | Alaska Airlines Pass-Through Trust – Class B, 144A, 8.00%, due 02/15/27 | 4129308 |
| 1589123 | American Airlines Pass-Through Trust – Class B, 3.70%, due 11/01/24 | 1558492 |
| 4652703 | American Airlines Pass-Through Trust – Class B, 4.40%, due 03/22/25 | 4535890 |
| 2122731 | American Airlines Pass-Through Trust – Class B, 5.25%, due 07/15/25 | 2061681 |
| 5212736 | American Airlines Pass-Through Trust – Class B, 4.95%, due 08/15/26 | 4881125 |
| 3226531 | American Airlines Pass-Through Trust – Class B, 3.70%, due 04/15/27 | 2915210 |
| 2499205 | American Airlines Pass-Through Trust – Class B, 3.75%, due 04/15/27 | 2179781 |
| 2447721 | American Airlines Pass-Through Trust – Class B, 3.85%, due 08/15/29 | 2048967 |
| 1759925 | American Airlines Pass-Through Trust – Class B, 144A, 4.38%, due 12/15/25 | 1636142 |
| 1140000 | Antero Midstream Partners LP / Antero Midstream Finance Corp., 144A, 5.75%, due 01/15/28 | 1077300 |
| 1188000 | Bath & Body Works, Inc., 6.88%, due 11/01/35 | 1075140 |
| 1413000 | Boeing Co. (The), 5.93%, due 05/01/60 | 1311465 |
| 4765000 | CEC Entertainment LLC, 144A, 6.75%, due 05/01/26 | 4457229 |

---

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **<br>Value ($)** |
| | **Corporate Debt — continued** | |
| 7850000 | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op,<br>6.50%, due 10/01/28 | 7536000 |
| 768000 | Cumulus Media New Holdings, Inc., 144A,<br>6.75%, due 07/01/26 | 643546 |
| 4856000 | Dave & Buster's, Inc., 144A, 7.63%, due 11/01/25 | 4879871 |
| 2010000 | EnLink Midstream Partners LP, 5.60%, due 04/01/44 | 1668300 |
| 1818000 | EnLink Midstream Partners LP, 5.05%, due 04/01/45 | 1380862 |
| 1565000 | EnLink Midstream Partners LP, 5.45%, due 06/01/47 | 1267650 |
| 1400000 | Esc Cb Gulfport Energy, 6.38%, due 01/15/26 <sup>(e)</sup> <sup>(h)</sup> | 140 |
| 1340000 | Ford Motor Credit Co. LLC, 5.58%, due 03/18/24 | 1324925 |
| 290000 | Ford Motor Credit Co. LLC, 4.27%, due 01/09/27 | 268334 |
| 890000 | Ford Motor Credit Co. LLC, 5.11%, due 05/03/29 | 829738 |
| 330563 | Frontier Communications Holdings LLC,<br>5.88%, due 11/01/29 | 263857 |
| 11423000 | Frontier Communications Holdings LLC, 144A, 6.00%, due 01/15/30 | 9347212 |
| 860000 | Goldman Sachs Group, Inc. (The), Variable Rate, 5 year CMT + 3.22%, 4.95%, due 02/10/25 | 777992 |
| 1877000 | GPS Hospitality Holding Co. LLC / GPS Finco, Inc., 144A, 7.00%, due 08/15/28 | 1284750 |
| 18156 | Gulfport Energy Corp., 8.00%, due 05/17/26 | 18097 |
| 432458 | JetBlue Pass-Through Trust, Series 1B – Class B, 7.75%, due 05/15/30 | 418972 |
| 2534100 | JPMorgan Chase & Co., Variable Rate, SOFR + 2.75%, 4.00%, due 04/01/25 | 2105406 |
| 2615000 | Marriott Ownership Resorts, Inc.,<br>4.75%, due 01/15/28 | 2293959 |
| 5071000 | NCL Finance Ltd., 144A, 6.13%, due 03/15/28 | 3908106 |
| 1540000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 144A, 4.63%, due 03/15/30 | 1289050 |
| 1454000 | Owens & Minor, Inc., 4.38%, due 12/15/24 | 1388359 |
| 4931000 | Park Intermediate Holdings LLC / PK Domestic Property LLC/PK Finance Co-Issuer, 144A,<br>5.88%, due 10/01/28 | 4566451 |
| 1733000 | Redfin Corp., 0.00, due 10/15/25 | 1031135 |
| 6282000 | Rithm Capital Corp., 144A, 6.25%, due 10/15/25 | 5671697 |
| 1076000 | ROCC Holdings LLC, 144A, 9.25%, due 08/15/26 | 1076522 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value†** | **Description** | **<br>Value ($)** |
| | **Corporate Debt — continued** | |
| 3851000 | Royal Caribbean Cruises Ltd., 7.50%, due 10/15/27 | 3385596 |
| 1953000 | Royal Caribbean Cruises Ltd., 144A, |  |
|  | 5.50%, due 08/31/26 | 1694228 |
| 3254000 | Royal Caribbean Cruises Ltd., 144A, |  |
|  | 5.50%, due 04/01/28 | 2656078 |
| 2967000 | SeaWorld Parks & Entertainment, Inc., |  |
|  | 144A, 8.75%, due 05/01/25 | 3033672 |
| 3495000 | Tempur Sealy International, Inc., 144A, |  |
|  | 3.88%, due 10/15/31 | 2713203 |
| 1878000 | Townsquare Media, Inc., 144A, 6.88%, due 02/01/26 | 1742236 |
| 2230000 | Triumph Group, Inc., 144A, 8.88%, due 06/01/24 | 2280175 |
| 1846000 | United Wholesale Mortgage LLC, 144A,<br>5.75%, due 06/15/27 | 1633710 |
| 1680000 | Wayfair, Inc., 0.63%, due 10/01/25 | 1071000 |
| 3921000 | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp., 144A, 5.13%, due 10/01/29 | 3407772 |
| 2278000 | XHR LP, 144A, 4.88%, due 06/01/29 | 1947075 |
|  | Total Corporate Debt | 114673406 |
|  | **U.S. Government — 29.2%** |  |
| 298000000 | U.S. Treasury Note, 0.13%, due 02/28/23 | 294877460 |
| 247300000 | U.S. Treasury Note, 0.13%, due 04/30/23 <sup>(a)</sup> <sup>(i)</sup> | 242692106 |
| 205000000 | U.S. Treasury Note, 0.13%, due 06/30/23 <sup>(a)</sup> | 199562695 |
| 100000000 | U.S. Treasury Note, 0.13%, due 07/31/23 | 96988281 |
| 70000000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 10/31/23 | 70052603 |
| 175000000 | U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24 | 174692898 |
| 52105000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 <sup>(a)</sup> | 52038577 |
|  | Total U.S. Government | 1130904620 |
|  | Total United States | 1267893614 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $1,311,486,159) | 1282495526 |

---

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **<br>Value ($)** |
|  | **MUTUAL FUNDS — 0.4%** |  |
| | **United States — 0.4%** | |
| | **Affiliated Issuers — 0.4%** | |
| 2585945 | GMO U.S. Treasury Fund | 12878006 |
|  | TOTAL MUTUAL FUNDS<br>(COST $12,981,989) | 12878006 |
|  | **SHORT-TERM INVESTMENTS — 4.8%** | **SHORT-TERM INVESTMENTS — 4.8%** |
|  | **Money Market Funds — 0.2%** |  |
| 7591756 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(j)</sup> | 7591756 |
| 872228 | State Street U.S. Treasury Liquidity Fund – Class D, 3.69% <sup>(i)</sup> | 872228 |
|  | Total Money Market Funds | 8463984 |
|  | **Repurchase Agreements — 4.1%** |  |
| 159910888 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $159,927,767 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 04/30/29 and a market value of $163,174,375. | 159910888 |
|  | **U.S. Government — 0.5%** |  |
| 18500000 | U.S. Treasury Bill, 4.61%, due 05/18/23 <sup>(a)</sup> <sup>(i) (k)</sup> | 18113399 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $186,681,382) | 186488271 |

---

**PURCHASED OPTIONS – 0.0%** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Notional<br>Amount** | **Value ($)** |
|  **Equity Options – Puts – 0.0%** |  |  |  |  |  |  |
|  Continental Resources, Inc. | 70.00 | 12/16/22 | 1237 | USD | 9187817 | 6185 |
|  | TOTAL PURCHASED OPTIONS<br>(COST $42,837) | TOTAL PURCHASED OPTIONS<br>(COST $42,837) | TOTAL PURCHASED OPTIONS<br>(COST $42,837) | TOTAL PURCHASED OPTIONS<br>(COST $42,837) | TOTAL PURCHASED OPTIONS<br>(COST $42,837) | 6185 |
|  | **TOTAL INVESTMENTS — 120.9**%<br> (Cost $5,175,183,791) | **TOTAL INVESTMENTS — 120.9**%<br> (Cost $5,175,183,791) | **TOTAL INVESTMENTS — 120.9**%<br> (Cost $5,175,183,791) | **TOTAL INVESTMENTS — 120.9**%<br> (Cost $5,175,183,791) | **TOTAL INVESTMENTS — 120.9**%<br> (Cost $5,175,183,791) | **4676589846** |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Shares** | **Description** | **<br>Value ($)** |
|  |  | **SECURITIES SOLD SHORT — (23.6)%** | **SECURITIES SOLD SHORT — (23.6)%** |
|  | | **Common Stocks — (23.4)%** | **Common Stocks — (23.4)%** |
|  | | **Australia — (0.5)%** | |
|  | (105394) | ASX Ltd | (5080393) |
|  | (22249) | Cochlear Ltd | (3272348) |
|  | (16433) | Domino's Pizza Enterprises Ltd | (752623) |
|  | (130199) | IDP Education Ltd | (2680590) |
|  | (1328108) | Qantas Airways Ltd <sup>\*</sup> | (5703733) |
|  | (48635) | Ramsay Health Care Ltd | (2188814) |
|  ' |  | Total Australia | (19678501) |
|  |  | **Austria — (0.2)%** |  |
|  | (66714) | Verbund AG | (6039191) |
|  |  | **Belgium — (0.2)%** |  |
|  | (105684) | Anheuser-Busch InBev SA/NV | (6232754) |
|  |  | **Canada — (1.3)%** |  |
|  | (83500) | Agnico Eagle Mines Ltd | (4205895) |
|  | (333500) | Algonquin Power & Utilities Corp | (2517925) |
|  | (254400) | AltaGas Ltd | (4268526) |
|  | (49800) | BCE Inc | (2372472) |
|  | (140500) | Brookfield Renewable Corp – Class A | (4581705) |
|  | (145100) | Enbridge Inc | (5991179) |
|  | (41700) | Franco-Nevada Corp | (6093204) |
|  | (325800) | Pan American Silver Corp | (5339862) |
|  | (179400) | Pembina Pipeline Corp | (6544512) |
|  | (105800) | Restaurant Brands International Inc | (7019830) |
|  | (43400) | Ritchie Bros Auctioneers Inc | (2380490) |
|  |  | Total Canada | (51315600) |
|  |  | **Denmark — (0.1)%** |  |
|  | (5540) | Coloplast A/S – Class B | (654921) |
|  | (93412) | Tryg A/S | (2173333) |
|  |  | Total Denmark | (2828254) |
|  |  | **Finland — (0.0)%** |  |
|  | (23688) | Elisa Oyj | (1232184) |
|  |  | **France — (0.8)%** |  |
|  | (190790) | Accor SA <sup>\*</sup> | (5025441) |
|  | (35215) | Aeroports de Paris <sup>\*</sup> | (5427954) |
|  | (9184) | Euronext NV | (702563) |
|  | (359213) | Getlink SE | (5936135) |
|  | (4488) | Hermes International | (7294247) |
|  | (5580) | Sartorius Stedim Biotech | (1904472) |
|  | (21144) | Ubisoft Entertainment SA <sup>\*</sup> | (588188) |
|  | (24439) | Wendel SE | (2275609) |
|  |  | Total France | (29154609) |
|  |  | **Germany — (0.9)%** |  |
|  | (143565) | Delivery Hero SE <sup>\*</sup> | (6284224) |
|  | (29524) | Deutsche Boerse AG | (5425757) |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Germany — continued** | |
| (12678) | MTU Aero Engines AG | (2673322) |
| (4016) | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | (1268479) |
| (41837) | Puma SE | (2165218) |
| (9179) | QIAGEN NV <sup>\*</sup> | (458263) |
| (4733) | Rational AG | (2973763) |
| (10342) | Scout24 SE | (567653) |
| (51983) | Symrise AG – Class A | (5961864) |
| (1783821) | Telefonica Deutschland Holding AG | (4266453) |
| (27297) | Zalando SE <sup>\*</sup> | (858567) |
|  | Total Germany | (32903563) |
|  | **Ireland — (0.0)%** |  |
| (5899) | Flutter Entertainment Plc <sup>\*</sup> | (878346) |
|  | **Israel — (0.2)%** |  |
| (40600) | CyberArk Software Ltd <sup>\*</sup> | (6052242) |
| (18400) | Wix.com Ltd <sup>\*</sup> | (1665016) |
|  | Total Israel | (7717258) |
|  | **Italy — (0.6)%** |  |
| (163918) | Amplifon SPA | (4643323) |
| (26849) | Ferrari NV <sup>(d)</sup> | (5992748) |
| (9400) | Ferrari NV <sup>(d)</sup> | (2096670) |
| (441398) | FinecoBank Banca Fineco SPA | (7169056) |
| (503761) | Infrastrutture Wireless Italiane SPA | (5024395) |
|  | Total Italy | (24926192) |
|  | **Japan — (2.4)%** |  |
| (184300) | Aeon Co Ltd | (3803529) |
| (269600) | ANA Holdings Inc <sup>\*</sup> | (5804980) |
| (212900) | Asahi Intecc Co Ltd | (3811088) |
| (1500) | Fast Retailing Co Ltd | (891959) |
| (58700) | GMO Payment Gateway Inc | (5314652) |
| (285900) | Japan Airlines Co Ltd <sup>\*</sup> | (5714900) |
| (141800) | Japan Exchange Group Inc | (2053145) |
| (95600) | Keio Corp | (3581433) |
| (53300) | Keisei Electric Railway Co Ltd | (1526962) |
| (25400) | Kintetsu Group Holdings Co Ltd | (907826) |
| (33600) | Lasertec Corp | (6333665) |
| (192600) | M3 Inc | (6040470) |
| (372700) | MonotaRO Co Ltd | (6447811) |
| (64100) | Nidec Corp | (4036541) |
| (277000) | Nihon M&A Center Holdings Inc | (3792316) |
| (420800) | Nippon Paint Holdings Co Ltd | (3484959) |
| (26300) | Nissin Foods Holdings Co Ltd | (2004191) |
| (254500) | Odakyu Electric Railway Co Ltd | (3359503) |
| (39900) | Oriental Land Co Ltd | (5767565) |
| (1042200) | Rakuten Group Inc | (5007322) |
| (62200) | Shiseido Co Ltd | (2656558) |
| (107800) | Tobu Railway Co Ltd | (2602448) |
| (255200) | Tokyu Corp | (3259187) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **Japan — continued** | |
| (123400) | West Japan Railway Co | (5256800) |
|  | Total Japan | (93459810) |
|  | **Netherlands — (0.6)%** |  |
| (3939) | Adyen NV <sup>\*</sup> | (6205180) |
| (34563) | IMCD NV | (5112014) |
| (173206) | Just Eat Takeaway.com NV <sup>\*</sup> | (4012869) |
| (14645) | OCI NV | (619981) |
| (281603) | Universal Music Group NV | (6696735) |
|  | Total Netherlands | (22646779) |
|  | **New Zealand — (0.1)%** |  |
| (101715) | Xero Ltd <sup>\*</sup> | (5054754) |
|  | **Norway — (0.1)%** |  |
| (161515) | Aker BP ASA | (5619148) |
|  | **Peru — (0.2)%** |  |
| (111055) | Southern Copper Corp | (6776576) |
|  | **Singapore — (0.2)%** |  |
| (463500) | Grab Holdings Ltd – Class A <sup>\*</sup> | (1399770) |
| (567700) | Singapore Airlines Ltd | (2303194) |
| (554800) | Singapore Exchange Ltd | (3713496) |
|  | Total Singapore | (7416460) |
|  | **Spain — (0.3)%** |  |
| (156192) | Cellnex Telecom SA <sup>\*</sup> | (5371211) |
| (259866) | Ferrovial SA | (6988395) |
|  | Total Spain | (12359606) |
|  | **Sweden — (0.2)%** |  |
| (65221) | Evolution AB | (6718021) |
|  | **Switzerland — (0.3)%** |  |
| (9) | Chocoladefabriken Lindt & Spruengli AG (Registered) | (926899) |
| (5192) | Partners Group Holding AG | (5173150) |
| (7423) | Sika AG (Registered) | (1897026) |
| (38962) | Straumann Holding AG (Registered) | (4547309) |
|  | Total Switzerland | (12544384) |
|  | **United Kingdom — (1.1)%** |  |
| (62276) | Admiral Group Plc | (1522522) |
| (713591) | Auto Trader Group Plc | (4926138) |
| (1633) | Croda International Plc | (135041) |
| (62577) | Halma Plc | (1659937) |
| (381249) | Hargreaves Lansdown Plc | (3928193) |
| (953698) | Informa Plc | (7152064) |
| (68522) | InterContinental Hotels Group Plc | (3988198) |
| (70748) | London Stock Exchange Group Plc | (7084383) |
| (562807) | Ocado Group Plc <sup>\*</sup> | (4260866) |
| (6077018) | Rolls-Royce Holdings Plc <sup>\*</sup> | (6733630) |

---

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United Kingdom — continued** | |
| (16397) | Spirax-Sarco Engineering Plc | (2239361) |
|  | Total United Kingdom | (43630333) |
|  | **United States — (13.1)%** |  |
| (246100) | AES Corp. (The) | (7117212) |
| (31900) | Alnylam Pharmaceuticals, Inc. <sup>\*</sup> | (7036821) |
| (108700) | Altria Group, Inc. | (5063246) |
| (13700) | American Tower Corp. (REIT) | (3031125) |
| (4700) | Amgen, Inc. | (1346080) |
| (18100) | Aon Plc – Class A | (5579868) |
| (145300) | Aramark | (6044480) |
| (34300) | Arthur J Gallagher & Co. | (6829473) |
| (22600) | Autodesk, Inc. <sup>\*</sup> | (4564070) |
| (10700) | Automatic Data Processing, Inc. | (2826298) |
| (12369) | Beacon Roofing Supply, Inc. <sup>\*</sup> | (722226) |
| (45600) | Bill.Com Holdings, Inc. <sup>\*</sup> | (5491152) |
| (24100) | BioMarin Pharmaceutical, Inc. <sup>\*</sup> | (2433618) |
| (59600) | Bio-Techne Corp. | (5065404) |
| (39200) | Boeing Co. (The) <sup>\*</sup> | (7012096) |
| (26502) | Broadcom, Inc. | (14603397) |
| (39900) | Burlington Stores, Inc. <sup>\*</sup> | (7807632) |
| (131400) | Caesars Entertainment, Inc. <sup>\*</sup> | (6676434) |
| (97100) | Ceridian HCM Holding, Inc. <sup>\*</sup> | (6645524) |
| (50469) | Charter Communications, Inc. – Class A <sup>\*</sup> | (19748015) |
| (4200) | Chipotle Mexican Grill, Inc. – Class A <sup>\*</sup> | (6833232) |
| (112100) | Cloudflare, Inc. – Class A <sup>\*</sup> | (5508594) |
| (22800) | CME Group, Inc. | (4024200) |
| (237598) | Columbia Banking System, Inc. | (8092588) |
| (107000) | Coupa Software, Inc. <sup>\*</sup> | (6766680) |
| (19400) | Crown Castle, Inc. (REIT) | (2743742) |
| (161200) | Delta Air Lines, Inc. <sup>\*</sup> | (5701644) |
| (56600) | Dexcom, Inc. <sup>\*</sup> | (6581448) |
| (40500) | Diamondback Energy, Inc. | (5994810) |
| (68700) | Dominion Energy, Inc. | (4198257) |
| (43800) | Equity LifeStyle Properties, Inc. (REIT) | (2909196) |
| (1200) | Erie Indemnity Co. – Class A | (338868) |
| (54400) | Essential Utilities, Inc. | (2624256) |
| (142500) | Exact Sciences Corp. <sup>\*</sup> | (6405375) |
| (103000) | Fastenal Co. | (5305530) |
| (104800) | Fortinet, Inc. <sup>\*</sup> | (5571168) |
| (50866) | Frontier Communications Parent, Inc. <sup>\*</sup> | (1310817) |
| (17700) | Gartner, Inc. <sup>\*</sup> | (6201549) |
| (85300) | Guidewire Software, Inc. <sup>\*</sup> | (5059143) |
| (29158) | HEICO Corp. | (4732635) |
| (29700) | Hess Corp. | (4274127) |
| (17800) | HubSpot, Inc. <sup>\*</sup> | (5393934) |
| (15100) | IDEXX Laboratories, Inc. <sup>\*</sup> | (6430637) |
| (92100) | Ingersoll Rand, Inc. | (4970637) |
| (22000) | Insulet Corp. <sup>\*</sup> | (6586140) |
| (23541) | Intercontinental Exchange, Inc. | (2549726) |
| (29500) | IQVIA Holdings, Inc. <sup>\*</sup> | (6431590) |
| (63300) | Iron Mountain, Inc. (REIT) | (3439089) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **<br>Value ($)** |
| | **United States — continued** | |
| (484975) | Liberty Global Plc – Class C <sup>\*</sup> | (10029283) |
| (146233) | Liberty Media Corp.-Liberty Formula One – Class C <sup>\*</sup> | (8911439) |
| (19300) | Linde Plc <sup>\*</sup> | (6494064) |
| (63500) | Live Nation Entertainment, Inc. <sup>\*</sup> | (4620260) |
| (1000) | LPL Financial Holdings, Inc. | (236710) |
| (20800) | MarketAxess Holdings, Inc. | (5572736) |
| (12800) | Marriott International, Inc. – Class A | (2116480) |
| (30400) | Marsh & McLennan Cos., Inc. | (5264672) |
| (43398) | MaxLinear, Inc. <sup>\*</sup> | (1588367) |
| (10700) | McDonald's Corp. | (2918853) |
| (7600) | McKesson Corp. | (2900768) |
| (31700) | MongoDB, Inc. – Class A <sup>\*</sup> | (4840273) |
| (9800) | Monolithic Power Systems, Inc. | (3743208) |
| (10600) | Moody's Corp. | (3161662) |
| (2800) | Motorola Solutions, Inc. | (762160) |
| (12800) | MSCI, Inc. – Class A | (6500224) |
| (463975) | New York Community Bancorp, Inc. | (4338166) |
| (83000) | Newmont Corp. | (3940010) |
| (186800) | NiSource, Inc. | (5219192) |
| (83000) | Novocure Ltd. <sup>\*</sup> | (6377720) |
| (101600) | Okta, Inc. <sup>\*</sup> | (5417312) |
| (86000) | ONEOK, Inc. | (5755120) |
| (536400) | Palantir Technologies, Inc. – Class A <sup>\*</sup> | (4023000) |
| (45800) | Paychex, Inc. | (5680574) |
| (60700) | Philip Morris International, Inc. | (6049969) |
| (19900) | PTC, Inc. <sup>\*</sup> | (2531479) |
| (3500) | Public Storage (REIT) | (1042860) |
| (134400) | ROBLOX Corp. – Class A <sup>\*</sup> | (4269888) |
| (89200) | Roku, Inc. <sup>\*</sup> | (5295804) |
| (152750) | Rollins, Inc. | (6177210) |
| (115100) | Royal Caribbean Cruises Ltd. <sup>\*</sup> | (6897943) |
| (3600) | RPM International, Inc. | (373032) |
| (10300) | S&P Global, Inc. | (3633840) |
| (39500) | Seagen, Inc. <sup>\*</sup> | (4794905) |
| (13200) | ServiceNow, Inc. <sup>\*</sup> | (5495160) |
| (23100) | Sherwin-Williams Co. (The) | (5756058) |
| (25700) | Simon Property Group, Inc. (REIT) | (3069608) |
| (106700) | Snap, Inc. – Class A <sup>\*</sup> | (1100077) |
| (31100) | Snowflake, Inc. – Class A <sup>\*</sup> | (4444190) |
| (63900) | Starbucks Corp. | (6530580) |
| (60800) | Sysco Corp. | (5259808) |
| (185800) | Teladoc Health, Inc. <sup>\*</sup> | (5297158) |
| (27000) | Tesla, Inc. <sup>\*</sup> | (5256900) |
| (9300) | T-Mobile U.S., Inc. <sup>\*</sup> | (1408578) |
| (100900) | Trade Desk, Inc. (The) – Class A <sup>\*</sup> | (5260926) |
| (8600) | TransDigm Group, Inc. | (5405100) |
| (107200) | Twilio, Inc. – Class A <sup>\*</sup> | (5254944) |
| (193900) | Uber Technologies, Inc. <sup>\*</sup> | (5650246) |
| (63700) | UDR, Inc. (REIT) | (2641639) |
| (22800) | Vail Resorts, Inc. | (5871912) |
| (11800) | Vulcan Materials Co. | (2163294) |

---

---

| | | |
|:---|:---|:---|
| **Shares /<br>Par Value†** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (208100) | Williams Cos., Inc. (The) | (7221070) |
| (67749) | Zillow Group, Inc. – Class C <sup>\*</sup> | (2573107) |
| (200) | Zoetis, Inc. | (30828) |
| (38100) | Zscaler, Inc. <sup>\*</sup> | (5084445) |
|  | Total United States | (504878594) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $1,009,657,639) | (904010917) |
|  | **PREFERRED STOCKS <sup>(g)</sup> — (0.1)%** | **PREFERRED STOCKS <sup>(g)</sup> — (0.1)%** |
|  | **Germany — (0.1)%** | **Germany — (0.1)%** |
| (13594) | Sartorius AG | (5110756) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $5,519,138) | (5110756) |
|  | **DEBT OBLIGATIONS — (0.1)%** | **DEBT OBLIGATIONS — (0.1)%** |
|  | **China — (0.1)%** | **China — (0.1)%** |
|  | **Corporate Debt — (0.1)%** |  |
| (3610000) | Huarong Finance Co Ltd, 3.75%, due 05/29/24 | (3401098) |
| (1390000) | Huarong Finance II Co Ltd, 5.50%, due 01/16/25 | (1312973) |
|  | Total China | (4714071) |
|  | TOTAL DEBT OBLIGATIONS<br>(PROCEEDS $4,710,100) | (4714071) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $1,019,886,877) | **(913835744)** |
|  | Other Assets and Liabilities (net) —2.7% | 105577767 |
|  | **TOTAL NET ASSETS — 100.0%** | **$3868331869** |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

Additional information on each restricted security is as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Issuer Description** | **Acquisition Date** | **Acquisition<br>Cost** | **Value as a<br>Percentage<br>of Fund's<br>Net Assets** | **Value as of<br>November 30,<br>2022** |
| Alrosa PJSC | 12/06/17 | $15372968 | 0.0% | $761137 |
| Magnitogorsk Iron & Steel Works PJSC | 06/16/21 | 4815566 | 0.0% | 206448 |
| PhosAgro PJSC GDR | 10/15/21 | 2792 | 0.0% | 291 |
| Sberbank of Russia PJSC | 09/09/20 | 29636901 | 0.0% | 1255014 |
| Sberbank of Russia PJSC | 01/10/22 | 183324 | 0.0% | 7424 |
| Severstal PAO | 02/02/21 | 126125 | 0.0% | 6681 |
| Severstal PJSC GDR (Registered) | 10/23/17 | 5003828 | 0.0% | 236777 |
| VTB Bank PJSC | 01/09/20 | 587690 | 0.0% | 14522 |
|  |  |  |  | $2488294 |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 01/17/2023 | DB | CAD | 4445328 | USD | 3310413 | 3205 |
| 02/16/2023 | JPM | CHF | 24792875 | USD | 26464453 | 17381 |
| 01/31/2023 | BCLY | CHF | 32058675 | USD | 34142384 | 7797 |
| 01/18/2023 | JPM | CZK | 181911617 | USD | 7772008 | 13706 |
| 01/18/2023 | MSCI | EUR | 1004700 | USD | 1051480 | 1940 |
| 01/31/2023 | SSB | EUR | 30650000 | USD | 32119055 | 72378 |
| 02/08/2023 | MSCI | SEK | 128000000 | USD | 12312842 | 67117 |
| 02/09/2023 | JPM | USD | 11016665 | AUD | 16380000 | 133664 |
| 01/23/2023 | UBSA | USD | 2366758 | AUD | 3502209 | 15626 |
| 01/23/2023 | DB | USD | 36062 | AUD | 53569 | 378 |
| 12/02/2022 | MSCI | USD | 14666785 | BRL | 78653512 | 489933 |
| 12/02/2022 | GS | USD | 1116546 | BRL | 5900000 | 20398 |
| 02/02/2023 | MSCI | USD | 7085918 | BRL | 38626756 | 269528 |
| 12/02/2022 | CITI | USD | 1378893 | BRL | 7300000 | 27834 |
| 02/02/2023 | MSCI | USD | 30491272 | CAD | 41503042 | 391667 |
| 02/02/2023 | BCLY | USD | 10762538 | CAD | 14510000 | 34536 |
| 02/07/2023 | BOA | USD | 3565068 | CAD | 4820068 | 21904 |
| 01/17/2023 | MSCI | USD | 1538602 | CAD | 2083474 | 11449 |
| 01/12/2023 | MSCI | USD | 2219726 | CLP | 2090000000 | 111934 |
| 01/31/2023 | MSCI | USD | 18075788 | EUR | 17304442 | 17193 |
| 01/31/2023 | DB | USD | 2237404 | EUR | 2147078 | 7513 |
| 02/21/2023 | MSCI | USD | 4101540 | GBP | 3470000 | 90979 |
| 02/16/2023 | MSCI | USD | 1392153 | HUF | 564351113 | 13287 |
| 02/16/2023 | CITI | USD | 996693 | HUF | 405000000 | 11905 |
| 02/03/2023 | JPM | USD | 7511275 | IDR | 117927015400 | 15322 |
| 12/12/2022 | MSCI | USD | 32443614 | JPY | 4677956547 | 1472678 |
| 01/17/2023 | MSCI | USD | 28893620 | JPY | 4199470971 | 1703682 |
| 12/12/2022 | BCLY | USD | 1473392 | JPY | 218296089 | 109307 |
| 12/12/2022 | JPM | USD | 1896902 | JPY | 279557500 | 129956 |
| 01/17/2023 | BCLY | USD | 16296851 | JPY | 2353713488 | 852281 |
| 01/17/2023 | DB | USD | 120174 | JPY | 16694721 | 1463 |
| 01/24/2023 | MSCI | USD | 7304391 | MXN | 149181232 | 356563 |
| 01/18/2023 | MSCI | USD | 31300334 | NOK | 328522042 | 2116107 |
| 01/24/2023 | MSCI | USD | 320954 | NZD | 522768 | 8713 |
| 01/12/2023 | MSCI | USD | 2769490 | PEN | 11120000 | 119565 |
| 12/02/2022 | CITI | USD | 1330398 | PHP | 76000000 | 13308 |
| 12/02/2022 | JPM | USD | 897385 | PHP | 51500000 | 13153 |
| 12/05/2022 | SSB | USD | 147340 | PHP | 8329112 | 131 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 02/21/2023 | BCLY | USD | 677589 | PLN | 3150000 | 15181 |
| 02/08/2023 | MSCI | USD | 11863506 | SEK | 129427296 | 518767 |
| 02/08/2023 | BCLY | USD | 3909820 | SEK | 41500000 | 60474 |
| 02/21/2023 | GS | USD | 663076 | SGD | 910000 | 6226 |
| 02/21/2023 | MSCI | USD | 679740 | THB | 24000000 | 6587 |
| 02/06/2023 | CITI | USD | 789720 | TWD | 24000000 | 3639 |
| 01/23/2023 | BCLY | AUD | 2105236 | USD | 1421217 | (10873) |
| 01/23/2023 | DB | AUD | 1386682 | USD | 919608 | (23685) |
| 12/02/2022 | CITI | BRL | 7300000 | USD | 1344150 | (62577) |
| 12/02/2022 | MSCI | BRL | 78653512 | USD | 14734995 | (421723) |
| 12/02/2022 | GS | BRL | 5900000 | USD | 1114448 | (22496) |
| 02/07/2023 | MSCI | CAD | 23890992 | USD | 17680359 | (98716) |
| 02/16/2023 | JPM | CHF | 6550000 | USD | 6948386 | (38635) |
| 01/31/2023 | SSB | CHF | 931543 | USD | 990351 | (1513) |
| 01/31/2023 | MSCI | CHF | 1204898 | USD | 1274512 | (8408) |
| 01/12/2023 | MSCI | CLP | 1700274000 | USD | 1758025 | (138845) |
| 01/18/2023 | MSCI | EUR | 100200 | USD | 103783 | (889) |
| 02/21/2023 | BBH | GBP | 1083800 | USD | 1287597 | (21871) |
| 01/23/2023 | BCLY | GBP | 1258745 | USD | 1501614 | (18179) |
| 02/21/2023 | MSCI | GBP | 927800 | USD | 1101453 | (19532) |
| 02/21/2023 | BCLY | GBP | 3470000 | USD | 4152052 | (40466) |
| 02/03/2023 | MSCI | IDR | 12200000000 | USD | 773616 | (5039) |
| 02/28/2023 | JPM | ILS | 10187392 | USD | 2975724 | (26699) |
| 02/23/2023 | MSCI | INR | 572193440 | USD | 6952195 | (46685) |
| 12/12/2022 | MSCI | JPY | 86404203 | USD | 596633 | (29818) |
| 12/12/2022 | DB | JPY | 89994982 | USD | 619491 | (32994) |
| 12/12/2022 | BCLY | JPY | 650415524 | USD | 4384096 | (331570) |
| 01/17/2023 | DB | JPY | 239447229 | USD | 1706422 | (38188) |
| 02/03/2023 | JPM | KRW | 8180418559 | USD | 5740121 | (539155) |
| 01/24/2023 | BCLY | NZD | 1575763 | USD | 969882 | (23823) |
| 02/28/2023 | MSCI | NZD | 26330000 | USD | 16375154 | (238295) |
| 01/24/2023 | MSCI | NZD | 1023490 | USD | 638007 | (7425) |
| 01/24/2023 | DB | NZD | 1069948 | USD | 667068 | (7661) |
| 01/12/2023 | MSCI | PEN | 4280000 | USD | 1063090 | (48884) |
| 12/02/2022 | JPM | PHP | 240626450 | USD | 4145516 | (108842) |
| 02/01/2023 | BCLY | PHP | 113126450 | USD | 1997289 | (5597) |
| 02/21/2023 | MSCI | PLN | 9383099 | USD | 2023746 | (39852) |
| 02/27/2023 | BCLY | RON | 30673094 | USD | 6378519 | (61993) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Forward Currency Contracts — continued** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 01/27/2023 | BOA | SEK | 15077216 | USD | 1383359 | (58023) |
| 02/08/2023 | BCLY | SEK | 54000000 | USD | 5138819 | (27346) |
| 02/21/2023 | MSCI | SGD | 5556457 | USD | 4033989 | (52770) |
| 02/21/2023 | BCLY | THB | 219598956 | USD | 6196359 | (83504) |
| 02/06/2023 | BCLY | TWD | 250515523 | USD | 7827143 | (454050) |
| 02/02/2023 | JPM | USD | 6828305 | CAD | 9160000 | (12233) |
| 01/17/2023 | DB | USD | 829309 | CAD | 1112273 | (1807) |
| 02/07/2023 | BOA | USD | 2086004 | CAD | 2802479 | (470) |
| 01/12/2023 | MSCI | USD | 8305821 | COP | 38921529900 | (299220) |
| 02/16/2023 | BOA | USD | 603031 | HUF | 240000000 | (5343) |
| 01/27/2023 | BOA | USD | 1450761 | SEK | 15077216 | (9379) |
|  |  |  |  |  |  | $5851282 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number**<br>**of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Buys |  |  |  |  |
| 436 | CAC40 10 Euro | December 2022 | 30869655 | 723873 |
| 203 | Corn <sup>(i)</sup> | March 2023 | 6770050 | (32158) |
| 8 | DAX Index | December 2022 | 3036581 | 436956 |
| 429 | FTSE 100 Index | December 2022 | 39450009 | 1088069 |
| 47 | Hang Seng Index | December 2022 | 5646587 | 345514 |
| 1701 | Mini MSCI Emerging Markets | December 2022 | 83561625 | 2687991 |
| 543 | MSCI Singapore | December 2022 | 11935375 | 182602 |
| 33 | Silver <sup>(i)</sup> | March 2023 | 3593865 | 18854 |
| 235 | Soybean <sup>(i)</sup> | January 2023 | 17266625 | 912002 |
| 9 | TOPIX Index | December 2022 | 1312254 | 31216 |
|  |  |  | $203442626 | $6394919 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number**<br>**of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount ($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Sales |  |  |  |  |
| 36 | Australian Government Bond 10 Yr. | December 2022 | 2948316 | (15649) |
| 203 | Canadian Government Bond 10 Yr. | March 2023 | 18975742 | (65475) |
| 172 | E-mini Russell 2000 Index | December 2022 | 16232500 | (411882) |
| 33 | Euro Bund | December 2022 | 4837791 | (12809) |
| 16 | Euro Bund | March 2023 | 2334773 | (739) |
| 187 | FTSE Taiwan Index | December 2022 | 9836152 | (196144) |
| 53 | Gold 100 OZ <sup>(i)</sup> | February 2023 | 9327470 | (25505) |
| 844 | S&P 500 E-Mini | December 2022 | 172228750 | 73254 |
| 69 | S&P/TSX 60 | December 2022 | 12724336 | (748925) |
| 38 | SPI 200 Futures | December 2022 | 4749466 | (135287) |
| 352 | U.S. Treasury Note 10 Yr. (CBT) | March 2023 | 39952000 | (215806) |
| 10 | UK Gilt Long Bond | March 2023 | 1265393 | 6296 |
| 21 | WTI Crude <sup>(i)</sup> | December 2022 | 1691550 | 159081 |
|  |  |  | $297104239 | $(1589590) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Written Options** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Exercise<br>Price** | **Expiration<br>Date** | **Number of<br>Contracts** | **Notional<br>Amount** | **Value ($)** |
|  **Equity Options – Calls** | **Equity Options – Calls** | **Equity Options – Calls** | **Equity Options – Calls** | **Equity Options – Calls** | **Equity Options – Calls** |
|  Continental Resources, Inc. | 70.00 | 12/16/22 | (940) | USD (6981850) | (404200) |
|  | TOTAL WRITTEN OPTIONS | TOTAL WRITTEN OPTIONS | TOTAL WRITTEN OPTIONS | TOTAL WRITTEN OPTIONS |  |
|  | (Premiums $374,055) | (Premiums $374,055) | (Premiums $374,055) | (Premiums $374,055) | $(404200) |

---

**Swap Contracts** 

**Centrally Cleared Credit Default Swaps** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** |  |  |  |  |  |  |  |  |  |  |
|  United Rentals North America, Inc. | USD | 2280000 | 5.00% | 0.84% | N/A | 12/20/2024 | Quarterly | $5700 | $(185307) | $(191007) |

---

**OTC Credit Default Swaps** 

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Reference Entity** | **Counterparty** | **Notional<br>Amount** | **Notional<br>Amount** | **Annual<br>Premium** | **Implied<br>Credit<br>Spread <sup>(1)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Maximum<br>Potential<br>Amount of<br>Future<br>Payments by<br>the Fund<br>Under the<br>Contract <sup>(2)</sup>** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** | **Buy Protection^:** |
|  Halliburton Co. | BOA | USD | 1140000 | 1.00% | 0.48% | N/A |  | 12/20/2024 | Quarterly | 96637 | (11702) | (108339) |
|  HCA, Inc. | BCLY | USD | 1140000 | 5.00% | 0.69% | N/A |  | 12/20/2024 | Quarterly | (139584) | (96278) | 43306 |
|  Tenet Healthcare Corp. | JPM | USD | 570000 | 5.00% | 2.85% | N/A |  | 12/20/2024 | Quarterly | 14842 | (23401) | (38243) |
|  Tenet Healthcare Corp. | JPM | USD | 1140000 | 5.00% | 2.85% | N/A |  | 12/20/2024 | Quarterly | 142500 | (46802) | (189302) |
|  American Airlines Group, Inc. | GS | USD | 1120000 | 5.00% | 10.64% | N/A |  | 12/20/2025 | Quarterly | 232400 | 148478 | (83922) |
|  American Airlines Group, Inc. | BCLY | USD | 2970000 | 5.00% | 10.72% | N/A |  | 06/20/2026 | Quarterly | 564300 | 440068 | (124232) |
|  **Sell Protection**^: |  |  |  |  |  |  |  |  |  |  |  |  |
|  American Airlines Group, Inc. | GS | USD | 1120000 | 5.00% | 6.18% | 1120000 | USD | 12/20/2023 | Quarterly | (128800) | (13067) | 115733 |
|  American Airlines Group, Inc. | BCLY | USD | 2970000 | 5.00% | 7.97% | 2970000 | USD | 06/20/2024 | Quarterly | (222750) | (123111) | 99639 |
|  |  |  |  |  |  |  |  |  |  | $559545 | $274185 | $(285360) |

---

---

| | |
|:---|:---|
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.  |

---

Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. <br>

(1) As of November 30, 2022, implied credit spreads in absolute terms, calculated using a model, and utilized
in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The
implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of
default or other credit event occurring as defined under the terms of the contract.

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

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Centrally Cleared Interest Rate Swaps** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  3.86% | 3 Month AUD BBSW | AUD | 88835000 | 12/21/2024 | Quarterly | (67901) | (233169) | (165268) |
|  3.91% | 3 Month AUD BBSW | AUD | 45500000 | 12/21/2024 | Quarterly |  | (148638) | (148638) |
|  4.08% | 3 Month CAD CDOR | CAD | 157900000 | 12/21/2024 | Semi-Annually | (3224) | 632833 | 636057 |
|  4.25% | 3 Month CAD CDOR | CAD | 26000000 | 12/21/2024 | Semi-Annually |  | 43322 | 43322 |
|  3 Month CAD CDOR | 4.15% | CAD | 70000000 | 12/21/2024 | Semi-Annually |  | (214248) | (214248) |
|  CHF - SARON - OIS - COMPOUND | 1.39% | CHF | 35500000 | 12/21/2024 | Semi-Annually |  | 121704 | 121704 |
|  CHF - SARON - OIS - COMPOUND | 1.74% | CHF | 72500000 | 12/21/2024 | Semi-Annually |  | 782225 | 782225 |
|  1.81% | CHF - SARON - OIS - COMPOUND | CHF | 173146000 | 12/21/2024 | Semi-Annually | (13914) | (2129615) | (2115701) |
|  1.40% | CHF - SARON - OIS - COMPOUND | CHF | 24000000 | 12/21/2024 | Semi-Annually |  | (84814) | (84814) |
|  EUR - EuroSTR - COMPOUND | 2.59% | EUR | 62500000 | 12/21/2024 | Annually |  | (68793) | (68793) |
|  EUR - EuroSTR - COMPOUND | 2.64% | EUR | 21500000 | 12/21/2024 | Annually |  | (4422) | (4422) |
|  2.14% | EUR - EuroSTR - COMPOUND EUR |  | 35694000 | 12/21/2024 | Annually | 8672 | 372193 | 363521 |
|  2.94% | EUR - EuroSTR - COMPOUND EUR |  | 42000000 | 12/21/2024 | Annually |  | (246385) | (246385) |
|  GBP - SONIA - COMPOUND | 3.96% | GBP | 134260000 | 12/21/2024 | Annually | (338433) | (1280195) | (941762) |
|  GBP - SONIA - COMPOUND | 4.58% | GBP | 20000000 | 12/21/2024 | Annually |  | 91341 | 91341 |
|  4.26% | GBP - SONIA - COMPOUND | GBP | 41000000 | 12/21/2024 | Annually |  | 112712 | 112712 |
|  5.22% | GBP - SONIA - COMPOUND | GBP | 33500000 | 12/21/2024 | Annually |  | (640902) | (640902) |
|  5.36% | GBP - SONIA - COMPOUND | GBP | 28500000 | 12/21/2024 | Annually |  | (635620) | (635620) |
|  3 Month SEK STIBOR | 3.29% | SEK | 1184268000 | 12/21/2024 | Quarterly | 243686 | 196844 | (46842) |
|  3 Month SEK STIBOR | 3.45% | SEK | 265000000 | 12/21/2024 | Quarterly |  | 119100 | 119100 |
|  USD - SOFR - COMPOUND | 4.59% | USD | 32000000 | 12/21/2024 | Semi-Annually |  | 121961 | 121961 |
|  3.58% | USD - SOFR - COMPOUND | USD | 24865000 | 12/21/2024 | Semi-Annually | 8361 | 381015 | 372654 |
|  4.47% | USD - SOFR - COMPOUND | USD | 49500000 | 12/21/2024 | Semi-Annually |  | (82458) | (82458) |
|  6 Month AUD BBSW | 4.14% | AUD | 10400000 | 12/21/2032 | Semi-Annually |  | (9888) | (9888) |
|  6 Month AUD BBSW | 4.19% | AUD | 10600000 | 12/21/2032 | Semi-Annually |  | 19045 | 19045 |
|  6 Month AUD BBSW | 4.21% | AUD | 13700000 | 12/21/2032 | Semi-Annually |  | 41724 | 41724 |
|  6 Month AUD BBSW | 4.25% | AUD | 42624000 | 12/21/2032 | Semi-Annually | 99802 | 219004 | 119202 |
|  6 Month AUD BBSW | 4.25% | AUD | 20396000 | 12/21/2032 | Semi-Annually | 47758 | 104797 | 57039 |
|  6 Month AUD BBSW | 4.29% | AUD | 13500000 | 12/21/2032 | Semi-Annually |  | 103307 | 103307 |
|  6 Month AUD BBSW | 4.57% | AUD | 30000000 | 12/21/2032 | Semi-Annually |  | 694974 | 694974 |
|  6 Month AUD BBSW | 4.73% | AUD | 34600000 | 12/21/2032 | Semi-Annually |  | 1107847 | 1107847 |
|  4.48% | 6 Month AUD BBSW | AUD | 23700000 | 12/21/2032 | Semi-Annually |  | (424062) | (424062) |
|  3.71% | 3 Month CAD CDOR | CAD | 62622000 | 12/21/2032 | Semi-Annually | (28435) | (929465) | (901030) |
|  3.66% | 3 Month CAD CDOR | CAD | 8000000 | 12/21/2032 | Semi-Annually |  | (94012) | (94012) |
|  3.55% | 3 Month CAD CDOR | CAD | 24700000 | 12/21/2032 | Semi-Annually |  | (121598) | (121598) |
|  3.57% | 3 Month CAD CDOR | CAD | 12100000 | 12/21/2032 | Semi-Annually |  | (71972) | (71972) |
|  3.65% | 3 Month CAD CDOR | CAD | 23500000 | 12/21/2032 | Semi-Annually |  | (264301) | (264301) |
|  3.68% | 3 Month CAD CDOR | CAD | 15800000 | 12/21/2032 | Semi-Annually |  | (210591) | (210591) |
|  3 Month CAD CDOR | 3.41% | CAD | 14500000 | 12/21/2032 | Semi-Annually |  | (54155) | (54155) |
|  3 Month CAD CDOR | 3.57% | CAD | 15400000 | 12/21/2032 | Semi-Annually |  | 92086 | 92086 |
|  3 Month CAD CDOR | 3.59% | CAD | 6800000 | 12/21/2032 | Semi-Annually |  | 50527 | 50527 |
|  3 Month CAD CDOR | 3.63% | CAD | 11900000 | 12/21/2032 | Semi-Annually |  | 118074 | 118074 |
|  3 Month CAD CDOR | 3.71% | CAD | 34544000 | 12/21/2032 | Semi-Annually | 28182 | 512740 | 484558 |
|  3 Month CAD CDOR | 3.79% | CAD | 23000000 | 12/21/2032 | Semi-Annually |  | 455995 | 455995 |
|  3 Month CAD CDOR | 3.84% | CAD | 25200000 | 12/21/2032 | Semi-Annually |  | 590221 | 590221 |
|  3 Month CAD CDOR | 3.97% | CAD | 12100000 | 12/21/2032 | Semi-Annually |  | 382626 | 382626 |
|  3 Month CAD CDOR | 4.04% | CAD | 18200000 | 12/21/2032 | Semi-Annually |  | 651866 | 651866 |
|  CHF - SARON - OIS - COMPOUND | 1.85% | CHF | 5300000 | 12/21/2032 | Semi-Annually | (24750) | 104982 | 129732 |
|  CHF - SARON - OIS - COMPOUND | 1.86% | CHF | 66629000 | 12/21/2032 | Semi-Annually |  | 1401951 | 1401951 |
|  CHF - SARON - OIS - COMPOUND | 1.93% | CHF | 13700000 | 12/21/2032 | Semi-Annually |  | 380181 | 380181 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  CHF - SARON - OIS - COMPOUND | 2.05% | CHF | 37719000 | 12/21/2032 | Semi-Annually | 24073 | 1489587 | 1465514 |
|  CHF - SARON - OIS - COMPOUND | 2.18% | CHF | 8300000 | 12/21/2032 | Semi-Annually | 35414 | 430147 | 394733 |
|  CHF - SARON - OIS - COMPOUND | 2.20% | CHF | 15800000 | 12/21/2032 | Semi-Annually | (13653) | 857807 | 871460 |
|  CHF - SARON - OIS - COMPOUND | 2.27% | CHF | 10400000 | 12/21/2032 | Semi-Annually |  | 639027 | 639027 |
|  2.01% | CHF - SARON - OIS - COMPOUND | CHF | 12100000 | 12/21/2032 | Semi-Annually |  | (424126) | (424126) |
|  2.19% | CHF - SARON - OIS - COMPOUND | CHF | 15400000 | 12/21/2032 | Semi-Annually | 26352 | (821959) | (848311) |
|  2.24% | CHF - SARON - OIS - COMPOUND | CHF | 9600000 | 12/21/2032 | Semi-Annually |  | (556719) | (556719) |
|  2.18% | CHF - SARON - OIS - COMPOUND | CHF | 7800000 | 12/21/2032 | Semi-Annually | (38147) | (409545) | (371398) |
|  2.11% | CHF - SARON - OIS - COMPOUND | CHF | 6100000 | 12/21/2032 | Semi-Annually |  | (274002) | (274002) |
|  1.98% | CHF - SARON - OIS - COMPOUND | CHF | 12400000 | 12/21/2032 | Semi-Annually |  | (400996) | (400996) |
|  1.85% | CHF - SARON - OIS - COMPOUND | CHF | 12600000 | 12/21/2032 | Semi-Annually | 76835 | (247714) | (324549) |
|  EUR - EuroSTR - COMPOUND | 2.21% | EUR | 7702000 | 12/21/2032 | Annually | 4674 | (144448) | (149122) |
|  EUR - EuroSTR - COMPOUND | 2.48% | EUR | 11100000 | 12/21/2032 | Annually |  | 71837 | 71837 |
|  EUR - EuroSTR - COMPOUND | 2.89% | EUR | 8600000 | 12/21/2032 | Annually |  | 377695 | 377695 |
|  EUR - EuroSTR - COMPOUND | 2.94% | EUR | 59097000 | 12/21/2032 | Annually | 20873 | 2858023 | 2837150 |
|  EUR - EuroSTR - COMPOUND | 3.12% | EUR | 9500000 | 12/21/2032 | Annually |  | 619056 | 619056 |
|  2.82% | EUR - EuroSTR - COMPOUND | EUR | 8800000 | 12/21/2032 | Annually |  | (329860) | (329860) |
|  2.80% | EUR - EuroSTR - COMPOUND | EUR | 4250000 | 12/21/2032 | Annually |  | (150455) | (150455) |
|  2.80% | EUR - EuroSTR - COMPOUND | EUR | 11000000 | 12/21/2032 | Annually |  | (391959) | (391959) |
|  2.41% | EUR - EuroSTR - COMPOUND | EUR | 13600000 | 12/21/2032 | Annually |  | (2404) | (2404) |
|  2.75% | EUR - EuroSTR - COMPOUND | EUR | 4550000 | 12/21/2032 | Annually |  | (142121) | (142121) |
|  2.69% | EUR - EuroSTR - COMPOUND | EUR | 17300000 | 12/21/2032 | Annually |  | (447483) | (447483) |
|  2.70% | EUR - EuroSTR - COMPOUND | EUR | 4800000 | 12/21/2032 | Annually |  | (126379) | (126379) |
|  2.55% | EUR - EuroSTR - COMPOUND | EUR | 22500000 | 12/21/2032 | Annually |  | (287254) | (287254) |
|  2.63% | EUR - EuroSTR - COMPOUND | EUR | 11200000 | 12/21/2032 | Annually |  | (221788) | (221788) |
|  GBP - SONIA - COMPOUND | 3.30% | GBP | 7600000 | 12/21/2032 | Annually |  | (53473) | (53473) |
|  GBP - SONIA - COMPOUND | 3.52% | GBP | 8600000 | 12/21/2032 | Annually |  | 120394 | 120394 |
|  GBP - SONIA - COMPOUND | 4.12% | GBP | 6400000 | 12/21/2032 | Annually |  | 473420 | 473420 |
|  GBP - SONIA - COMPOUND | 4.33% | GBP | 12600000 | 12/21/2032 | Annually |  | 1200223 | 1200223 |
|  GBP - SONIA - COMPOUND | 4.65% | GBP | 6700000 | 12/21/2032 | Annually |  | 849451 | 849451 |
|  3.19% | GBP - SONIA - COMPOUND | GBP | 28590000 | 12/21/2032 | Annually | 191161 | 523891 | 332730 |
|  3.96% | GBP - SONIA - COMPOUND | GBP | 10250000 | 12/21/2032 | Annually |  | (596632) | (596632) |
|  3.93% | GBP - SONIA - COMPOUND | GBP | 4940000 | 12/21/2032 | Annually |  | (275019) | (275019) |
|  3.90% | GBP - SONIA - COMPOUND | GBP | 5310000 | 12/21/2032 | Annually |  | (275549) | (275549) |
|  3.79% | GBP - SONIA - COMPOUND | GBP | 11500000 | 12/21/2032 | Annually |  | (476097) | (476097) |
|  3.76% | GBP - SONIA - COMPOUND | GBP | 4500000 | 12/21/2032 | Annually |  | (171529) | (171529) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Centrally Cleared Interest Rate Swaps — continued** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Notional**<br> **Amount** | **Notional**<br> **Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net<br>Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  4.28% | 3 Month NZD Bank Bill Rate | NZD | 43180000 | 12/21/2032 | Quarterly | (286719) | 244447 | 531166 |
|  4.82% | 3 Month NZD Bank Bill Rate | NZD | 22500000 | 12/21/2032 | Quarterly |  | (482253) | (482253) |
|  4.75% | 3 Month NZD Bank Bill Rate | NZD | 16400000 | 12/21/2032 | Quarterly |  | (291203) | (291203) |
|  3 Month NZD Bank Bill Rate | 4.21% | NZD | 21200000 | 12/21/2032 | Quarterly |  | (204209) | (204209) |
|  3 Month NZD Bank Bill Rate | 4.45% | NZD | 26000000 | 12/21/2032 | Quarterly |  | 72641 | 72641 |
|  3 Month NZD Bank Bill Rate | 4.52% | NZD | 21900000 | 12/21/2032 | Quarterly |  | 140051 | 140051 |
|  3 Month NZD Bank Bill Rate | 4.76% | NZD | 20020000 | 12/21/2032 | Quarterly |  | 370712 | 370712 |
|  3 Month NZD Bank Bill Rate | 4.86% | NZD | 18780000 | 12/21/2032 | Quarterly |  | 443002 | 443002 |
|  3 Month SEK STIBOR | 2.69% | SEK | 163000000 | 12/21/2032 | Quarterly |  | (40579) | (40579) |
|  3.28% | 3 Month SEK STIBOR | SEK | 119000000 | 12/21/2032 | Quarterly |  | (550350) | (550350) |
|  3.17% | 3 Month SEK STIBOR | SEK | 186000000 | 12/21/2032 | Quarterly |  | (692452) | (692452) |
|  3.16% | 3 Month SEK STIBOR | SEK | 180000000 | 12/21/2032 | Quarterly |  | (655220) | (655220) |
|  2.91% | 3 Month SEK STIBOR | SEK | 268000000 | 12/21/2032 | Quarterly |  | (415608) | (415608) |
|  2.87% | 3 Month SEK STIBOR | SEK | 248990000 | 12/21/2032 | Quarterly | (33536) | (308867) | (275331) |
|  2.98% | 3 Month SEK STIBOR | SEK | 132000000 | 12/21/2032 | Quarterly |  | (286621) | (286621) |
|  3.08% | 3 Month SEK STIBOR | SEK | 117000000 | 12/21/2032 | Quarterly |  | (350863) | (350863) |
|  3.10% | 3 Month SEK STIBOR | SEK | 199000000 | 12/21/2032 | Quarterly |  | (629700) | (629700) |
|  3 Month SEK STIBOR | 3.19% | SEK | 188000000 | 12/21/2032 | Quarterly |  | 731010 | 731010 |
|  USD - SOFR - COMPOUND | 3.08% | USD | 24300000 | 12/21/2032 | Semi-Annually |  | (581742) | (581742) |
|  USD - SOFR - COMPOUND | 3.13% | USD | 5460000 | 12/21/2032 | Semi-Annually | (7332) | (111020) | (103688) |
|  USD - SOFR - COMPOUND | 3.22% | USD | 10800000 | 12/21/2032 | Semi-Annually |  | (132637) | (132637) |
|  USD - SOFR - COMPOUND | 3.48% | USD | 7600000 | 12/21/2032 | Semi-Annually |  | 68259 | 68259 |
|  USD - SOFR - COMPOUND | 3.68% | USD | 26900000 | 12/21/2032 | Semi-Annually |  | 693985 | 693985 |
|  USD - SOFR - COMPOUND | 3.69% | USD | 11300000 | 12/21/2032 | Semi-Annually |  | 309060 | 309060 |
|  USD - SOFR - COMPOUND | 3.81% | USD | 24700000 | 12/21/2032 | Semi-Annually |  | 904484 | 904484 |
|  3.13% | USD - SOFR - COMPOUND | USD | 60274000 | 12/21/2032 | Semi-Annually | 32100 | 1195743 | 1163643 |
|  3.79% | USD - SOFR - COMPOUND | USD | 7300000 | 12/21/2032 | Semi-Annually |  | (255989) | (255989) |
|  3.70% | USD - SOFR - COMPOUND | USD | 11100000 | 12/21/2032 | Semi-Annually |  | (307779) | (307779) |
|  3.72% | USD - SOFR - COMPOUND | USD | 10500000 | 12/21/2032 | Semi-Annually |  | (313600) | (313600) |
|  3.91% | USD - SOFR - COMPOUND | USD | 8200000 | 12/21/2032 | Semi-Annually |  | (375587) | (375587) |
|  3.44% | USD - SOFR - COMPOUND | USD | 11000000 | 12/21/2032 | Semi-Annually |  | (67427) | (67427) |
|  |  |  |  |  |  | $(8101) | $3460629 | $3468730 |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional<br>Amount** | **Notional<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  1 Month Federal Funds Rate plus 0.09% | Total Return on MSCI World Daily Total Return Net Value Index | GS | USD | 9022765 | 05/09/2023 | Monthly | – | 667993 | 667993 |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus 0.08% | GS | USD | 8118756 | 05/09/2023 | Monthly | – | (643226) | (643226) |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus 0.08% | GS | USD | 830200 | 05/09/2023 | Monthly | – | (65774) | (65774) |
|  1 Month Federal Funds Rate plus 0.01% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 11018184 | 05/12/2023 | Monthly | – | 280376 | 280376 |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.02% | UBSA | USD | 11399784 | 05/12/2023 | Monthly | – | (96251) | (96251) |
|  1 Month Federal Funds Rate plus 0.05% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 10415198 | 05/22/2023 | Monthly | – | 138805 | 138805 |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.06% | UBSA | USD | 10675600 | 05/22/2023 | Monthly | – | (131666) | (131666) |
|  1 Month Federal Funds Rate plus 0.01% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 9951842 | 08/09/2023 | Monthly | – | 736776 | 736776 |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus 0.01% | UBSA | USD | 7995348 | 08/09/2023 | Monthly | – | (633449) | (633449) |
|  Total Return on Equity Basket <sup>(l)</sup>  | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 1 | 05/24/2024 | Monthly | – | (9683) | (9683) |
|  Total Return on Equity Basket <sup>(l)</sup>  | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 1 | 05/24/2024 | Monthly | – | (3188) | (3188) |
|  Total Return on Equity Basket <sup>(m)</sup>  | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 48651548 | 06/18/2024 | Monthly | – | (1563519) | (1563519) |
|  Total Return on Equity Basket <sup>(l)</sup>  | 1 Month Federal Funds Rate minus 0.40% | GS | USD | 16660463 | 06/24/2024 | Monthly | – | (167875) | (167875) |
|  |  |  |  |  |  |  | $– $| (1490681) | $(1490681) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

\* Non-income producing security.

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

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

(c) Investment valued using significant unobservable inputs.

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

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

(f) The security is restricted as to resale.

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

(h) Security is in default.

(i) All or a portion of this security or derivative is owned by GMO Implementation SPC Ltd., which is a 100% owned
subsidiary of GMO Implementation Fund.

(j) The rate disclosed is the 7 day net yield as of November 30, 2022.

(k) The rate shown represents yield-to-maturity.

(l) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket
swap which has a notional amount of less than 1% of the Fund's total net assets.

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

(m) The following table represents the individual long and/or short positions within the custom equity basket swap
as of November 30, 2022:

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **% of<br>Equity<br>Basket** | **Value ($)** |
| (1508000) | Air China Ltd – Class H | 2.4% | (1213765) |
| (3184800) | Airports of Thailand Pcl NVDR | 13.5% | (6801702) |
| (1602000) | Alibaba Health Information Technology Ltd | 2.7% | (1352330) |
| (2721000) | China Molybdenum Co Ltd – Class H | 2.5% | (1274735) |
| (175720) | Ganfeng Lithium Co Ltd – Class H | 3.1% | (1554944) |
| (434000) | Genscript Biotech Corp | 2.2% | (1124102) |
| (3421600) | Gulf Energy Development Pcl NVDR | 10.3% | (5175138) |
| (6699) | Hanmi Pharm Co Ltd | 2.7% | (1339381) |
| (6000) | Hapvida Participacoes e Investimentos SA | 0.0% | (6012) |
| (64874) | Hotel Shilla Co Ltd | 7.3% | (3645657) |
| (38852) | Kakao Corp | 3.4% | (1704686) |
| (2048000) | Kingdee International Software Group Co Ltd | 6.9% | (3456041) |
| (234600) | Klabin SA | 1.8% | (890597) |
| (134422) | Korea Aerospace Industries Ltd | 9.9% | (4992077) |
| (900) | Lojas Renner SA | 0.0% | (4015) |
| (327700) | Microport Scientific Corp | 1.6% | (787498) |
| 7652 | Nokia Oyj | (0.1%) | 37701 |
| (6539) | POSCO Chemical Co Ltd | 2.2% | (1104490) |
| (8628) | Samsung Biologics Co Ltd | 11.7% | (5868231) |
| (767926) | Samsung Heavy Industries Co Ltd | 6.1% | (3072278) |
| (37829) | Yuhan Corp | 3.4% | (1690936) |
| (2438000) | Zijin Mining Group Co Ltd – Class H | 6.4% | (3235871) |
|  | TOTAL COMMON STOCKS |  | $(50256785) |

---

------

**GMO Implementation Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

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

ADR - American Depositary Receipt

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

CDOR - Canadian Dollar Offering Rate

CMT - Constant Maturity Treasury

CVA - Certificaaten van aandelen (Share Certificates)

CVR - Contingent Value Right

EuroSTR - Euro Short-Term Rate

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

GDR - Global Depositary Receipt

JSC - Joint-Stock Company

LIBOR - London Interbank Offered Rate

NVDR - Non-Voting Depositary Receipt

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

OIS - Overnight Indexed Swaps

PJSC - Private Joint-Stock Company

QPSC - Qatar Private Stock Company

QSC - Qatari Shareholding Company

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

REIT - Real Estate Investment Trust SARON - Swiss Average Rate Overnight

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

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

SOFR - Secured Overnight Financing Rate

SONIA - Sterling Overnight Interbank Average Rate USBM - U.S. Treasury 3 Month Bill Money Market Yield

**Counterparty Abbreviations:** 

BBH - Brown Brothers Harriman & Co

BCLY - Barclays Bank PLC

BOA - Bank of America, N.A.

CITI - Citibank N.A.

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

**Currency Abbreviations:** 

AUD - Australian Dollar

BRL - Brazil Real

CAD - Canada Dollar

CHF - Switzerland Franc

CLP - Chile Peso

COP - Colombia Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - United Kingdom Pound

HUF - Hungary Forint

IDR - Indonesia Rupiah

ILS - Israel Shekel

INR - Indian Rupee

JPY - Japan Yen

KRW - Korean Won

MXN - Mexico Peso

NOK - Norway Krone

NZD - New Zealand Dollar

PEN - Peru Nuevo Sol

PHP - Philippines Peso

PLN - Poland Zloty

RON - Romania New Leu

SEK - Sweden Krona

SGD - Singapore Dollar

THB - Thailand Baht

TWD - Taiwan New Dollar

USD - United States Dollar

------

**GMO International Developed Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **MUTUAL FUNDS — 100.0%** | |
| | **Affiliated Issuers — 100.0%** | |
| 1212687 | GMO Emerging Markets ex-China Fund, Class VI | 17026129 |
| 8643336 | GMO International Equity Fund, Class IV | 185313109 |
| 516010 | GMO-Usonian Japan Value Creation Fund, Class VI | 8385166 |
|  | TOTAL MUTUAL FUNDS<br>(COST $230,965,475) | 210724404 |
|  | **SHORT-TERM INVESTMENTS — 0.0%** | **SHORT-TERM INVESTMENTS — 0.0%** |
|  | **Money Market Funds — 0.0%** |  |
| 88960 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 88960 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $88,960) | 88960 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $231,054,435) | **210813364** |
|  | Other Assets and Liabilities (net) — (0.0%) | (24558) |
|  | **TOTAL NET ASSETS — 100.0%** | **$210788806** |

---

**Notes to Schedule of Investments:** 

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO International Equity Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Shares** | **Description** | **Value ($)** |
| | **MUTUAL FUNDS — 99.9%** | |
| | **Affiliated Issuers — 99.9%** | |
| 2862878 | GMO Emerging Markets ex-China Fund, Class VI | 40194810 |
| 6119922 | GMO Emerging Markets Fund, Class VI | 144858540 |
| 13573818 | GMO International Equity Fund, Class IV | 291022665 |
| 1202191 | GMO-Usonian Japan Value Creation Fund, Class VI | 19535604 |
|  | TOTAL MUTUAL FUNDS<br>(COST $573,957,560) | 495611619 |
|  | **SHORT-TERM INVESTMENTS — 0.1%** | **SHORT-TERM INVESTMENTS — 0.1%** |
|  | **Money Market Funds — 0.1%** |  |
| 357295 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(a)</sup> | 357295 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $357,295) | 357295 |
|  | **TOTAL INVESTMENTS — 100.0%**<br> (Cost $574,314,855) | **495968914** |
|  | Other Assets and Liabilities (net) — (0.0%) | (39804) |
|  | **TOTAL NET ASSETS — 100.0%** | **$495929110** |

---

**Notes to Schedule of Investments:** 

(a) The rate disclosed is the 7 day net yield as of November 30, 2022.

------

**GMO SGM Major Markets Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /<br>Shares** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 95.9%** | **DEBT OBLIGATIONS — 95.9%** |
| | **United States — 95.9%** | **United States — 95.9%** |
| | **U.S. Government — 85.0%** | **U.S. Government — 85.0%** |
| 15500000 | U.S. Treasury Floating Rate Notes, |  |
|  | Variable Rate, 4.47%, due 10/31/24 | 15492364 |
| 7500000 | U.S. Treasury Note, 0.13%, due 12/31/22 <sup>(a)</sup> | 7476269 |
| 35530000 | U.S. Treasury Note, 0.13%, due 06/30/23 | 34587622 |
| 20000000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 10/31/23 <sup>(b)</sup> | 20015029 |
| 73300000 | U.S. Treasury Note, Variable Rate, USBM - 0.08%, 4.26%, due 04/30/24 <sup>(a) (b)</sup> | 73171368 |
| 6000000 | U.S. Treasury Note, Variable Rate, USBM + 0.04%, 4.37%, due 07/31/24 <sup>(a) (b)</sup> | 5992352 |
|  | Total U.S. Government | 156735004 |
|  | **U.S. Government Agency — 10.9%** | **U.S. Government Agency — 10.9%** |
| 10000000 | Federal Home Loan Banks, 1.67%, due 12/19/22 | 9987981 |
| 7000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.03%, 3.84%, due 03/02/23 | 7000323 |
| 3000000 | Federal Home Loan Banks, Variable Rate, SOFR + 0.07%, 3.88%, due 12/14/23 | 3000337 |
|  | Total U.S. Government Agency | 19988641 |
|  | Total United States | 176723645 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $177,620,186) | 176723645 |
|  | **SHORT-TERM INVESTMENTS — 2.6%** | **SHORT-TERM INVESTMENTS — 2.6%** |
|  | **Money Market Funds — 1.6%** | **Money Market Funds — 1.6%** |
| 2500716 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(c)</sup> | 2500716 |
| 431263 | State Street U.S. Treasury Liquidity Fund – Class D Shares, 3.69% <sup>(a)</sup> | 431263 |
|  | Total Money Market Funds | 2931979 |
|  | **U.S. Government — 1.0%** | **U.S. Government — 1.0%** |
| 2000000 | U.S. Treasury Bill, 4.17%, due 02/16/23 <sup>(d)</sup> | 1982348 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $4,914,311) | 4914327 |
|  | **TOTAL INVESTMENTS — 98.5%**<br> (Cost $182,534,497) | **181637972** |
|  | Other Assets and Liabilities (net) — 1.5% | 2685269 |
|  | **TOTAL NET ASSETS — 100.0%** | **$184323241** |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Forward Currency Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Settlement<br>Date** | **Counter-<br>party** | **Currency<br>Sold** | **Currency<br>Sold** | **Currency<br>Purchased** | **Currency<br>Purchased** | **Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| 01/23/2023 | BCLY | AUD | 1324444 | USD | 894115 | (6841) |
| 01/23/2023 | DB | AUD | 859775 | USD | 570179 | (14685) |
| 01/17/2023 | DB | CAD | 2778262 | USD | 2068957 | 2003 |
| 01/31/2023 | BCLY | CHF | 18155948 | USD | 19336026 | 4416 |
| 01/31/2023 | SSB | CHF | 647347 | USD | 688214 | (1051) |
| 01/31/2023 | MSCI | CHF | 684281 | USD | 723816 | (4775) |
| 01/23/2023 | BCLY | GBP | 790450 | USD | 942964 | (11416) |
| 12/12/2022 | MSCI | JPY | 80774798 | USD | 557761 | (27875) |
| 12/12/2022 | DB | JPY | 61296852 | USD | 421944 | (22472) |
| 01/17/2023 | DB | JPY | 191818224 | USD | 1368209 | (29377) |
| 01/17/2023 | GS | JPY | 344550556 | USD | 2483088 | (27304) |
| 01/24/2023 | BCLY | NZD | 980650 | USD | 603590 | (14826) |
| 01/24/2023 | MSCI | NZD | 529630 | USD | 330152 | (3842) |
| 01/24/2023 | DB | NZD | 609610 | USD | 380066 | (4365) |
| 01/23/2023 | UBSA | USD | 1480137 | AUD | 2190233 | 9773 |
| 01/23/2023 | DB | USD | 22211 | AUD | 32994 | 233 |
| 01/17/2023 | DB | USD | 659692 | CAD | 884782 | (1437) |
| 01/17/2023 | MSCI | USD | 876743 | CAD | 1187228 | 6524 |
| 01/31/2023 | MSCI | USD | 10155236 | EUR | 9721883 | 9659 |
| 01/31/2023 | DB | USD | 1417874 | EUR | 1360443 | 4562 |
| 12/12/2022 | MSCI | USD | 27714465 | JPY | 3995232629 | 1251916 |
| 12/12/2022 | BCLY | USD | 1238349 | JPY | 183601536 | 92805 |
| 12/12/2022 | JPM | USD | 1001041 | JPY | 147529188 | 68581 |
| 01/17/2023 | BCLY | USD | 22031 | JPY | 3181818 | 1152 |
| 01/17/2023 | DB | USD | 100988 | JPY | 14029296 | 1230 |
| 01/24/2023 | MSCI | USD | 200613 | NZD | 326757 | 5446 |
|  |  |  |  |  |  | $1288034 |

---

**Futures Contracts** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount<br>($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Buys |  |  |  |  |
| 248 | CAC40 10 Euro | December 2022 | 17558887 | 413057 |
| 116 | Corn<sup>(a)</sup> | March 2023 | 3868600 | (15939) |
| 4 | DAX Index | December 2022 | 1518291 | 246905 |
| 244 | FTSE 100 Index | December 2022 | 22437768 | 619461 |
| 27 | Hang Seng Index | December 2022 | 3243784 | 198572 |
| 969 | Mini MSCI Emerging Markets | December 2022 | 47602125 | 1450104 |
| 303 | MSCI Singapore | December 2022 | 6660071 | 101128 |
| 19 | Silver<sup>(a)</sup> | March 2023 | 2069195 | 12601 |
| 134 | Soybean<sup>(a)</sup> | January 2023 | 9845650 | 535522 |
| 5 | TOPIX Index | December 2022 | 729030 | 17342 |
|  |  |  | $115533401 | $3578753 |

---

------

**GMO SGM Major Markets Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

**Futures Contracts — continued** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Number<br>of<br>Contracts +** | **Type** | **Expiration<br>Date** | **Notional<br>Amount<br>($)** | **Value/Net<br>Unrealized<br>Appreciation<br>(Depreciation)<br>($)** |
| Sales |  |  |  |  |
| 21 | Australian Government Bond 10 Yr. | December 2022 | 1719851 | (9394) |
| 115 | Canadian Government Bond 10 Yr. | March 2023 | 10749805 | (38479) |
| 98 | E-mini Russell 2000 Index | December 2022 | 9248750 | (264883) |
| 20 | Euro Bund | December 2022 | 2931995 | (11535) |
| 8 | Euro Bund | March 2023 | 1167387 | (369) |
| 106 | FTSE Taiwan Index | December 2022 | 5575573 | (107278) |
| 30 | Gold 100 OZ<sup>(a)</sup> | February 2023 | 5279700 | 5473 |
| 225 | S&P 500 E-Mini | December 2022 | 45914062 | (440873) |
| 39 | S&P/TSX 60 | December 2022 | 7192016 | (410382) |
| 23 | SPI 200 Futures | December 2022 | 2874677 | (81796) |
| 201 | U.S. Treasury Note 10 Yr. (CBT) | March 2023 | 22813500 | (126438) |
| 7 | UK Gilt Long Bond | March 2023 | 885775 | 4876 |
| 12 | WTI Crude<sup>(a)</sup> | December 2022 | 966600 | 88684 |
|  |  |  | $117319691 | $(1392394) |

---

+ Buys - Fund is long the futures contract.

Sales - Fund is short the futures contract.

**Swap Contracts** 

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional<br>Amount** | **Notional<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  1 Month Federal Funds Rate plus 0.09% | Total Return on MSCI World Daily Total Return Net Value Index | GS | USD | 7638084 | 05/09/2023 | Monthly | – | 565479 | 565479 |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus 0.08% | GS | USD | 6865977 | 05/09/2023 | Monthly | – | (543972) | (543972) |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate minus 0.08% | GS | USD | 703052 | 05/09/2023 | Monthly | – | (55701) | (55701) |
|  1 Month Federal Funds Rate plus 0.01% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 9323122 | 05/12/2023 | Monthly | – | 237242 | 237242 |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.02% | UBSA | USD | 9645891 | 05/12/2023 | Monthly | – | (81443) | (81443) |
|  1 Month Federal Funds Rate plus 0.05% | Total Return on MSCI World Daily Total Return Net Value Index | UBSA | USD | 7138109 | 05/22/2023 | Monthly | – | 95131 | 95131 |
|  Total Return on MSCI World Daily Total Return Net Growth Index | 1 Month Federal Funds Rate plus 0.06% | UBSA | USD | 7097452 | 05/22/2023 | Monthly | – | (87535) | (87535) |
|  |  |  |  |  |  |  | $– $| 129201 | $129201 |

---

------

**GMO SGM Major Markets Fund** 

**(A Series of GMO Trust)** 

**Consolidated Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

(a) GMO Alternative Asset SPC Ltd. is a 100% owned subsidiary of GMO SGM Major Markets Fund. As such, the holdings
of GMO Alternative Asset SPC Ltd. have been included with GMO SGM Major Markets Fund.

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

(c) The rate disclosed is the 7 day net yield as of November 30, 2022.

(d) The rate shown represents yield-to-maturity.

The rates shown on variable rate notes are the current interest rates at November 30, 2022, which are subject to change based on the terms of the security.

**Portfolio Abbreviations:** 

SOFR - Secured Overnight Financing Rate

USBM - U.S. Treasury 3 Month Bill Money Market Yield

**Counterparty Abbreviations:** 

BCLY - Barclays Bank PLC

DB - Deutsche Bank AG

GS - Goldman Sachs International

JPM - JPMorgan Chase Bank, N.A.

MSCI - Morgan Stanley & Co. International PLC

SSB - State Street Bank and Trust Company

UBSA - UBS AG

**Currency Abbreviations:** 

AUD - Australian Dollar

CAD - Canada Dollar

CHF - Switzerland Franc

EUR - Euro

GBP - United Kingdom Pound

JPY - Japan Yen

NZD - New Zealand Dollar

USD - United States Dollar

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
|  | **COMMON STOCKS — 38.4%** |  |
| | **Australia — 1.1%** | |
| 28066 | Aurizon Holdings Ltd <sup>(a)</sup> | 72946 |
| 3376 | Austal Ltd | 5623 |
| 81259 | Beach Energy Ltd | 97962 |
| 22410 | BlueScope Steel Ltd | 270106 |
| 26364 | Brambles Ltd <sup>(a)</sup> | 218079 |
| 736 | Brickworks Ltd | 11299 |
| 1532 | Challenger Ltd | 7664 |
| 27531 | Fortescue Metals Group Ltd <sup>(a)</sup> | 366428 |
| 44850 | GPT Group (The) (REIT) <sup>(a)</sup> | 138270 |
| 16654 | GrainCorp Ltd – Class A <sup>(a)</sup> | 92080 |
| 13508 | Grange Resources Ltd | 7057 |
| 22136 | Helia Group Ltd | 40917 |
| 9515 | Incitec Pivot Ltd | 26056 |
| 5717 | JB Hi-Fi Ltd <sup>(a)</sup> | 175823 |
| 3518 | McMillan Shakespeare Ltd | 35407 |
| 38140 | Metcash Ltd <sup>(a)</sup> | 109066 |
| 98347 | Mirvac Group (REIT) <sup>(a)</sup> | 150915 |
| 1003 | Monadelphous Group Ltd | 9429 |
| 4042 | NRW Holdings Ltd | 7576 |
| 13540 | Nufarm Ltd | 56029 |
| 396 | Premier Investments Ltd <sup>(a)</sup> | 6921 |
| 453 | Rio Tinto Ltd <sup>(a)</sup> | 33818 |
| 44089 | Scentre Group (REIT) <sup>(a)</sup> | 89928 |
| 3874 | Sims Ltd | 34612 |
| 42562 | Stockland (REIT) <sup>(a)</sup> | 111124 |
| 1727 | Super Retail Group Ltd <sup>(a)</sup> | 13081 |
| 21622 | Viva Energy Group Ltd | 40629 |
|  | Total Australia | 2228845 |
|  | **Belgium — 0.4%** |  |
| 305 | Ackermans & van Haaren NV | 48478 |
| 6664 | Ageas SA/NV | 269838 |
| 1493 | Bekaert SA | 53313 |
| 1517 | Proximus SADP <sup>(a)</sup> | 15869 |
| 569 | Sofina SA | 123856 |
| 430 | Solvay SA <sup>(a)</sup> | 42654 |
| 560 | Telenet Group Holding NV | 8940 |
| 2802 | UCB SA <sup>(a)</sup> | 226168 |
|  | Total Belgium | 789116 |
|  | **Brazil — 0.1%** |  |
| 7200 | Banco do Brasil SA | 48949 |
| 7000 | Petroleo Brasileiro SA Sponsored ADR <sup>(a)</sup> | 81830 |
| 8200 | Telefonica Brasil SA ADR <sup>(a)</sup> | 59942 |
| 1107 | Vale SA | 18284 |
|  | Total Brazil | 209005 |
|  | **Canada — 1.7%** |  |
| 2200 | Alimentation Couche-Tard Inc <sup>(a)</sup> | 100224 |
| 3000 | Birchcliff Energy Ltd | 23953 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Canada — continued** | |
| 7200 | BlackBerry Ltd <sup>\* (a)</sup> | 35064 |
| 4670 | Brookfield Asset Management Inc – Class A <sup>(a)</sup> | 220190 |
| 2333 | Canadian Apartment Properties (REIT) <sup>(a)</sup> | 75792 |
| 1700 | Canadian Tire Corp Ltd – Class A <sup>(a)</sup> | 192527 |
| 3900 | Canfor Corp <sup>\*</sup> | 69090 |
| 8358 | Celestica Inc <sup>\*</sup> | 93264 |
| 700 | Cogeco Inc | 31223 |
| 300 | DREAM UnLtd Corp – Class A | 6445 |
| 3200 | Finning International Inc <sup>(a)</sup> | 81050 |
| 400 | iA Financial Corp Inc | 22567 |
| 5200 | Interfor Corp <sup>\*</sup> | 97417 |
| 3800 | Magna International Inc | 233992 |
| 9200 | Manulife Financial Corp <sup>(a) (b)</sup> | 165718 |
| 7400 | Manulife Financial Corp <sup>(a) (b)</sup> | 133422 |
| 3300 | Mullen Group Ltd <sup>(a)</sup> | 37559 |
| 2918 | Nutrien Ltd <sup>(a)</sup> | 234607 |
| 2300 | Onex Corp | 121211 |
| 2000 | Power Corp of Canada <sup>(a)</sup> | 50314 |
| 700 | PrairieSky Royalty Ltd | 11480 |
| 7300 | Quebecor Inc – Class B <sup>(a)</sup> | 157326 |
| 2600 | Russel Metals Inc | 55957 |
| 1900 | Sleep Country Canada Holdings Inc | 32628 |
| 12600 | Teck Resources Ltd – Class B <sup>\* (a) (b)</sup> | 467038 |
| 3000 | Teck Resources Ltd – Class B <sup>(b)</sup> | 111270 |
| 1800 | Uni-Select Inc <sup>\*</sup> <sup>(a)</sup> | 60926 |
| 3200 | West Fraser Timber Co Ltd <sup>(b)</sup> | 250310 |
| 400 | West Fraser Timber Co Ltd <sup>(b)</sup> | 31348 |
|  | Total Canada | 3203912 |
|  | **China — 0.6%** |  |
| 17693 | Alibaba Group Holding Ltd <sup>\*</sup> | 192556 |
| 110000 | Bank of Communications Co Ltd – Class H | 62326 |
| 15000 | Beijing Enterprises Holdings Ltd | 47706 |
| 12500 | China Conch Venture Holdings Ltd | 28606 |
| 33000 | China Overseas Land & Investment Ltd | 90173 |
| 152000 | China Railway Group Ltd – Class H | 85796 |
| 286000 | China Zhongwang Holdings Ltd <sup>\* (c)</sup> | 61514 |
| 110000 | CITIC Ltd | 112769 |
| 60000 | Dongfeng Motor Group Co Ltd – Class H | 33801 |
| 17500 | Kingboard Holdings Ltd | 57933 |
| 9900 | Shanghai Pharmaceuticals Holding Co Ltd – Class H | 16508 |
| 154000 | Shimao Group Holdings Ltd <sup>\* (c)</sup> | 87144 |
| 15600 | Sinopharm Group Co Ltd – Class H | 37010 |
| 271000 | Sunac China Holdings Ltd <sup>\* (c)</sup> | 158903 |
| 2099 | Tencent Holdings Ltd | 79376 |
| 3600 | Vipshop Holdings Ltd ADR <sup>\* (a)</sup> | 40140 |
|  | Total China | 1192261 |
|  | **Denmark — 0.4%** |  |
| 45 | AP Moller – Maersk A/S – Class A <sup>(a)</sup> | 95538 |
| 49 | AP Moller – Maersk A/S – Class B <sup>(a)</sup> | 106230 |
| 17132 | Danske Bank A/S | 308515 |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Denmark — continued** | |
| 1185 | GN Store Nord A/S <sup>(a)</sup> | 28629 |
| 3304 | Pandora A/S | 251536 |
| 54 | Rockwool A/S – B Shares <sup>(a)</sup> | 11857 |
| 2623 | Scandinavian Tobacco Group A/S | 46593 |
|  | Total Denmark | 848898 |
|  | **Finland — 0.4%** |  |
| 5138 | Metsa Board Oyj – Class B | 45715 |
| 3575 | Neste Oyj <sup>(a)</sup> | 184529 |
| 50896 | Nokia Oyj <sup>(a)</sup> | 250760 |
| 22116 | Outokumpu Oyj | 111559 |
| 11386 | Stora Enso Oyj – R Shares <sup>(a)</sup> | 167501 |
| 2689 | UPM-Kymmene Oyj <sup>(a)</sup> | 98717 |
|  | Total Finland | 858781 |
|  | **France — 1.6%** |  |
| 3743 | ALD SA <sup>(a)</sup> | 37670 |
| 569 | APERAM SA | 18063 |
| 8555 | ArcelorMittal SA | 234570 |
| 2669 | Arkema SA | 237305 |
| 3837 | BNP Paribas SA <sup>(a)</sup> | 215609 |
| 7301 | Coface SA | 89375 |
| 7253 | Derichebourg SA | 39237 |
| 96 | Eiffage SA <sup>(a)</sup> | 9452 |
| 2637 | Ipsen SA <sup>(a)</sup> | 294778 |
| 1905 | IPSOS | 108979 |
| 272 | Kering SA <sup>(a)</sup> | 163428 |
| 368 | LVMH Moet Hennessy Louis Vuitton SE <sup>(a)</sup> | 285578 |
| 2986 | Metropole Television SA | 42934 |
| 8614 | Publicis Groupe SA <sup>(a)</sup> | 566943 |
| 1985 | Quadient SA | 30286 |
| 2438 | Safran SA <sup>(a)</sup> | 301302 |
| 1684 | SES SA, ADR – Class A | 11546 |
| 989 | Societe BIC SA | 65336 |
| 9024 | Societe Generale SA | 227125 |
| 1203 | Technip Energies NV | 19053 |
| 8502 | Television Francaise 1 | 64261 |
|  | Total France | 3062830 |
|  | **Germany — 0.6%** |  |
| 502 | 1&1 AG | 7215 |
| 637 | Aurubis AG | 51140 |
| 1847 | Bayerische Motoren Werke AG <sup>(a)</sup> | 167705 |
| 1625 | Beiersdorf AG <sup>(a)</sup> | 176724 |
| 2913 | Commerzbank AG <sup>\*</sup> | 24400 |
| 1015 | Deutsche Pfandbriefbank AG | 8062 |
| 182 | Draegerwerk AG & Co KGaA <sup>(a)</sup> | 7309 |
| 2702 | Fresenius SE & Co KGaA <sup>(a)</sup> | 75285 |
| 2970 | HeidelbergCement AG <sup>(a)</sup> | 162841 |
| 368 | Hornbach Holding AG & Co KGaA | 29190 |
| 9298 | Kloeckner & Co SE | 88240 |
| 3422 | Mercedes-Benz Group AG <sup>(a)</sup> | 232502 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Germany — continued** | |
| 1988 | ProSiebenSat.1 Media SE | 18064 |
| 613 | Salzgitter AG | 17977 |
| 468 | Siltronic AG <sup>(a)</sup> | 38839 |
|  | Total Germany | 1105493 |
|  | **Hong Kong — 0.6%** |  |
| 15300 | ASMPT Ltd <sup>(a)</sup> | 113901 |
| 13200 | Bank of East Asia Ltd (The) | 15224 |
| 7000 | Chow Sang Sang Holdings International Ltd | 8131 |
| 80000 | CITIC Telecom International Holdings Ltd | 26403 |
| 4800 | Dah Sing Financial Holdings Ltd | 10722 |
| 114000 | First Pacific Co Ltd | 35776 |
| 21248 | Galaxy Entertainment Group Ltd | 129176 |
| 2500 | HK Electric Investments & HK Electric Investments Ltd – Class SS <sup>(a)</sup> | 1848 |
| 70000 | HKT Trust & HKT Ltd – Class SS <sup>(a)</sup> | 85353 |
| 26000 | Johnson Electric Holdings Ltd | 32603 |
| 23000 | K Wah International Holdings Ltd <sup>(a)</sup> | 7240 |
| 20000 | Kerry Properties Ltd <sup>(a)</sup> | 38234 |
| 9000 | NWS Holdings Ltd <sup>(a)</sup> | 7421 |
| 57000 | Pacific Textiles Holdings Ltd | 18780 |
| 84000 | PCCW Ltd <sup>(a)</sup> | 36731 |
| 26000 | Power Assets Holdings Ltd <sup>(a)</sup> | 134124 |
| 60000 | Shun Tak Holdings Ltd <sup>\*</sup> | 9673 |
| 10000 | Sino Land Co Ltd <sup>(a)</sup> | 12507 |
| 37000 | SITC International Holdings Co Ltd | 82079 |
| 17000 | Sun Hung Kai & Co Ltd | 6204 |
| 10000 | Swire Pacific Ltd – Class A <sup>(a)</sup> | 78594 |
| 44000 | VSTECS Holdings Ltd | 23883 |
| 8000 | VTech Holdings Ltd | 51021 |
| 289500 | WH Group Ltd <sup>(a)</sup> | 169623 |
| 19500 | Yue Yuen Industrial Holdings Ltd | 24594 |
|  | Total Hong Kong | 1159845 |
|  | **India — 0.4%** |  |
| 47590 | GAIL India Ltd | 55759 |
| 5777 | Hindalco Industries Ltd | 32348 |
| 17130 | Hindustan Petroleum Corp Ltd | 50618 |
| 25377 | Indian Oil Corp Ltd | 24076 |
| 55721 | NTPC Ltd | 118132 |
| 148376 | Oil & Natural Gas Corp Ltd | 259702 |
| 163782 | Tata Steel Ltd | 219027 |
|  | Total India | 759662 |
|  | **Ireland — 0.5%** |  |
| 47597 | Bank of Ireland Group Plc | 394676 |
| 3918 | Glanbia Plc | 47252 |
| 5635 | Origin Enterprises Plc | 23015 |
| 12511 | Ryanair Holdings Plc <sup>\*</sup> | 168883 |
| 412 | Ryanair Holdings Plc Sponsored ADR <sup>\* (a)</sup> | 31184 |
| 7081 | Smurfit Kappa Group Plc | 257242 |
|  | Total Ireland | 922252 |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Israel — 0.2%** | |
| 2845 | Bank Leumi Le-Israel BM | 26080 |
| 6888 | Isracard Ltd | 23066 |
| 26900 | Teva Pharmaceutical Industries Ltd Sponsored ADR <sup>\*</sup> | 235913 |
| 8800 | ZIM Integrated Shipping Services Ltd | 184976 |
|  | Total Israel | 470035 |
|  | **Italy — 0.6%** |  |
| 1136 | ACEA SPA <sup>(a)</sup> | 15616 |
| 2745 | Ascopiave SPA <sup>(a)</sup> | 7133 |
| 2511 | Banca IFIS SPA | 34605 |
| 3249 | Credito Emiliano SPA | 23025 |
| 19791 | Italgas SPA <sup>(a)</sup> | 116471 |
| 36976 | Leonardo SPA | 296668 |
| 47201 | MFE-MediaForEurope NV – Class A | 19860 |
| 15277 | Stellantis NV <sup>(a)</sup> | 241002 |
| 649026 | Telecom Italia SPA <sup>\* (a)</sup> | 141599 |
| 37435 | Unipol Gruppo SPA | 191492 |
|  | Total Italy | 1087471 |
|  | **Japan — 10.0%** |  |
| 800 | ADEKA Corp | 13261 |
| 18600 | Aeon Mall Co Ltd <sup>(a)</sup> | 224630 |
| 3021 | AGC Inc <sup>(a)</sup> | 102022 |
| 2700 | Aisin Corp | 74411 |
| 9400 | Amano Corp | 170640 |
| 400 | Arata Corp | 11759 |
| 1400 | Arclands Corp | 15293 |
| 7600 | Arcs Co Ltd | 116221 |
| 32300 | Asahi Kasei Corp <sup>(a)</sup> | 240064 |
| 9800 | Brother Industries Ltd | 159164 |
| 1900 | Canon Marketing Japan Inc | 43228 |
| 300 | Central Glass Co Ltd | 7641 |
| 17400 | Chugoku Marine Paints Ltd | 131332 |
| 14200 | Citizen Watch Co Ltd | 62356 |
| 11500 | Credit Saison Co Ltd | 147440 |
| 8000 | Dai Nippon Printing Co Ltd <sup>(a)</sup> | 165693 |
| 200 | Dai Nippon Toryo Co Ltd | 1119 |
| 300 | Daiichi Jitsugyo Co Ltd | 9254 |
| 300 | Daishi Hokuetsu Financial Group Inc | 5740 |
| 3500 | Daiwa House Industry Co Ltd <sup>(a)</sup> | 80602 |
| 24600 | Daiwabo Holdings Co Ltd | 392477 |
| 9700 | Denka Co Ltd | 234859 |
| 3400 | Dentsu Group Inc <sup>(a)</sup> | 110101 |
| 400 | Eizo Corp | 10518 |
| 700 | ESPEC Corp | 10581 |
| 500 | Exedy Corp | 6082 |
| 16800 | EXEO Group Inc | 260772 |
| 7700 | Ezaki Glico Co Ltd | 200920 |
| 12700 | Fuji Corp | 193768 |
| 3700 | Fuji Electric Co Ltd <sup>(a)</sup> | 153310 |
| 3200 | FUJIFILM Holdings Corp <sup>(a)</sup> | 172135 |
| 2100 | Fukuoka Financial Group Inc | 41145 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 9800 | H.U. Group Holdings Inc <sup>(a)</sup> | 198765 |
| 1700 | Hanwa Co Ltd | 44622 |
| 28800 | Haseko Corp | 318455 |
| 500 | Hazama Ando Corp | 3190 |
| 8600 | Hogy Medical Co Ltd <sup>(a)</sup> | 218846 |
| 17500 | Honda Motor Co Ltd <sup>(a)</sup> | 426503 |
| 900 | Hosiden Corp | 10723 |
| 4400 | Idemitsu Kosan Co Ltd | 103328 |
| 1800 | Inabata & Co Ltd | 31169 |
| 52800 | Inpex Corp <sup>(a)</sup> | 581836 |
| 7300 | ITOCHU Corp <sup>(a)</sup> | 229272 |
| 2100 | Itochu Enex Co Ltd | 15589 |
| 5300 | Itoham Yonekyu Holdings Inc | 26420 |
| 1500 | Jaccs Co Ltd | 42827 |
| 1100 | Japan Aviation Electronics Industry Ltd | 18995 |
| 1500 | Juroku Financial Group Inc | 28890 |
| 24300 | JVCKenwood Corp | 65880 |
| 400 | Kaga Electronics Co Ltd | 12905 |
| 14100 | Kajima Corp <sup>(a)</sup> | 159547 |
| 3600 | Kandenko Co Ltd | 22797 |
| 800 | Kaneka Corp | 20557 |
| 17000 | Kanematsu Corp | 189835 |
| 500 | Kanematsu Electronics Ltd <sup>(a)</sup> | 16657 |
| 2600 | KDDI Corp <sup>(a)</sup> | 77336 |
| 3300 | Kinden Corp | 35452 |
| 17000 | Kirin Holdings Co Ltd <sup>(a)</sup> | 268355 |
| 300 | Kissei Pharmaceutical Co Ltd | 5558 |
| 800 | Kohnan Shoji Co Ltd | 19313 |
| 2300 | Kokuyo Co Ltd | 30407 |
| 2700 | Komeri Co Ltd | 50972 |
| 10000 | Konoike Transport Co Ltd <sup>(a)</sup> | 115815 |
| 17300 | K's Holdings Corp <sup>(a)</sup> | 143644 |
| 9700 | Kyudenko Corp | 233375 |
| 1700 | Macnica Holdings Inc | 43087 |
| 14700 | Macromill Inc | 119889 |
| 16300 | Mandom Corp | 171880 |
| 11500 | Maruichi Steel Tube Ltd | 239194 |
| 400 | Maruzen Showa Unyu Co Ltd | 9418 |
| 15700 | Maxell Ltd | 162258 |
| 2700 | Mazda Motor Corp | 21466 |
| 22900 | Mebuki Financial Group Inc | 52060 |
| 5700 | Mirarth Holdings Inc | 16207 |
| 7400 | Mitsubishi Corp <sup>(a)</sup> | 249226 |
| 1500 | Mitsubishi Electric Corp <sup>(a)</sup> | 15033 |
| 17300 | Mitsubishi Motors Corp <sup>\*</sup> | 80712 |
| 400 | Mitsubishi Shokuhin Co Ltd <sup>(a)</sup> | 9470 |
| 400 | Mitsuboshi Belting Ltd | 10028 |
| 900 | Mitsui DM Sugar Holdings Co Ltd | 12803 |
| 8700 | Mitsui OSK Lines Ltd <sup>(a)</sup> | 215485 |
| 500 | Mitsui-Soko Holdings Co Ltd <sup>(a)</sup> | 12942 |
| 6800 | Morinaga & Co Ltd | 183197 |
| 6100 | MS&AD Insurance Group Holdings Inc <sup>(a)</sup> | 181056 |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 7300 | NEC Corp <sup>(a)</sup> | 259884 |
| 11600 | NGK Spark Plug Co Ltd | 227284 |
| 9500 | NH Foods Ltd | 255779 |
| 800 | Nichias Corp | 14198 |
| 800 | Nichiha Corp | 16601 |
| 23800 | Nikon Corp | 232710 |
| 1100 | Nippon Soda Co Ltd | 34378 |
| 200 | Nippon Steel Trading Corp | 7454 |
| 7800 | Nippon Suisan Kaisha Ltd | 29728 |
| 7300 | Nippon Telegraph & Telephone Corp <sup>(a)</sup> | 202422 |
| 8500 | Nippon Television Holdings Inc | 65718 |
| 10400 | Nippon Yusen KK <sup>(a)</sup> | 231498 |
| 800 | Nissin Electric Co Ltd | 7877 |
| 400 | Nitto Kogyo Corp | 6808 |
| 3800 | Nojima Corp | 38777 |
| 27700 | Obayashi Corp | 207087 |
| 2700 | Okamura Corp | 28002 |
| 1700 | ORIX Corp <sup>(a)</sup> | 27544 |
| 400 | Osaka Soda Co Ltd | 12096 |
| 17200 | Pacific Industrial Co Ltd | 136314 |
| 500 | PAL GROUP Holdings Co Ltd | 8841 |
| 38600 | Penta-Ocean Construction Co Ltd | 182673 |
| 1400 | Proto Corp | 12910 |
| 500 | Raito Kogyo Co Ltd | 7536 |
| 1200 | Raiznext Corp | 11007 |
| 2600 | Renesas Electronics Corp <sup>\* (a)</sup> | 25500 |
| 2700 | Rohm Co Ltd <sup>(a)</sup> | 216732 |
| 2600 | San-A Co Ltd <sup>(a)</sup> | 82510 |
| 1000 | San-Ai Oil Co Ltd | 9454 |
| 3100 | Sanki Engineering Co Ltd | 36103 |
| 8400 | Sankyu Inc <sup>(a)</sup> | 303994 |
| 800 | Sanwa Holdings Corp | 7581 |
| 4900 | Sawai Group Holdings Co Ltd | 151725 |
| 4100 | Secom Co Ltd <sup>(a)</sup> | 253483 |
| 900 | Sega Sammy Holdings Inc | 12002 |
| 14000 | Seiko Epson Corp | 220309 |
| 13100 | Sekisui House Ltd <sup>(a)</sup> | 245280 |
| 400 | Sekisui Jushi Corp | 5290 |
| 2300 | Shimamura Co Ltd <sup>(a)</sup> | 208813 |
| 28800 | Shimizu Corp | 155276 |
| 1100 | Shizuoka Gas Co Ltd <sup>(a)</sup> | 8860 |
| 1100 | Sinko Industries Ltd | 12439 |
| 2100 | SKY Perfect JSAT Holdings Inc | 7794 |
| 15740 | Sojitz Corp | 280501 |
| 19300 | Stanley Electric Co Ltd | 396839 |
| 500 | Star Micronics Co Ltd | 6430 |
| 7600 | Subaru Corp | 130172 |
| 16100 | SUMCO Corp <sup>(a)</sup> | 240880 |
| 69800 | Sumitomo Chemical Co Ltd | 254479 |
| 15400 | Sumitomo Corp <sup>(a)</sup> | 252472 |
| 5700 | Sumitomo Forestry Co Ltd | 99523 |
| 9700 | Sumitomo Mitsui Financial Group Inc <sup>(a)</sup> | 329225 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Japan — continued** | |
| 8900 | Sumitomo Mitsui Trust Holdings Inc | 285429 |
| 400 | Sumitomo Seika Chemicals Co Ltd | 12368 |
| 1100 | Sumitomo Warehouse Co Ltd (The) <sup>(a)</sup> | 16109 |
| 1000 | Suntory Beverage & Food Ltd <sup>(a)</sup> | 34078 |
| 28300 | T&D Holdings Inc | 344052 |
| 11700 | Tachi-S Co Ltd | 93872 |
| 6100 | Taisei Corp | 185435 |
| 2500 | Takara Holdings Inc | 19551 |
| 400 | Takeuchi Manufacturing Co Ltd | 9310 |
| 16100 | Takuma Co Ltd | 150469 |
| 1300 | Tamron Co Ltd | 33019 |
| 22800 | Teijin Ltd | 221229 |
| 11700 | THK Co Ltd | 230787 |
| 10200 | Toho Holdings Co Ltd <sup>(a)</sup> | 158747 |
| 28900 | Tokai Carbon Co Ltd | 222995 |
| 14900 | Tokyo Gas Co Ltd <sup>(a)</sup> | 274085 |
| 7200 | Tokyo Seimitsu Co Ltd <sup>(a)</sup> | 230726 |
| 5000 | Tokyu Construction Co Ltd | 23937 |
| 15400 | Toppan Inc <sup>(a)</sup> | 239872 |
| 15100 | Tosei Corp <sup>(a)</sup> | 154845 |
| 10700 | Tosoh Corp | 127041 |
| 900 | Totetsu Kogyo Co Ltd | 16735 |
| 500 | Towa Pharmaceutical Co Ltd | 7703 |
| 3300 | Toyo Construction Co Ltd | 20087 |
| 700 | Toyota Boshoku Corp | 9833 |
| 5300 | Toyota Industries Corp <sup>(a)</sup> | 304046 |
| 5000 | Tsumura & Co | 109571 |
| 1700 | TV Asahi Holdings Corp | 17041 |
| 2000 | YAMABIKO Corp | 16595 |
| 22500 | Yamada Holdings Co Ltd <sup>(a)</sup> | 77982 |
| 2700 | Yamaha Motor Co Ltd | 67634 |
| 2000 | Yamazen Corp | 14635 |
| 2200 | Yellow Hat Ltd | 27711 |
| 7200 | Yokogawa Bridge Holdings Corp | 101620 |
| 600 | Yuasa Trading Co Ltd | 15743 |
| 5500 | Zenkoku Hosho Co Ltd | 204787 |
|  | Total Japan | 19440255 |
|  | **Mexico — 0.3%** |  |
| 36102 | Fomento Economico Mexicano SAB de CV | 288120 |
| 49405 | Grupo Mexico SAB de CV – Series B | 201010 |
|  | Total Mexico | 489130 |
|  | **Netherlands — 1.4%** |  |
| 2352 | ABN AMRO Bank NV CVA GDR | 30331 |
| 52055 | Aegon NV <sup>(a)</sup> | 255198 |
| 200 | AerCap Holdings NV <sup>\*</sup> | 12280 |
| 6818 | ASR Nederland NV | 312051 |
| 7939 | EXOR NV <sup>\* (a)</sup> | 623211 |
| 7104 | JDE Peet's NV <sup>(a)</sup> | 220062 |
| 7095 | Koninklijke Ahold Delhaize NV <sup>(a)</sup> | 206763 |
| 14692 | Koninklijke Philips NV <sup>(a)</sup> | 220154 |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Netherlands — continued** | |
| 6366 | NN Group NV <sup>(a)</sup> | 272060 |
| 3427 | Prosus NV <sup>\*</sup> | 224259 |
| 4713 | Randstad NV <sup>(a)</sup> | 272993 |
| 220 | Signify NV <sup>(a)</sup> | 7514 |
|  | Total Netherlands | 2656876 |
|  | **New Zealand — 0.1%** |  |
| 7740 | Auckland International Airport Ltd <sup>\* (a)</sup> | 39446 |
| 25648 | Meridian Energy Ltd <sup>(a)</sup> | 79606 |
| 8374 | Spark New Zealand Ltd <sup>(a)</sup> | 27300 |
|  | Total New Zealand | 146352 |
|  | **Norway — 0.2%** |  |
| 35651 | DNO ASA | 45563 |
| 15845 | Elkem ASA <sup>\*</sup> | 58676 |
| 12647 | Europris ASA | 80376 |
| 2875 | SpareBank 1 Nord Norge | 26797 |
| 2228 | SpareBank 1 SMN | 26547 |
| 901 | SpareBank 1 SR-Bank ASA | 10915 |
| 434 | Stolt-Nielsen Ltd <sup>(a)</sup> | 11240 |
| 7121 | Wallenius Wilhelmsen ASA <sup>(a)</sup> | 66709 |
|  | Total Norway | 326823 |
|  | **Poland — 0.0%** |  |
| 666 | Polski Koncern Naftowy ORLEN SA | 9803 |
|  | **Portugal — 0.4%** |  |
| 6375 | Altri SGPS SA | 37345 |
| 10741 | CTT-Correios de Portugal SA | 35991 |
| 24809 | EDP – Energias de Portugal SA | 117720 |
| 28724 | Galp Energia SGPS SA | 353928 |
| 14937 | Navigator Co SA (The) <sup>\*</sup> | 60675 |
| 16961 | NOS SGPS SA | 68134 |
| 7365 | REN – Redes Energeticas Nacionais SGPS SA | 19504 |
| 98476 | Sonae SGPS SA | 100038 |
|  | Total Portugal | 793335 |
|  | **Russia — 0.0%** |  |
| 2505 | LUKOIL PJSC <sup>(d)</sup> | 13212 |
| 5410 | Novatek PJSC <sup>(d)</sup> | 6401 |
|  | Total Russia | 19613 |
|  | **Singapore — 0.6%** |  |
| 17200 | City Developments Ltd | 105670 |
| 46900 | ComfortDelGro Corp Ltd | 42665 |
| 222800 | Golden Agri-Resources Ltd | 47563 |
| 27900 | Japfa Ltd | 10524 |
| 8400 | Jardine Cycle & Carriage Ltd | 187352 |
| 33900 | Keppel Corp Ltd | 189214 |
| 26800 | StarHub Ltd | 21181 |
| 8100 | UOL Group Ltd | 39945 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Singapore — continued** | |
| 238600 | Yangzijiang Financial Holding Ltd <sup>\*</sup> | 61040 |
| 378400 | Yangzijiang Shipbuilding Holdings Ltd | 400752 |
| 35100 | Yanlord Land Group Ltd | 25499 |
|  | Total Singapore | 1131405 |
|  | **South Africa — 0.1%** |  |
| 11775 | Bidvest Group Ltd (The) | 158354 |
|  | **South Korea — 0.3%** |  |
| 3662 | Kia Corp | 192855 |
| 1223 | LG Corp | 78872 |
| 358 | LG Electronics Inc | 27015 |
| 137 | POSCO Holdings Inc | 31359 |
| 2700 | POSCO Holdings Inc Sponsored ADR <sup>(a)</sup> | 154062 |
| 47 | Samsung Electronics Co Ltd GDR (Registered) <sup>(a)</sup> | 55829 |
| 2735 | SK Square Co Ltd <sup>\*</sup> | 79240 |
|  | Total South Korea | 619232 |
|  | **Spain — 1.1%** |  |
| 30150 | Acerinox SA | 298275 |
| 3465 | Amadeus IT Group SA <sup>\* (a)</sup> | 187344 |
| 5374 | Atresmedia Corp de Medios de Comunicacion SA | 18893 |
| 46898 | Banco Bilbao Vizcaya Argentaria SA | 276372 |
| 260361 | Banco de Sabadell SA | 243104 |
| 85453 | Banco Santander SA | 254978 |
| 4325 | Cia de Distribucion Integral Logista Holdings SA <sup>(a)</sup> | 102010 |
| 3977 | Ence Energia y Celulosa SA | 13176 |
| 3874 | Faes Farma SA | 14891 |
| 721 | Grupo Catalana Occidente SA | 22806 |
| 6826 | Industria de Diseno Textil SA <sup>(a)</sup> | 178184 |
| 27916 | Repsol SA <sup>\* (a)</sup> | 431032 |
| 13518 | Telefonica SA <sup>(a)</sup> | 50458 |
|  | Total Spain | 2091523 |
|  | **Sweden — 0.5%** |  |
| 13005 | Fastighets AB Balder – B Shares <sup>\* (a)</sup> | 58464 |
| 2695 | Industrivarden AB – A Shares <sup>(a)</sup> | 69553 |
| 4611 | Industrivarden AB – C Shares <sup>(a)</sup> | 118118 |
| 4424 | Investor AB – A Shares <sup>(a)</sup> | 85183 |
| 4363 | Investor AB – B Shares <sup>(a)</sup> | 81199 |
| 5114 | Inwido AB | 51496 |
| 7068 | Kinnevik AB – Class B <sup>\*</sup> | 108952 |
| 1919 | New Wave Group AB – B Shares | 38885 |
| 5381 | Skanska AB – B Shares <sup>(a)</sup> | 87599 |
| 37851 | SSAB AB – A Shares | 219186 |
| 3710 | SSAB AB – B Shares | 20975 |
| 2725 | Svenska Cellulosa AB SCA – Class B | 37051 |
| 3818 | Telefonaktiebolaget LM Ericsson – B Shares | 24098 |
|  | Total Sweden | 1000759 |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Switzerland — 0.4%** | |
| 6670 | Adecco Group AG (Registered) <sup>(a)</sup> | 226757 |
| 500 | Logitech International SA | 30270 |
| 3677 | Logitech International SA (Registered) | 222927 |
| 689 | Roche Holding AG – Genusschein <sup>(a)</sup> | 225044 |
| 27 | Schindler Holding AG (Registered) <sup>(a)</sup> | 4862 |
| 158 | u-blox Holding AG <sup>\*</sup> | 20570 |
| 182 | Zehnder Group AG – Class RG | 10820 |
|  | Total Switzerland | 741250 |
|  | **Taiwan — 0.0%** |  |
| 38900 | Ruentex Development Co Ltd | 58721 |
|  | **Thailand — 0.1%** |  |
| 14200 | Kasikornbank Pcl NVDR | 58513 |
| 200000 | Krung Thai Bank Pcl NVDR | 100367 |
|  | Total Thailand | 158880 |
|  | **Turkey — 0.0%** |  |
| 32988 | Akbank TAS | 30857 |
| 21455 | Haci Omer Sabanci Holding AS | 48798 |
|  | Total Turkey | 79655 |
|  | **United Kingdom — 2.5%** |  |
| 14950 | 3i Group Plc <sup>(a)</sup> | 245635 |
| 40420 | Airtel Africa Plc | 60455 |
| 17644 | Balfour Beatty Plc | 69083 |
| 923 | Bank of Georgia Group Plc | 28155 |
| 53965 | Barratt Developments Plc | 260963 |
| 6210 | Bellway Plc | 150898 |
| 7761 | Berkeley Group Holdings Plc | 359906 |
| 129122 | BT Group Plc <sup>(a)</sup> | 190004 |
| 4600 | Bunzl Plc <sup>(a)</sup> | 170122 |
| 66297 | Centrica Plc <sup>(a)</sup> | 76535 |
| 200 | Clarkson Plc <sup>(a)</sup> | 7465 |
| 20278 | Coca-Cola HBC AG <sup>\*</sup> | 496018 |
| 15721 | Compass Group Plc <sup>(a)</sup> | 358406 |
| 9585 | Crest Nicholson Holdings Plc | 26531 |
| 34999 | Ferrexpo Plc | 60962 |
| 13618 | Halfords Group Plc | 32059 |
| 11553 | IG Group Holdings Plc | 114924 |
| 5820 | Indivior Plc <sup>\*</sup> | 120708 |
| 17036 | Investec Plc | 107595 |
| 62403 | Kingfisher Plc <sup>(a)</sup> | 182491 |
| 149488 | M&G Plc | 349305 |
| 2718 | Morgan Sindall Group Plc | 53728 |
| 18562 | OSB Group Plc | 106859 |
| 2818 | Paragon Banking Group Plc | 16116 |
| 6089 | Persimmon Plc | 94312 |
| 11397 | Plus500 Ltd | 261624 |
| 41577 | Premier Foods Plc | 51810 |
| 9276 | Redde Northgate Plc <sup>(a)</sup> | 42464 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United Kingdom — continued** | |
| 14847 | Redrow Plc | 81809 |
| 16236 | S4 Capital Plc <sup>\*</sup> | 37487 |
| 12021 | Serica Energy Plc | 45931 |
| 7807 | Shell Plc <sup>(a)</sup> | 228478 |
| 72474 | Taylor Wimpey Plc | 91348 |
| 282 | TBC Bank Group Plc | 7477 |
| 12500 | Vodafone Group Plc Sponsored ADR <sup>(a)</sup> | 140375 |
| 19552 | WPP Plc <sup>(a)</sup> | 205485 |
|  | Total United Kingdom | 4933523 |
|  | **United States — 11.2%** |  |
| 500 | 3M Co. <sup>(a)</sup> | 62985 |
| 1183 | ADTRAN Holdings, Inc. | 23979 |
| 1700 | Aflac, Inc. <sup>(a)</sup> | 122281 |
| 7000 | Ally Financial, Inc. <sup>(a)</sup> | 189070 |
| 1717 | Alphabet, Inc. – Class A <sup>\* (a)</sup> | 173400 |
| 1533 | American Express Co. <sup>(a)</sup> | 241586 |
| 4300 | AppLovin Corp. – Class A <sup>\* (a)</sup> | 61963 |
| 2100 | Arrow Electronics, Inc. <sup>\*</sup> | 228354 |
| 8200 | AT&T, Inc. <sup>(a)</sup> | 158096 |
| 2900 | Best Buy Co., Inc. <sup>(a)</sup> | 247370 |
| 700 | Biogen, Inc. <sup>\* (a)</sup> | 213619 |
| 500 | Bio-Rad Laboratories, Inc. – Class A <sup>\* (a)</sup> | 207355 |
| 105 | Booking Holdings, Inc. <sup>\* (a)</sup> | 218342 |
| 10313 | BorgWarner, Inc. | 438406 |
| 1900 | Capital One Financial Corp. <sup>(a)</sup> | 196156 |
| 724 | CarMax, Inc. <sup>\* (a)</sup> | 50217 |
| 6300 | Carrier Global Corp. <sup>(a)</sup> | 279216 |
| 2900 | CBRE Group, Inc. – Class A<sup>\*</sup> <sup>(a)</sup> | 230840 |
| 2800 | Centene Corp. <sup>\* (a)</sup> | 243740 |
| 1265 | Chevron Corp. <sup>(a)</sup> | 231887 |
| 400 | Cigna Corp. <sup>(a)</sup> | 131556 |
| 4300 | Citigroup, Inc. <sup>(a)</sup> | 208163 |
| 14000 | Cleveland-Cliffs, Inc. <sup>\*</sup> | 216720 |
| 3400 | Cognizant Technology Solutions Corp. – Class A <sup>(a)</sup> | 211514 |
| 7000 | Comcast Corp. – Class A <sup>(a)</sup> | 256480 |
| 1500 | CVS Health Corp. <sup>(a)</sup> | 152820 |
| 3452 | Darling Ingredients, Inc. <sup>\* (a)</sup> | 247957 |
| 5200 | Dell Technologies, Inc. – Class C <sup>(a)</sup> | 232908 |
| 1600 | Discover Financial Services <sup>(a)</sup> | 173376 |
| 13500 | DISH Network Corp. – Class A<sup>\*</sup> <sup>(a)</sup> | 216675 |
| 3500 | DR Horton, Inc. <sup>(a)</sup> | 301000 |
| 5100 | eBay, Inc. <sup>(a)</sup> | 231744 |
| 2257 | EOG Resources, Inc. <sup>(a)</sup> | 320336 |
| 4900 | Exelon Corp. <sup>(a)</sup> | 202713 |
| 1200 | FedEx Corp. <sup>(a)</sup> | 218664 |
| 5600 | Fidelity National Financial, Inc. <sup>(a)</sup> | 226016 |
| 17800 | Ford Motor Co. <sup>(a)</sup> | 247420 |
| 3200 | Fortune Brands Home & Security, Inc. <sup>(a)</sup> | 209088 |
| 200 | Fox Corp. – Class A <sup>(a)</sup> | 6490 |
| 9500 | Fox Corp. – Class B <sup>(a)</sup> | 289940 |
| 9800 | Franklin Resources, Inc. <sup>(a)</sup> | 262738 |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 500 | Garmin Ltd. <sup>(a)</sup> | 46495 |
| 6000 | General Motors Co. | 243360 |
| 800 | Gilead Sciences, Inc. <sup>(a)</sup> | 70264 |
| 200 | Goldman Sachs Group, Inc. (The) <sup>(a)</sup> | 77230 |
| 2572 | Green Plains, Inc. <sup>\*</sup> | 88888 |
| 900 | Henry Schein, Inc. <sup>\* (a)</sup> | 72828 |
| 1496 | Hilton Worldwide Holdings, Inc. <sup>(a)</sup> | 213360 |
| 7700 | HP, Inc. <sup>(a)</sup> | 231308 |
| 4000 | IAC, Inc. <sup>\* (a)</sup> | 207560 |
| 3600 | Incyte Corp. <sup>\* (a)</sup> | 286812 |
| 7900 | Intel Corp. <sup>(a)</sup> | 237553 |
| 2492 | Intercontinental Exchange, Inc. <sup>(a)</sup> | 269909 |
| 2100 | International Business Machines Corp. <sup>(a)</sup> | 312690 |
| 9600 | Invesco Ltd. <sup>(a)</sup> | 183456 |
| 1800 | Jazz Pharmaceuticals Plc <sup>\* (a)</sup> | 282438 |
| 15300 | Kinder Morgan, Inc. <sup>(a)</sup> | 292536 |
| 2800 | Knight-Swift Transportation Holdings, Inc. <sup>(a)</sup> | 155204 |
| 5300 | Kraft Heinz Co. (The) <sup>(a)</sup> | 208555 |
| 2000 | Kroger Co. (The) <sup>(a)</sup> | 98380 |
| 1000 | Laboratory Corp. of America Holdings <sup>(a)</sup> | 240700 |
| 288 | Lam Research Corp. <sup>(a)</sup> | 136045 |
| 3912 | Las Vegas Sands Corp. <sup>\* (a)</sup> | 183238 |
| 2900 | Lennar Corp. – Class A <sup>(a)</sup> | 254707 |
| 3088 | Liberty Global Plc – Class A <sup>\* (a)</sup> | 62007 |
| 6399 | Liberty Global Plc – Class C <sup>\* (a)</sup> | 132331 |
| 4000 | Lincoln National Corp. | 155760 |
| 24000 | Lumen Technologies, Inc. <sup>(a)</sup> | 131280 |
| 3000 | LyondellBasell Industries NV – Class A <sup>(a)</sup> | 255030 |
| 166 | Markel Corp. <sup>\* (a)</sup> | 219924 |
| 900 | Match Group, Inc. <sup>\* (a)</sup> | 45504 |
| 3033 | Meta Platforms, Inc. – Class A <sup>\* (a)</sup> | 358197 |
| 1100 | MetLife, Inc. <sup>(a)</sup> | 84370 |
| 5631 | Micron Technology, Inc. <sup>(a)</sup> | 324627 |
| 1800 | Mohawk Industries, Inc. <sup>\*</sup> | 182394 |
| 4400 | Molson Coors Brewing Co. – Class B <sup>(a)</sup> | 242484 |
| 2500 | Mosaic Co. (The) <sup>(a)</sup> | 128250 |
| 4700 | NRG Energy, Inc. <sup>(a)</sup> | 199515 |
| 1600 | Nucor Corp. <sup>(a)</sup> | 239920 |
| 1600 | Occidental Petroleum Corp. <sup>(a)</sup> | 111184 |
| 2800 | Oracle Corp. <sup>(a)</sup> | 232484 |
| 1751 | Otis Worldwide Corp. <sup>(a)</sup> | 136736 |
| 500 | PACCAR, Inc. <sup>(a)</sup> | 52955 |
| 11800 | Paramount Global – Class B <sup>(a)</sup> | 236944 |
| 2900 | PayPal Holdings, Inc. <sup>\* (a)</sup> | 227389 |
| 2300 | Pfizer, Inc. <sup>(a)</sup> | 115299 |
| 2700 | Prudential Financial, Inc. <sup>(a)</sup> | 291681 |
| 5000 | PulteGroup, Inc. | 223900 |
| 100 | Quest Diagnostics, Inc. <sup>(a)</sup> | 15183 |
| 2906 | Raytheon Technologies Corp. <sup>(a)</sup> | 286880 |
| 400 | Regeneron Pharmaceuticals, Inc. <sup>\* (a)</sup> | 300680 |
| 2901 | Sensata Technologies Holding Plc | 130835 |
| 1400 | Skyworks Solutions, Inc. <sup>(a)</sup> | 133868 |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| 1200 | SS&C Technologies Holdings, Inc. <sup>(a)</sup> | 64512 |
| 400 | Stanley Black & Decker, Inc. <sup>(a)</sup> | 32688 |
| 2700 | Steel Dynamics, Inc. <sup>(a)</sup> | 280611 |
| 6700 | Synchrony Financial <sup>(a)</sup> | 251786 |
| 2700 | Textron, Inc. <sup>(a)</sup> | 192726 |
| 3000 | Tyson Foods, Inc. – Class A <sup>(a)</sup> | 198840 |
| 100 | United Parcel Service, Inc. – Class B <sup>(a)</sup> | 18973 |
| 1900 | Universal Health Services, Inc. – Class B <sup>(a)</sup> | 248615 |
| 4853 | US Bancorp <sup>(a)</sup> | 220278 |
| 5600 | Verizon Communications, Inc. <sup>(a)</sup> | 218288 |
| 800 | Vertex Pharmaceuticals, Inc. <sup>\* (a)</sup> | 253120 |
| 21600 | Viatris, Inc. <sup>(a)</sup> | 238248 |
| 5500 | Walgreens Boots Alliance, Inc. <sup>(a)</sup> | 228250 |
| 3023 | Warner Bros Discovery, Inc. <sup>\* (a)</sup> | 34462 |
| 5252 | Wells Fargo & Co. <sup>(a)</sup> | 251833 |
| 14200 | Western Union Co. (The) <sup>(a)</sup> | 208172 |
| 5300 | Western Digital Corp. <sup>\*</sup> | 194775 |
| 1800 | Westlake Corp. <sup>(a)</sup> | 193770 |
| 1300 | Whirlpool Corp. | 190489 |
| 2600 | Zoom Video Communications, Inc. – Class A <sup>\*</sup> <sup>(a)</sup> | 196118 |
|  | Total United States | 21750861 |
|  | TOTAL COMMON STOCKS<br>(COST $78,443,375) | 74504756 |
|  | **PREFERRED STOCKS <sup>(e)</sup> —0.3%** |  |
|  | **Brazil — 0.2%** |  |
| 31790 | Bradespar SA | 173366 |
| 4000 | Petroleo Brasileiro SA | 20550 |
| 14400 | Petroleo Brasileiro SA Sponsored ADR <sup>(a)</sup> | 147600 |
|  | Total Brazil | 341516 |
|  | **Germany — 0.1%** |  |
| 1572 | Bayerische Motoren Werke AG | 136409 |
| 742 | Draegerwerk AG & Co KGaA <sup>(a)</sup> | 33631 |
| 1095 | Volkswagen AG <sup>(a)</sup> | 161743 |
|  | Total Germany | 331783 |
|  | TOTAL PREFERRED STOCKS<br>(COST $651,384) | 673299 |
|  | **RIGHTS/WARRANTS — 0.0%** |  |
|  | **France — 0.0%** |  |
| 3743 | ALD SA <sup>\*</sup> | 8140 |
|  | TOTAL RIGHTS/WARRANTS<br>(COST $0) | 8140 |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **Par Value† /**<br> **Shares** | **Description** | **Value ($)** |
|  | **DEBT OBLIGATIONS — 6.5%** |  |
| | **United States — 6.5%** | |
| | **U.S. Government — 6.5%** | |
| 12725000 | U.S. Treasury Note, 0.13%, due 02/28/23 <sup>(a)</sup> | 12591663 |
| 51000 | U.S. Treasury Note, 0.13%, due 04/30/23 <sup>(a)</sup> | 50050 |
|  | Total U.S. Government | 12641713 |
|  | Total United States | 12641713 |
|  | TOTAL DEBT OBLIGATIONS<br>(COST $12,759,280) | 12641713 |
|  | **MUTUAL FUNDS — 65.1%** |  |
|  | **United States — 65.1%** |  |
|  | **Affiliated Issuers — 65.1%** |  |
| 391219 | GMO Emerging Country Debt Fund, Class VI | 7452723 |
| 1313356 | GMO Emerging Markets ex-China Fund, Class VI | 18439519 |
| 778363 | GMO Emerging Markets Fund, Class VI | 18423857 |
| 1184054 | GMO International Equity Fund, Class IV | 25386124 |
| 635829 | GMO Multi-Sector Fixed Income Fund, Class IV | 10770948 |
| 395428 | GMO Quality Fund, Class VI | 10368121 |
| 305280 | GMO Small Cap Quality Fund, Class VI | 7036693 |
| 1416387 | GMO U.S. Equity Fund, Class VI | 18058939 |
| 368099 | GMO U.S. Small Cap Value Fund, Class VI | 6338655 |
| 812804 | GMO U.S. Treasury Fund | 4047762 |
|  | Total Affiliated Issuers | 126323341 |
|  | TOTAL MUTUAL FUNDS<br>(COST $137,427,677) | 126323341 |
|  | **SHORT-TERM INVESTMENTS — 7.4%** | **SHORT-TERM INVESTMENTS — 7.4%** |
|  | **Money Market Funds — 0.2%** |  |
| 355201 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.49% <sup>(f)</sup> | 355201 |
|  | **Repurchase Agreements — 7.2%** |  |
| 13999866 | Nomura Securities International, Inc Repurchase Agreement, dated 11/30/22, maturing on 12/01/22 with a maturity value of $14,001,344 and an effective yield of 3.80%, collateralized by a U.S. Treasury Note with maturity date 11/30/24 and a market value of $14,285,569. | 13999866 |
|  | TOTAL SHORT-TERM INVESTMENTS<br>(COST $14,355,067) | 14355067 |
|  | **TOTAL INVESTMENTS — 117.7**%<br>(Cost $243,636,783) | 228506316 |
|  | **SECURITIES SOLD SHORT — (17.4)%** | **SECURITIES SOLD SHORT — (17.4)%** |
|  | **Common Stocks — (17.3)%** |  |
|  | **Australia — (0.4)%** |  |
| (4131) | ASX Ltd | (199130) |
| (876) | Cochlear Ltd | (128841) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Australia — continued** | |
| (564) | Domino's Pizza Enterprises Ltd | (25831) |
| (4940) | IDP Education Ltd | (101707) |
| (47677) | Qantas Airways Ltd <sup>\*</sup> | (204755) |
| (1564) | Ramsay Health Care Ltd | (70387) |
|  | Total Australia | (730651) |
|  | **Austria — (0.1)%** |  |
| (2362) | Verbund AG | (213817) |
|  | **Belgium — (0.1)%** |  |
| (4223) | Anheuser-Busch InBev SA/NV | (249053) |
|  | **Canada — (1.0)%** |  |
| (3700) | Agnico Eagle Mines Ltd | (186369) |
| (13900) | Algonquin Power & Utilities Corp | (104945) |
| (10100) | AltaGas Ltd | (169466) |
| (1800) | BCE Inc | (85752) |
| (5700) | Brookfield Renewable Corp – Class A | (185877) |
| (5400) | Enbridge Inc | (222966) |
| (1500) | Franco-Nevada Corp | (219180) |
| (13064) | Pan American Silver Corp | (214119) |
| (8100) | Pembina Pipeline Corp | (295488) |
| (4000) | Restaurant Brands International Inc | (265400) |
| (1400) | Ritchie Bros Auctioneers Inc | (76790) |
|  | Total Canada | (2026352) |
|  | **Denmark — (0.1)%** |  |
| (232) | Coloplast A/S – Class B | (27426) |
| (3514) | Tryg A/S | (81757) |
|  | Total Denmark | (109183) |
|  | **Finland — (0.0)%** |  |
| (733) | Elisa Oyj | (38129) |
|  | **France — (0.6)%** |  |
| (7842) | Accor SA <sup>\*</sup> | (206560) |
| (1525) | Aeroports de Paris <sup>\*</sup> | (235060) |
| (13476) | Getlink SE | (222696) |
| (179) | Hermes International | (290925) |
| (248) | Sartorius Stedim Biotech | (84643) |
| (1899) | Ubisoft Entertainment SA <sup>\*</sup> | (52827) |
| (1163) | Wendel SE | (108291) |
|  | Total France | (1201002) |
|  | **Germany — (0.7)%** |  |
| (5797) | Delivery Hero SE <sup>\*</sup> | (253750) |
| (1206) | Deutsche Boerse AG | (221632) |
| (451) | MTU Aero Engines AG | (95099) |
| (162) | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | (51169) |
| (1773) | Puma SE | (91759) |
| (514) | QIAGEN NV <sup>\* (b)</sup> | (25662) |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Germany — continued** | |
| (400) | QIAGEN NV <sup>\* (b)</sup> | (19816) |
| (189) | Rational AG | (118749) |
| (362) | Scout24 SE | (19870) |
| (1870) | Symrise AG – Class A | (214468) |
| (70965) | Telefonica Deutschland Holding AG | (169731) |
| (1308) | Zalando SE <sup>\*</sup> | (41140) |
|  | Total Germany | (1322845) |
|  | **Ireland — (0.0)%** |  |
| (244) | Flutter Entertainment Plc <sup>\*</sup> | (36331) |
|  | **Israel — (0.2)%** |  |
| (1800) | CyberArk Software Ltd <sup>\*</sup> | (268326) |
| (500) | Wix.com Ltd <sup>\*</sup> | (45245) |
|  | Total Israel | (313571) |
|  | **Italy — (0.5)%** |  |
| (6384) | Amplifon SPA | (180840) |
| (986) | Ferrari NV <sup>(b)</sup> | (220077) |
| (300) | Ferrari NV <sup>(b)</sup> | (66915) |
| (15620) | FinecoBank Banca Fineco SPA | (253696) |
| (22515) | Infrastrutture Wireless Italiane SPA | (224559) |
|  | Total Italy | (946087) |
|  | **Japan — (1.9)%** |  |
| (7700) | Aeon Co Ltd | (158910) |
| (11300) | ANA Holdings Inc <sup>\*</sup> | (243310) |
| (9500) | Asahi Intecc Co Ltd | (170058) |
| (2400) | GMO Payment Gateway Inc | (217294) |
| (11200) | Japan Airlines Co Ltd <sup>\*</sup> | (223879) |
| (5900) | Japan Exchange Group Inc | (85427) |
| (3700) | Keio Corp | (138612) |
| (1800) | Keisei Electric Railway Co Ltd | (51567) |
| (700) | Kintetsu Group Holdings Co Ltd | (25019) |
| (1200) | Lasertec Corp | (226202) |
| (8000) | M3 Inc | (250902) |
| (15200) | MonotaRO Co Ltd | (262964) |
| (2600) | Nidec Corp | (163729) |
| (10600) | Nihon M&A Center Holdings Inc | (145121) |
| (20000) | Nippon Paint Holdings Co Ltd | (165635) |
| (1200) | Nissin Foods Holdings Co Ltd | (91446) |
| (10700) | Odakyu Electric Railway Co Ltd | (141244) |
| (1800) | Oriental Land Co Ltd | (260191) |
| (44100) | Rakuten Group Inc | (211881) |
| (2700) | Shiseido Co Ltd | (115317) |
| (3400) | Tobu Railway Co Ltd | (82081) |
| (10200) | Tokyu Corp | (130265) |
| (4100) | West Japan Railway Co | (174659) |
|  | Total Japan | (3735713) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **Netherlands — (0.5)%** | |
| (169) | Adyen NV <sup>\*</sup> | (266229) |
| (1470) | IMCD NV | (217419) |
| (6105) | Just Eat Takeaway.com NV <sup>\*</sup> | (141442) |
| (770) | OCI NV <sup>\*</sup> | (32597) |
| (10847) | Universal Music Group NV | (257950) |
|  | Total Netherlands | (915637) |
|  | **New Zealand — (0.1)%** |  |
| (4074) | Xero Ltd <sup>\*</sup> | (202458) |
|  | **Norway — (0.1)%** |  |
| (6074) | Aker BP ASA | (211316) |
|  | **Peru — (0.1)%** |  |
| (4400) | Southern Copper Corp | (268488) |
|  | **Singapore — (0.2)%** |  |
| (10600) | Grab Holdings Ltd – Class A <sup>\*</sup> | (32012) |
| (29100) | Singapore Airlines Ltd | (118060) |
| (22100) | Singapore Exchange Ltd | (147924) |
|  | Total Singapore | (297996) |
|  | **Spain — (0.3)%** |  |
| (6269) | Cellnex Telecom SA <sup>\*</sup> | (215581) |
| (10986) | Ferrovial SA | (295432) |
|  | Total Spain | (511013) |
|  | **Sweden — (0.1)%** |  |
| (2276) | Evolution AB | (234437) |
|  | **Switzerland — (0.3)%** |  |
| (5) | Chocoladefabriken Lindt & Spruengli AG | (52597) |
| (8) | Givaudan SA | (27045) |
| (196) | Partners Group Holding AG | (195288) |
| (26) | Schindler Holding AG | (4929) |
| (252) | Sika AG (Registered) | (64401) |
| (1550) | Straumann Holding AG (Registered) | (180903) |
|  | Total Switzerland | (525163) |
|  | **United Kingdom — (0.9)%** |  |
| (2205) | Admiral Group Plc | (53908) |
| (30631) | Auto Trader Group Plc | (211455) |
| (58) | Croda International Plc | (4796) |
| (2894) | Halma Plc | (76767) |
| (14090) | Hargreaves Lansdown Plc | (145176) |
| (37618) | Informa Plc | (282109) |
| (2873) | InterContinental Hotels Group Plc | (167218) |
| (2983) | London Stock Exchange Group Plc | (298704) |
| (25187) | Ocado Group Plc <sup>\*</sup> | (190684) |
| (797) | Prudential Plc | (9480) |
| (245783) | Rolls-Royce Holdings Plc <sup>\*</sup> | (272340) |
| (605) | Spirax-Sarco Engineering Plc | (82626) |
|  | Total United Kingdom | (1795263) |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — (9.1)%** | |
| (9800) | AES Corp. (The) | (283416) |
| (1200) | Alnylam Pharmaceuticals, Inc. <sup>\*</sup> | (264708) |
| (4100) | Altria Group, Inc. | (190978) |
| (500) | American Tower Corp. (REIT) | (110625) |
| (200) | Amgen, Inc. | (57280) |
| (700) | Aon Plc – Class A | (215796) |
| (5700) | Aramark | (237120) |
| (1500) | Arthur J Gallagher & Co. | (298665) |
| (900) | Autodesk, Inc. <sup>\*</sup> | (181755) |
| (500) | Automatic Data Processing, Inc. | (132070) |
| (1900) | Bill.Com Holdings, Inc. <sup>\*</sup> | (228798) |
| (1000) | BioMarin Pharmaceutical, Inc. <sup>\*</sup> | (100980) |
| (2400) | Bio-Techne Corp. | (203976) |
| (1500) | Boeing Co. (The) <sup>\*</sup> | (268320) |
| (500) | Broadcom, Inc. | (275515) |
| (500) | Brown & Brown, Inc. | (29795) |
| (1500) | Burlington Stores, Inc. <sup>\*</sup> | (293520) |
| (5400) | Caesars Entertainment, Inc. <sup>\*</sup> | (274374) |
| (500) | Catalent, Inc.<sup>\*</sup> | (25065) |
| (3500) | Ceridian HCM Holding, Inc. <sup>\*</sup> | (239540) |
| (100) | Charles Schwab Corp. (The) | (8254) |
| (200) | Chipotle Mexican Grill, Inc. – Class A <sup>\*</sup> | (325392) |
| (4500) | Cloudflare, Inc. – Class A <sup>\*</sup> | (221130) |
| (1000) | CME Group, Inc. | (176500) |
| (4000) | Coupa Software, Inc. <sup>\*</sup> | (252960) |
| (800) | Crown Castle, Inc. (REIT) | (113144) |
| (6200) | Delta Air Lines, Inc. <sup>\*</sup> | (219294) |
| (2400) | Dexcom, Inc. <sup>\*</sup> | (279072) |
| (1700) | Diamondback Energy, Inc. | (251634) |
| (400) | DocuSign, Inc. – Class A <sup>\*</sup> | (18828) |
| (2300) | Dominion Energy, Inc. | (140553) |
| (700) | Dynatrace, Inc. <sup>\*</sup> | (27125) |
| (1800) | Equity LifeStyle Properties, Inc. (REIT) | (119556) |
| (100) | Erie Indemnity Co. – Class A | (28239) |
| (2000) | Essential Utilities, Inc. | (96480) |
| (5500) | Exact Sciences Corp. <sup>\*</sup> | (247225) |
| (4000) | Fastenal Co. | (206040) |
| (4000) | Fortinet, Inc. <sup>\*</sup> | (212640) |
| (700) | Gartner, Inc. <sup>\*</sup> | (245259) |
| (3100) | Guidewire Software, Inc. <sup>\*</sup> | (183861) |
| (1000) | Hess Corp. | (143910) |
| (700) | HubSpot, Inc. <sup>\*</sup> | (212121) |
| (600) | IDEXX Laboratories, Inc. <sup>\*</sup> | (255522) |
| (4000) | Ingersoll Rand, Inc. | (215880) |
| (900) | Insulet Corp. <sup>\*</sup> | (269433) |
| (1300) | IQVIA Holdings, Inc. <sup>\*</sup> | (283426) |
| (2700) | Iron Mountain, Inc. (REIT) | (146691) |
| (4100) | Liberty Media Corp.-Liberty Formula One – Class C <sup>\*</sup> | (249854) |
| (700) | Linde Plc <sup>\*</sup> | (235536) |
| (2900) | Live Nation Entertainment, Inc. <sup>\*</sup> | (211004) |
| (900) | MarketAxess Holdings, Inc. | (241128) |
| (500) | Marriott International, Inc. – Class A | (82675) |

---

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **United States — continued** | |
| (1200) | Marsh & McLennan Cos., Inc. | (207816) |
| (500) | McDonald's Corp. | (136395) |
| (300) | McKesson Corp. | (114504) |
| (1300) | MongoDB, Inc. – Class A <sup>\*</sup> | (198497) |
| (400) | Monolithic Power Systems, Inc. | (152784) |
| (400) | Moody's Corp. | (119308) |
| (500) | MSCI, Inc. – Class A | (253915) |
| (200) | Nasdaq, Inc. | (13692) |
| (3600) | Newmont Corp. | (170892) |
| (6800) | NiSource, Inc. | (189992) |
| (2800) | Novocure Ltd. <sup>\*</sup> | (215152) |
| (4100) | Okta, Inc. <sup>\*</sup> | (218612) |
| (3800) | ONEOK, Inc. | (254296) |
| (21200) | Palantir Technologies, Inc. – Class A <sup>\*</sup> | (159000) |
| (1900) | Paychex, Inc. | (235657) |
| (1600) | Philip Morris International, Inc. | (159472) |
| (700) | PTC, Inc. <sup>\*</sup> | (89047) |
| (200) | Public Storage (REIT) | (59592) |
| (500) | RingCentral, Inc. – Class A <sup>\*</sup> | (18530) |
| (5100) | ROBLOX Corp. – Class A <sup>\*</sup> | (162027) |
| (3500) | Roku, Inc. <sup>\*</sup> | (207795) |
| (6200) | Rollins, Inc. | (250728) |
| (4100) | Royal Caribbean Cruises Ltd. <sup>\*</sup> | (245713) |
| (200) | RPM International, Inc. | (20724) |
| (500) | S&P Global, Inc. | (176400) |
| (1500) | Seagen, Inc. <sup>\*</sup> | (182085) |
| (500) | ServiceNow, Inc. <sup>\*</sup> | (208150) |
| (900) | Sherwin-Williams Co. (The) | (224262) |
| (1200) | Simon Property Group, Inc. (REIT) | (143328) |
| (4500) | Snap, Inc. – Class A <sup>\*</sup> | (46395) |
| (1200) | Snowflake, Inc. – Class A <sup>\*</sup> | (171480) |
| (200) | Southern Co. | (13528) |
| (2400) | Starbucks Corp. | (245280) |
| (2600) | Sysco Corp. | (224926) |
| (6500) | Teladoc Health, Inc. <sup>\*</sup> | (185315) |
| (1000) | Tesla, Inc.<sup>\*</sup> | (194700) |
| (400) | T-Mobile U.S., Inc. <sup>\*</sup> | (60584) |
| (4000) | Trade Desk, Inc. (The) – Class A <sup>\*</sup> | (208560) |
| (400) | TransDigm Group, Inc. | (251400) |
| (4300) | Twilio, Inc. – Class A <sup>\*</sup> | (210786) |
| (7000) | Uber Technologies, Inc. <sup>\*</sup> | (203980) |
| (2500) | UDR, Inc. (REIT) | (103675) |
| (100) | Union Pacific Corp. | (21743) |
| (900) | Vail Resorts, Inc. | (231786) |
| (500) | Vulcan Materials Co. | (91665) |
| (300) | Wayfair, Inc. – Class A <sup>\*</sup> | (10992) |
| (8600) | Williams Cos., Inc. (The) | (298420) |
| (2242) | Zillow Group, Inc. – Class C <sup>\*</sup> | (85151) |
| (100) | Zoetis, Inc. | (15414) |
| (1400) | Zscaler, Inc. <sup>\*</sup> | (186830) |
|  | Total United States | (17683637) |
|  | TOTAL COMMON STOCKS<br>(PROCEEDS $39,542,227) | (33568142) |

---

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

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

**November 30, 2022 (Unaudited)** 

---

| | | |
|:---|:---|:---|
| **<br>Shares** | **Description** | **Value ($)** |
| | **PREFERRED STOCKS <sup>(e)</sup> — (0.1)%** | |
| | **Germany — (0.1)%** | |
| (561) | Sartorius AG | (210912) |
|  | TOTAL PREFERRED STOCKS<br>(PROCEEDS $236,085) | (210912) |
|  | **TOTAL SECURITIES SOLD SHORT**<br> (PROCEEDS $39,778,312) | **(33779054)** |
|  | Other Assets and Liabilities (net) — (0.3%) | (612076) |
|  | **TOTAL NET ASSETS — 100.0%** | **$194115186** |

---

A summary of outstanding financial instruments at November 30, 2022 is as follows:

**Swap Contracts** 

**OTC Total Return Swaps** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Fund Pays** | **Fund Receives** | **Counterparty** | **Notional<br>Amount** | **Notional<br>Amount** | **Expiration<br>Date** | **Periodic<br>Payment<br>Frequency** | **Premiums<br>Paid/<br>(Received) ($)** | **Value ($)** | **Net Unrealized<br>Appreciation/<br>(Depreciation) ($)** |
|  Total Return on Equity<br>Basket <sup>(g)</sup>  | 1 Month Federal Funds Rate minus 0.75% | GS | USD | 1 | 05/24/2024 | Monthly | – | (773) | (773) |
|  Total Return on Equity<br>Basket <sup>(g)</sup>  | 1 Month Federal Funds Rate minus 1.00% | MORD | USD | 1 | 05/24/2024 | Monthly | – | (272) | (272) |
|  Total Return on Equity<br>Basket <sup>(h)</sup>  | 1 Month Federal Funds Rate minus 0.40% | MORD | USD | 1974199 | 06/18/2024 | Monthly | – | (63416) | (63416) |
|  Total Return on Equity<br>Basket <sup>(g)</sup>  | 1 Month Federal Funds Rate minus 0.40% | GS | USD | 665083 | 06/24/2024 | Monthly | – | (6749) | (6749) |
|  |  |  |  |  |  |  | $– $| (71210) | $(71210) |

---

As of November 30, 2022, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.

**Notes to Schedule of Investments:** 

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

\* Non-income producing security.

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

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

(c) Investment valued using significant unobservable inputs.

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

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

(f) The rate disclosed is the 7 day net yield as of November 30, 2022.

(g) Periodic payments made/received are based on the total return of the referenced entity. Custom equity basket
swap which has a notional amount of less than 1% of the Fund's total net assets.

------

**GMO Strategic Opportunities Allocation Fund** 

**(A Series of GMO Trust)** 

**Schedule of Investments — (Continued)** 

**November 30, 2022 (Unaudited)** 

------

(h) The following table represents the individual long and/or short positions within the custom equity basket swap
as of November 30, 2022:

---

| | | | |
|:---|:---|:---|:---|
| **Shares** | **Description** | **%of<br>Equity<br>Basket** | **Value ($)** |
| (72000) | Air China Ltd – Class H | 2.8% | (57952) |
| (134300) | Airports of Thailand Pcl NVDR | 14.1% | (286821) |
| (70000) | Alibaba Health Information Technology Ltd | 2.9% | (59091) |
| (153000) | China Molybdenum Co Ltd – Class H | 3.5% | (71677) |
| (11040) | Ganfeng Lithium Co Ltd – Class H | 4.8% | (97693) |
| (18000) | Genscript Biotech Corp | 2.3% | (46622) |
| (139800) | Gulf Energy Development Pcl NVDR | 10.4% | (211446) |
| (347) | Hanmi Pharm Co Ltd | 3.4% | (69378) |
| (2364) | Hotel Shilla Co Ltd | 6.5% | (132847) |
| (1795) | Kakao Corp | 3.9% | (78758) |
| (88000) | Kingdee International Software Group Co Ltd | 7.3% | (148502) |
| (9400) | Klabin SA | 1.7% | (35685) |
| (4107) | Korea Aerospace Industries Ltd | 7.5% | (152523) |
| (17600) | Microport Scientific Corp | 2.1% | (42295) |
| (281) | POSCO Chemical Co Ltd | 2.3% | (47463) |
| (327) | Samsung Biologics Co Ltd | 10.9% | (222405) |
| (27568) | Samsung Heavy Industries Co Ltd | 5.4% | (110293) |
| (489) | Yuhan Corp | 1.1% | (21858) |
| (110000) | Zijin Mining Group Co Ltd – Class H | 7.1% | (145999) |
|  | TOTAL COMMON STOCKS |  | $(2039308) |

---

**Portfolio Abbreviations:** 

ADR - American Depositary Receipt

CVA - Certificaaten van aandelen (Share Certificates)

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

PJSC - Private Joint-Stock Company

REIT - Real Estate Investment Trust

**Counterparty Abbreviations:** 

GS - Goldman Sachs International

MORD - Morgan Stanley Capital Services LLC

MSCI - Morgan Stanley & Co. International PLC

**Currency Abbreviations:** 

USD - United States Dollar

------

**Organization** 

Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, SGM Major Markets Fund and Strategic Opportunities Allocation Fund (each a "Fund" and collectively the "Funds") is a series of GMO Trust (the "Trust"). The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust ("Trustees") to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC ("GMO").

The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.

Many of the Funds may invest primarily in other GMO Funds and Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund may also invest in GMO Alternative Allocation SPC Ltd., GMO Implementation SPC Ltd. and GMO Alternative Asset SPC Ltd. (each a "wholly-owned subsidiary"), respectively. These GMO Funds and wholly-owned subsidiaries are referenced herein as "underlying funds". As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds' financial statements. The financial statements are available without charge on the Securities and Exchange Commission's ("SEC") website at www.sec.gov or on GMO's website at www.gmo.com.

Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.

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

**Basis of presentation** 

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

**Basis of presentation and principles of consolidation: Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund** 

Alternative Allocation Fund, Implementation Fund and SGM Major Markets Fund include the accounts of their wholly-owned subsidiaries and the accompanying schedules of investments have been consolidated for those accounts. The consolidated schedules of investments include all of the assets and liabilities of each wholly-owned subsidiary.

**Portfolio valuation** 

Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter ("OTC") derivatives are generally valued at the price determined by an industry standard model. Unlisted securities for which market quotations are readily available are generally valued at the most recent quoted price.

The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange ("NYSE") due to time zone differences, including the value of equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, the price will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect valuation changes through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such

------

instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) and are described in the disclosures of the underlying funds.

Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.

"Quoted price" typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the "quoted price" may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security's fair value.

In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.

If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended November 30, 2022, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties. See Note 4 "Derivative financial instruments" for a further discussion on valuation of derivatives.

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

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

The three levels are defined as follows:

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

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

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

The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.

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

The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; certain equity securities valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are

------

valued using a price from a comparable security related to the same issuer; and certain recently acquired equity securities that have yet to begin trading that are valued at cost.

The following is a summary of the respective levels assigned to the Funds' direct securities and derivatives, if any, as of November 30, 2022:

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $1667334 | $— | $1667334 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 778533 |  | 778533 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 205786 | 64586 |  | 270372 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 4871853 |  |  | 4871853 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 46830 | 785258 | 421069 | 1253157 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 1034534 |  | 1034534 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 352899 |  | 352899 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 1089750 |  | 1089750 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 951496 |  | 951496 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 1050392 |  | 1050392 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 2226897 |  |  | 2226897 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 544078 |  | 544078 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 51450 | 15490108 |  | 15541558 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | 2109650 |  | 2109650 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 150157 |  | 150157 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 12953 |  | 12953 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 183690 |  | 183690 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 174814 |  | 174814 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 239652 | 661001 |  | 900653 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 825163 |  | 825163 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 935420 |  | 935420 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 1004249 |  | 1004249 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 3951511 | 52834 |  | 4004345 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 225874 |  | 225874 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 162636 |  | 162636 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 232993 | 1254782 |  | 1487775 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 68345281 |  | 34111 | 68379392 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 80172253 | 31562191 | 455180 | 112189624 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 201925 |  |  | 201925 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 370223 |  | 370223 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 201925 | 370223 |  | 572148 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 361026 | 361026 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS |  |  | 361026 | 361026 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 3753090 | 3753090 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS |  |  | 3753090 | 3753090 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 43200095 | 23291366 |  | 66491461 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 43200095 | 23291366 |  | 66491461 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 6056565 |  |  | 6056565 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 6056565 |  |  | 6056565 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 19906998 | 19802395 |  | 39709393 |
| &nbsp;&nbsp;&nbsp; Purchased Options | 1220 | 10366 |  | 11586 |
| &nbsp;&nbsp;&nbsp; Total Investments | 149539056 | 75036541 | 4569296 | 229144893 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 1186952 |  | 1186952 |

---

------

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Derivatives^ (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | $508387 | $594965 | $— | $1103352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 1107 |  |  | 1107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | 227743 |  |  | 227743 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | 6349703 |  | 6349703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 635381 |  | 635381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 2677610 |  | 2677610 |
| &nbsp;&nbsp;&nbsp; Total | $150276293 | $86481152 | $4569296 | $241326741 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(1064522) | $— | $(1064522) |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | (342903) |  | (342903) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (333565) |  | (333565) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (2803035) |  |  | (2803035) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (151862) |  | (151862) |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | (53058) |  | (53058) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (1609341) |  | (1609341) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (1824322) |  | (1824322) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | (50476) |  | (50476) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (400346) |  |  | (400346) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | (133830) | (1274067) |  | (1407897) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (5173854) |  | (5173854) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (1172984) |  | (1172984) |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | (272280) |  | (272280) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (291855) |  | (291855) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (372222) |  |  | (372222) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (66742) | (311946) |  | (378688) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (707719) |  | (707719) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | (326317) |  | (326317) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (709678) |  | (709678) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (2405777) |  | (2405777) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (36579827) |  |  | (36579827) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (40356002) | (18076526) |  | (58432528) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (251891) |  | (251891) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (251891) |  | (251891) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (1133965) |  | (1133965) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (654017) | (68291) |  | (722308) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (63303) |  |  | (63303) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | (20120) |  |  | (20120) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (13775) |  | (13775) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (123105) |  |  | (123105) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (1292096) |  | (1292096) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (377305) |  | (377305) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (2310687) |  | (2310687) |
| &nbsp;&nbsp;&nbsp; Total | $(41216547) | $(23524536) | $— | $(64741083) |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Mutual Funds | $4447249308 | $— | $— | $4447249308 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 3074108 |  |  | 3074108 |
| &nbsp;&nbsp;&nbsp; Total Investments | 4450323416 |  |  | 4450323416 |
| &nbsp;&nbsp;&nbsp; Total | $4450323416 | $— | $— | $4450323416 |

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| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Argentina | $4522 | $— | $— | $4522 |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  | 18052131 |  | 18052131 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 96311 |  | 96311 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 5556431 |  | 5556431 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 5062076 | 6720374 | 2363 | 11784813 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 33008628 | 152548 |  | 33161176 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 86478 | 1309819 |  | 1396297 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 243070 | 48589457 | 2151273 | 50983800 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 38551 |  |  | 38551 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 347424 |  | 347424 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 6185422 |  | 6185422 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 419885 |  | 419885 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 7254747 |  | 7254747 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 1901232 | 34323851 |  | 36225083 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 14965348 |  | 14965348 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 479752 | 0§ | 479752 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 8633288 |  | 8633288 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 2208564 |  | 2208564 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 698005 | 33328155 | 977308 | 35003468 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 6885203 |  | 6885203 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland | 1129219 | 5415182 |  | 6544401 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 3172099 | 324942 |  | 3497041 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | 154733 | 7603561 |  | 7758294 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 181300 | 178609172 |  | 178790472 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 151419 |  | 151419 |
| &nbsp;&nbsp;&nbsp;&nbsp; Malaysia |  | 1606337 |  | 1606337 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 16612163 |  |  | 16612163 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 98240 | 22972045 |  | 23070285 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 911202 |  | 911202 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 5122964 |  | 5122964 |
| &nbsp;&nbsp;&nbsp;&nbsp; Panama | 17029 |  |  | 17029 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 186526 |  | 186526 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 4635377 |  | 4635377 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 6229004 |  | 6229004 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 982202 |  | 982202 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  | 377735 | 2728206 | 3105941 |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 2644157 |  | 2644157 |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore |  | 10722828 |  | 10722828 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa | 400538 | 15160606 |  | 15561144 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 2275274 | 41032810 |  | 43308084 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 22128869 |  | 22128869 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 8044877 |  | 8044877 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 10746718 |  | 10746718 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 2854825 | 41279258 |  | 44134083 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 11353675 |  | 11353675 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 9182522 |  | 9182522 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 534908 |  | 534908 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 6710935 | 44465322 | 574 | 51176831 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 184791120 |  |  | 184791120 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 4235423 |  | 4235423 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 259440037 | 652168351 | 5859724 | 917468112 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 4872109 | 9280154 |  | 14152263 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 34428 |  |  | 34428 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 2462610 |  | 2462610 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 297756 | 297756 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 2738094 |  | 2738094 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 33119 |  | 33119 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 4906537 | 14513977 | 297756 | 19718270 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; France | $44874 | $— | $— | $44874 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS | 44874 |  |  | 44874 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 207680955 | 2 |  | 207680957 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 207680955 | 2 |  | 207680957 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 294508255 |  |  | 294508255 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 294508255 |  |  | 294508255 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 3144650 | 133999703 |  | 137144353 |
| &nbsp;&nbsp;&nbsp; Total Investments | 769725308 | 800682033 | 6157480 | 1576564821 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 931649 |  | 931649 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 169850 |  |  | 169850 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 3547769 |  | 3547769 |
| &nbsp;&nbsp;&nbsp; Total | $769895158 | $805161451 | $6157480 | $1581214089 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(6124423) | $— | $(6124423) |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | (1685368) |  | (1685368) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (1834075) |  | (1834075) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (15412553) |  |  | (15412553) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (955459) |  | (955459) |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | (309450) |  | (309450) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (8752794) |  | (8752794) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (9844571) |  | (9844571) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | (260422) |  | (260422) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (2382359) |  |  | (2382359) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | (669150) | (6794176) |  | (7463326) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (28496852) |  | (28496852) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (6773785) |  | (6773785) |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | (1593827) |  | (1593827) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (1777121) |  | (1777121) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (1905044) |  |  | (1905044) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | (6259) | (6259) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (507360) | (1703053) |  | (2210413) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (3883171) |  | (3883171) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | (2020823) |  | (2020823) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (3682001) |  | (3682001) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (13199052) |  | (13199052) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (135758732) |  |  | (135758732) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (156635198) | (99690423) | (6259) | (256331880) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (1552325) |  | (1552325) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (1552325) |  | (1552325) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (383329) |  | (383329) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (517121) |  | (517121) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (3068137) |  | (3068137) |
| &nbsp;&nbsp;&nbsp; Total | $(156635198) | $(105211335) | $(6259) | $(261852792) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | | | | |
| &nbsp;&nbsp;&nbsp; Mutual Funds | $352009530 | $— | $— | $352009530 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 210546 |  |  | 210546 |
| &nbsp;&nbsp;&nbsp; Total Investments | 352220076 |  |  | 352220076 |
| &nbsp;&nbsp;&nbsp; Total | $352220076 | $— | $— | $352220076 |
| &nbsp;&nbsp;&nbsp;**Global Developed Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Mutual Funds | $81674866 | $— | $— | $81674866 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 45313 |  |  | 45313 |
| &nbsp;&nbsp;&nbsp; Total Investments | 81720179 |  |  | 81720179 |
| &nbsp;&nbsp;&nbsp; Total | $81720179 | $— | $— | $81720179 |
| &nbsp;&nbsp;&nbsp;**Global Equity Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Mutual Funds | $1365350346 | $— | $— | $1365350346 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 488276 |  |  | 488276 |
| &nbsp;&nbsp;&nbsp; Total Investments | 1365838622 |  |  | 1365838622 |
| &nbsp;&nbsp;&nbsp; Total | $1365838622 | $— | $— | $1365838622 |
| &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Argentina | $1280176 | $— | $— | $1280176 |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  | 58901904 |  | 58901904 |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 2200912 |  | 2200912 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 18029006 |  | 18029006 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 13967064 | 24879570 | 7076 | 38853710 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 124530440 | 336609 |  | 124867049 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 331723 | 4048031 |  | 4379754 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 993466 | 138105832 | 6138258 | 145237556 |
| &nbsp;&nbsp;&nbsp;&nbsp; Colombia | 66478 |  |  | 66478 |
| &nbsp;&nbsp;&nbsp;&nbsp; Czech Republic |  | 1009119 |  | 1009119 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 22391432 |  | 22391432 |
| &nbsp;&nbsp;&nbsp;&nbsp; Egypt |  | 1503630 |  | 1503630 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 22009559 |  | 22009559 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 5237136 | 103873009 |  | 109110145 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 44080293 |  | 44080293 |
| &nbsp;&nbsp;&nbsp;&nbsp; Greece |  | 1602000 |  | 1602000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 24926860 |  | 24926860 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hungary |  | 7705985 |  | 7705985 |
| &nbsp;&nbsp;&nbsp;&nbsp; India | 2344320 | 97603582 | 2812854 | 102760756 |
| &nbsp;&nbsp;&nbsp;&nbsp; Indonesia |  | 19724920 |  | 19724920 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland | 4393880 | 14637084 |  | 19030964 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 18787473 | 1560452 |  | 20347925 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 24590139 |  | 24590139 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan | 848894 | 513994346 |  | 514843240 |
| &nbsp;&nbsp;&nbsp;&nbsp; Kuwait |  | 149222 |  | 149222 |
| &nbsp;&nbsp;&nbsp;&nbsp; Malaysia |  | 4295400 |  | 4295400 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 49900522 |  |  | 49900522 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 319280 | 71969656 | 172 | 72289108 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 3136053 |  | 3136053 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 18053525 |  | 18053525 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pakistan |  | 121729 |  | 121729 |
| &nbsp;&nbsp;&nbsp;&nbsp; Panama | 28290 |  |  | 28290 |
| &nbsp;&nbsp;&nbsp;&nbsp; Philippines |  | 1087981 |  | 1087981 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 14339425 |  | 14339425 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 23393326 |  | 23393326 |
| &nbsp;&nbsp;&nbsp;&nbsp; Qatar |  | 2826370 |  | 2826370 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  | 739312 | 7381451 | 8120763 |
| &nbsp;&nbsp;&nbsp;&nbsp; Saudi Arabia |  | 7286809 |  | 7286809 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | $— | $31367901 | $— | $31367901 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa | 1336320 | 46749400 |  | 48085720 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 6947856 | 114793481 |  | 121741337 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 68157120 |  | 68157120 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 24423912 |  | 24423912 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | 33727028 |  | 33727028 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan | 32636983 | 110953776 |  | 143590759 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 31591806 |  | 31591806 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 26229880 |  | 26229880 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 151016 |  | 151016 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Arab Emirates |  | 1256585 |  | 1256585 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 21944477 | 145412605 | 755 | 167357837 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 849657952 |  | 9453118 | 859111070 |
| &nbsp;&nbsp;&nbsp;&nbsp; Vietnam |  | 11920850 |  | 11920850 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 1135552730 | 1941848442 | 25793684 | 3103194856 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 14799583 | 34870718 |  | 49670301 |
| &nbsp;&nbsp;&nbsp;&nbsp; Chile | 2280680 | 67441 |  | 2348121 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 8077322 |  | 8077322 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 659125 | 659125 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea |  | 11221814 |  | 11221814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 215385 |  | 215385 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 1616790 | 1616790 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 17080263 | 54452680 | 2275915 | 73808858 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia |  |  | 0§ | 0§ |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada |  |  | 277856 | 277856 |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 113101 |  |  | 113101 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 756582 | 756582 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS | 113101 |  | 1034438 | 1147539 |
| &nbsp;&nbsp;&nbsp; Investment Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  |  | 16570605 | 16570605 |
| &nbsp;&nbsp;&nbsp; TOTAL INVESTMENT FUNDS |  |  | 16570605 | 16570605 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | 1138167 |  | 1138167 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada |  | 4465196 |  | 4465196 |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | 520795 |  | 520795 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel |  | 4694958 |  | 4694958 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  |  | 51 | 51 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  |  | 1435380 | 1435380 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | 2347365 |  | 2347365 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 1130904620 | 114673273 | 22315721 | 1267893614 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 1130904620 | 127839754 | 23751152 | 1282495526 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 12878006 |  |  | 12878006 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 12878006 |  |  | 12878006 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 25705155 | 160783116 |  | 186488271 |
| &nbsp;&nbsp;&nbsp; Purchased Options | 6185 |  |  | 6185 |
| &nbsp;&nbsp;&nbsp; Total Investments | 2322240060 | 2284923992 | 69425794 | 4676589846 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 9376355 |  | 9376355 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 2761245 | 2808230 |  | 5569475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 6296 |  |  | 6296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | 1089937 |  |  | 1089937 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | | | | |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | | | | |
| &nbsp;&nbsp;&nbsp; Derivatives^ (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk | $— | $588546 | $— | $588546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 1823950 |  | 1823950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | 25691149 |  | 25691149 |
| &nbsp;&nbsp;&nbsp; Total | $2326097538 | $2325212222 | $69425794 | $4720735554 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(19678501) | $— | $(19678501) |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | (6039191) |  | (6039191) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (6232754) |  | (6232754) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (51315600) |  |  | (51315600) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (2828254) |  | (2828254) |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | (1232184) |  | (1232184) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (29154609) |  | (29154609) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (32903563) |  | (32903563) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | (878346) |  | (878346) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (7717258) |  |  | (7717258) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | (2096670) | (22829522) |  | (24926192) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (93459810) |  | (93459810) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (22646779) |  | (22646779) |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | (5054754) |  | (5054754) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (5619148) |  | (5619148) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (6776576) |  |  | (6776576) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (1399770) | (6016690) |  | (7416460) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (12359606) |  | (12359606) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | (6718021) |  | (6718021) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (12544384) |  | (12544384) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (43630333) |  | (43630333) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (504878594) |  |  | (504878594) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (574184468) | (329826449) |  | (904010917) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (5110756) |  | (5110756) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (5110756) |  | (5110756) |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; China |  | (4714071) |  | (4714071) |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS |  | (4714071) |  | (4714071) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | (3525073) |  | (3525073) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (1160807) | (331431) |  | (1492238) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (310478) |  |  | (310478) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | (57663) |  |  | (57663) |
| &nbsp;&nbsp;&nbsp;&nbsp; Written Options |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (404200) |  |  | (404200) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Risk |  | (499668) |  | (499668) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (3314631) |  | (3314631) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk |  | (22230520) |  | (22230520) |
| &nbsp;&nbsp;&nbsp; Total | $(576117616) | $(369552599) | $— | $(945670215) |
| &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Developed Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Mutual Funds | $210724404 | $— | $— | $210724404 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 88960 |  |  | 88960 |
| &nbsp;&nbsp;&nbsp; Total Investments | 210813364 |  |  | 210813364 |
| &nbsp;&nbsp;&nbsp; Total | $210813364 | $— | $— | $210813364 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp;**International Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Mutual Funds | $495611619 | $— | $— | $495611619 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 357295 |  |  | 357295 |
| &nbsp;&nbsp;&nbsp; Total Investments | 495968914 |  |  | 495968914 |
| &nbsp;&nbsp;&nbsp; Total | $495968914 | $— | $— | $495968914 |
| &nbsp;&nbsp;&nbsp;**Consolidated SGM Major Markets Fund** | &nbsp;&nbsp;&nbsp;**Consolidated SGM Major Markets Fund** | &nbsp;&nbsp;&nbsp;**Consolidated SGM Major Markets Fund** | &nbsp;&nbsp;&nbsp;**Consolidated SGM Major Markets Fund** | &nbsp;&nbsp;&nbsp;**Consolidated SGM Major Markets Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $151230621 | $25493024 | $— | $176723645 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 151230621 | 25493024 |  | 176723645 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 2500716 | 2413611 |  | 4914327 |
| &nbsp;&nbsp;&nbsp; Total Investments | 153731337 | 27906635 |  | 181637972 |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk |  | 1458300 |  | 1458300 |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | 1450104 | 1596465 |  | 3046569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | 4876 |  |  | 4876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | 642280 |  |  | 642280 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | 897852 |  | 897852 |
| &nbsp;&nbsp;&nbsp; Total | $155828597 | $31859252 | $— | $187687849 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Risk | $— | $(170266) | $— | $(170266) |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk | (1116138) | (189074) |  | (1305212) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Risk | (186215) |  |  | (186215) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Physical Commodity Contract Risk | (15939) |  |  | (15939) |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (768651) |  | (768651) |
| &nbsp;&nbsp;&nbsp; Total | $(1318292) | $(1127991) | $— | $(2446283) |
| &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs** |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $2228845 | $— | $2228845 |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | 789116 |  | 789116 |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 141772 | 67233 |  | 209005 |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 3203912 |  |  | 3203912 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 40140 | 844560 | 307561 | 1192261 |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | 848898 |  | 848898 |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | 858781 |  | 858781 |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | 3062830 |  | 3062830 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 1105493 |  | 1105493 |
| &nbsp;&nbsp;&nbsp;&nbsp; Hong Kong |  | 1159845 |  | 1159845 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 759662 |  | 759662 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland | 31184 | 891068 |  | 922252 |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | 420889 | 49146 |  | 470035 |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy |  | 1087471 |  | 1087471 |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | 19440255 |  | 19440255 |
| &nbsp;&nbsp;&nbsp;&nbsp; Mexico | 489130 |  |  | 489130 |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 12280 | 2644596 |  | 2656876 |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | 146352 |  | 146352 |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | 326823 |  | 326823 |
| &nbsp;&nbsp;&nbsp;&nbsp; Poland |  | 9803 |  | 9803 |
| &nbsp;&nbsp;&nbsp;&nbsp; Portugal |  | 793335 |  | 793335 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | 19613 | 19613 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Description** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund (continued)** |
| &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** | &nbsp;&nbsp;&nbsp;**Asset Valuation Inputs (continued)** |
| &nbsp;&nbsp;&nbsp; Common Stocks (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | $— | $1131405 | $— | $1131405 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Africa |  | 158354 |  | 158354 |
| &nbsp;&nbsp;&nbsp;&nbsp; South Korea | 154062 | 465170 |  | 619232 |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | 2091523 |  | 2091523 |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | 1000759 |  | 1000759 |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland | 30270 | 710980 |  | 741250 |
| &nbsp;&nbsp;&nbsp;&nbsp; Taiwan |  | 58721 |  | 58721 |
| &nbsp;&nbsp;&nbsp;&nbsp; Thailand |  | 158880 |  | 158880 |
| &nbsp;&nbsp;&nbsp;&nbsp; Turkey |  | 79655 |  | 79655 |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom | 140375 | 4793148 |  | 4933523 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 21750861 |  |  | 21750861 |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | 26414875 | 47762707 | 327174 | 74504756 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | 147600 | 193916 |  | 341516 |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | 331783 |  | 331783 |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS | 147600 | 525699 |  | 673299 |
| &nbsp;&nbsp;&nbsp; Rights/Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; France | 8140 |  |  | 8140 |
| &nbsp;&nbsp;&nbsp; TOTAL RIGHTS/WARRANTS | 8140 |  |  | 8140 |
| &nbsp;&nbsp;&nbsp; Debt Obligations |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 12641713 |  |  | 12641713 |
| &nbsp;&nbsp;&nbsp; TOTAL DEBT OBLIGATIONS | 12641713 |  |  | 12641713 |
| &nbsp;&nbsp;&nbsp; Mutual Funds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 126323341 |  |  | 126323341 |
| &nbsp;&nbsp;&nbsp; TOTAL MUTUAL FUNDS | 126323341 |  |  | 126323341 |
| &nbsp;&nbsp;&nbsp; Short-Term Investments | 355201 | 13999866 |  | 14355067 |
| &nbsp;&nbsp;&nbsp; Total Investments | 165890870 | 62288272 | 327174 | 228506316 |
| &nbsp;&nbsp;&nbsp; Total | $165890870 | $62288272 | $327174 | $228506316 |
| &nbsp;&nbsp;&nbsp;**Liability Valuation Inputs** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Australia | $— | $(730651) | $— | $(730651) |
| &nbsp;&nbsp;&nbsp;&nbsp; Austria |  | (213817) |  | (213817) |
| &nbsp;&nbsp;&nbsp;&nbsp; Belgium |  | (249053) |  | (249053) |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | (2026352) |  |  | (2026352) |
| &nbsp;&nbsp;&nbsp;&nbsp; Denmark |  | (109183) |  | (109183) |
| &nbsp;&nbsp;&nbsp;&nbsp; Finland |  | (38129) |  | (38129) |
| &nbsp;&nbsp;&nbsp;&nbsp; France |  | (1201002) |  | (1201002) |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany | (19816) | (1303029) |  | (1322845) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ireland |  | (36331) |  | (36331) |
| &nbsp;&nbsp;&nbsp;&nbsp; Israel | (313571) |  |  | (313571) |
| &nbsp;&nbsp;&nbsp;&nbsp; Italy | (66915) | (879172) |  | (946087) |
| &nbsp;&nbsp;&nbsp;&nbsp; Japan |  | (3735713) |  | (3735713) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands |  | (915637) |  | (915637) |
| &nbsp;&nbsp;&nbsp;&nbsp; New Zealand |  | (202458) |  | (202458) |
| &nbsp;&nbsp;&nbsp;&nbsp; Norway |  | (211316) |  | (211316) |
| &nbsp;&nbsp;&nbsp;&nbsp; Peru | (268488) |  |  | (268488) |
| &nbsp;&nbsp;&nbsp;&nbsp; Singapore | (32012) | (265984) |  | (297996) |
| &nbsp;&nbsp;&nbsp;&nbsp; Spain |  | (511013) |  | (511013) |
| &nbsp;&nbsp;&nbsp;&nbsp; Sweden |  | (234437) |  | (234437) |
| &nbsp;&nbsp;&nbsp;&nbsp; Switzerland |  | (525163) |  | (525163) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  | (1795263) |  | (1795263) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | (17683637) |  |  | (17683637) |
| &nbsp;&nbsp;&nbsp; TOTAL COMMON STOCKS | (20410791) | (13157351) |  | (33568142) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Germany |  | (210912) |  | (210912) |
| &nbsp;&nbsp;&nbsp; TOTAL PREFERRED STOCKS |  | (210912) |  | (210912) |
| &nbsp;&nbsp;&nbsp; Derivatives^ |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swap Contacts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Equity Risk |  | (71210) |  | (71210) |
| &nbsp;&nbsp;&nbsp; Total | $(20410791) | $(13439473) | $— | $(33850264) |

---

------

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

---

| | |
|:---|:---|
| ^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments.  |

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§ Represents the interest in securities that were determined to have a value of zero at November 30, 2022.

The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds' direct securities and derivatives, if any, please refer to the underlying funds' Notes to Financial Statements which are available on the SEC's website at www.sec.gov or on GMO's website at www.gmo.com.

U.S. GAAP requires additional disclosures about fair value measurements for material Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund's total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Alternative Allocation Fund, Benchmark-Free Fund, Implementation Fund and Strategic Opportunities Allocation Fund's Level 3 holdings each include three common stocks valued at their last price prior to trading being suspended. Benchmark-Free Fund and Implementation Fund's holdings include one security valued off the parent security until a merger is finalized. Benchmark-Free Fund's Level 3 holdings also include thirteen common and/or preferred stocks valued off the last traded price with a 93% discount. Implementation Fund's Level 3 holdings also include thirteen common and/or preferred stocks valued off the last traded price with a 93% discount, three common and/or preferred stocks that are priced at the average of broker bids and a common stock priced with a 20% discount to a comparable stock and an additional 10% discount for liquidity considerations. Other than described above, there were no other Funds with classes of investments or derivatives with direct material Level 3 holdings at November 30, 2022.

For Funds with material total Level 3 assets and/or liabilities, the following is a reconciliation of securities and derivatives, if any, in which significant unobservable inputs (Level 3) were used in determining value:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balances<br>as of<br>February 28,<br>2022** | **Purchases** | **Sales** | **Accrued<br>Discounts/<br>Premiums** | **Total<br>Realized<br>Gain/(Loss)** | **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Transfer<br>into<br>Level 3** | **Transfer<br>out of<br>Level 3** | **Balances<br>as of<br>November 30,<br>2022** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held as<br>of November 30,<br>2022** |
| &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; China | $66215 | $— | $— | $— | $— | $30 | $354824‡ | $— | $421069 | $30 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States |  | 16970 |  |  |  | 17141 |  |  | 34111 | 17141 |
| &nbsp;&nbsp;&nbsp;**Rights/Warrants** | &nbsp;&nbsp;&nbsp;**Rights/Warrants** | &nbsp;&nbsp;&nbsp;**Rights/Warrants** | &nbsp;&nbsp;&nbsp;**Rights/Warrants** | &nbsp;&nbsp;&nbsp;**Rights/Warrants** | &nbsp;&nbsp;&nbsp;**Rights/Warrants** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 263451 |  |  |  |  | 97575 |  |  | 361026 | 97575 |
| &nbsp;&nbsp;&nbsp;**Investment Funds** | &nbsp;&nbsp;&nbsp;**Investment Funds** | &nbsp;&nbsp;&nbsp;**Investment Funds** | &nbsp;&nbsp;&nbsp;**Investment Funds** | &nbsp;&nbsp;&nbsp;**Investment Funds** | &nbsp;&nbsp;&nbsp;**Investment Funds** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 5607602 | 301290 | (2421994) |  |  | 266192 |  |  | 3753090 | 266192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $5937268 | $318260 | $(2421994) | $— | $— | $380938 | $354824 | $— | $4569296 | $380938 |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $— | $4273 | $(2306) | $— | $382 | $14 | $— | $— | $2363 | $14 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 381895 | 251324 | (251324) |  |  | 178 | 1769200‡ |  | 2151273 | 178 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 1056162 |  |  |  | (78854) |  |  | 977308 | (78854) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia | 965229 |  | (115000) |  | (474979) | (154192) | 2507148‡ |  | 2728206 | (542893) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  |  |  |  |  |  | 574‡ |  | 574 |  |
| &nbsp;&nbsp;&nbsp;**Preferred Stocks** | &nbsp;&nbsp;&nbsp;**Preferred Stocks** | &nbsp;&nbsp;&nbsp;**Preferred Stocks** | &nbsp;&nbsp;&nbsp;**Preferred Stocks** | &nbsp;&nbsp;&nbsp;**Preferred Stocks** | &nbsp;&nbsp;&nbsp;**Preferred Stocks** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  |  |  |  |  | 297756‡ |  | 297756 |  |
| &nbsp;&nbsp;&nbsp;**Securities Sold Short** | &nbsp;&nbsp;&nbsp;**Securities Sold Short** | &nbsp;&nbsp;&nbsp;**Securities Sold Short** | &nbsp;&nbsp;&nbsp;**Securities Sold Short** | &nbsp;&nbsp;&nbsp;**Securities Sold Short** | &nbsp;&nbsp;&nbsp;**Securities Sold Short** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  | (78267) |  |  | 72008 |  |  | (6259) | 72008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $1347124 | $1311759 | $(446897) | $— | $(474597) | $(160846) | $4574678 | $— | $6151221 | $(549547) |
| &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Brazil | $— | $12798 | $(6908) | $— | $1145 | $41 | $— | $— | $7076 | $41 |
| &nbsp;&nbsp;&nbsp;&nbsp; China | 965024 | 879827 | (898220) |  | (33595) | (1602) | 5226824‡ |  | 6138258 | 426 |
| &nbsp;&nbsp;&nbsp;&nbsp; India |  | 3019067 |  |  |  | (206213) |  |  | 2812854 | (206213) |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 185 |  |  |  |  | (13) |  |  | 172 | (13) |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia | 1248215 |  | (347230) |  | (1653109) | 818483 | 7315092‡ |  | 7381451 | (204667) |
| &nbsp;&nbsp;&nbsp;&nbsp; United Kingdom |  |  |  |  |  |  | 755‡ |  | 755 |  |

---

------

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balances<br>as of<br>February 28,<br>2022** | **Purchases** | **Sales** | **Accrued<br>Discounts/<br>Premiums** | **Total<br>Realized<br>Gain/(Loss)** | **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Transfer<br>into<br>Level 3** | **Transfer<br>out of<br>Level 3** | **Balances<br>as of<br>November 30,<br>2022** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>from<br>Investments<br>Still Held as<br>of November 30,<br>2022** |
| &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** | &nbsp;&nbsp;&nbsp;**Consolidated Implementation Fund (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;&nbsp;**Common Stocks (continued)** | &nbsp;&nbsp;&nbsp;**Common Stocks (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | $8961199 | $1527556 | $— | $— | $— | $(1035637) | $— | $— | $9453118 | $(1035637) |
| &nbsp;&nbsp;&nbsp;**Preferred Stocks** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  |  |  |  |  | 659125‡ |  | 659125 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 875250 |  | (27) |  | 27 | 741540 |  |  | 1616790 | 741540 |
| &nbsp;&nbsp;&nbsp;**Rights/Warrants** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Canada | 300085 |  |  |  |  | (22229) |  |  | 277856 | (22229) |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 682940 |  | (277922) |  | 277922 | 73642 |  |  | 756582 | 204482 |
| &nbsp;&nbsp;&nbsp;**Investment Funds** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 22156919 | 2904671 | (9504928) |  |  | 1013943 |  |  | 16570605 | 1013943 |
| &nbsp;&nbsp;&nbsp;**Debt Obligations** | &nbsp;&nbsp;&nbsp;**Debt Obligations** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Luxembourg | 2436433 |  | (2429250) | 695 | (21290) | 13412 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 18428534 | 15811514 | (8989663) | 482318 | (1774685) | (1642437) |  |  | 22315581 | (1663312) |
| &nbsp;&nbsp;&nbsp;&nbsp; Corporate Debt |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Netherlands | 55 |  |  |  |  | (4) |  |  | 51 | (4) |
| &nbsp;&nbsp;&nbsp;&nbsp; Ukraine |  | 1249515 |  | 164078 |  | 21787 |  |  | 1435380 | 21787 |
| &nbsp;&nbsp;&nbsp;&nbsp; United States | 140 |  |  |  |  |  |  |  | 140 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $56054979 | $25404948 | $(22454148) | $647091 | $(3203585) | $(225287) | $13201796 | $— | $69425794 | $(1149856) |
| &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** | &nbsp;&nbsp;&nbsp;**Common Stocks** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; China | $61485 | $— | $— | $— | $— | $29 | $246047‡ | $— | $307561 | $29 |
| &nbsp;&nbsp;&nbsp;&nbsp; Russia |  |  |  |  |  |  | 19613‡ |  | 19613 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments | $61485 | $— | $— | $— | $— | $29 | $265660 | $— | $327174 | $29 |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;‡ Financial assets transferred between levels were due to a change in observable and/or unobservable inputs as
well as the impact of the Russian invasion of Ukraine on local and global markets, as applicable.

# Includes $1,937,540 of proceeds received from partial calls and/or principal paydowns as applicable. 

The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended November 30, 2022 for Funds with material Level 3 investments.

**Quantitative information about Level 3 Fair Value Measurements\*** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Investment Type** | **Total Fair<br>Value ($)** | **Valuation**<br> **Methodology** | **Unobservable Inputs** | **Range (Weighted<br>Average)** |
| &nbsp;&nbsp;&nbsp; **Consolidated Alternative Allocation Fund\*** | | | | |
| &nbsp;&nbsp;&nbsp; **Benchmark-Free Fund** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stock |  | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock | 2600429 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock | 574 | Fair Value | Price of comparable equity/Discount for liquidity | 99%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (American Depositary Receipt) | 11042 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (Global Depositary Receipt) | 116733 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Preferred Stock | 297756 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Investment Type** | **Total Fair<br>Value ($)** | **Valuation**<br> **Methodology** | **Unobservable Inputs** | **Range (Weighted<br>Average)** |
| &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | | | | |
| &nbsp;&nbsp;&nbsp; Common Stock | 1624302 | Fair Value | Discount rate | 30% (N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock | 7048591 | Fair Value | Most relevant broker quote | N/A |
| &nbsp;&nbsp;&nbsp; Common Stock | 15131 | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) |
| &nbsp;&nbsp;&nbsp; Corporate Debt | 191 | Fair Value | Discount for lack of liquidity/marketability | $0 (N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock | 7040647 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock | 755 | Fair Value | Price of comparable equity/Discount for liquidity | 99%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (American Depositary Receipt) | 20075 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Common Stock (Global Depositary Receipt) | 320729 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; Preferred Stock | 659125 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |
| &nbsp;&nbsp;&nbsp; **Strategic Opportunities Allocation Fund** |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Common Stock | 19613 | Fair Value | Price of comparable equity/Discount for liquidity | 93%/(N/A) |

---

\* The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of November 30, 2022, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund, Benchmark-Free Fund, Consolidated Implementation Fund and Strategic Opportunities Allocation Fund was $4,569,296, $3,130,944, $52,696,248 and $307,561, respectively. The inputs for these investments are not readily available or cannot be reasonably estimated. 

**Investments in affiliated companies and other Funds of the Trust** 

An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer's voting securities or an investment in other funds of GMO Trust. A summary of the Funds' transactions involving companies that are or were affiliates during the period ended November 30, 2022 is set forth below:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales**<br> **Proceeds** | **Dividend<br>Income\*** | **Distributions<br>of Realized<br>Gains\*** | **Net<br>Realized<br>Gain (Loss)** | **Net<br>Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** | &nbsp;&nbsp;&nbsp;**Consolidated Alternative Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | $— | $6060879 | $— | $— | $— | $— | $(4314) | $6056565 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 9811873 |  | 8145879 | 104779 |  | (3146257) | 1480263 |  |
| &nbsp;&nbsp;&nbsp; Totals | $9811873 | $6060879 | $8145879 | $104779 | $— | $(3146257) | $1475949 | $6056565 |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** | &nbsp;&nbsp;&nbsp;**Benchmark-Free Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | $115273843 | $43375196 | $— | $3775197 | $— | $— | $(13007382) | $145641657 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI |  | 144265957 | 37480000 |  | 265956 | 673681 | 2437802 | 109897440 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Implementation Fund | 4681432538 | 286416078 | 994382441 | 27052053 |  | (43781398) | (61787267) | 3867897510 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 183719672 | 64664014 | 36783277 | 1415480 | 2748534 | (2546836) | (6222664) | 202830909 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO SGM Major Markets Fund, Class VI | 141735622 | 7765972 | 19520836 | 2067940 | 5698032 | (3164752) | (5834214) | 120981792 |
| &nbsp;&nbsp;&nbsp; Totals | $5122161675 | $546487217 | $1088166554 | $34310670 | $8712522 | $(48819305) | $(84413725) | $4447249308 |

---

------

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | | **Distributions<br>of Realized<br>Gains\*** | **Net<br>Realized<br>Gain (Loss)** | **Net<br>Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end<br>of period** |
| &nbsp;&nbsp;&nbsp;**Benchmark-Free Fund** | | | | |  | | | | |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | $48097631 | $10383090 | $— | $1383089 |  | $— | $— | $(5123131) | $53357590 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 34016640 |  | 30376060 |  |  |  | (8199771) | 4559191 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI |  | 72633901 | 11000000 |  |  | 133902 | 190438 | 1359504 | 63183843 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 91945071 | 1998978 | 20500000 | 679516 |  | 1319462 | (198526) | (3812468) | 69433055 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Resources Fund |  | 60151011 | 8220000 | 415301 |  | 1495710 | (2166936) | 1424343 | 51188418 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO SGM Major Markets Fund, Class VI | 60781806 | 3564675 | 11000000 | 949209 |  | 2615466 | (1550114) | (2707847) | 49088520 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | 10090292 | 98376029 | 100111116 |  | \*\* |  | (140177) | 41801 | 8256829 |
| &nbsp;&nbsp;&nbsp; Totals | $244931440 | $247107684 | $181207176 | $3427115 |  | $5564540 | $(12065086) | $(4258607) | $294508255 |
| &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** | &nbsp;&nbsp;&nbsp;**Global Asset Allocation Fund** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Alternative Allocation Fund, Class VI | $130004197 | $1928341 | $80866210 | $— |  | $558341 | $(8781034) | $7590294 | $49875588 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Asset Allocation Bond Fund, Class VI | 37983141 | 1874703 | 16291124 | 157843 |  |  | (595395) | (3168291) | 19803034 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | 18116964 | 344687 | 6400000 | 344687 |  |  | (2571105) | 693557 | 10184103 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 27671845 | 10449691 | 9066422 | 46772 |  | 90494 | (2076153) | (1500139) | 25478822 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 68376141 | 8814627 | 34370470 | 794735 |  |  | (11902068) | (1623780) | 29294450 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO High Yield Fund, Class VI |  | 8515699 | 1306785 |  |  | 15699 | (250) | 162693 | 7371357 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 107093353 | 5434675 | 41469900 | 244637 |  |  | (2646909) | (3307187) | 65104032 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 24981389 | 871680 | 7707124 | 67282 |  | 804397 | (910918) | (2722039) | 14512988 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Multi-Sector Fixed Income Fund, Class IV | 56164303 | 15465009 | 26472096 |  |  |  | (4726032) | (593355) | 39837829 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Opportunistic Income Fund, Class VI | 19591715 | 758742 | 9315726 | 87955 |  | 170787 | (438876) | (177547) | 10418308 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 20219676 | 828795 | 7719178 | 166014 |  | 257296 | 1498407 | (2980715) | 11846985 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 12268439 | 3395579 | 4503562 | 16593 |  | 229536 | 863815 | (1329128) | 10695143 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fund, Class VI |  | 11005175 | 1797394 |  |  |  | 23751 | 1651403 | 10882935 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 61434084 | 3838231 | 27103629 | 104128 |  | 2173582 | (2674567) | 411761 | 35905880 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 39124376 | 2471807 | 25936859 | 59490 |  | 1885586 | (4546975) | (465242) | 10647107 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | 1879 | 3691724 | 3542422 | 1724 |  |  | (220) | 8 | 150969 |
| &nbsp;&nbsp;&nbsp; Totals | $623031502 | $79689165 | $303868901 | $2091860 |  | $6185718 | $(39484529) | $(7357707) | $352009530 |
| &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Developed Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | $5198953 | $2260387 | $— | $12393 |  | $23976 | $— | $(821535) | $6637805 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 2322106 | 562145 | 2324018 | 32145 |  |  | (991127) | 430894 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 35410730 | 113666 |  | 113666 |  |  |  | (2332570) | 33191826 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 3551214 | 157562 |  | 12161 |  | 145399 |  | (619219) | 3089557 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 4855891 | 129579 | 500000 | 50818 |  | 78760 | 97909 | (567574) | 4015805 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 10955561 | 302313 |  | 20381 |  | 281932 |  | (695981) | 10561893 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI |  | 3500000 |  |  |  |  |  | 604737 | 4104737 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 15406078 | 1992638 | 566000 | 36236 |  | 756402 | (127576) | (673885) | 16031255 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 9077255 | 584561 | 4100000 | 17879 |  | 566682 | (679341) | (840487) | 4041988 |
| &nbsp;&nbsp;&nbsp; Totals | $86777788 | $9602851 | $7490018 | $295679 |  | $1853151 | $(1700135) | $(5515620) | $81674866 |

---

------

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Affiliate** | **Value,<br>beginning of<br>period** | **Purchases** | **Sales<br>Proceeds** | **Dividend<br>Income\*** | | **Distributions<br>of Realized<br>Gains\*** | **Net Realized<br>Gain (Loss)** | **Net<br>Increase/<br>Decrease in<br>Unrealized<br>Appreciation/<br>Depreciation** | **Value, end of<br>period** |
| &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **Global Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | $109848838 | $50846678 | $7545000 | $256127 |  | $495551 | $(4008226) | $(13412896) | $135729394 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 234294075 | 43450511 | 57825000 | 3550512 |  |  | (27029903) | (25562831) | 167326852 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 558402561 | 11093617 | 60973228 | 1633617 |  |  | (12969540) | (24777750) | 470775660 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 64071354 | 5321193 | 4461524 | 220847 |  | 2640345 | (1383004) | (10013983) | 53534036 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Cyclicals Fund, Class VI | 88997330 | 2318040 | 14575000 | 909089 |  | 1408952 | 2301388 | (11142683) | 67899075 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 217951740 | 6495638 | 22890317 | 389031 |  | 5381606 | 916838 | (15870788) | 186603111 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI |  | 63000000 | 1065000 |  |  |  | 28451 | 10727198 | 72690649 |
| &nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 142993024 | 31083356 | 20837384 | 310107 |  | 6473249 | (4950373) | (2655128) | 145633495 |
| &nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 163718031 | 17028278 | 87245000 | 323693 |  | 10259584 | (24918489) | (3424746) | 65158074 |
| &nbsp;&nbsp;&nbsp; Totals | $1580276953 | $230637311 | $277417453 | $7593023 |  | $26659287 | $(72012858) | $(96133607) | $1365350346 |
| &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** | &nbsp;&nbsp;&nbsp; **Consolidated Implementation Fund** |
| &nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | $12509088 | $246643984 | $246100604 | $— | \*\* $|  | $(133861) | $(40601) | $12878006 |
| &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Developed Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | $16722440 | $3403895 | $360803 | $38407 |  | $74309 | $(186420) | $(2552983) | $17026129 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 204248674 | 8332933 | 14920829 | 630485 |  |  | (671073) | (11676596) | 185313109 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 9520380 | 1463995 | 980019 | 32903 |  | 393375 | (199273) | (1419917) | 8385166 |
| &nbsp;&nbsp;&nbsp; Totals | $230491494 | $13200823 | $16261651 | $701795 |  | $467684 | $(1056766) | $(15649496) | $210724404 |
| &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** | &nbsp;&nbsp;&nbsp; **International Equity Allocation Fund** |
| &nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | $51415947 | $5187665 | $8650000 | $93732 |  | $181351 | $(2798744) | $(4960058) | $40194810 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 195154856 | 19196222 | 32830000 | 2417177 |  |  | (7742775) | (28919763) | 144858540 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 404162685 | 7689640 | 97872181 | 1039641 |  |  | 270742 | (23228221) | 291022665 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO-Usonian Japan Value Creation Fund, Class VI | 28241638 | 2036925 | 6380000 | 81368 |  | 972803 | (930205) | (3432754) | 19535604 |
| &nbsp;&nbsp;&nbsp; Totals | $678975126 | $34110452 | $145732181 | $3631918 |  | $1154154 | $(11200982) | $(60540796) | $495611619 |
| &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** | &nbsp;&nbsp;&nbsp;**Strategic Opportunities Allocation Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Country Debt Fund, Class VI | $8106380 | $193183 | $— | $193183 |  | $— | $— | $(846840) | $7452723 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets ex-China Fund, Class VI | 14945997 | 5591032 |  | 31018 |  | 60013 |  | (2097510) | 18439519 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Emerging Markets Fund, Class VI | 30720697 | 3356092 | 8950000 | 456093 |  |  | (3604696) | (3098236) | 18423857 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO International Equity Fund, Class IV | 31835141 | 796977 | 5265000 | 96977 |  |  | 291482 | (2272476) | 25386124 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Multi-Sector Fixed Income Fund, Class IV | 6442772 | 7650000 | 2420000 |  |  |  | (278877) | (622947) | 10770948 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Quality Fund, Class VI | 12951749 | 335656 | 2055000 | 22628 |  | 313027 | 254709 | (1118993) | 10368121 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO Small Cap Quality Fund, Class VI |  | 6000000 |  |  |  |  |  | 1036693 | 7036693 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Equity Fund, Class VI | 19532079 | 2920605 | 3380000 | 42087 |  | 878518 | 144897 | (1158642) | 18058939 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Small Cap Value Fund, Class VI | 16286703 | 1047062 | 8280000 | 32025 |  | 1015037 | (1540549) | (1174561) | 6338655 |
| &nbsp;&nbsp;&nbsp;&nbsp; GMO U.S. Treasury Fund | 4509502 | 63345 | 498000 | 63420 |  |  | (4000) | (23085) | 4047762 |
| &nbsp;&nbsp;&nbsp; Totals | $145331020 | $27953952 | $30848000 | $937431 |  | $2266595 | $(4737034) | $(11376597) | $126323341 |

---

------

\* The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2022 through November 30, 2022. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2023. 

\*\* Excludes income from investment of cash collateral from securities lending in GMO U.S. Treasury Fund. Income (net of fee rebates paid to the borrower and fees paid to the lending agent) from investment of cash collateral from securities lending in GMO U.S. Treasury Fund was $88,857 and $188,519 in Benchmark-Free Fund and Consolidated Implementation Fund, respectively, during the period. 

**Subsequent events** 

Subsequent to November 30, 2022, GMO SGM Major Markets Fund received redemption requests in the amount of $53,259,625.

\*\*\*

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

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** GMO TRUST

- **b. Investment Company Act file number:** 811-04347

- **c. CIK number of Registrant:** 0000772129

- **d. LEI of Registrant:** 549300Y2Q6TQD4HU5C66

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 40 ROWES WHARF

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 617-346-7646

**Item A.2. Information about the Series.**

- **a. Name of Series:** GMO-Usonian Japan Value Creation Fund

- **b. EDGAR series identifier (if any):** S000069850

- **c. LEI of Series:** 549300000UZYKHHPND29

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-02-28

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $127807531.83

**Total Liabilities:** $198728.72

**Net Assets:** $127608803.11

**Cash Not Reported:** $147175.84

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000222630 | -7.91%               | 0.27%                | 11.10%               |
| Class ID C000222627 | -7.83%               | 0.27%                | 11.07%               |
| Class ID C000222625 | -7.90%               | 0.27%                | 11.08%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-933796.09              | $-10288122.35                              |
| Month 2  | $-179831.06              | $589178.90                                 |
| Month 3  | $-407006.06              | $13141915.96                               |

### Schedule of Portfolio Investments

| Name                                | Title                                                 | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| EXEO Group Inc                      | EXEO Group Inc                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |    241500 | NS      | $3748600.59   | 2.94%             |  |  |  | No            |                  2 | On Loan: No      |
| Amano Corp                          | Amano Corp                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |    152400 | NS      | $2766546.20   | 2.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Sankyu Inc                          | Sankyu Inc                                            | CUSIP: 000000000<br>LEI: 529900QWTXZZEM1T5G75 | Long             | EC               | CORP              | JP        |    112100 | NS      | $4056874.30   | 3.18%             |  |  |  | No            |                  2 | On Loan: No      |
| MS&AD Insurance Group Holdings Inc  | MS&AD Insurance Group Holdings Inc                    | CUSIP: 000000000<br>LEI: 529900CXROT5S2HMMP26 | Long             | EC               | CORP              | JP        |     96000 | NS      | $2849402.91   | 2.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Haseko Corp                         | Haseko Corp                                           | CUSIP: 000000000<br>LEI: 529900EH7TSG348O4045 | Long             | EC               | CORP              | JP        |    212300 | NS      | $2347498.09   | 1.84%             |  |  |  | No            |                  2 | On Loan: No      |
| Maruichi Steel Tube Ltd             | Maruichi Steel Tube Ltd                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |    114100 | NS      | $2373220.88   | 1.86%             |  |  |  | No            |                  2 | On Loan: No      |
| TOPPAN INC                          | TOPPAN INC                                            | CUSIP: 000000000<br>LEI: 3538003H9W4KIDODQY20 | Long             | EC               | CORP              | JP        |    191800 | NS      | $2987503.01   | 2.34%             |  |  |  | No            |                  2 | On Loan: No      |
| Takara Holdings Inc                 | Takara Holdings Inc                                   | CUSIP: 000000000<br>LEI: 3538001CXSU150WNEY98 | Long             | EC               | CORP              | JP        |     62700 | NS      | $490336.58    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| H.U. Group Holdings Inc             | H.U. Group Holdings Inc                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |    141200 | NS      | $2863837.77   | 2.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Daiwabo Holdings Co Ltd             | Daiwabo Holdings Co Ltd                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |    222500 | NS      | $3549844.01   | 2.78%             |  |  |  | No            |                  2 | On Loan: No      |
| Ezaki Glico Co Ltd                  | Ezaki Glico Co Ltd                                    | CUSIP: 000000000<br>LEI: 3538001RG4BHKDFV6G61 | Long             | EC               | CORP              | JP        |     92100 | NS      | $2403206.45   | 1.88%             |  |  |  | No            |                  2 | On Loan: No      |
| Kyudenko Corp                       | Kyudenko Corp                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |    152500 | NS      | $3669045.27   | 2.88%             |  |  |  | No            |                  2 | On Loan: No      |
| T&D Holdings Inc                    | T&D Holdings Inc                                      | CUSIP: 000000000<br>LEI: 3538008ARJ1MACEWA242 | Long             | EC               | CORP              | JP        |    364900 | NS      | $4436208.67   | 3.48%             |  |  |  | No            |                  2 | On Loan: No      |
| Aeon Mall Co Ltd                    | Aeon Mall Co Ltd                                      | CUSIP: 000000000<br>LEI: 353800IDE3ULLSB2R846 | Long             | EC               | CORP              | JP        |    262400 | NS      | $3168974.83   | 2.48%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Holdings Inc  | Sumitomo Mitsui Trust Holdings Inc                    | CUSIP: 000000000<br>LEI: 353800P843RLCDBLNT17 | Long             | EC               | CORP              | JP        |    110500 | NS      | $3543808.67   | 2.78%             |  |  |  | No            |                  2 | On Loan: No      |
| THK Co Ltd                          | THK Co Ltd                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |    153800 | NS      | $3033768.93   | 2.38%             |  |  |  | No            |                  2 | On Loan: No      |
| Sawai Group Holdings Co Ltd         | Sawai Group Holdings Co Ltd                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     40500 | NS      | $1254050.93   | 0.98%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Global Advisors        | State Street Institutional Treasury Money Market Fund | CUSIP: 857492870<br>LEI: 549300Q3FHSMZ70NLT76 | Long             | STIV             | RF                | US        |   2252906 | NS      | $2252906.45   | 1.77%             |  |  |  | No            |                  1 | On Loan: No      |
| Morinaga & Co Ltd/Japan             | Morinaga & Co Ltd/Japan                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     88000 | NS      | $2370785.85   | 1.86%             |  |  |  | No            |                  2 | On Loan: No      |
| NH Foods Ltd                        | NH Foods Ltd                                          | CUSIP: 000000000<br>LEI: 353800NLDBIOUQILWU82 | Long             | EC               | CORP              | JP        |    131800 | NS      | $3548592.59   | 2.78%             |  |  |  | No            |                  2 | On Loan: No      |
| Denka Co Ltd                        | Denka Co Ltd                                          | CUSIP: 000000000<br>LEI: 353800Y94EKQEH8MVD43 | Long             | EC               | CORP              | JP        |    139400 | NS      | $3375188.78   | 2.64%             |  |  |  | No            |                  2 | On Loan: No      |
| Takuma Co Ltd                       | Takuma Co Ltd                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |    228900 | NS      | $2139277.20   | 1.68%             |  |  |  | No            |                  2 | On Loan: No      |
| Secom Co Ltd                        | Secom Co Ltd                                          | CUSIP: 000000000<br>LEI: 529900TYCL9N3E9PGE47 | Long             | EC               | CORP              | JP        |     53700 | NS      | $3320004.86   | 2.60%             |  |  |  | No            |                  2 | On Loan: No      |
| Honda Motor Co Ltd                  | Honda Motor Co Ltd                                    | CUSIP: 000000000<br>LEI: 549300P7ZYCQJ36CCS16 | Long             | EC               | CORP              | JP        |    152800 | NS      | $3723980.20   | 2.92%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMCO Corp                          | SUMCO Corp                                            | CUSIP: 000000000<br>LEI: 353800SUSRUOM0V6KU92 | Long             | EC               | CORP              | JP        |    222000 | NS      | $3321455.80   | 2.60%             |  |  |  | No            |                  2 | On Loan: No      |
| Tokai Carbon Co Ltd                 | Tokai Carbon Co Ltd                                   | CUSIP: 000000000<br>LEI: 5299002HKWA5B57KLT43 | Long             | EC               | CORP              | JP        |    421500 | NS      | $3252326.40   | 2.55%             |  |  |  | No            |                  2 | On Loan: No      |
| Teijin Ltd                          | Teijin Ltd                                            | CUSIP: 000000000<br>LEI: 3538000RF6UCIMPKCO54 | Long             | EC               | CORP              | JP        |    291600 | NS      | $2829396.88   | 2.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Fuji Corp/Aichi                     | Fuji Corp/Aichi                                       | CUSIP: 000000000<br>LEI: 353800G4VS3QLM6BSX66 | Long             | EC               | CORP              | JP        |    212200 | NS      | $3237609.60   | 2.54%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Saison Co Ltd                | Credit Saison Co Ltd                                  | CUSIP: 000000000<br>LEI: 529900SV58ZWTGRH3A66 | Long             | EC               | CORP              | JP        |    135000 | NS      | $1730817.53   | 1.36%             |  |  |  | No            |                  2 | On Loan: No      |
| FUJIFILM Holdings Corp              | FUJIFILM Holdings Corp                                | CUSIP: 000000000<br>LEI: 529900UBKMFM0ST6H474 | Long             | EC               | CORP              | JP        |     33500 | NS      | $1802038.25   | 1.41%             |  |  |  | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group Inc | Sumitomo Mitsui Financial Group Inc                   | CUSIP: 000000000<br>LEI: 35380028MYWPB6AUO129 | Long             | EC               | CORP              | JP        |    129900 | NS      | $4408899.63   | 3.46%             |  |  |  | No            |                  2 | On Loan: No      |
| Rohm Co Ltd                         | Rohm Co Ltd                                           | CUSIP: 000000000<br>LEI: 5493009V2FGDEP7JFE59 | Long             | EC               | CORP              | JP        |     40200 | NS      | $3226906.26   | 2.53%             |  |  |  | No            |                  2 | On Loan: No      |
| Toyota Industries Corp              | Toyota Industries Corp                                | CUSIP: 000000000<br>LEI: 35380000WKGEAHEMW830 | Long             | EC               | CORP              | JP        |     74000 | NS      | $4245174.17   | 3.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Penta-Ocean Construction Co Ltd     | Penta-Ocean Construction Co Ltd                       | CUSIP: 000000000<br>LEI: 529900QN42Q9UIW3AS17 | Long             | EC               | CORP              | JP        |    599300 | NS      | $2836161.27   | 2.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Stanley Electric Co Ltd             | Stanley Electric Co Ltd                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |    228100 | NS      | $4690103.08   | 3.68%             |  |  |  | No            |                  2 | On Loan: No      |
| KDDI Corp                           | KDDI Corp                                             | CUSIP: 000000000<br>LEI: 5299003FU7V4I45FU310 | Long             | EC               | CORP              | JP        |     78800 | NS      | $2343872.04   | 1.84%             |  |  |  | No            |                  2 | On Loan: No      |
| Zenkoku Hosho Co Ltd                | Zenkoku Hosho Co Ltd                                  | CUSIP: 000000000<br>LEI: 353800VOQEKTSCSL9O03 | Long             | EC               | CORP              | JP        |     69100 | NS      | $2572868.62   | 2.02%             |  |  |  | No            |                  2 | On Loan: No      |
| K's Holdings Corp                   | K's Holdings Corp                                     | CUSIP: 000000000<br>LEI: 3538003LJ09YLR6NHG27 | Long             | EC               | CORP              | JP        |    280800 | NS      | $2331518.33   | 1.83%             |  |  |  | No            |                  2 | On Loan: No      |
| NEC Corp                            | NEC Corp                                              | CUSIP: 000000000<br>LEI: 5493000QYMPFRTEY4K28 | Long             | EC               | CORP              | JP        |    103800 | NS      | $3695337.70   | 2.90%             |  |  |  | No            |                  2 | On Loan: No      |
| Tokyo Seimitsu Co Ltd               | Tokyo Seimitsu Co Ltd                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |     95200 | NS      | $3050717.14   | 2.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Tsumura & Co                        | Tsumura & Co                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JP        |    133900 | NS      | $2934317.27   | 2.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Kirin Holdings Co Ltd               | Kirin Holdings Co Ltd                                 | CUSIP: 000000000<br>LEI: 353800GBVL72LLMTYM96 | Long             | EC               | CORP              | JP        |    231200 | NS      | $3649628.90   | 2.86%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-22

**Name of Applicant:** GMO TRUST

**Signature:** Betty Maganzini

**Name of Signer:** Betty Maganzini

**Title:** Treasurer