GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 94.2% |
| |||||||||
| Australia — 0.8% | ||||||||||
| 320,055 | Clean TeQ Water Ltd. * (a) | 105,570 | ||||||||
| 407,488 | IGO Ltd. * | 2,810,013 | ||||||||
| 276,972 | Paladin Energy Ltd. * | 2,266,805 | ||||||||
|
|
|
|||||||||
| Total Australia | 5,182,388 | |||||||||
|
|
|
|||||||||
| Brazil — 2.2% | ||||||||||
| 2,769,880 | Klabin SA | 9,153,225 | ||||||||
| 711,631 | Suzano SA | 5,912,213 | ||||||||
|
|
|
|||||||||
| Total Brazil | 15,065,438 | |||||||||
|
|
|
|||||||||
| Canada — 4.2% | ||||||||||
| 476,293 | Anaergia, Inc. * (a) | 1,008,795 | ||||||||
| 360,083 | Capstone Copper Corp. * | 3,920,390 | ||||||||
| 120,805 | First Quantum Minerals Ltd. * | 3,718,829 | ||||||||
| 1,925,700 | Greenlane Renewables, Inc. * | 314,280 | ||||||||
| 338,249 | Ivanhoe Mines Ltd. – Class A * (a) | 2,995,699 | ||||||||
| 1,008,392 | Largo, Inc. * (a) | 950,865 | ||||||||
| 1,085,613 | NexGen Energy Ltd. * (a) | 12,528,273 | ||||||||
| 169,696 | Northland Power, Inc. (a) | 2,895,042 | ||||||||
|
|
|
|||||||||
| Total Canada | 28,332,173 | |||||||||
|
|
|
|||||||||
| China — 5.2% | ||||||||||
| 698,686 | BYD Co. Ltd. – Class H | 8,133,174 | ||||||||
| 3,317,060 | CECEP Solar Energy Co. Ltd. – Class A | 2,974,897 | ||||||||
| 786,566 | CMOC Group Ltd. – Class H | 1,835,789 | ||||||||
| 275,100 | Contemporary Amperex Technology Co. Ltd. – Class A | 17,250,712 | ||||||||
| 1,747,448 | Goldwind Science & Technology Co. Ltd. – Class H | 3,059,432 | ||||||||
| 200 | Xuji Electric Co. Ltd. – Class A | 787 | ||||||||
| 431,976 | Yutong Bus Co. Ltd. – Class A | 2,062,581 | ||||||||
|
|
|
|||||||||
| Total China | 35,317,372 | |||||||||
|
|
|
|||||||||
| Denmark — 2.0% | ||||||||||
| 58,018 | Rockwool AS – B Shares | 1,816,548 | ||||||||
| 423,121 | Vestas Wind Systems AS | 11,871,864 | ||||||||
|
|
|
|||||||||
| Total Denmark | 13,688,412 | |||||||||
|
|
|
|||||||||
| Finland — 2.3% | ||||||||||
| 150,925 | Kemira OYJ | 3,136,175 | ||||||||
| 388,934 | Neste OYJ | 12,788,153 | ||||||||
|
|
|
|||||||||
| Total Finland | 15,924,328 | |||||||||
|
|
|
|||||||||
| France — 7.0% | ||||||||||
| 103,218 | Alstom SA * | 2,060,172 | ||||||||
| 51,162 | Nexans SA | 9,412,401 | ||||||||
| 40,489 | Schneider Electric SE | 12,716,909 | ||||||||
| 26,654 | STMicroelectronics NV | 1,828,388 | ||||||||
| 807,416 | Valeo SE (a) | 12,434,212 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| France — continued | ||||||||||
| 229,668 | Veolia Environnement SA (a) | 9,266,123 | ||||||||
|
|
|
|||||||||
| Total France | 47,718,205 | |||||||||
|
|
|
|||||||||
| Germany — 2.6% | ||||||||||
| 113,331 | E.ON SE | 2,405,849 | ||||||||
| 55,982 | Infineon Technologies AG | 5,307,960 | ||||||||
| 55,017 | Knorr-Bremse AG | 6,646,239 | ||||||||
| 11,482 | Siemens AG (Registered) | 3,600,067 | ||||||||
|
|
|
|||||||||
| Total Germany | 17,960,115 | |||||||||
|
|
|
|||||||||
| Italy — 1.0% | ||||||||||
| 205,173 | Enel SpA | 2,302,282 | ||||||||
| 82,736 | ERG SpA (a) | 2,212,759 | ||||||||
| 208,538 | Terna – Rete Elettrica Nazionale | 2,395,925 | ||||||||
|
|
|
|||||||||
| Total Italy | 6,910,966 | |||||||||
|
|
|
|||||||||
| Japan — 2.6% | ||||||||||
| 42,481 | Daikin Industries Ltd. | 6,115,806 | ||||||||
| 105,006 | GS Yuasa Corp. | 4,319,072 | ||||||||
| 132,309 | Kansai Electric Power Co., Inc. | 1,938,952 | ||||||||
| 79,881 | Renesas Electronics Corp. | 2,223,703 | ||||||||
| 100,039 | Yokogawa Electric Corp. | 3,140,093 | ||||||||
|
|
|
|||||||||
| Total Japan | 17,737,626 | |||||||||
|
|
|
|||||||||
| Kazakhstan — 0.5% | ||||||||||
| 46,577 | NAC Kazatomprom JSC GDR | 3,365,877 | ||||||||
|
|
|
|||||||||
| Mexico — 0.4% | ||||||||||
| 2,160,597 | Orbia Advance Corp. SAB de CV * | 2,912,450 | ||||||||
|
|
|
|||||||||
| Netherlands — 0.2% | ||||||||||
| 34,000 | Arcadis NV | 1,387,762 | ||||||||
|
|
|
|||||||||
| Norway — 2.1% | ||||||||||
| 443,834 | Austevoll Seafood ASA | 4,259,511 | ||||||||
| 107,070 | Bakkafrost P | 5,301,301 | ||||||||
| 283,337 | Cadeler AS * | 1,826,026 | ||||||||
| 121,613 | Mowi ASA | 2,679,550 | ||||||||
|
|
|
|||||||||
| Total Norway | 14,066,388 | |||||||||
|
|
|
|||||||||
| Portugal — 0.4% | ||||||||||
| 471,500 | EDP SA | 2,401,184 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 7,221,500 | GMK Norilskiy Nickel PAO * (b) (c) | — | ||||||||
| 120,856 | PhosAgro PJSC * (b) (c) | — | ||||||||
| 2,335 | PhosAgro PJSC GDR * (b) (c) | — | ||||||||
|
|
|
|||||||||
| Total Russia | — | |||||||||
|
|
|
|||||||||
| South Korea — 5.9% | ||||||||||
| 68,624 | CS Wind Corp. | 2,164,211 | ||||||||
| 112,964 | LG Chem Ltd. | 27,520,763 | ||||||||
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 23,273 | Samsung SDI Co. Ltd. * | 10,630,024 | ||||||||
|
|
|
|||||||||
| Total South Korea | 40,314,998 | |||||||||
|
|
|
|||||||||
| Spain — 1.4% | ||||||||||
| 8,631 | Acciona SA (a) | 2,475,955 | ||||||||
| 59,594 | Endesa SA | 2,491,562 | ||||||||
| 100,456 | Iberdrola SA | 2,280,535 | ||||||||
| 113,085 | Redeia Corp. SA | 1,940,024 | ||||||||
|
|
|
|||||||||
| Total Spain | 9,188,076 | |||||||||
|
|
|
|||||||||
| Switzerland — 1.7% | ||||||||||
| 124,501 | Landis & Gyr Group AG | 8,041,421 | ||||||||
| 16,830 | Sika AG | 3,284,935 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 11,326,356 | |||||||||
|
|
|
|||||||||
| Thailand — 0.4% | ||||||||||
| 26,436,811 | Energy Absolute PCL NVDR * | 2,759,498 | ||||||||
|
|
|
|||||||||
| Ukraine — 0.2% | ||||||||||
| 219,994 | Kernel Holding SA * | 1,169,384 | ||||||||
|
|
|
|||||||||
| United Kingdom — 1.5% | ||||||||||
| 101,565 | Anglo American PLC | 5,435,489 | ||||||||
| 460,000 | Lifezone Metals Ltd. * | 2,415,000 | ||||||||
| 139,643 | National Grid PLC | 2,241,344 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 10,091,833 | |||||||||
|
|
|
|||||||||
| United States — 49.6% | ||||||||||
| 52,955 | Advanced Drainage Systems, Inc. | 7,369,218 | ||||||||
| 166,973 | Aemetis, Inc. * | 425,781 | ||||||||
| 54,398 | AGCO Corp. | 6,107,807 | ||||||||
| 134,372 | Albemarle Corp. | 23,705,908 | ||||||||
| 43,821 | Alcoa Corp. | 3,402,262 | ||||||||
| 526,763 | Ameresco, Inc. – Class A * | 18,952,933 | ||||||||
| 2,855,446 | Array Technologies, Inc. * | 25,927,450 | ||||||||
| 19,355 | Axcelis Technologies, Inc. * | 2,911,186 | ||||||||
| 111,332 | BorgWarner, Inc. | 7,995,864 | ||||||||
| 155,252 | Carrier Global Corp. | 9,915,945 | ||||||||
| 3,259,274 | Clean Energy Fuels Corp. * | 6,648,919 | ||||||||
| 484,876 | CNH Industrial NV | 4,950,584 | ||||||||
| 64,901 | Corteva, Inc. | 5,080,450 | ||||||||
| 436,796 | Darling Ingredients, Inc. * | 25,814,644 | ||||||||
| 9,276 | Deere & Co. | 5,029,262 | ||||||||
| 36,826 | Edison International | 2,575,610 | ||||||||
| 26,830 | EnerSys | 6,116,435 | ||||||||
| 46,048 | Exelon Corp. | 2,101,631 | ||||||||
| 17,041 | Fervo Energy Co. – Class A * | 624,723 | ||||||||
| 41,124 | First Solar, Inc. * | 12,616,432 | ||||||||
| 54,693 | Freeport-McMoRan, Inc. | 3,593,877 | ||||||||
| 659,372 | Gevo, Inc. * | 1,226,432 | ||||||||
| 877,298 | Green Plains, Inc. * | 13,747,260 | ||||||||
| 199,021 | Itron, Inc. * | 16,415,252 | ||||||||
| 6,120 | MasTec, Inc. * | 2,315,624 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 6,080 | MYR Group, Inc. * | 2,827,565 | ||||||||
| 82,753 | Nextpower, Inc. – Class A * | 12,942,569 | ||||||||
| 18,477 | ON Semiconductor Corp. * | 2,228,696 | ||||||||
| 52,482 | Ormat Technologies, Inc. | 7,202,105 | ||||||||
| 38,290 | Owens Corning | 4,817,648 | ||||||||
| 11,215 | Pentair PLC | 794,471 | ||||||||
| 41,700 | Primoris Services Corp. | 5,245,026 | ||||||||
| 1,416 | Rayonier, Inc. – (REIT) | 29,580 | ||||||||
| 134,500 | Sensata Technologies Holding PLC | 6,642,955 | ||||||||
| 341,946 | SolarEdge Technologies, Inc. * | 26,107,577 | ||||||||
| 1,960,218 | Sunrun, Inc. * | 32,774,845 | ||||||||
| 32,216 | TE Connectivity PLC | 6,875,217 | ||||||||
| 10,864 | Trane Technologies PLC | 4,902,923 | ||||||||
| 9,982 | Valmont Industries, Inc. | 5,188,743 | ||||||||
| 126,292 | Weyerhaeuser Co. – (REIT) | 3,095,417 | ||||||||
|
|
|
|||||||||
| Total United States | 337,246,826 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $613,225,861) |
640,067,655 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — 3.1% | ||||||||||
| Chile — 3.1% | ||||||||||
| 247,374 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 21,242,005 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $11,415,970) |
21,242,005 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 2.5% | ||||||||||
| United States — 2.5% | ||||||||||
| 3,423,161 | GMO U.S. Treasury Fund, Class VI (e) | 17,150,037 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $17,150,036) |
17,150,037 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.1% | ||||||||||
| France — 0.1% | ||||||||||
| 114,522 | Waga Energy SA Conditional Price Supplement Right * (b) | 220,405 | ||||||||
| 114,522 | Waga Energy SA Price Adjustment Right * (b) | — | ||||||||
|
|
|
|||||||||
| Total France | 220,405 | |||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $0) |
220,405 | |||||||||
|
|
|
|||||||||
GMO Climate Change Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.5% | ||||||||||
| Money Market Funds — 0.5% | ||||||||||
| 3,259,465 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (f) | 3,259,465 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $3,259,465) |
3,259,465 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.4% (Cost $645,051,332) |
681,939,567 | |||||||||
| Other Assets and Liabilities (net) — (0.4)% | (2,639,786 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 679,299,781 | ||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2026 |
||||||||
| GMK Norilskiy Nickel PAO | 04/11/18 | $ | 21,636,323 | 0.0% | $ | — | ||||||
| PhosAgro PJSC | 08/09/19 | 5,614,147 | 0.0% | — | ||||||||
| PhosAgro PJSC GDR | 08/09/19 | 36,037 | 0.0% | — | ||||||||
|
|
|
|||||||||||
| $ | — | |||||||||||
|
|
|
|||||||||||
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) | Affiliated company. |
| (f) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
NVDR - Non-Voting 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)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 94.5% |
| |||||||||
| Brazil — 2.8% | ||||||||||
| 167,700 | Banco Bradesco SA | 515,279 | ||||||||
| 23,462 | Cia De Saneamento do Parana Sanepar | 176,457 | ||||||||
| 36,200 | Guararapes Confeccoes SA | 64,872 | ||||||||
| 34,400 | Pagseguro Digital Ltd. – Class A | 321,640 | ||||||||
| 120,200 | Vale SA Sponsored ADR | 1,953,250 | ||||||||
| 27,400 | Vibra Energia SA | 161,590 | ||||||||
|
|
|
|||||||||
| Total Brazil | 3,193,088 | |||||||||
|
|
|
|||||||||
| Czech Republic — 0.2% | ||||||||||
| 220 | Philip Morris CR AS | 209,284 | ||||||||
|
|
|
|||||||||
| Egypt — 0.2% | ||||||||||
| 16,879 | Orascom Construction PLC | 240,706 | ||||||||
|
|
|
|||||||||
| Greece — 0.1% | ||||||||||
| 3,605 | Motor Oil Hellas Corinth Refineries SA | 155,584 | ||||||||
|
|
|
|||||||||
| Hungary — 2.8% | ||||||||||
| 17,313 | Magyar Telekom Telecommunications PLC | 150,302 | ||||||||
| 59,165 | MOL Hungarian Oil & Gas PLC | 751,525 | ||||||||
| 9,984 | OTP Bank Nyrt | 1,370,857 | ||||||||
| 22,083 | Richter Gedeon Nyrt | 934,809 | ||||||||
|
|
|
|||||||||
| Total Hungary | 3,207,493 | |||||||||
|
|
|
|||||||||
| India — 6.7% | ||||||||||
| 110,055 | Ashapura Minechem Ltd. | 858,234 | ||||||||
| 259,727 | Bharat Petroleum Corp. Ltd. | 817,088 | ||||||||
| 78,754 | Brightcom Group Ltd. * | 8,679 | ||||||||
| 3,433 | GHCL Ltd. | 16,391 | ||||||||
| 154,506 | Hindalco Industries Ltd. | 1,840,937 | ||||||||
| 97,519 | Hindustan Petroleum Corp. Ltd. | 404,100 | ||||||||
| 341,311 | Indian Oil Corp. Ltd. | 505,620 | ||||||||
| 1,459 | KRBL Ltd. | 5,334 | ||||||||
| 11,440 | Muthoot Finance Ltd. | 397,342 | ||||||||
| 864,211 | NMDC Ltd. | 804,205 | ||||||||
| 485,738 | Oil & Natural Gas Corp. Ltd. | 1,359,331 | ||||||||
| 552 | Pokarna Ltd. | 4,619 | ||||||||
| 16,453 | Siyaram Silk Mills Ltd. | 99,329 | ||||||||
| 89,815 | Tata Motors Ltd. * | 360,919 | ||||||||
| 862 | Vadilal Industries Ltd. | 43,899 | ||||||||
|
|
|
|||||||||
| Total India | 7,526,027 | |||||||||
|
|
|
|||||||||
| Indonesia — 1.5% | ||||||||||
| 1,084,200 | Aneka Tambang Tbk. PT | 176,484 | ||||||||
| 4,404,600 | Astra International Tbk. PT | 1,233,792 | ||||||||
| 132,400 | Indofood Sukses Makmur Tbk. PT | 51,320 | ||||||||
| 1,514,500 | Perusahaan Gas Negara Persero Tbk. PT | 154,751 | ||||||||
| 242,700 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 17,541 | ||||||||
| 252,000 | Salim Ivomas Pratama Tbk. PT | 7,837 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 1,641,725 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Kuwait — 1.0% | ||||||||||
| 560,674 | A’ayan Leasing & Investment Co. KSCP | 500,094 | ||||||||
| 41,333 | Combined Group Contracting Co. SAK | 126,962 | ||||||||
| 22,878 | Mobile Telecommunications Co. KSCP | 44,154 | ||||||||
| 335,079 | Noor Financial Investment Co. KSC | 442,279 | ||||||||
|
|
|
|||||||||
| Total Kuwait | 1,113,489 | |||||||||
|
|
|
|||||||||
| Mexico — 1.4% | ||||||||||
| 66,410 | Cemex SAB de CV Sponsored ADR | 869,307 | ||||||||
| 19,000 | El Puerto de Liverpool SAB de CV – Class C1 (a) | 112,869 | ||||||||
| 250,035 | Gentera SAB de CV | 618,129 | ||||||||
|
|
|
|||||||||
| Total Mexico | 1,600,305 | |||||||||
|
|
|
|||||||||
| Poland — 1.0% | ||||||||||
| 23,471 | ORLEN SA | 917,367 | ||||||||
| 10,099 | Powszechny Zaklad Ubezpieczen SA | 179,342 | ||||||||
|
|
|
|||||||||
| Total Poland | 1,096,709 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 131,280 | Evraz PLC * (b) (c) | — | ||||||||
| 236,860,000 | Federal Grid Co-Rosseti PJSC * (b) (c) | — | ||||||||
| 897,812 | Gazprom PJSC * (b) (c) | — | ||||||||
| 783,200 | GMK Norilskiy Nickel PAO * (b) (c) | — | ||||||||
| 6,151,400 | Inter RAO UES PJSC * (b) (c) | — | ||||||||
| 93,370 | Novatek PJSC * (b) (c) | — | ||||||||
| 1,403,510 | Novolipetsk Steel PJSC * (b) (c) | — | ||||||||
| 4,917 | PhosAgro PJSC * (b) (c) | — | ||||||||
| 95 | PhosAgro PJSC GDR * (b) (c) | — | ||||||||
| 1 | Polyus PJSC GDR * (b) (c) | — | ||||||||
| 140,607 | Severstal PAO GDR (Registered) * (b) (c) | — | ||||||||
| 657,084 | Tatneft PJSC * (b) (c) | — | ||||||||
|
|
|
|||||||||
| Total Russia | — | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 2.2% | ||||||||||
| 1,896 | Al Babtain Power & Telecommunication Co. | 33,094 | ||||||||
| 7,769 | Arab National Bank | 43,656 | ||||||||
| 14,441 | Banque Saudi Fransi | 73,946 | ||||||||
| 41,562 | Riyad Bank | 223,454 | ||||||||
| 7,739 | SABIC Agri-Nutrients Co. | 282,523 | ||||||||
| 13,226 | Saudi Awwal Bank | 119,330 | ||||||||
| 129,747 | Saudi National Bank | 1,380,400 | ||||||||
| 24,988 | Saudi Telecom Co. | 292,211 | ||||||||
| 3,068 | Savola Group | 23,179 | ||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 2,471,793 | |||||||||
|
|
|
|||||||||
| South Africa — 0.7% | ||||||||||
| 56,222 | Ninety One Ltd. | 164,381 | ||||||||
| 785,469 | Old Mutual Ltd. | 622,452 | ||||||||
| 5,652 | Omnia Holdings Ltd. | 35,367 | ||||||||
|
|
|
|||||||||
| Total South Africa | 822,200 | |||||||||
|
|
|
|||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| South Korea — 27.3% | ||||||||||
| 838 | Global Standard Technology Co. Ltd. | 30,085 | ||||||||
| 8,131 | GS Holdings Corp. | 391,401 | ||||||||
| 7,420 | Hana Financial Group, Inc. | 567,787 | ||||||||
| 11,330 | Hyundai Glovis Co. Ltd. | 1,825,257 | ||||||||
| 7,130 | Hyundai Mobis Co. Ltd. | 3,630,867 | ||||||||
| 28,801 | Kia Corp. | 3,230,901 | ||||||||
| 2,319 | KT&G Corp. | 283,256 | ||||||||
| 15,486 | LG Electronics, Inc. | 3,019,375 | ||||||||
| 884 | LX Holdings Corp. | 5,051 | ||||||||
| 1,644 | ROKIT Healthcare, Inc. * | 59,782 | ||||||||
| 35,192 | Samsung E&A Co. Ltd. | 1,231,621 | ||||||||
| 46,750 | Samsung Electronics Co. Ltd. | 9,807,852 | ||||||||
| 9,339 | Shinhan Financial Group Co. Ltd. | 580,907 | ||||||||
| 3,306 | SK Hynix, Inc. | 5,147,466 | ||||||||
| 51,371 | Woori Financial Group, Inc. | 1,015,951 | ||||||||
| 55 | Youngone Corp. | 2,892 | ||||||||
|
|
|
|||||||||
| Total South Korea | 30,830,451 | |||||||||
|
|
|
|||||||||
| Taiwan — 35.3% | ||||||||||
| 219,000 | AcBel Polytech, Inc. | 414,850 | ||||||||
| 12,000 | Central Reinsurance Co. Ltd. | 13,414 | ||||||||
| 410,600 | Evergreen Marine Corp. Taiwan Ltd. | 2,788,501 | ||||||||
| 8,000 | Genius Electronic Optical Co. Ltd. | 153,365 | ||||||||
| 3,000 | Global Brands Manufacture Ltd. | 9,247 | ||||||||
| 75,000 | Greatek Electronics, Inc. | 336,380 | ||||||||
| 311,000 | Hannstar Board Corp. | 840,138 | ||||||||
| 291,000 | Hon Hai Precision Industry Co. Ltd. | 2,663,755 | ||||||||
| 143,000 | KGI Financial Holding Co. Ltd. | 102,580 | ||||||||
| 27,000 | Kung Long Batteries Industrial Co. Ltd. | 108,208 | ||||||||
| 26,000 | Lelon Electronics Corp. | 303,155 | ||||||||
| 53,000 | Lite-On Technology Corp. | 391,485 | ||||||||
| 1,000 | Lotes Co. Ltd. | 83,624 | ||||||||
| 33,528 | Nantex Industry Co. Ltd. | 28,850 | ||||||||
| 28,000 | Pegatron Corp. | 78,995 | ||||||||
| 1,488,000 | Pou Chen Corp. | 1,208,077 | ||||||||
| 161,000 | Powertech Technology, Inc. | 1,922,758 | ||||||||
| 54,000 | Realtek Semiconductor Corp. | 995,323 | ||||||||
| 1,280 | Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR | 535,616 | ||||||||
| 225,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 16,669,187 | ||||||||
| 18,000 | TCI Co. Ltd. | 68,527 | ||||||||
| 68,000 | Tripod Technology Corp. | 1,120,829 | ||||||||
| 11,000 | TTY Biopharm Co. Ltd. | 25,784 | ||||||||
| 722,000 | United Microelectronics Corp. | 3,250,407 | ||||||||
| 14,000 | Walsin Technology Corp. | 173,359 | ||||||||
| 7,000 | Wan Hai Lines Ltd. | 18,315 | ||||||||
| 103,000 | Wistron Corp. | 515,634 | ||||||||
| 133,000 | WPG Holdings Ltd. | 500,085 | ||||||||
| 6,000 | WT Microelectronics Co. Ltd. | 55,095 | ||||||||
| 103,000 | Yageo Corp. | 2,396,399 | ||||||||
| 293,000 | Yang Ming Marine Transport Corp. | 492,686 | ||||||||
| 256,000 | Yuanta Financial Holding Co. Ltd. | 486,610 | ||||||||
| 63,000 | YungShin Global Holding Corp. | 112,324 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 59,000 | Zhen Ding Technology Holding Ltd. | 962,944 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 39,826,506 | |||||||||
|
|
|
|||||||||
| Thailand — 8.2% | ||||||||||
| 652,000 | 3BB Internet Infrastructure Fund – Class F | 128,958 | ||||||||
| 388,600 | AP Thailand PCL NVDR | 87,139 | ||||||||
| 33,000 | Bangkok Life Assurance PCL NVDR | 23,118 | ||||||||
| 434,600 | Digital Telecommunications Infrastructure Fund – Class F | 132,911 | ||||||||
| 250,200 | Kasikornbank PCL NVDR | 1,544,409 | ||||||||
| 30,900 | Kiatnakin Phatra Bank PCL NVDR | 83,372 | ||||||||
| 2,214,300 | Krung Thai Bank PCL NVDR | 2,362,976 | ||||||||
| 148,900 | Mega Lifesciences PCL NVDR | 164,508 | ||||||||
| 589,100 | PTT Exploration & Production PCL NVDR | 2,563,589 | ||||||||
| 958,800 | PTT PCL NVDR | 1,068,170 | ||||||||
| 238,900 | Regional Container Lines PCL NVDR | 231,196 | ||||||||
| 105,600 | SCB X PCL NVDR | 436,196 | ||||||||
| 103,200 | Sri Trang Gloves Thailand PCL NVDR | 36,500 | ||||||||
| 34,600 | Stecon Group PCL NVDR | 16,622 | ||||||||
| 226,900 | Thai Oil PCL NVDR | 322,307 | ||||||||
| 45,500 | TOA Paint Thailand PCL NVDR | 17,083 | ||||||||
|
|
|
|||||||||
| Total Thailand | 9,219,054 | |||||||||
|
|
|
|||||||||
| Turkey — 0.2% | ||||||||||
| 53,914 | Anadolu Anonim Turk Sigorta Sirketi | 31,946 | ||||||||
| 3,916 | BIM Birlesik Magazalar AS | 31,455 | ||||||||
| 5,852 | Migros Ticaret AS | 83,026 | ||||||||
| 144,465 | Sekerbank Turk AS | 40,912 | ||||||||
|
|
|
|||||||||
| Total Turkey | 187,339 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.5% | ||||||||||
| 70,051 | Emirates NBD Bank PJSC | 530,516 | ||||||||
|
|
|
|||||||||
| United Kingdom — 0.6% | ||||||||||
| 18,200 | Global Ship Lease, Inc. – Class A | 663,026 | ||||||||
|
|
|
|||||||||
| Vietnam — 1.8% | ||||||||||
| 94,380 | An Binh CJSB * | 55,956 | ||||||||
| 8,100 | Binh Minh Plastics JSC | 42,297 | ||||||||
| 17,700 | Gelex Electric Equipment JSC | 68,750 | ||||||||
| 59,100 | IDICO Corp. JSC | 97,400 | ||||||||
| 4,007 | Masan Consumer Corp. | 20,528 | ||||||||
| 134,400 | PetroVietNam Ca Mau Fertilizer JSC | 203,579 | ||||||||
| 40,200 | Petrovietnam Fertilizer & Chemicals JSC | 39,592 | ||||||||
| 28,600 | PetroVietnam Gas JSC | 95,065 | ||||||||
| 49,300 | PetroVietnam Oil Corp. | 28,292 | ||||||||
| 48,750 | Phu Nhuan Jewelry JSC | 122,080 | ||||||||
| 39,700 | Quang Ngai Sugar JSC | 71,820 | ||||||||
| 284,220 | Saigon - Hanoi Commercial Joint Stock Bank | 149,165 | ||||||||
| 99,700 | Saigon Beer Alcohol Beverage Corp. | 177,981 | ||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Vietnam — continued | ||||||||||
| 389,900 | Vietnam Dairy Products JSC | 877,370 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 2,049,875 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $96,523,183) |
106,585,170 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — 3.5% | ||||||||||
| Brazil — 3.0% | ||||||||||
| 27,500 | Banco Bradesco SA ADR | 95,975 | ||||||||
| 163,500 | Bradespar SA | 753,561 | ||||||||
| 514,866 | Cia Energetica de Minas Gerais | 1,098,207 | ||||||||
| 88,400 | Petroleo Brasileiro SA - Petrobras Sponsored ADR | 1,482,468 | ||||||||
|
|
|
|||||||||
| Total Brazil | 3,430,211 | |||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 299 | Grupo de Inversiones Suramericana SA | 3,487 | ||||||||
|
|
|
|||||||||
| South Korea — 0.5% | ||||||||||
| 3,881 | Samsung Electronics Co. Ltd. | 519,253 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $3,884,761) |
3,952,951 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| INVESTMENT FUNDS — 2.0% | ||||||||||
| United States — 2.0% | ||||||||||
| 448,072 | GMO U.S. Treasury Fund, Class VI (e) | 2,244,841 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $2,244,841) |
2,244,841 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 52,510 | State Street Institutional Treasury Money | |||||||||
| Market Fund – Premier Class, 3.57% (f) | 52,510 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $52,510) |
52,510 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $102,705,295) |
112,835,472 | |||||||||
| Other Assets and Liabilities (net) — (0.1)% | (82,278 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 112,753,194 | ||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2026 |
||||||||
| Evraz PLC | 10/18/21 | $ | 1,123,522 | 0.0% | $ | — | ||||||
| Federal Grid Co-Rosseti PJSC | 10/18/21 | 599,930 | 0.0% | — | ||||||||
| Gazprom PJSC | 10/18/21 | 4,325,759 | 0.0% | — | ||||||||
| GMK Norilskiy Nickel PAO | 10/18/21 | 2,530,663 | 0.0% | — | ||||||||
| Inter RAO UES PJSC | 10/18/21 | 435,323 | 0.0% | — | ||||||||
| Novatek PJSC | 10/18/21 | 2,410,423 | 0.0% | — | ||||||||
| Novolipetsk Steel PJSC | 10/18/21 | 4,328,348 | 0.0% | — | ||||||||
| PhosAgro PJSC | 10/18/21 | 383,565 | 0.0% | — | ||||||||
| PhosAgro PJSC GDR | 10/18/21 | 2,465 | 0.0% | — | ||||||||
| Polyus PJSC GDR | 12/14/22 | 4 | 0.0% | — | ||||||||
| Severstal PAO GDR (Registered) | 10/18/21 | 3,190,235 | 0.0% | — | ||||||||
| Tatneft PJSC | 10/18/21 | 4,839,124 | 0.0% | — | ||||||||
|
|
|
|||||||||||
| $ | — | |||||||||||
|
|
|
|||||||||||
GMO Emerging Markets ex-China Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 20 | MSCI Emerging Market | June 2026 | $ | 1,748,500 | $ | (5,841 | ) | |||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (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) | Affiliated company. |
| (f) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
NVDR - Non-Voting Depositary Receipt
PJSC - Private Joint-Stock Company
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 93.8% |
| |||||||||
| Brazil — 1.8% | ||||||||||
| 67,200 | Banco Bradesco SA | 206,480 | ||||||||
| 166,100 | Pagseguro Digital Ltd. – Class A | 1,553,035 | ||||||||
| 473,600 | Vale SA Sponsored ADR | 7,696,000 | ||||||||
| 219,399 | Vibra Energia SA | 1,293,896 | ||||||||
|
|
|
|||||||||
| Total Brazil | 10,749,411 | |||||||||
|
|
|
|||||||||
| China — 16.0% | ||||||||||
| 3,832,000 | 361 Degrees International Ltd. | 2,312,180 | ||||||||
| 187,000 | 3SBio, Inc. | 441,797 | ||||||||
| 5,142,000 | Bosideng International Holdings Ltd. | 2,790,371 | ||||||||
| 8,733,878 | China Communications Services Corp. Ltd. – Class H | 4,602,761 | ||||||||
| 1,252,000 | China Conch Venture Holdings Ltd. | 1,694,701 | ||||||||
| 940,000 | China Feihe Ltd. (a) | 367,322 | ||||||||
| 550,000 | China Foods Ltd. | 248,620 | ||||||||
| 676,500 | China Hongqiao Group Ltd. | 2,425,683 | ||||||||
| 4,436,000 | China Lesso Group Holdings Ltd. | 2,614,938 | ||||||||
| 430,000 | China Medical System Holdings Ltd. | 579,824 | ||||||||
| 1,184,000 | China Nonferrous Mining Corp. Ltd. | 2,054,935 | ||||||||
| 2,492,000 | China Reinsurance Group Corp. – Class H | 378,490 | ||||||||
| 1,093,000 | China Resources Pharmaceutical Group Ltd. | 651,236 | ||||||||
| 3,000 | China Sanjiang Fine Chemicals Co. Ltd. (a) | 1,297 | ||||||||
| 118,000 | China Shineway Pharmaceutical Group Ltd. | 126,150 | ||||||||
| 2,930,400 | China Taiping Insurance Holdings Co. Ltd. | 7,440,051 | ||||||||
| 3,044,000 | Consun Pharmaceutical Group Ltd. | 5,518,933 | ||||||||
| 6,414,000 | CSPC Pharmaceutical Group Ltd. | 6,140,730 | ||||||||
| 829,500 | ENN Energy Holdings Ltd. | 5,815,864 | ||||||||
| 325,000 | Fufeng Group Ltd. | 247,642 | ||||||||
| 30,000 | Hengan International Group Co. Ltd. | 93,240 | ||||||||
| 10,248,000 | Hua Han Health Industry Holdings Ltd. * (b) | 24 | ||||||||
| 14,000 | JNBY Design Ltd. | 34,297 | ||||||||
| 235,000 | Kingboard Holdings Ltd. | 1,974,981 | ||||||||
| 4,180,000 | Kunlun Energy Co. Ltd. | 3,820,040 | ||||||||
| 319,700 | Legend Holdings Corp. – Class H * | 669,531 | ||||||||
| 916,000 | Lenovo Group Ltd. | 2,807,138 | ||||||||
| 2,044,000 | Lonking Holdings Ltd. * | 761,795 | ||||||||
| 799,500 | Minth Group Ltd. | 3,862,369 | ||||||||
| 595,000 | Orient Overseas International Ltd. (a) | 10,339,593 | ||||||||
| 1,162,000 | PICC Property & Casualty Co. Ltd. – Class H | 2,156,652 | ||||||||
| 343,000 | Sany Heavy Equipment International Holdings Co. Ltd. | 337,176 | ||||||||
| 2,334,000 | Sino Biopharmaceutical Ltd. | 1,487,446 | ||||||||
| 3,359,000 | Sinopec Engineering Group Co. Ltd. – Class H | 2,367,330 | ||||||||
| 734,000 | Sinopharm Group Co. Ltd. – Class H | 1,583,390 | ||||||||
| 282,000 | Sinotruk Hong Kong Ltd. | 1,340,715 | ||||||||
| 1,320,000 | Skyworth Group Ltd. * | 953,281 | ||||||||
| 61,000 | TCL Electronics Holdings Ltd. | 107,786 | ||||||||
| 121,300 | Tencent Holdings Ltd. | 6,590,420 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 428,415 | Vipshop Holdings Ltd. ADR | 6,092,061 | ||||||||
| 7,450 | ZTO Express Cayman, Inc. | 164,065 | ||||||||
|
|
|
|||||||||
| Total China | 93,996,855 | |||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 23,090 | Almacenes Exito SA | 28,027 | ||||||||
|
|
|
|||||||||
| Egypt — 0.1% | ||||||||||
| 57,011 | Orascom Construction PLC | 813,017 | ||||||||
|
|
|
|||||||||
| Greece — 0.1% | ||||||||||
| 216 | Eurobank SA | 1,006 | ||||||||
| 8,659 | Motor Oil Hellas Corinth Refineries SA | 373,703 | ||||||||
|
|
|
|||||||||
| Total Greece | 374,709 | |||||||||
|
|
|
|||||||||
| Hungary — 1.9% | ||||||||||
| 71,665 | Magyar Telekom Telecommunications PLC | 622,139 | ||||||||
| 163,285 | MOL Hungarian Oil & Gas PLC | 2,074,078 | ||||||||
| 48,680 | OTP Bank Nyrt | 6,684,025 | ||||||||
| 37,418 | Richter Gedeon Nyrt | 1,583,964 | ||||||||
|
|
|
|||||||||
| Total Hungary | 10,964,206 | |||||||||
|
|
|
|||||||||
| India — 4.0% | ||||||||||
| 209,555 | Ashapura Minechem Ltd. | 1,634,159 | ||||||||
| 1,007,814 | Bharat Petroleum Corp. Ltd. | 3,170,532 | ||||||||
| 649,259 | Hindalco Industries Ltd. | 7,735,912 | ||||||||
| 349,087 | Hindustan Petroleum Corp. Ltd. | 1,446,549 | ||||||||
| 911,942 | Indian Oil Corp. Ltd. | 1,350,956 | ||||||||
| 2,588,383 | NMDC Ltd. | 2,408,660 | ||||||||
| 1,573,684 | Oil & Natural Gas Corp. Ltd. | 4,403,931 | ||||||||
| 39,747 | Siyaram Silk Mills Ltd. | 239,958 | ||||||||
| 217,792 | Tata Motors Ltd. * | 875,192 | ||||||||
|
|
|
|||||||||
| Total India | 23,265,849 | |||||||||
|
|
|
|||||||||
| Indonesia — 1.3% | ||||||||||
| 17,956,400 | Aneka Tambang Tbk. PT | 2,922,918 | ||||||||
| 16,209,800 | Astra International Tbk. PT | 4,540,599 | ||||||||
| 80,200 | Pabrik Kertas Tjiwi Kimia Tbk. PT | 24,967 | ||||||||
| 1,319,400 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 95,362 | ||||||||
| 1,282,500 | Salim Ivomas Pratama Tbk. PT | 39,883 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 7,623,729 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.7% | ||||||||||
| 1,998,811 | A’ayan Leasing & Investment Co. KSCP | 1,782,843 | ||||||||
| 104,107 | Combined Group Contracting Co. SAK | 319,783 | ||||||||
| 19,223 | Mobile Telecommunications Co. KSCP | 37,099 | ||||||||
| 17,300 | National Mobile Telecommunications Co. KSCC | 105,977 | ||||||||
| 1,223,836 | Noor Financial Investment Co. KSC | 1,615,373 | ||||||||
|
|
|
|||||||||
| Total Kuwait | 3,861,075 | |||||||||
|
|
|
|||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Mexico — 1.3% | ||||||||||
| 447,000 | Cemex SAB de CV Sponsored ADR | 5,851,230 | ||||||||
| 656,763 | Gentera SAB de CV (a) | 1,623,629 | ||||||||
|
|
|
|||||||||
| Total Mexico | 7,474,859 | |||||||||
|
|
|
|||||||||
| Philippines — 0.1% | ||||||||||
| 10,820 | GT Capital Holdings, Inc. | 84,275 | ||||||||
| 1,603,500 | LT Group, Inc. | 411,155 | ||||||||
| 356,800 | Megaworld Corp. | 12,042 | ||||||||
| 2,900 | Robinsons Retail Holdings, Inc. | 2,175 | ||||||||
|
|
|
|||||||||
| Total Philippines | 509,647 | |||||||||
|
|
|
|||||||||
| Poland — 1.0% | ||||||||||
| 138,461 | ORLEN SA | 5,411,763 | ||||||||
| 27,082 | Powszechny Zaklad Ubezpieczen SA | 480,933 | ||||||||
|
|
|
|||||||||
| Total Poland | 5,892,696 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 39,977 | Evraz PLC * (b) (c) | — | ||||||||
| 1,432,600,000 | Federal Grid Co-Rosseti PJSC * (b) (c) | — | ||||||||
| 1,250,860 | Gazprom PJSC * (b) (c) | — | ||||||||
| 3,721,200 | GMK Norilskiy Nickel PAO * (b) (c) | — | ||||||||
| 78,536,400 | Inter RAO UES PJSC * (b) (c) | — | ||||||||
| 239,440 | LSR Group PJSC * (b) (c) | — | ||||||||
| 3 | LSR Group PJSC GDR * (b) (c) | — | ||||||||
| 10,015,560 | Novolipetsk Steel PJSC * (b) (c) | — | ||||||||
| 11,924 | PhosAgro PJSC * (b) (c) | — | ||||||||
| 230 | PhosAgro PJSC GDR * (b) (c) | — | ||||||||
| 706,464 | Severstal PAO GDR (Registered) * (b) (c) | — | ||||||||
| 68,353 | SFI PJSC * (b) (c) | — | ||||||||
| 2,860,038 | Tatneft PJSC * (b) (c) | — | ||||||||
| 8,118,000 | Unipro PAO * (b) (c) | — | ||||||||
| 556,430 | United Co. RUSAL International PJSC * (b) (c) | — | ||||||||
|
|
|
|||||||||
| Total Russia | — | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 2.4% | ||||||||||
| 48,191 | Banque Saudi Fransi | 246,765 | ||||||||
| 5,859 | Etihad Etisalat Co. | 99,932 | ||||||||
| 285,753 | Riyad Bank | 1,536,322 | ||||||||
| 58,018 | SABIC Agri-Nutrients Co. | 2,118,027 | ||||||||
| 100,611 | Saudi Awwal Bank | 907,753 | ||||||||
| 693,732 | Saudi National Bank | 7,380,730 | ||||||||
| 161,452 | Saudi Telecom Co. | 1,888,031 | ||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 14,177,560 | |||||||||
|
|
|
|||||||||
| South Africa — 0.6% | ||||||||||
| 4,173,112 | Old Mutual Ltd. | 3,307,020 | ||||||||
|
|
|
|||||||||
| South Korea — 22.2% | ||||||||||
| 151 | Global Standard Technology Co. Ltd. | 5,421 | ||||||||
| 19,216 | GS Holdings Corp. | 924,997 | ||||||||
| 44,330 | Hana Financial Group, Inc. | 3,392,181 | ||||||||
| 41,979 | Hyundai Glovis Co. Ltd. | 6,762,795 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 36,741 | Hyundai Mobis Co. Ltd. | 18,709,914 | ||||||||
| 154,885 | Kia Corp. | 17,375,024 | ||||||||
| 13,564 | KT&G Corp. | 1,656,784 | ||||||||
| 78,754 | LG Electronics, Inc. | 15,355,021 | ||||||||
| 195 | LX Holdings Corp. | 1,114 | ||||||||
| 10,150 | ROKIT Healthcare, Inc. * | 369,094 | ||||||||
| 137,164 | Samsung E&A Co. Ltd. | 4,800,355 | ||||||||
| 170,723 | Samsung Electronics Co. Ltd. | 35,816,598 | ||||||||
| 50,489 | Shinhan Financial Group Co. Ltd. | 3,140,530 | ||||||||
| 11,156 | SK Hynix, Inc. | 17,369,974 | ||||||||
| 244,390 | Woori Financial Group, Inc. | 4,833,240 | ||||||||
|
|
|
|||||||||
| Total South Korea | 130,513,042 | |||||||||
|
|
|
|||||||||
| Sri Lanka — 0.0% | ||||||||||
| 103,983,101 | Anilana Hotels & Properties Ltd. * (d) (e) | 284,021 | ||||||||
|
|
|
|||||||||
| Taiwan — 28.7% | ||||||||||
| 1,623,000 | AcBel Polytech, Inc. | 3,074,438 | ||||||||
| 77,000 | ASE Technology Holding Co. Ltd. | 1,471,111 | ||||||||
| 136,000 | ChipMOS Technologies, Inc. | 483,676 | ||||||||
| 1,777,200 | Evergreen Marine Corp. Taiwan Ltd. | 12,069,469 | ||||||||
| 9,000 | Genius Electronic Optical Co. Ltd. | 172,536 | ||||||||
| 1,089,000 | Hannstar Board Corp. | 2,941,833 | ||||||||
| 912,000 | Hon Hai Precision Industry Co. Ltd. | 8,348,262 | ||||||||
| 424,000 | KGI Financial Holding Co. Ltd. | 304,152 | ||||||||
| 341,000 | Lite-On Technology Corp. | 2,518,797 | ||||||||
| 4,546,000 | Pou Chen Corp. | 3,690,806 | ||||||||
| 881,000 | Powertech Technology, Inc. | 10,521,429 | ||||||||
| 315,000 | Realtek Semiconductor Corp. | 5,806,052 | ||||||||
| 1,109,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 82,160,571 | ||||||||
| 26,000 | TCI Co. Ltd. | 98,983 | ||||||||
| 220,000 | Tripod Technology Corp. | 3,626,211 | ||||||||
| 3,990,000 | United Microelectronics Corp. | 17,962,774 | ||||||||
| 47,000 | Wan Hai Lines Ltd. | 122,971 | ||||||||
| 120,000 | Wistron Corp. | 600,738 | ||||||||
| 555,000 | WPG Holdings Ltd. | 2,086,821 | ||||||||
| 262,000 | Yageo Corp. | 6,095,694 | ||||||||
| 908,000 | Yang Ming Marine Transport Corp. | 1,526,823 | ||||||||
| 1,286,000 | Yuanta Financial Holding Co. Ltd. | 2,444,453 | ||||||||
| 53,000 | YungShin Global Holding Corp. | 94,495 | ||||||||
| 15,000 | Zhen Ding Technology Holding Ltd. | 244,816 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 168,467,911 | |||||||||
|
|
|
|||||||||
| Thailand — 8.3% | ||||||||||
| 2,438,100 | 3BB Internet Infrastructure Fund – Class F | 482,229 | ||||||||
| 1,097,300 | AP Thailand PCL | 246,056 | ||||||||
| 31,400 | Bangkok Life Assurance PCL NVDR | 21,997 | ||||||||
| 1,242,300 | Digital Telecommunications Infrastructure Fund – Class F | 379,926 | ||||||||
| 128,500 | GFPT PCL | 33,764 | ||||||||
| 1,397,200 | Kasikornbank PCL | 8,624,494 | ||||||||
| 10,696,500 | Krung Thai Bank PCL | 11,414,703 | ||||||||
| 714,500 | Mega Lifesciences PCL | 789,396 | ||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Thailand — continued | ||||||||||
| 48,200 | Pruksa Holding PCL (Foreign Registered) | 5,062 | ||||||||
| 2,872,100 | PTT Exploration & Production PCL | 12,498,530 | ||||||||
| 6,796,000 | PTT PCL | 7,571,217 | ||||||||
| 817,500 | Regional Container Lines PCL | 791,138 | ||||||||
| 682,600 | SCB X PCL | 2,819,575 | ||||||||
| 47,100 | Sri Trang Gloves Thailand PCL | 16,658 | ||||||||
| 1,739,500 | Thai Oil PCL | 2,470,922 | ||||||||
| 128,900 | Thai Vegetable Oil PCL | 98,849 | ||||||||
| 534,700 | TOA Paint Thailand PCL | 200,754 | ||||||||
|
|
|
|||||||||
| Total Thailand | 48,465,270 | |||||||||
|
|
|
|||||||||
| Turkey — 0.6% | ||||||||||
| 172,764 | BIM Birlesik Magazalar AS | 1,387,697 | ||||||||
| 140,301 | Migros Ticaret AS | 1,990,536 | ||||||||
|
|
|
|||||||||
| Total Turkey | 3,378,233 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.5% | ||||||||||
| 333,630 | Emirates NBD Bank PJSC | 2,526,674 | ||||||||
| 116,332 | First Abu Dhabi Bank PJSC | 536,065 | ||||||||
|
|
|
|||||||||
| Total United Arab Emirates | 3,062,739 | |||||||||
|
|
|
|||||||||
| United Kingdom — 0.3% | ||||||||||
| 46,500 | Global Ship Lease, Inc. – Class A | 1,693,995 | ||||||||
|
|
|
|||||||||
| Vietnam — 1.9% | ||||||||||
| 329,810 | An Binh CJSB * | 195,540 | ||||||||
| 15,700 | Binh Minh Plastics JSC | 81,982 | ||||||||
| 49,400 | Gelex Electric Equipment JSC | 191,878 | ||||||||
| 41,035 | Gelex Group JSC | 50,085 | ||||||||
| 164,300 | IDICO Corp. JSC | 270,775 | ||||||||
| 4,664 | Masan Consumer Corp. | 23,894 | ||||||||
| 489,800 | PetroVietNam Ca Mau Fertilizer JSC | 741,911 | ||||||||
| 149,000 | Petrovietnam Fertilizer & Chemicals JSC | 146,745 | ||||||||
| 231,800 | PetroVietnam Oil Corp. | 133,026 | ||||||||
| 201,900 | Phu Nhuan Jewelry JSC | 505,601 | ||||||||
| 317,300 | Quang Ngai Sugar JSC | 574,015 | ||||||||
| 3,836,120 | Saigon - Hanoi Commercial Joint Stock Bank | 2,013,277 | ||||||||
| 554,700 | Saigon Beer Alcohol Beverage Corp. | 990,231 | ||||||||
| 2,088,300 | Vietnam Dairy Products JSC | 4,699,183 | ||||||||
| 124,100 | Vietnam Engine & Agricultural Machinery Corp. | 164,134 | ||||||||
| 325,200 | Vietnam Prosperity JSC Bank | 334,989 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 11,117,266 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $512,772,405) |
550,021,137 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| PREFERRED STOCKS (f) — 4.8% | ||||||||||
| Brazil — 3.6% | ||||||||||
| 1,128,200 | Banco Bradesco SA ADR | 3,937,418 | ||||||||
| 750,400 | Bradespar SA | 3,458,544 | ||||||||
| 2,441,280 | Cia Energetica de Minas Gerais | 5,207,238 | ||||||||
| 59,900 | Gerdau SA | 270,376 | ||||||||
| 103,800 | Gerdau SA Sponsored ADR | 467,100 | ||||||||
| 202,100 | Itausa SA | 517,615 | ||||||||
| 426,400 | Petroleo Brasileiro SA – Petrobras Sponsored ADR | 7,150,728 | ||||||||
|
|
|
|||||||||
| Total Brazil | 21,009,019 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 194,570 | Nizhnekamskneftekhim PJSC * (b) (c) | — | ||||||||
|
|
|
|||||||||
| South Korea — 1.2% | ||||||||||
| 55,473 | Samsung Electronics Co. Ltd. | 7,421,927 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $24,374,135) |
28,430,946 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 0.2% | ||||||||||
| United States — 0.2% | ||||||||||
| 293,789 | GMO U.S. Treasury Fund, Class VI (e) | 1,471,885 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $1,471,885) |
1,471,885 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.6% | ||||||||||
| Money Market Funds — 0.6% | ||||||||||
| 3,373,852 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (g) | 3,373,852 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $3,373,852) |
3,373,852 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.4% (Cost $541,992,277) |
583,297,820 | |||||||||
| Other Assets and Liabilities (net) — 0.6% | 3,377,733 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 586,675,553 | ||||||||
|
|
|
|||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2026 |
||||||||
| Evraz PLC | 10/20/21 | $ | 325,882 | 0.0% | $ | — | ||||||
| Federal Grid Co-Rosseti PJSC | 01/16/20 | 3,566,461 | 0.0% | — | ||||||||
| Gazprom PJSC | 02/15/22 | 5,498,440 | 0.0% | — | ||||||||
| GMK Norilskiy Nickel PAO | 12/09/19 | 10,928,119 | 0.0% | — | ||||||||
| Inter RAO UES PJSC | 04/04/18 | 5,427,962 | 0.0% | — | ||||||||
| LSR Group PJSC | 03/01/19 | 2,449,446 | 0.0% | — | ||||||||
| LSR Group PJSC GDR | 05/06/21 | 7 | 0.0% | — | ||||||||
| Nizhnekamskneftekhim PJSC | 03/24/20 | 204,612 | 0.0% | — | ||||||||
| Novolipetsk Steel PJSC | 10/11/17 | 26,618,404 | 0.0% | — | ||||||||
| PhosAgro PJSC | 02/09/22 | 802,829 | 0.0% | — | ||||||||
| PhosAgro PJSC GDR | 02/09/22 | 5,151 | 0.0% | — | ||||||||
| Severstal PAO GDR (Registered) | 10/12/17 | 13,249,420 | 0.0% | — | ||||||||
| SFI PJSC | 09/11/18 | 747,895 | 0.0% | — | ||||||||
| Tatneft PJSC | 11/02/18 | 25,364,999 | 0.0% | — | ||||||||
| Unipro PAO | 03/29/18 | 400,147 | 0.0% | — | ||||||||
| United Co. RUSAL International PJSC | 11/12/21 | 569,611 | 0.0% | — | ||||||||
|
|
|
|||||||||||
| $ | — | |||||||||||
|
|
|
|||||||||||
GMO Emerging Markets Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 40 | MSCI Emerging Market | June 2026 | $3,497,000 | $ | 100,023 | |||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (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) | Investment valued using significant unobservable inputs. |
| (e) | Affiliated company. |
| (f) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (g) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
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
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 93.4% |
| |||||||||
| Australia — 4.6% | ||||||||||
| 655,928 | BHP Group Ltd. | 29,200,838 | ||||||||
| 1,808,665 | Fortescue Ltd. | 29,048,716 | ||||||||
| 548,429 | Perseus Mining Ltd. | 2,058,366 | ||||||||
| 29,210 | Rio Tinto Ltd. | 3,906,676 | ||||||||
| 135,546 | Super Retail Group Ltd. | 1,140,609 | ||||||||
|
|
|
|||||||||
| Total Australia | 65,355,205 | |||||||||
|
|
|
|||||||||
| Belgium — 0.6% | ||||||||||
| 26,040 | Ageas SA | 2,017,624 | ||||||||
| 25,386 | Bekaert SA | 1,222,712 | ||||||||
| 27,685 | KBC Group NV | 3,673,823 | ||||||||
| 18,036 | Melexis NV | 1,704,195 | ||||||||
| 29,381 | Proximus SADP | 228,776 | ||||||||
|
|
|
|||||||||
| Total Belgium | 8,847,130 | |||||||||
|
|
|
|||||||||
| Canada — 1.9% | ||||||||||
| 11,700 | Bank of Nova Scotia | 938,784 | ||||||||
| 101,800 | Magna International, Inc. (a) | 6,597,635 | ||||||||
| 36,600 | Parex Resources, Inc. | 638,472 | ||||||||
| 160,800 | Toronto-Dominion Bank | 18,399,304 | ||||||||
|
|
|
|||||||||
| Total Canada | 26,574,195 | |||||||||
|
|
|
|||||||||
| Finland — 3.0% | ||||||||||
| 2,771,389 | Nokia OYJ | 40,705,547 | ||||||||
| 43,068 | Valmet OYJ | 1,167,011 | ||||||||
|
|
|
|||||||||
| Total Finland | 41,872,558 | |||||||||
|
|
|
|||||||||
| France — 7.9% | ||||||||||
| 8,993 | Amundi SA | 876,765 | ||||||||
| 8,794 | ArcelorMittal SA | 605,400 | ||||||||
| 188,945 | BNP Paribas SA | 20,366,892 | ||||||||
| 36,171 | Cie de Saint-Gobain SA | 3,277,849 | ||||||||
| 101,591 | Coface SA | 1,767,002 | ||||||||
| 94,864 | Derichebourg SA | 1,117,744 | ||||||||
| 42,854 | Eiffage SA | 6,202,143 | ||||||||
| 41,212 | Ipsen SA | 7,528,161 | ||||||||
| 25,959 | IPSOS SA | 1,168,472 | ||||||||
| 34,139 | Metropole Television SA | 459,443 | ||||||||
| 101,973 | Rubis SCA | 4,211,972 | ||||||||
| 309,791 | Sanofi SA | 27,156,003 | ||||||||
| 14,681 | Societe BIC SA * | 996,127 | ||||||||
| 63,687 | Societe Generale SA | 5,293,734 | ||||||||
| 99,813 | STMicroelectronics NV (b) | 6,918,039 | ||||||||
| 257,315 | STMicroelectronics NV (b) | 17,651,071 | ||||||||
| 104,657 | Television Francaise 1 SA | 834,104 | ||||||||
| 48,473 | TotalEnergies SE | 4,253,157 | ||||||||
| 35,326 | Valeo SE | 544,021 | ||||||||
|
|
|
|||||||||
| Total France | 111,228,099 | |||||||||
|
|
|
|||||||||
| Germany — 4.6% | ||||||||||
| 845,354 | Deutsche Bank AG (Registered) | 27,393,784 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Germany — continued | ||||||||||
| 530,480 | Deutsche Post AG | 31,593,982 | ||||||||
| 56,279 | Deutsche Telekom AG (Registered) | 1,889,572 | ||||||||
| 20,328 | DWS Group GmbH & Co. KGaA | 1,462,347 | ||||||||
| 5,326 | Indus Holding AG * | 187,200 | ||||||||
| 40,876 | Kloeckner & Co. SE * | 542,381 | ||||||||
| 24,046 | RTL Group SA | 883,167 | ||||||||
| 2,864 | Siemens AG (Registered) | 897,979 | ||||||||
|
|
|
|||||||||
| Total Germany | 64,850,412 | |||||||||
|
|
|
|||||||||
| Hong Kong — 4.9% | ||||||||||
| 2,156,500 | BOC Hong Kong Holdings Ltd. | 13,176,933 | ||||||||
| 607,000 | CK Asset Holdings Ltd. | 3,664,840 | ||||||||
| 2,604,500 | CK Hutchison Holdings Ltd. | 23,434,942 | ||||||||
| 202,800 | Dah Sing Banking Group Ltd. | 348,209 | ||||||||
| 26,869 | Dah Sing Financial Holdings Ltd. | 145,616 | ||||||||
| 936,585 | IGG, Inc. | 396,415 | ||||||||
| 122,901 | Johnson Electric Holdings Ltd. | 400,372 | ||||||||
| 197,640 | KLN Logistics Group Ltd. | 154,757 | ||||||||
| 144,326 | Luk Fook Holdings International Ltd. | 384,938 | ||||||||
| 730,331 | Pacific Textiles Holdings Ltd. | 104,561 | ||||||||
| 789,000 | SITC International Holdings Co. Ltd. | 3,491,114 | ||||||||
| 182,500 | Sun Hung Kai Properties Ltd. | 3,065,038 | ||||||||
| 103,500 | Swire Pacific Ltd. – Class A | 1,077,062 | ||||||||
| 278,000 | Techtronic Industries Co. Ltd. | 4,127,073 | ||||||||
| 730,000 | VSTECS Holdings Ltd. | 896,246 | ||||||||
| 72,700 | VTech Holdings Ltd. | 475,200 | ||||||||
| 11,240,015 | WH Group Ltd. | 12,971,380 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 68,314,696 | |||||||||
|
|
|
|||||||||
| Israel — 0.6% | ||||||||||
| 315,831 | Bank Hapoalim BM | 8,097,990 | ||||||||
|
|
|
|||||||||
| Italy — 2.3% | ||||||||||
| 89,405 | Anima Holding SpA | 748,798 | ||||||||
| 55,598 | Banca IFIS SpA (a) | 1,313,514 | ||||||||
| 223,671 | BPER Banca SpA | 3,028,090 | ||||||||
| 66,604 | Esprinet SpA | 540,140 | ||||||||
| 83,547 | Tenaris SA ADR | 5,090,519 | ||||||||
| 857,140 | Unipol Assicurazioni SpA | 21,191,325 | ||||||||
|
|
|
|||||||||
| Total Italy | 31,912,386 | |||||||||
|
|
|
|||||||||
| Japan — 25.5% | ||||||||||
| 38,420 | AOKI Holdings, Inc. | 395,812 | ||||||||
| 168,796 | Brother Industries Ltd. | 3,971,396 | ||||||||
| 27,600 | Canon Marketing Japan, Inc. | 616,325 | ||||||||
| 52,300 | Credit Saison Co. Ltd. | 1,344,626 | ||||||||
| 102,000 | Daido Steel Co. Ltd. | 1,332,522 | ||||||||
| 66,290 | Daiwabo Holdings Co. Ltd. | 1,423,647 | ||||||||
| 55,000 | Ebara Corp. | 1,955,705 | ||||||||
| 25,700 | Fuji Electric Co. Ltd. | 2,494,149 | ||||||||
| 29,118 | Fuyo General Lease Co. Ltd. | 766,389 | ||||||||
| 30,906 | Gunze Ltd. | 722,509 | ||||||||
| 27,800 | Horiba Ltd. | 4,576,159 | ||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 862,300 | Inpex Corp. | 19,390,092 | ||||||||
| 383,670 | ITOCHU Corp. | 4,638,461 | ||||||||
| 41,000 | Kaga Electronics Co. Ltd. | 1,138,892 | ||||||||
| 134,500 | Kajima Corp. | 4,967,287 | ||||||||
| 124,088 | Kanematsu Corp. | 1,679,805 | ||||||||
| 475,300 | Komatsu Ltd. | 19,410,155 | ||||||||
| 23,193 | Komeri Co. Ltd. | 504,302 | ||||||||
| 87,300 | Kubota Corp. | 1,551,101 | ||||||||
| 285,900 | Kyocera Corp. | 6,251,213 | ||||||||
| 705,800 | Marubeni Corp. | 23,071,466 | ||||||||
| 270,000 | Mitsubishi Electric Corp. | 10,976,324 | ||||||||
| 675,300 | Mitsui & Co. Ltd. | 22,444,074 | ||||||||
| 471,900 | Murata Manufacturing Co. Ltd. | 29,722,461 | ||||||||
| 61,500 | NGK Corp. | 2,435,816 | ||||||||
| 148,278 | Nichias Corp. | 3,283,667 | ||||||||
| 124,500 | Niterra Co. Ltd. | 7,938,873 | ||||||||
| 48,300 | Nitto Denko Corp. | 905,133 | ||||||||
| 41,200 | Ono Pharmaceutical Co. Ltd. | 618,214 | ||||||||
| 56,800 | ORIX Corp. | 2,215,149 | ||||||||
| 36,700 | Osaka Gas Co. Ltd. | 1,233,290 | ||||||||
| 1,695,100 | Panasonic Holdings Corp. | 39,163,539 | ||||||||
| 82,324 | Press Kogyo Co. Ltd. | 432,634 | ||||||||
| 119,800 | Renesas Electronics Corp. | 3,334,956 | ||||||||
| 54,600 | Sanwa Holdings Corp. | 1,245,149 | ||||||||
| 33,000 | SCREEN Holdings Co. Ltd. | 2,301,978 | ||||||||
| 72,100 | Seiko Epson Corp. | 1,326,138 | ||||||||
| 75,390 | Seiko Group Corp. | 3,340,414 | ||||||||
| 564,812 | Sekisui Chemical Co. Ltd. | 8,122,369 | ||||||||
| 239,000 | Sekisui House Ltd. | 5,017,916 | ||||||||
| 238,700 | Shionogi & Co. Ltd. | 4,489,427 | ||||||||
| 169,300 | Sojitz Corp. | 5,731,285 | ||||||||
| 336,000 | Sumitomo Corp. | 14,816,718 | ||||||||
| 301,700 | Sumitomo Electric Industries Ltd. | 23,270,328 | ||||||||
| 727,000 | Sumitomo Forestry Co. Ltd. | 5,957,989 | ||||||||
| 6,800 | Suzuki Motor Corp. | 84,212 | ||||||||
| 91,700 | TDK Corp. | 2,375,242 | ||||||||
| 26,300 | Tokyo Electron Ltd. | 8,820,348 | ||||||||
| 165,600 | Tokyo Gas Co. Ltd. | 6,620,579 | ||||||||
| 5,900 | Tokyo Seimitsu Co. Ltd. | 642,825 | ||||||||
| 101,975 | Tokyu Construction Co. Ltd. | 757,902 | ||||||||
| 12,428 | Towa Pharmaceutical Co. Ltd. | 307,901 | ||||||||
| 256,500 | Toyo Tire Corp. | 6,099,590 | ||||||||
| 22,200 | Toyoda Gosei Co. Ltd. | 672,538 | ||||||||
| 638,365 | Toyota Tsusho Corp. | 27,812,977 | ||||||||
| 33,938 | TPR Co. Ltd. | 297,895 | ||||||||
| 24,369 | Valor Holdings Co. Ltd. | 524,636 | ||||||||
| 20,256 | Warabeya Nichiyo Holdings Co. Ltd. | 338,221 | ||||||||
| 19,300 | Yokogawa Electric Corp. | 605,802 | ||||||||
|
|
|
|||||||||
| Total Japan | 358,486,522 | |||||||||
|
|
|
|||||||||
| Netherlands — 8.7% | ||||||||||
| 255,655 | ABN AMRO Bank NV | 10,160,068 | ||||||||
| 4,155 | ASM International NV | 4,335,389 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Netherlands — continued | ||||||||||
| 40,050 | ASML Holding NV (Registered) | 64,591,038 | ||||||||
| 295,102 | ING Groep NV | 9,140,908 | ||||||||
| 65,464 | Koninklijke Ahold Delhaize NV | 2,758,465 | ||||||||
| 195,328 | Koninklijke KPN NV | 1,017,473 | ||||||||
| 229,115 | NN Group NV | 19,125,665 | ||||||||
| 183,589 | SBM Offshore NV | 6,997,368 | ||||||||
| 173,314 | Signify NV (a) | 4,197,078 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 122,323,452 | |||||||||
|
|
|
|||||||||
| Norway — 3.5% | ||||||||||
| 30,088 | Aker BP ASA | 1,082,434 | ||||||||
| 50,418 | DOF Group ASA | 651,381 | ||||||||
| 452,486 | Elkem ASA * | 1,576,677 | ||||||||
| 484,217 | Equinor ASA | 17,504,255 | ||||||||
| 35,331 | Europris ASA | 353,605 | ||||||||
| 330,122 | Hoegh Autoliners ASA | 4,885,617 | ||||||||
| 700,784 | Norsk Hydro ASA | 8,570,425 | ||||||||
| 988,560 | Orkla ASA | 10,418,373 | ||||||||
| 268,642 | Wallenius Wilhelmsen ASA | 3,456,796 | ||||||||
|
|
|
|||||||||
| Total Norway | 48,499,563 | |||||||||
|
|
|
|||||||||
| Portugal — 0.3% | ||||||||||
| 51,456 | Galp Energia SGPS SA | 1,121,357 | ||||||||
| 253,973 | Navigator Co. SA (a) | 1,005,922 | ||||||||
| 156,820 | REN—Redes Energeticas Nacionais SGPS SA | 647,460 | ||||||||
| 757,857 | Sonae SGPS SA | 1,683,045 | ||||||||
|
|
|
|||||||||
| Total Portugal | 4,457,784 | |||||||||
|
|
|
|||||||||
| Singapore — 2.4% | ||||||||||
| 245,300 | ComfortDelGro Corp. Ltd. (a) | 247,762 | ||||||||
| 381,100 | First Resources Ltd. | 789,669 | ||||||||
| 937,000 | Oversea-Chinese Banking Corp. Ltd. | 17,198,091 | ||||||||
| 377,000 | Sheng Siong Group Ltd. | 900,765 | ||||||||
| 87,700 | Venture Corp. Ltd. | 1,236,891 | ||||||||
| 259,500 | Wilmar International Ltd. | 730,068 | ||||||||
| 882,722 | Yangzijiang Financial Holding Ltd. * | 165,865 | ||||||||
| 882,722 | Yangzijiang Maritime Development Ltd. | 428,432 | ||||||||
| 4,448,722 | Yangzijiang Shipbuilding Holdings Ltd. | 12,691,802 | ||||||||
|
|
|
|||||||||
| Total Singapore | 34,389,345 | |||||||||
|
|
|
|||||||||
| Spain — 6.9% | ||||||||||
| 1,483,394 | Banco Bilbao Vizcaya Argentaria SA | 34,647,123 | ||||||||
| 1,886,326 | Banco Santander SA | 23,590,093 | ||||||||
| 432,441 | CaixaBank SA | 5,838,631 | ||||||||
| 170,820 | Indra Sistemas SA (a) | 11,358,838 | ||||||||
| 2,112,101 | Mapfre SA (a) | 9,876,319 | ||||||||
| 476,399 | Repsol SA | 12,300,756 | ||||||||
|
|
|
|||||||||
| Total Spain | 97,611,760 | |||||||||
|
|
|
|||||||||
| Sweden — 0.6% | ||||||||||
| 114,328 | Boliden AB | 7,118,938 | ||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Sweden — continued | ||||||||||
| 116,164 | Telefonaktiebolaget LM Ericsson – B Shares | 1,514,802 | ||||||||
|
|
|
|||||||||
| Total Sweden | 8,633,740 | |||||||||
|
|
|
|||||||||
| Switzerland — 5.0% | ||||||||||
| 334,602 | ABB Ltd. (Registered) | 35,778,097 | ||||||||
| 100,883 | Novartis AG (Registered) | 15,173,817 | ||||||||
| 10,479 | Swisscom AG (Registered) | 8,969,417 | ||||||||
| 216,524 | UBS Group AG (Registered) | 10,225,529 | ||||||||
| 3,995 | Zehnder Group AG – Class RG | 330,811 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 70,477,671 | |||||||||
|
|
|
|||||||||
| United Kingdom — 10.1% | ||||||||||
| 231,696 | 3i Group PLC | 7,036,561 | ||||||||
| 45,147 | British American Tobacco PLC Sponsored ADR | 2,789,633 | ||||||||
| 5,125,126 | BT Group PLC | 14,372,213 | ||||||||
| 488,845 | Ferrexpo PLC * (c) | 191,448 | ||||||||
| 49,060 | Galliford Try Holdings PLC | 343,071 | ||||||||
| 243,568 | GSK PLC | 6,159,011 | ||||||||
| 519,178 | GSK PLC Sponsored ADR | 26,239,256 | ||||||||
| 103,137 | Halfords Group PLC | 241,194 | ||||||||
| 131,843 | HSBC Holdings PLC | 2,475,778 | ||||||||
| 273,796 | Imperial Brands PLC | 9,928,293 | ||||||||
| 36,276 | Kingfisher PLC | 140,068 | ||||||||
| 282,883 | Man Group PLC | 1,044,054 | ||||||||
| 351,796 | Rio Tinto PLC Sponsored ADR | 37,427,577 | ||||||||
| 43,532 | Shell PLC | 1,839,460 | ||||||||
| 109,244 | Vesuvius PLC | 685,084 | ||||||||
| 2,064,156 | Vodafone Group PLC Sponsored ADR | 30,879,774 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 141,792,475 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $1,022,923,698) |
1,313,724,983 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — 0.5% | ||||||||||
| Germany — 0.5% | ||||||||||
| 3,755 | Draegerwerk AG & Co. KGaA | 401,404 | ||||||||
| 66,382 | Volkswagen AG * | 7,082,930 | ||||||||
|
|
|
|||||||||
| Total Germany | 7,484,334 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $8,087,959) |
7,484,334 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 5.2% | ||||||||||
| United States — 5.2% | ||||||||||
| 13,487,541 | GMO U.S. Treasury Fund, Class VI (e) | 67,572,579 | ||||||||
| 116,000 | GMO Ultra-Short Income ETF (e) | 5,805,220 | ||||||||
|
|
|
|||||||||
| Total United States | 73,377,799 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $73,393,925) |
73,377,799 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 1,508,594 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (f) | 1,508,594 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $1,508,594) |
1,508,594 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.2% (Cost $1,105,914,176) |
1,396,095,710 | |||||||||
| Other Assets and Liabilities (net) — 0.8% | 10,812,320 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 1,406,908,030 | ||||||||
|
|
|
|||||||||
GMO International Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 400 | MSCI EAFE | June 2026 | $62,226,000 | $ | 488,688 | |||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (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 using significant unobservable inputs. |
| (d) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (e) | Affiliated company. |
| (f) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
ETF - Exchange-Traded Fund
GMO International Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 95.7% | ||||||||||
| Australia — 5.8% | ||||||||||
| 150,794 | Aurizon Holdings Ltd. | 453,806 | ||||||||
| 239,340 | BHP Group Ltd. | 10,655,024 | ||||||||
| 293,466 | Fortescue Ltd. | 4,713,316 | ||||||||
| 69,412 | QBE Insurance Group Ltd. | 1,127,983 | ||||||||
| 5,580 | Rio Tinto Ltd. | 746,294 | ||||||||
| 71,915 | Santos Ltd. | 403,566 | ||||||||
| 18,838 | Suncorp Group Ltd. | 234,926 | ||||||||
| 46,156 | Woodside Energy Group Ltd. | 1,009,683 | ||||||||
|
|
|
|||||||||
| Total Australia | 19,344,598 | |||||||||
|
|
|
|||||||||
| Austria — 1.3% | ||||||||||
| 32,412 | OMV AG (a) | 2,332,373 | ||||||||
| 32,603 | Raiffeisen Bank International AG | 1,871,508 | ||||||||
|
|
|
|||||||||
| Total Austria | 4,203,881 | |||||||||
|
|
|
|||||||||
| Belgium — 0.3% | ||||||||||
| 13,810 | Ageas SA | 1,070,023 | ||||||||
| 6,183 | Proximus SADP | 48,144 | ||||||||
|
|
|
|||||||||
| Total Belgium | 1,118,167 | |||||||||
|
|
|
|||||||||
| Canada — 14.9% | ||||||||||
| 9,000 | Alimentation Couche-Tard, Inc. | 508,476 | ||||||||
| 22,400 | Bank of Montreal | 3,638,365 | ||||||||
| 56,765 | Bank of Nova Scotia (b) | 4,544,038 | ||||||||
| 77,800 | Bank of Nova Scotia (b) | 6,242,510 | ||||||||
| 4,900 | Canadian Imperial Bank of Commerce | 534,872 | ||||||||
| 5,900 | Empire Co. Ltd. – Class A | 209,227 | ||||||||
| 1,000 | Fairfax Financial Holdings Ltd. | 1,556,378 | ||||||||
| 10,700 | IGM Financial, Inc. | 609,721 | ||||||||
| 6,490 | Magna International, Inc. (b) | 420,292 | ||||||||
| 17,200 | Magna International, Inc. (b) | 1,114,728 | ||||||||
| 60,874 | Manulife Financial Corp. (b) | 2,324,778 | ||||||||
| 113,800 | Manulife Financial Corp. (a) (b) | 4,352,573 | ||||||||
| 7,900 | Nutrien Ltd. | 540,992 | ||||||||
| 21,200 | Open Text Corp. | 504,070 | ||||||||
| 43,200 | Parex Resources, Inc. | 753,607 | ||||||||
| 15,800 | Power Corp. of Canada | 955,002 | ||||||||
| 7,300 | Russel Metals, Inc. | 330,622 | ||||||||
| 37,630 | Sun Life Financial, Inc. (a) (b) | 2,701,834 | ||||||||
| 62,300 | Sun Life Financial, Inc. (b) | 4,477,339 | ||||||||
| 120,500 | Toronto-Dominion Bank | 13,788,035 | ||||||||
|
|
|
|||||||||
| Total Canada | 50,107,459 | |||||||||
|
|
|
|||||||||
| Denmark — 0.8% | ||||||||||
| 327 | AP Moller – Maersk AS – Class A | 796,195 | ||||||||
| 684 | AP Moller – Maersk AS – Class B | 1,698,348 | ||||||||
| 38,768 | H Lundbeck AS | 261,855 | ||||||||
|
|
|
|||||||||
| Total Denmark | 2,756,398 | |||||||||
|
|
|
|||||||||
| Finland — 0.2% | ||||||||||
| 27,383 | Valmet OYJ | 741,996 | ||||||||
|
|
|
|||||||||
|
Shares |
Description | Value ($) | ||||||||
| France — 9.5% | ||||||||||
| 15,275 | AXA SA | 704,381 | ||||||||
| 93,531 | BNP Paribas SA | 10,081,959 | ||||||||
| 4,511 | Capgemini SE * | 535,929 | ||||||||
| 2,397 | Carrefour SA | 44,784 | ||||||||
| 82,342 | Sanofi SA | 7,218,026 | ||||||||
| 6,792 | Teleperformance SE (a) | 498,434 | ||||||||
| 132,126 | TotalEnergies SE | 11,593,107 | ||||||||
| 89,457 | Valeo SE | 1,377,638 | ||||||||
|
|
|
|||||||||
| Total France | 32,054,258 | |||||||||
|
|
|
|||||||||
| Germany — 7.8% | ||||||||||
| 4,436 | Allianz SE (Registered) | 1,965,839 | ||||||||
| 26,765 | Daimler Truck Holding AG | 1,309,649 | ||||||||
| 158,924 | Deutsche Bank AG (Registered) | 5,149,949 | ||||||||
| 81,512 | Deutsche Post AG | 4,854,639 | ||||||||
| 120,866 | Deutsche Telekom AG (Registered) | 4,058,085 | ||||||||
| 6,512 | DWS Group GmbH & Co. KGaA | 468,457 | ||||||||
| 18,315 | Fresenius Medical Care AG | 793,717 | ||||||||
| 9,488 | Henkel AG & Co. KGaA | 688,152 | ||||||||
| 92,665 | Mercedes-Benz Group AG | 5,626,435 | ||||||||
| 7,702 | Merck KGaA | 1,172,969 | ||||||||
| 6,145 | Traton SE * | 241,234 | ||||||||
|
|
|
|||||||||
| Total Germany | 26,329,125 | |||||||||
|
|
|
|||||||||
| Hong Kong — 2.7% | ||||||||||
| 212,000 | CK Asset Holdings Ltd. | 1,279,977 | ||||||||
| 330,000 | CK Hutchison Holdings Ltd. | 2,969,296 | ||||||||
| 59,000 | Henderson Land Development Co. Ltd. (a) | 232,937 | ||||||||
| 49,500 | Kerry Properties Ltd. | 130,858 | ||||||||
| 179,000 | Sun Hung Kai Properties Ltd. | 3,006,256 | ||||||||
| 1,800 | VTech Holdings Ltd. | 11,766 | ||||||||
| 1,288,500 | WH Group Ltd. | 1,486,975 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 9,118,065 | |||||||||
|
|
|
|||||||||
| Ireland — 0.6% | ||||||||||
| 97,060 | AIB Group PLC | 1,142,191 | ||||||||
| 33,519 | Bank of Ireland Group PLC | 681,072 | ||||||||
|
|
|
|||||||||
| Total Ireland | 1,823,263 | |||||||||
|
|
|
|||||||||
| Israel — 1.4% | ||||||||||
| 61,244 | Bank Hapoalim BM | 1,570,312 | ||||||||
| 3,378 | Bank Leumi Le-Israel BM | 85,467 | ||||||||
| 59,366 | ICL Group Ltd. | 390,127 | ||||||||
| 89,787 | Israel Discount Bank Ltd. – Class A | 994,062 | ||||||||
| 13,038 | Mizrahi Tefahot Bank Ltd. | 999,016 | ||||||||
| 20,354 | ZIM Integrated Shipping Services Ltd. | 478,116 | ||||||||
|
|
|
|||||||||
| Total Israel | 4,517,100 | |||||||||
|
|
|
|||||||||
| Italy — 1.1% | ||||||||||
| 17,499 | Banco BPM SpA | 274,929 | ||||||||
| 3,256 | Buzzi SpA | 175,882 | ||||||||
| 61,549 | Intesa Sanpaolo SpA | 415,952 | ||||||||
GMO International Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Shares |
Description | Value ($) | ||||||||
| Italy — continued | ||||||||||
| 51,439 | MFE-MediaForEurope NV – Class A | 181,255 | ||||||||
| 71,889 | Stellantis NV * | 573,698 | ||||||||
| 418,689 | Telecom Italia SpA * | 355,676 | ||||||||
| 66,161 | Unipol Assicurazioni SpA | 1,635,718 | ||||||||
|
|
|
|||||||||
| Total Italy | 3,613,110 | |||||||||
|
|
|
|||||||||
| Japan — 20.2% | ||||||||||
| 198,500 | Asahi Group Holdings Ltd. | 1,894,210 | ||||||||
| 78,200 | Asahi Kasei Corp. | 877,176 | ||||||||
| 15,500 | Astellas Pharma, Inc. | 220,780 | ||||||||
| 32,500 | Brother Industries Ltd. | 764,653 | ||||||||
| 14,600 | Canon, Inc. | 388,278 | ||||||||
| 4,300 | Credit Saison Co. Ltd. | 110,552 | ||||||||
| 7,100 | Daikin Industries Ltd. | 1,022,156 | ||||||||
| 38,900 | Daito Trust Construction Co. Ltd. | 772,709 | ||||||||
| 81,900 | Daiwa House Industry Co. Ltd. | 2,227,216 | ||||||||
| 166,500 | Denso Corp. | 1,980,918 | ||||||||
| 7,500 | Electric Power Development Co. Ltd. | 189,085 | ||||||||
| 64,900 | FUJIFILM Holdings Corp. | 1,349,235 | ||||||||
| 24,900 | Hitachi Construction Machinery Co. Ltd. | 811,032 | ||||||||
| 113,494 | Honda Motor Co. Ltd. Sponsored ADR | 3,063,203 | ||||||||
| 367,600 | Honda Motor Co. Ltd. | 3,303,244 | ||||||||
| 182,100 | Inpex Corp. | 4,094,788 | ||||||||
| 31,800 | Isuzu Motors Ltd. | 467,192 | ||||||||
| 179,900 | Japan Post Holdings Co. Ltd. | 2,333,161 | ||||||||
| 66,300 | Kirin Holdings Co. Ltd. | 1,128,359 | ||||||||
| 20,100 | Kobe Steel Ltd. | 250,065 | ||||||||
| 98,600 | Komatsu Ltd. | 4,026,596 | ||||||||
| 103,100 | Kubota Corp. | 1,831,827 | ||||||||
| 28,900 | Mazda Motor Corp. | 206,468 | ||||||||
| 154,300 | Mitsui & Co. Ltd. | 5,128,270 | ||||||||
| 87,500 | Nippon Yusen KK | 2,915,532 | ||||||||
| 2,700 | Niterra Co. Ltd. | 172,168 | ||||||||
| 6,605,900 | NTT, Inc. | 6,197,841 | ||||||||
| 67,800 | Ono Pharmaceutical Co. Ltd. | 1,017,352 | ||||||||
| 57,400 | ORIX Corp. | 2,238,548 | ||||||||
| 900 | Otsuka Holdings Co. Ltd. | 66,123 | ||||||||
| 169,900 | Panasonic Holdings Corp. | 3,925,364 | ||||||||
| 41,700 | Ricoh Co. Ltd. | 381,457 | ||||||||
| 48,200 | Seiko Epson Corp. | 886,545 | ||||||||
| 51,200 | Sekisui Chemical Co. Ltd. | 736,290 | ||||||||
| 68,800 | Sekisui House Ltd. | 1,444,488 | ||||||||
| 77,400 | Shionogi & Co. Ltd. | 1,455,726 | ||||||||
| 22,000 | Subaru Corp. | 333,880 | ||||||||
| 43,100 | Sumitomo Corp. | 1,900,597 | ||||||||
| 105,200 | Sumitomo Forestry Co. Ltd. | 862,146 | ||||||||
| 21,500 | Suntory Beverage & Food Ltd. | 580,756 | ||||||||
| 32,600 | Suzuki Motor Corp. | 403,720 | ||||||||
| 31,300 | Tosoh Corp. | 539,593 | ||||||||
| 23,800 | Toyo Tire Corp. | 565,966 | ||||||||
| 116,300 | Toyota Motor Corp. | 2,200,129 | ||||||||
| 72,500 | Yamaha Motor Co. Ltd. (a) | 596,618 | ||||||||
|
|
|
|||||||||
| Total Japan | 67,862,012 | |||||||||
|
|
|
|||||||||
|
Shares |
Description | Value ($) | ||||||||
| Netherlands — 2.6% | ||||||||||
| 45,162 | ABN AMRO Bank NV | 1,794,798 | ||||||||
| 138,921 | ING Groep NV | 4,303,136 | ||||||||
| 19,077 | Koninklijke Ahold Delhaize NV | 803,850 | ||||||||
| 6,888 | NN Group NV | 574,984 | ||||||||
| 47,871 | Signify NV (a) | 1,159,274 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 8,636,042 | |||||||||
|
|
|
|||||||||
| Norway — 2.2% | ||||||||||
| 187,129 | Equinor ASA | 6,764,640 | ||||||||
| 52,513 | Orkla ASA | 553,431 | ||||||||
| 11,763 | Wallenius Wilhelmsen ASA | 151,363 | ||||||||
|
|
|
|||||||||
| Total Norway | 7,469,434 | |||||||||
|
|
|
|||||||||
| Portugal — 0.0% | ||||||||||
| 4,483 | Sonae SGPS SA | 9,956 | ||||||||
|
|
|
|||||||||
| Singapore — 0.8% | ||||||||||
| 23,698 | Hafnia Ltd. | 182,940 | ||||||||
| 74,200 | Oversea-Chinese Banking Corp. Ltd. | 1,361,898 | ||||||||
| 30,200 | United Overseas Bank Ltd. | 889,755 | ||||||||
| 72,100 | Wilmar International Ltd. | 202,844 | ||||||||
|
|
|
|||||||||
| Total Singapore | 2,637,437 | |||||||||
|
|
|
|||||||||
| Spain — 5.5% | ||||||||||
| 440,882 | Banco Bilbao Vizcaya Argentaria SA | 10,297,529 | ||||||||
| 148,400 | Banco de Sabadell SA | 501,750 | ||||||||
| 242,587 | Banco Santander SA | 3,033,754 | ||||||||
| 10,726 | Puig Brands SA – Class B | 201,288 | ||||||||
| 176,766 | Repsol SA | 4,564,148 | ||||||||
|
|
|
|||||||||
| Total Spain | 18,598,469 | |||||||||
|
|
|
|||||||||
| Sweden — 2.4% | ||||||||||
| 58,387 | Essity AB – Class B | 1,637,573 | ||||||||
| 75,769 | Husqvarna AB – Class B | 355,623 | ||||||||
| 53,484 | Investor AB – B Shares | 2,197,735 | ||||||||
| 53,430 | SSAB AB – B Shares | 549,454 | ||||||||
| 217,996 | Telefonaktiebolaget LM Ericsson – B Shares | 2,842,711 | ||||||||
| 14,133 | Volvo AB – B Shares | 497,569 | ||||||||
|
|
|
|||||||||
| Total Sweden | 8,080,665 | |||||||||
|
|
|
|||||||||
| Switzerland — 6.5% | ||||||||||
| 69,405 | Adecco Group AG (Registered) | 1,468,775 | ||||||||
| 63,164 | Nestle SA (Registered) | 6,408,871 | ||||||||
| 16,207 | Novartis AG (Registered) | 2,437,696 | ||||||||
| 17,538 | Novartis AG Sponsored ADR | 2,633,682 | ||||||||
| 14,333 | Roche Holding AG | 6,030,611 | ||||||||
| 1,909 | Roche Holding AG – Class BR | 821,034 | ||||||||
| 12,024 | Sandoz Group AG ADR | 1,011,459 | ||||||||
| 21,140 | UBS Group AG (Registered) | 998,354 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 21,810,482 | |||||||||
|
|
|
|||||||||
GMO International Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Shares |
Description | Value ($) | ||||||||
| United Kingdom — 9.1% | ||||||||||
| 104,909 | 3i Group PLC | 3,186,065 | ||||||||
| 168,270 | Aberdeen Group PLC | 560,811 | ||||||||
| 55,709 | Associated British Foods PLC | 1,363,271 | ||||||||
| 4,216 | Berkeley Group Holdings PLC * | 194,297 | ||||||||
| 658,698 | BT Group PLC | 1,847,164 | ||||||||
| 24,226 | DCC PLC | 1,954,446 | ||||||||
| 67,060 | GSK PLC | 1,695,721 | ||||||||
| 152,855 | GSK PLC Sponsored ADR | 7,725,292 | ||||||||
| 436 | HSBC Holdings PLC Sponsored ADR | 40,871 | ||||||||
| 97,882 | HSBC Holdings PLC | 1,838,051 | ||||||||
| 567,693 | ITV PLC | 620,514 | ||||||||
| 197,828 | JD Sports Fashion PLC | 223,966 | ||||||||
| 266,336 | Kingfisher PLC | 1,028,366 | ||||||||
| 55,273 | Man Group PLC | 203,999 | ||||||||
| 90,422 | NatWest Group PLC | 727,240 | ||||||||
| 70,582 | Rio Tinto PLC Sponsored ADR | 7,509,219 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 30,719,293 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $236,490,581) |
321,551,210 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (c) — 1.3% | ||||||||||
| Germany — 1.3% | ||||||||||
| 18,731 | Henkel AG & Co. KGaA | 1,453,890 | ||||||||
| 29,528 | Volkswagen AG * | 3,150,624 | ||||||||
|
|
|
|||||||||
| Total Germany | 4,604,514 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $4,353,093) |
4,604,514 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 1.9% | ||||||||||
| United States — 1.9% | ||||||||||
| 1,277,583 | GMO U.S. Treasury Fund, Class VI (d) | 6,400,692 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $6,400,692) |
6,400,692 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 244,146 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (e) | 244,146 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $244,146) |
244,146 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.0% (Cost $247,488,512) |
332,800,562 | |||||||||
| Other Assets and Liabilities (net) — 1.0% | 3,244,163 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $336,044,725 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | Securities are traded on separate exchanges for the same entity. |
| (c) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (d) | Affiliated company. |
| (e) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
GMO-Usonian Japan Value Creation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 95.3% |
| |||||||||
| Automobiles & Components — 7.5% | ||||||||||
| 633,400 | Isuzu Motors Ltd. | 9,305,640 | ||||||||
| 232,700 | Musashi Seimitsu Industry Co. Ltd. | 13,810,714 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 23,116,354 | |||||||||
|
|
|
|||||||||
| Banks — 8.2% | ||||||||||
| 374,500 | Sumitomo Mitsui Financial Group, Inc. | 13,659,090 | ||||||||
| 340,500 | Sumitomo Mitsui Trust Group, Inc. | 11,729,296 | ||||||||
|
|
|
|||||||||
| Total Banks | 25,388,386 | |||||||||
|
|
|
|||||||||
| Capital Goods — 25.2% | ||||||||||
| 258,800 | AGC, Inc. | 11,272,054 | ||||||||
| 249,800 | EXEO Group, Inc. | 4,454,204 | ||||||||
| 163,600 | Fuji Corp. | 8,123,477 | ||||||||
| 917,300 | Kanematsu Corp. | 12,417,677 | ||||||||
| 78,400 | Kraftia Corp. | 4,571,697 | ||||||||
| 381,400 | Mitsubishi Electric Corp. | 15,505,074 | ||||||||
| 754,900 | Penta-Ocean Construction Co. Ltd. | 8,416,262 | ||||||||
| 270,000 | TOTO Ltd. | 12,986,013 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 77,746,458 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 8.1% | ||||||||||
| 502,300 | Mizuno Corp. | 10,335,857 | ||||||||
| 589,100 | Sega Sammy Holdings, Inc. | 8,542,599 | ||||||||
| 836,200 | Yamaha Corp. | 6,065,706 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 24,944,162 | |||||||||
|
|
|
|||||||||
| Financial Services — 3.2% | ||||||||||
| 385,300 | Credit Saison Co. Ltd. | 9,906,012 | ||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 4.9% | ||||||||||
| 365,100 | Morinaga & Co. Ltd. | 5,702,442 | ||||||||
| 243,500 | NH Foods Ltd. | 9,314,458 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 15,016,900 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 3.8% | ||||||||||
| 598,200 | H.U. Group Holdings, Inc. | 11,701,986 | ||||||||
|
|
|
|||||||||
| Insurance — 3.1% | ||||||||||
| 364,300 | T&D Holdings, Inc. | 9,582,404 | ||||||||
|
|
|
|||||||||
| Materials — 8.6% | ||||||||||
| 314,400 | Denka Co. Ltd. | 8,826,733 | ||||||||
| 917,600 | Kobe Steel Ltd. | 11,415,918 | ||||||||
| 537,400 | Maruichi Steel Tube Ltd. | 6,090,290 | ||||||||
|
|
|
|||||||||
| Total Materials | 26,332,941 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Real Estate Management & Development — 1.5% | ||||||||||
| 454,000 | Tosei Corp. | 4,579,384 | ||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 3.9% |
||||||||||
| 474,000 | SUMCO Corp. | 11,889,719 | ||||||||
|
|
|
|||||||||
| Software & Services — 1.4% | ||||||||||
| 168,500 | NEC Corp. | 4,367,501 | ||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 13.1% | ||||||||||
| 449,200 | Daiwabo Holdings Co. Ltd. | 9,647,037 | ||||||||
| 521,200 | FUJIFILM Holdings Corp. | 10,835,458 | ||||||||
| 256,100 | Jeol Ltd. | 11,434,214 | ||||||||
| 244,100 | Macnica Holdings, Inc. | 4,766,266 | ||||||||
| 295,200 | Maxell Ltd. | 3,601,538 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 40,284,513 | |||||||||
|
|
|
|||||||||
| Transportation — 2.8% | ||||||||||
| 154,400 | Sankyu, Inc. | 8,700,039 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $218,581,309) |
293,556,759 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 3.3% | ||||||||||
| Japan — 0.1% | ||||||||||
| 795,000 | Carlyle ARE Partners II, L.P. (a) (b) | 449,005 | ||||||||
|
|
|
|||||||||
| United States — 3.2% | ||||||||||
| 1,946,418 | GMO U.S. Treasury Fund, Class VI (c) | 9,751,553 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $10,251,852) |
10,200,558 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 1.1% | ||||||||||
| Money Market Funds — 1.1% | ||||||||||
| 3,510,497 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (d) | 3,510,497 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $3,510,497) |
3,510,497 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.7% (Cost $232,343,658) |
307,267,814 | |||||||||
| Other Assets and Liabilities (net) — 0.3% | 976,946 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 308,244,760 | ||||||||
|
|
|
|||||||||
GMO-Usonian Japan Value Creation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2026 |
||||||||
| Carlyle ARE Partners II, L.P. | 03/24/26 | $ | 500,299 | 0.1% | $ | 449,005 | ||||||
|
|
|
|||||||||||
Notes to Schedule of Investments:
| (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) | Private placement security; restricted as to resale. |
| (c) | Affiliated company. |
| (d) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 99.8% |
| |||||||||
| Banks — 2.4% | ||||||||||
| 5,530,510 | U.S. Bancorp | 303,348,473 | ||||||||
|
|
|
|||||||||
| Capital Goods — 2.7% | ||||||||||
| 449,203 | Knorr-Bremse AG | 54,265,237 | ||||||||
| 822,201 | Safran SA | 292,417,450 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 346,682,687 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 0.7% | ||||||||||
| 2,476,599 | Experian PLC | 85,526,146 | ||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 5.2% |
||||||||||
| 1,794,119 | Amazon.com, Inc. * | 485,560,366 | ||||||||
| 1,114,336 | TJX Cos., Inc. | 172,443,496 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 658,003,862 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 1.2% | ||||||||||
| 265,729 | LVMH Moet Hennessy Louis Vuitton SE | 145,339,929 | ||||||||
|
|
|
|||||||||
| Consumer Services — 3.5% | ||||||||||
| 1,457,650 | Amadeus IT Group SA | 92,986,258 | ||||||||
| 7,288,028 | Compass Group PLC | 233,729,048 | ||||||||
| 368,039 | Hilton Worldwide Holdings, Inc. | 120,591,659 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 447,306,965 | |||||||||
|
|
|
|||||||||
| Financial Services — 5.0% | ||||||||||
| 441,976 | Mastercard, Inc. – Class A | 218,327,305 | ||||||||
| 781,093 | Tradeweb Markets, Inc. – Class A | 78,304,573 | ||||||||
| 1,004,386 | Visa, Inc. – Class A | 327,791,415 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 624,423,293 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 3.8% | ||||||||||
| 2,431,329 | Coca-Cola Co. | 192,099,304 | ||||||||
| 1,206,235 | Constellation Brands, Inc. – Class A | 167,449,543 | ||||||||
| 5,561,834 | Diageo PLC | 114,009,515 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 473,558,362 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 10.0% | ||||||||||
| 2,618,724 | Abbott Laboratories | 224,162,774 | ||||||||
| 736,049 | Cigna Group | 204,179,993 | ||||||||
| 555,502 | Elevance Health, Inc. | 218,417,831 | ||||||||
| 372,228 | Intuitive Surgical, Inc. * | 158,062,898 | ||||||||
| 568,962 | Quest Diagnostics, Inc. | 110,890,694 | ||||||||
| 926,239 | UnitedHealth Group, Inc. | 352,257,954 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 1,267,972,144 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 1.5% | ||||||||||
| 3,367,245 | Unilever PLC | 189,749,459 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Media & Entertainment — 11.5% | ||||||||||
| 1,836,083 | Alphabet, Inc. – Class A | 698,335,808 | ||||||||
| 876,664 | Meta Platforms, Inc. – Class A | 554,498,747 | ||||||||
| 2,277,230 | Netflix, Inc. * | 195,887,324 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 1,448,721,879 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 12.0% |
||||||||||
| 220,220 | Eli Lilly & Co. | 243,343,100 | ||||||||
| 42,985,766 | Haleon PLC | 194,055,937 | ||||||||
| 2,119,707 | Johnson & Johnson | 477,633,578 | ||||||||
| 1,926,143 | Merck & Co., Inc. | 228,671,697 | ||||||||
| 762,123 | Thermo Fisher Scientific, Inc. | 375,353,199 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 1,519,057,511 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 19.0% |
||||||||||
| 948,984 | Broadcom, Inc. | 423,977,582 | ||||||||
| 122,504 | KLA Corp. | 235,417,162 | ||||||||
| 1,922,270 | Lam Research Corp. | 611,627,868 | ||||||||
| 9,108,608 | Taiwan Semiconductor Manufacturing Co. Ltd. | 674,813,734 | ||||||||
| 1,490,013 | Texas Instruments, Inc. | 455,467,174 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 2,401,303,520 | |||||||||
|
|
|
|||||||||
| Software & Services — 15.0% | ||||||||||
| 1,110,786 | Accenture PLC – Class A | 207,794,737 | ||||||||
| 45,612 | Constellation Software, Inc. | 93,392,030 | ||||||||
| 4,153,342 | Dassault Systemes SE | 91,121,879 | ||||||||
| 1,973,648 | Microsoft Corp. | 888,615,275 | ||||||||
| 1,291,136 | Salesforce, Inc. | 246,736,090 | ||||||||
| 1,288,153 | SAP SE | 233,019,652 | ||||||||
| 275,615 | Synopsys, Inc. * | 131,088,006 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 1,891,767,669 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 5.0% | ||||||||||
| 2,027,865 | Apple, Inc. | 632,815,552 | ||||||||
|
|
|
|||||||||
| Transportation — 1.3% | ||||||||||
| 2,243,194 | Uber Technologies, Inc. * | 157,920,858 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $6,880,582,476) |
12,593,498,309 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 0.5% | ||||||||||
| United States — 0.5% | ||||||||||
| 14,130,928 | GMO U.S. Treasury Fund, Class VI (a) | 70,795,952 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $70,791,941) |
70,795,952 | |||||||||
|
|
|
|||||||||
GMO Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 911,356 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 911,356 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $911,356) |
911,356 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.3% (Cost $6,952,285,773) |
12,665,205,617 | |||||||||
| Other Assets and Liabilities (net) — (0.3)% | (44,119,729 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $12,621,085,888 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Affiliated company. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
GMO Resource Transition Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 88.0% |
| |||||||||
| Australia — 3.0% | ||||||||||
| 100,941 | BHP Group Ltd. | 4,493,728 | ||||||||
| 170,658 | Paladin Energy Ltd. * | 1,396,706 | ||||||||
|
|
|
|||||||||
| Total Australia | 5,890,434 | |||||||||
|
|
|
|||||||||
| Brazil — 6.5% | ||||||||||
| 1,448,976 | Klabin SA | 4,788,223 | ||||||||
| 447,900 | Sao Martinho SA | 1,507,636 | ||||||||
| 449,200 | SLC Agricola SA | 1,380,222 | ||||||||
| 410,000 | Suzano SA | 3,406,270 | ||||||||
| 96,300 | Vale SA | 1,581,026 | ||||||||
|
|
|
|||||||||
| Total Brazil | 12,663,377 | |||||||||
|
|
|
|||||||||
| Canada — 11.8% | ||||||||||
| 273,200 | Anaergia, Inc. * | 578,641 | ||||||||
| 482,300 | Capstone Copper Corp. * | 5,251,023 | ||||||||
| 35,600 | Enerflex Ltd. | 890,355 | ||||||||
| 181,900 | First Quantum Minerals Ltd. * | 5,599,562 | ||||||||
| 290,754 | Greenlane Renewables, Inc. * | 47,452 | ||||||||
| 378,300 | Ivanhoe Mines Ltd. – Class A * (a) | 3,350,410 | ||||||||
| 531,300 | Largo, Inc. * (a) | 500,990 | ||||||||
| 520,000 | NexGen Energy Ltd. * (a) | 6,000,943 | ||||||||
| 5,900 | Precision Drilling Corp. * | 527,155 | ||||||||
|
|
|
|||||||||
| Total Canada | 22,746,531 | |||||||||
|
|
|
|||||||||
| China — 1.8% | ||||||||||
| 344,900 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 1,482,830 | ||||||||
| 864,000 | MMG Ltd. * | 973,925 | ||||||||
| 236,869 | Western Mining Co. Ltd. – Class A | 1,071,004 | ||||||||
|
|
|
|||||||||
| Total China | 3,527,759 | |||||||||
|
|
|
|||||||||
| Denmark — 1.5% | ||||||||||
| 104,515 | Vestas Wind Systems AS | 2,932,466 | ||||||||
|
|
|
|||||||||
| Finland — 3.8% | ||||||||||
| 50,059 | Kemira OYJ | 1,040,210 | ||||||||
| 190,567 | Neste OYJ | 6,265,845 | ||||||||
|
|
|
|||||||||
| Total Finland | 7,306,055 | |||||||||
|
|
|
|||||||||
| France — 1.4% | ||||||||||
| 69,523 | Veolia Environnement SA | 2,804,956 | ||||||||
|
|
|
|||||||||
| Italy — 1.0% | ||||||||||
| 213,079 | Saipem SpA (a) | 1,023,962 | ||||||||
| 29,222 | Tenaris SA | 890,159 | ||||||||
|
|
|
|||||||||
| Total Italy | 1,914,121 | |||||||||
|
|
|
|||||||||
| Japan — 0.5% | ||||||||||
| 29,800 | Mitsubishi Materials Corp. | 965,281 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Netherlands — 0.4% | ||||||||||
| 17,856 | SBM Offshore NV | 680,569 | ||||||||
|
|
|
|||||||||
| Norway — 3.4% | ||||||||||
| 121,676 | Aker Solutions ASA | 560,936 | ||||||||
| 132,389 | Austevoll Seafood ASA | 1,270,548 | ||||||||
| 49,168 | Bakkafrost P | 2,434,429 | ||||||||
| 88,780 | Cadeler AS * | 572,162 | ||||||||
| 76,047 | DOF Group ASA | 982,499 | ||||||||
| 42,050 | TGS ASA | 686,853 | ||||||||
|
|
|
|||||||||
| Total Norway | 6,507,427 | |||||||||
|
|
|
|||||||||
| South Africa — 0.7% | ||||||||||
| 190,919 | Sibanye Stillwater Ltd. | 570,920 | ||||||||
| 9,055 | Valterra Platinum Ltd. | 747,706 | ||||||||
|
|
|
|||||||||
| Total South Africa | 1,318,626 | |||||||||
|
|
|
|||||||||
| South Korea — 0.3% | ||||||||||
| 21,370 | CS Wind Corp. | 673,951 | ||||||||
|
|
|
|||||||||
| United Kingdom — 9.3% | ||||||||||
| 129,000 | Anglo American PLC | 6,903,737 | ||||||||
| 879,693 | Glencore PLC * | 6,690,410 | ||||||||
| 41,025 | Rio Tinto PLC | 4,357,322 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 17,951,469 | |||||||||
|
|
|
|||||||||
| United States — 42.6% | ||||||||||
| 11,700 | Advanced Drainage Systems, Inc. | 1,628,172 | ||||||||
| 106,319 | Aemetis, Inc. * | 271,113 | ||||||||
| 38,200 | AGCO Corp. | 4,289,096 | ||||||||
| 60,700 | Albemarle Corp. | 10,708,694 | ||||||||
| 23,600 | Alcoa Corp. | 1,832,304 | ||||||||
| 122,290 | Ameresco, Inc. – Class A * | 4,399,994 | ||||||||
| 776,545 | Array Technologies, Inc. * | 7,051,029 | ||||||||
| 573,320 | Clean Energy Fuels Corp. * | 1,169,573 | ||||||||
| 131,947 | CNH Industrial NV | 1,347,179 | ||||||||
| 35,600 | Corteva, Inc. | 2,786,768 | ||||||||
| 205,000 | Darling Ingredients, Inc. * | 12,115,500 | ||||||||
| 2,480 | Deere & Co. | 1,344,606 | ||||||||
| 5,900 | First Solar, Inc. * | 1,810,061 | ||||||||
| 52,000 | Freeport-McMoRan, Inc. | 3,416,920 | ||||||||
| 294,000 | Green Plains, Inc. * | 4,606,980 | ||||||||
| 16,300 | Halliburton Co. | 633,255 | ||||||||
| 15,900 | Nextpower, Inc. – Class A * | 2,486,760 | ||||||||
| 16,800 | Noble Corp. PLC | 780,864 | ||||||||
| 30,000 | NOV, Inc. | 598,800 | ||||||||
| 94,603 | SolarEdge Technologies, Inc. * | 7,222,939 | ||||||||
| 513,215 | Sunrun, Inc. * | 8,580,955 | ||||||||
| 2,280 | Valmont Industries, Inc. | 1,185,167 | ||||||||
| 10,000 | Weatherford International PLC | 1,036,400 | ||||||||
GMO Resource Transition Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 49,700 | Weyerhaeuser Co. – (REIT) | 1,218,147 | ||||||||
|
|
|
|||||||||
| Total United States | 82,521,276 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $172,016,540) |
170,404,298 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (b) — 8.9% | ||||||||||
| Brazil — 4.1% | ||||||||||
| 1,740,265 | Bradespar SA | 8,020,767 | ||||||||
|
|
|
|||||||||
| Chile — 4.8% | ||||||||||
| 108,100 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 9,282,547 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $18,487,951) |
17,303,314 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 2.8% | ||||||||||
| United States — 2.8% | ||||||||||
| 1,086,214 | GMO U.S. Treasury Fund, Class VI (c) (d) | 5,441,934 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $5,441,991) |
5,441,934 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
| Money Market Funds — 0.3% | ||||||||||
| 535,710 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (e) | 535,710 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $535,710) |
535,710 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $196,482,192) |
193,685,256 | |||||||||
| Other Assets and Liabilities (net) — (0.0)% | (78,643 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $193,606,613 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (c) | Affiliated company. |
| (d) | All or a portion of this security is purchased with collateral from securities loaned. |
| (e) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
Portfolio Abbreviations:
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 90.9% |
| |||||||||
| Argentina — 6.6% | ||||||||||
| 689,108 | Vista Energy SAB de CV ADR * | 51,131,813 | ||||||||
| 668,667 | YPF SA Sponsored ADR * (a) | 35,446,038 | ||||||||
|
|
|
|||||||||
| Total Argentina | 86,577,851 | |||||||||
|
|
|
|||||||||
| Australia — 2.2% | ||||||||||
| 426,292 | BHP Group Ltd. | 18,977,820 | ||||||||
| 735,000 | Clean TeQ Water Ltd. * (a) | 242,438 | ||||||||
| 720,722 | Paladin Energy Ltd. * | 5,898,562 | ||||||||
| 519,793 | Santos Ltd. | 2,916,924 | ||||||||
|
|
|
|||||||||
| Total Australia | 28,035,744 | |||||||||
|
|
|
|||||||||
| Brazil — 4.6% | ||||||||||
| 6,123,609 | Klabin SA | 20,235,811 | ||||||||
| 480,570 | PRIO SA * | 5,930,258 | ||||||||
| 1,892,882 | Sao Martinho SA | 6,371,458 | ||||||||
| 1,898,400 | SLC Agricola SA | 5,833,067 | ||||||||
| 1,732,652 | Suzano SA | 14,394,831 | ||||||||
| 397,980 | Vale SA | 6,533,924 | ||||||||
|
|
|
|||||||||
| Total Brazil | 59,299,349 | |||||||||
|
|
|
|||||||||
| Canada — 10.8% | ||||||||||
| 654,900 | Anaergia, Inc. * | 1,387,087 | ||||||||
| 1,638,300 | Baytex Energy Corp. | 8,011,287 | ||||||||
| 2,038,400 | Capstone Copper Corp. * | 22,193,003 | ||||||||
| 269,100 | Cenovus Energy, Inc. | 7,419,087 | ||||||||
| 155,700 | Enerflex Ltd. | 3,894,053 | ||||||||
| 768,977 | First Quantum Minerals Ltd. * | 23,671,986 | ||||||||
| 696,749 | Greenlane Renewables, Inc. * | 113,712 | ||||||||
| 1,618,182 | Ivanhoe Mines Ltd. – Class A * (a) | 14,331,413 | ||||||||
| 1,273,509 | Largo, Inc. * | 1,200,857 | ||||||||
| 2,196,039 | NexGen Energy Ltd. * (a) | 25,342,894 | ||||||||
| 406,600 | Parex Resources, Inc. | 7,092,975 | ||||||||
| 23,900 | Precision Drilling Corp. * | 2,135,424 | ||||||||
| 121,500 | Suncor Energy, Inc. (a) | 7,594,136 | ||||||||
| 832,500 | Tamarack Valley Energy Ltd. | 7,705,146 | ||||||||
| 760,145 | Whitecap Resources, Inc. | 8,733,686 | ||||||||
|
|
|
|||||||||
| Total Canada | 140,826,746 | |||||||||
|
|
|
|||||||||
| China — 1.5% | ||||||||||
| 1,475,400 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 6,343,193 | ||||||||
| 3,708,000 | MMG Ltd. * | 4,179,761 | ||||||||
| 993,445 | Western Mining Co. Ltd. – Class A | 4,491,867 | ||||||||
| 2,670,000 | Yankuang Energy Group Co. Ltd. – Class H | 4,972,061 | ||||||||
|
|
|
|||||||||
| Total China | 19,986,882 | |||||||||
|
|
|
|||||||||
| Denmark — 0.9% | ||||||||||
| 437,380 | Vestas Wind Systems AS | 12,271,941 | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Finland — 2.3% | ||||||||||
| 214,150 | Kemira OYJ | 4,449,971 | ||||||||
| 794,783 | Neste OYJ | 26,132,472 | ||||||||
|
|
|
|||||||||
| Total Finland | 30,582,443 | |||||||||
|
|
|
|||||||||
| France — 0.9% | ||||||||||
| 297,418 | Veolia Environnement SA | 11,999,546 | ||||||||
|
|
|
|||||||||
| Hong Kong — 0.2% | ||||||||||
| 40,806,000 | United Energy Group Ltd. (a) | 2,400,904 | ||||||||
|
|
|
|||||||||
| Italy — 0.6% | ||||||||||
| 851,683 | Saipem SpA (a) | 4,092,807 | ||||||||
| 113,248 | Tenaris SA | 3,449,755 | ||||||||
|
|
|
|||||||||
| Total Italy | 7,542,562 | |||||||||
|
|
|
|||||||||
| Japan — 0.6% | ||||||||||
| 330,200 | Japan Petroleum Exploration Co. Ltd. | 3,710,994 | ||||||||
| 125,700 | Mitsubishi Materials Corp. | 4,071,673 | ||||||||
|
|
|
|||||||||
| Total Japan | 7,782,667 | |||||||||
|
|
|
|||||||||
| Netherlands — 0.2% | ||||||||||
| 67,853 | SBM Offshore NV | 2,586,170 | ||||||||
|
|
|
|||||||||
| Norway — 3.2% | ||||||||||
| 186,472 | Aker BP ASA | 6,708,442 | ||||||||
| 520,773 | Aker Solutions ASA | 2,400,806 | ||||||||
| 566,357 | Austevoll Seafood ASA | 5,435,375 | ||||||||
| 210,340 | Bakkafrost P | 10,414,454 | ||||||||
| 61,659 | Bluenord ASA | 3,489,001 | ||||||||
| 375,198 | Cadeler AS * | 2,418,044 | ||||||||
| 325,329 | DOF Group ASA | 4,203,129 | ||||||||
| 158,684 | TGS ASA | 2,591,976 | ||||||||
| 916,816 | Var Energi ASA | 4,513,727 | ||||||||
|
|
|
|||||||||
| Total Norway | 42,174,954 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.3% | ||||||||||
| 2,955,862 | Oil & Gas Development Co. Ltd. | 3,510,378 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 3,574,704 | Gazprom Neft PJSC * (b) (c) | — | ||||||||
| 14,145,410 | Gazprom PJSC * (b) (c) | — | ||||||||
| 23,291,700 | GMK Norilskiy Nickel PAO * (b) (c) | — | ||||||||
| 248,399 | LUKOIL PJSC * (b) (c) | — | ||||||||
| 338,098 | PhosAgro PJSC * (b) (c) | — | ||||||||
| 6,533 | PhosAgro PJSC GDR * (b) (c) | — | ||||||||
| 3,476,399 | Tatneft PJSC * (b) (c) | — | ||||||||
|
|
|
|||||||||
| Total Russia | — | |||||||||
|
|
|
|||||||||
| Singapore — 0.0% | ||||||||||
| 2,725,600 | Ezra Holdings Ltd. * (a) (b) | 3 | ||||||||
|
|
|
|||||||||
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| South Africa — 0.9% | ||||||||||
| 412,642 | Exxaro Resources Ltd. | 5,511,991 | ||||||||
| 817,132 | Sibanye Stillwater Ltd. | 2,443,532 | ||||||||
| 40,666 | Valterra Platinum Ltd. | 3,357,949 | ||||||||
|
|
|
|||||||||
| Total South Africa | 11,313,472 | |||||||||
|
|
|
|||||||||
| South Korea — 0.2% | ||||||||||
| 91,462 | CS Wind Corp. | 2,884,458 | ||||||||
|
|
|
|||||||||
| Thailand — 0.3% | ||||||||||
| 21,432,900 | Banpu PCL (Registered) | 3,762,475 | ||||||||
|
|
|
|||||||||
| Ukraine — 0.2% | ||||||||||
| 501,341 | Kernel Holding SA * | 2,664,892 | ||||||||
|
|
|
|||||||||
| United Kingdom — 15.0% | ||||||||||
| 512,624 | Anglo American PLC | 27,434,273 | ||||||||
| 6,378,926 | BP PLC | 45,057,318 | ||||||||
| 3,483,651 | Glencore PLC * | 26,494,529 | ||||||||
| 10,789,900 | Harbour Energy PLC | 38,206,051 | ||||||||
| 1,221,000 | Lifezone Metals Ltd. * | 6,410,250 | ||||||||
| 170,157 | Rio Tinto PLC | 18,072,610 | ||||||||
| 789,002 | Shell PLC | 33,339,556 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 195,014,587 | |||||||||
|
|
|
|||||||||
| United States — 39.4% | ||||||||||
| 50,187 | Advanced Drainage Systems, Inc. | 6,984,023 | ||||||||
| 454,920 | Aemetis, Inc. * | 1,160,046 | ||||||||
| 161,296 | AGCO Corp. | 18,110,315 | ||||||||
| 251,699 | Albemarle Corp. | 44,404,738 | ||||||||
| 99,500 | Alcoa Corp. | 7,725,180 | ||||||||
| 555,885 | Ameresco, Inc. – Class A * | 20,000,742 | ||||||||
| 181,500 | APA Corp. | 6,612,045 | ||||||||
| 3,279,540 | Array Technologies, Inc. * | 29,778,223 | ||||||||
| 571,560 | California Resources Corp. | 33,887,792 | ||||||||
| 18,600 | Chord Energy Corp. | 2,452,782 | ||||||||
| 2,452,688 | Clean Energy Fuels Corp. * | 5,003,484 | ||||||||
| 564,740 | CNH Industrial NV | 5,765,995 | ||||||||
| 285,891 | ConocoPhillips | 32,585,856 | ||||||||
| 152,507 | Corteva, Inc. | 11,938,248 | ||||||||
| 234,433 | Crescent Energy Co. – Class A | 2,710,046 | ||||||||
| 838,378 | Darling Ingredients, Inc. * | 49,548,140 | ||||||||
| 10,640 | Deere & Co. | 5,768,795 | ||||||||
| 48,100 | Devon Energy Corp. | 2,139,969 | ||||||||
| 241,300 | EQT Corp. | 13,254,609 | ||||||||
| 139,600 | Expand Energy Corp. | 12,980,008 | ||||||||
| 25,400 | First Solar, Inc. * | 7,792,466 | ||||||||
| 221,508 | Freeport-McMoRan, Inc. | 14,555,291 | ||||||||
| 1,241,485 | Green Plains, Inc. * | 19,454,070 | ||||||||
| 74,650 | Gulfport Energy Corp. * | 12,585,244 | ||||||||
| 71,900 | Halliburton Co. | 2,793,315 | ||||||||
| 8,604,569 | Kosmos Energy Ltd. * | 24,092,793 | ||||||||
| 40,700 | Matador Resources Co. | 2,181,520 | ||||||||
| 68,665 | Nextpower, Inc. – Class A * | 10,739,206 | ||||||||
| 58,800 | Noble Corp. PLC | 2,733,024 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 131,800 | NOV, Inc. | 2,630,728 | ||||||||
| 70,600 | Ovintiv, Inc. | 3,956,424 | ||||||||
| 142,200 | Peabody Energy Corp. | 3,846,510 | ||||||||
| 333,700 | Permian Resources Corp. – Class A | 6,417,051 | ||||||||
| 417,705 | SM Energy Co. | 12,827,721 | ||||||||
| 312,741 | SolarEdge Technologies, Inc. * | 23,877,775 | ||||||||
| 2,167,588 | Sunrun, Inc. * | 36,242,071 | ||||||||
| 9,600 | Valmont Industries, Inc. | 4,990,176 | ||||||||
| 42,900 | Weatherford International PLC | 4,446,156 | ||||||||
| 212,700 | Weyerhaeuser Co. – (REIT) | 5,213,277 | ||||||||
|
|
|
|||||||||
| Total United States | 514,185,854 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $1,130,895,561) |
1,185,403,878 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (d) — 8.3% | ||||||||||
| Brazil — 5.4% | ||||||||||
| 7,227,772 | Bradespar SA | 33,312,327 | ||||||||
| 4,416,847 | Petroleo Brasileiro SA - Petrobras | 36,773,860 | ||||||||
|
|
|
|||||||||
| Total Brazil | 70,086,187 | |||||||||
|
|
|
|||||||||
| Chile — 2.9% | ||||||||||
| 447,222 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 38,402,953 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 20,237,584 | Surgutneftegas PAO * (b) (c) | — | ||||||||
| 7,494,797 | Tatneft PJSC * (b) (c) | — | ||||||||
|
|
|
|||||||||
| Total Russia | — | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $132,633,975) |
108,489,140 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 0.4% | ||||||||||
| United States — 0.4% | ||||||||||
| 1,013,159 | GMO U.S. Treasury Fund, Class VI (e) | 5,075,930 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $5,075,930) |
5,075,930 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 833,764 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (f) | 833,764 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $833,764) |
833,764 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.7% (Cost $1,269,439,230) |
1,299,802,712 | |||||||||
| Other Assets and Liabilities (net) — 0.3% | 3,701,977 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $1,303,504,689 | |||||||||
|
|
|
|||||||||
GMO Resources Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2026 |
||||||||
| Gazprom Neft PJSC | 09/18/15 | $ | 17,308,985 | 0.0% | $ | — | ||||||
| Gazprom PJSC | 09/21/21 | 65,108,289 | 0.0% | — | ||||||||
| GMK Norilskiy Nickel PAO | 04/11/18 | 66,379,494 | 0.0% | — | ||||||||
| LUKOIL PJSC | 10/15/14 | 14,600,074 | 0.0% | — | ||||||||
| PhosAgro PJSC | 08/26/16 | 14,566,965 | 0.0% | — | ||||||||
| PhosAgro PJSC GDR | 08/26/16 | 93,496 | 0.0% | — | ||||||||
| Surgutneftegas PAO | 08/11/16 | 10,546,926 | 0.0% | — | ||||||||
| Tatneft PJSC | 08/12/20 | 24,585,036 | 0.0% | — | ||||||||
| Tatneft PJSC | 09/28/15 | 47,831,491 | 0.0% | — | ||||||||
|
|
|
|||||||||||
| $ | — | |||||||||||
|
|
|
|||||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | 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) | Affiliated company. |
| (f) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
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)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 97.2% |
| |||||||||
| Automobiles & Components — 1.1% | ||||||||||
| 172,243 | XPEL, Inc. * | 7,874,950 | ||||||||
|
|
|
|||||||||
| Capital Goods — 14.3% | ||||||||||
| 191,522 | AAON, Inc. | 26,851,384 | ||||||||
| 94,633 | Allegion PLC | 12,308,914 | ||||||||
| 7,463 | Arxis, Inc. – Class A * | 335,313 | ||||||||
| 87,923 | Builders FirstSource, Inc. * | 6,705,008 | ||||||||
| 59,017 | Kadant, Inc. | 18,837,046 | ||||||||
| 8,766 | Preformed Line Products Co. | 3,241,842 | ||||||||
| 18,980 | RBC Bearings, Inc. * | 10,855,801 | ||||||||
| 513,828 | Trex Co., Inc. * | 21,272,479 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 100,407,787 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 9.2% | ||||||||||
| 779,012 | ACV Auctions, Inc. – Class A * | 5,118,109 | ||||||||
| 191,774 | Booz Allen Hamilton Holding Corp. | 15,184,665 | ||||||||
| 85,887 | Clean Harbors, Inc. * | 24,136,824 | ||||||||
| 130,712 | FTI Consulting, Inc. * | 20,022,464 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 64,462,062 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 3.2% |
||||||||||
| 279,524 | Ollie’s Bargain Outlet Holdings, Inc. * | 22,817,544 | ||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 2.6% | ||||||||||
| 143,092 | Acushnet Holdings Corp. | 12,703,708 | ||||||||
| 200,559 | Malibu Boats, Inc. – Class A * | 5,507,350 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 18,211,058 | |||||||||
|
|
|
|||||||||
| Consumer Services — 4.8% | ||||||||||
| 632,376 | Aramark | 33,756,231 | ||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 4.7% | ||||||||||
| 195,228 | PriceSmart, Inc. | 33,186,808 | ||||||||
|
|
|
|||||||||
| Energy — 2.3% | ||||||||||
| 283,241 | Cactus, Inc. – Class A | 16,439,308 | ||||||||
|
|
|
|||||||||
| Financial Services — 9.7% | ||||||||||
| 270,135 | Cohen & Steers, Inc. | 18,855,423 | ||||||||
| 126,010 | Houlihan Lokey, Inc. | 17,850,577 | ||||||||
| 143,590 | Jack Henry & Associates, Inc. | 19,574,189 | ||||||||
| 236,201 | StepStone Group, Inc. – Class A | 11,647,071 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 67,927,260 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 5.8% | ||||||||||
| 272,799 | Celsius Holdings, Inc. * | 9,076,023 | ||||||||
| 89,588 | Coca-Cola Consolidated, Inc. | 15,522,017 | ||||||||
| 146,564 | Marzetti Co. | 16,406,374 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 41,004,414 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Health Care Equipment & Services — 4.0% | ||||||||||
| 49,594 | CorVel Corp. * | 3,062,430 | ||||||||
| 303,757 | Globus Medical, Inc. – Class A * | 24,871,623 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 27,934,053 | |||||||||
|
|
|
|||||||||
| Materials — 7.5% | ||||||||||
| 193,958 | AptarGroup, Inc. | 22,470,034 | ||||||||
| 160,982 | Balchem Corp. | 25,230,709 | ||||||||
| 42,099 | U.S. Lime & Minerals, Inc. | 4,798,865 | ||||||||
|
|
|
|||||||||
| Total Materials | 52,499,608 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 3.2% | ||||||||||
| 300,616 | New York Times Co. – Class A | 22,609,329 | ||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 3.4% |
||||||||||
| 212,708 | Bruker Corp. | 12,526,374 | ||||||||
| 25,258 | Medpace Holdings, Inc. * | 11,293,104 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 23,819,478 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 14.4% |
||||||||||
| 90,085 | Axcelis Technologies, Inc. * | 13,549,685 | ||||||||
| 180,237 | Cirrus Logic, Inc. * | 30,631,278 | ||||||||
| 51,820 | Entegris, Inc. | 7,192,098 | ||||||||
| 86,918 | Onto Innovation, Inc. * | 22,445,704 | ||||||||
| 114,615 | Universal Display Corp. | 10,558,334 | ||||||||
| 287,284 | Veeco Instruments, Inc. * | 16,559,050 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 100,936,149 | |||||||||
|
|
|
|||||||||
| Software & Services — 2.4% | ||||||||||
| 304,915 | Dolby Laboratories, Inc. – Class A | 17,017,306 | ||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 3.6% | ||||||||||
| 153,935 | Badger Meter, Inc. | 19,072,546 | ||||||||
| 71,148 | Itron, Inc. * | 5,868,287 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 24,940,833 | |||||||||
|
|
|
|||||||||
| Transportation — 1.0% | ||||||||||
| 33,388 | Landstar System, Inc. | 6,907,977 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $649,030,810) |
682,752,155 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 2.6% | ||||||||||
| United States — 2.6% | ||||||||||
| 3,583,965 | GMO U.S. Treasury Fund, Class VI (a) | 17,955,663 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $17,955,663) |
17,955,663 | |||||||||
|
|
|
|||||||||
GMO Small Cap Quality Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
| Money Market Funds — 0.3% | ||||||||||
| 1,773,724 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 1,773,724 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $1,773,724) |
1,773,724 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $668,760,197) |
702,481,542 | |||||||||
| Other Assets and Liabilities (net) — (0.1)% | (450,192 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $702,031,350 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Affiliated company. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 99.8% |
| |||||||||
| Automobiles & Components — 6.6% | ||||||||||
| 40,035 | BorgWarner, Inc. | 2,875,314 | ||||||||
| 346,905 | Ford Motor Co. | 6,050,023 | ||||||||
| 8,509 | Garrett Motion, Inc. | 278,755 | ||||||||
| 57,092 | General Motors Co. | 4,752,338 | ||||||||
| 3,053 | Gentex Corp. | 73,761 | ||||||||
| 3,077 | Lear Corp. | 440,380 | ||||||||
| 2,059 | Phinia, Inc. | 159,078 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 14,629,649 | |||||||||
|
|
|
|||||||||
| Banks — 4.6% | ||||||||||
| 36,564 | Bank of America Corp. | 1,886,702 | ||||||||
| 1,900 | Capital City Bank Group, Inc. | 86,716 | ||||||||
| 36,926 | Citigroup, Inc. | 4,648,983 | ||||||||
| 1,500 | First Financial Corp. | 103,770 | ||||||||
| 5,176 | JPMorgan Chase & Co. | 1,549,229 | ||||||||
| 5,128 | Truist Financial Corp. | 247,221 | ||||||||
| 28,713 | U.S. Bancorp | 1,574,908 | ||||||||
|
|
|
|||||||||
| Total Banks | 10,097,529 | |||||||||
|
|
|
|||||||||
| Capital Goods — 4.4% | ||||||||||
| 216 | Allison Transmission Holdings, Inc. | 24,522 | ||||||||
| 2,651 | AMETEK, Inc. | 598,728 | ||||||||
| 2,726 | Carrier Global Corp. | 174,110 | ||||||||
| 2,451 | Caterpillar, Inc. | 2,146,757 | ||||||||
| 2,963 | Cummins, Inc. | 1,915,965 | ||||||||
| 611 | Dover Corp. | 129,141 | ||||||||
| 219 | EMCOR Group, Inc. | 181,074 | ||||||||
| 1,112 | EnerSys | 253,503 | ||||||||
| 2,622 | Ferguson Enterprises, Inc. | 592,493 | ||||||||
| 4,994 | Honeywell International, Inc. | 1,187,873 | ||||||||
| 11,786 | Innovative Solutions & Support, Inc. * (a) | 203,191 | ||||||||
| 8,707 | Kennametal, Inc. | 285,590 | ||||||||
| 8,420 | Mueller Industries, Inc. | 1,082,812 | ||||||||
| 122 | Northrop Grumman Corp. | 68,769 | ||||||||
| 196 | Parker-Hannifin Corp. | 165,547 | ||||||||
| 2,413 | Terex Corp. | 140,388 | ||||||||
| 2,456 | Toro Co. | 220,745 | ||||||||
| 882 | Westinghouse Air Brake Technologies Corp. | 230,343 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 9,601,551 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 0.5% | ||||||||||
| 1,470 | Cimpress PLC * | 144,883 | ||||||||
| 8,288 | Deluxe Corp. | 201,316 | ||||||||
| 4,481 | IBEX Holdings Ltd. * | 141,779 | ||||||||
| 1,799 | ICF International, Inc. | 123,843 | ||||||||
| 1,239 | Leidos Holdings, Inc. | 158,344 | ||||||||
| 42,682 | Resources Connection, Inc. (a) | 192,923 | ||||||||
| 3,000 | TrueBlue, Inc. * | 18,630 | ||||||||
| 5,559 | Upwork, Inc. * | 49,030 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 1,030,748 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Consumer Discretionary Distribution & Retail — 4.0% | ||||||||||
| 21,396 | Amazon.com, Inc. * | 5,790,614 | ||||||||
| 21,252 | eBay, Inc. | 2,322,206 | ||||||||
| 16,783 | Macy’s, Inc. | 365,198 | ||||||||
| 4,554 | Urban Outfitters, Inc. * | 330,848 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 8,808,866 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 3.1% | ||||||||||
| 3,033 | Carter’s, Inc. | 117,043 | ||||||||
| 3,190 | Crocs, Inc. * (a) | 378,557 | ||||||||
| 7,939 | DR Horton, Inc. | 1,167,748 | ||||||||
| 4,998 | Ethan Allen Interiors, Inc. | 103,059 | ||||||||
| 3,894 | Garmin Ltd. | 910,885 | ||||||||
| 4,381 | G-III Apparel Group Ltd. (a) | 141,638 | ||||||||
| 4,262 | KB Home | 208,241 | ||||||||
| 7,265 | Lennar Corp. – Class A | 652,252 | ||||||||
| 7,624 | Levi Strauss & Co. – Class A (a) | 176,877 | ||||||||
| 7,184 | Lululemon Athletica, Inc. * | 942,397 | ||||||||
| 1,084 | M/I Homes, Inc. * | 142,676 | ||||||||
| 13,007 | Mattel, Inc. * | 194,325 | ||||||||
| 3,704 | PulteGroup, Inc. | 437,739 | ||||||||
| 1,858 | Ralph Lauren Corp. | 676,126 | ||||||||
| 878 | SharkNinja, Inc. * (a) | 107,019 | ||||||||
| 3,423 | Toll Brothers, Inc. | 474,222 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 6,830,804 | |||||||||
|
|
|
|||||||||
| Consumer Services — 0.9% | ||||||||||
| 1,275 | Booking Holdings, Inc. | 213,473 | ||||||||
| 2,508 | Covista, Inc. * | 295,443 | ||||||||
| 16,153 | El Pollo Loco Holdings, Inc. * | 240,195 | ||||||||
| 7,390 | H&R Block, Inc. | 284,441 | ||||||||
| 19,707 | Perdoceo Education Corp. | 638,113 | ||||||||
| 3,898 | Stride, Inc. * | 360,097 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 2,031,762 | |||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 1.8% | ||||||||||
| 4,021 | Dollar General Corp. | 444,763 | ||||||||
| 6,718 | Kroger Co. | 417,523 | ||||||||
| 22,084 | Target Corp. | 2,806,214 | ||||||||
| 5,685 | United Natural Foods, Inc. * | 291,925 | ||||||||
|
|
|
|||||||||
| Total Consumer Staples Distribution & Retail | 3,960,425 | |||||||||
|
|
|
|||||||||
| Energy — 2.0% | ||||||||||
| 1,151 | ConocoPhillips | 131,191 | ||||||||
| 14,106 | EOG Resources, Inc. | 1,881,458 | ||||||||
| 4,325 | Halliburton Co. | 168,026 | ||||||||
| 11,992 | Kinder Morgan, Inc. | 372,711 | ||||||||
| 2,059 | Marathon Petroleum Corp. | 512,218 | ||||||||
| 5,339 | Phillips 66 | 939,023 | ||||||||
| 3,956 | SM Energy Co. | 121,489 | ||||||||
| 990 | Valaris Ltd. * | 91,704 | ||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Energy — continued | ||||||||||
| 9,885 | Venture Global, Inc. – Class A | 119,016 | ||||||||
|
|
|
|||||||||
| Total Energy | 4,336,836 | |||||||||
|
|
|
|||||||||
| Equity Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||
| 6,016 | Alpine Income Property Trust, Inc. – (REIT) | 115,928 | ||||||||
|
|
|
|||||||||
| Financial Services — 5.5% | ||||||||||
| 1,474 | American Express Co. | 466,477 | ||||||||
| 4,043 | Bank of New York Mellon Corp. | 563,715 | ||||||||
| 1,850 | Bread Financial Holdings, Inc. | 164,779 | ||||||||
| 9,260 | Capital One Financial Corp. | 1,740,232 | ||||||||
| 2,793 | Enova International, Inc. * | 451,097 | ||||||||
| 1,641 | Goldman Sachs Group, Inc. | 1,682,944 | ||||||||
| 3,675 | Invesco Ltd. | 104,590 | ||||||||
| 5,292 | Jackson Financial, Inc. – Class A | 545,658 | ||||||||
| 16,440 | MGIC Investment Corp. | 414,617 | ||||||||
| 3,541 | Morgan Stanley | 736,528 | ||||||||
| 5,867 | PROG Holdings, Inc. | 215,730 | ||||||||
| 14,758 | Radian Group, Inc. | 503,986 | ||||||||
| 18,870 | State Street Corp. | 2,936,927 | ||||||||
| 21,852 | Synchrony Financial | 1,561,107 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 12,088,387 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 5.1% | ||||||||||
| 28,277 | Altria Group, Inc. | 1,967,514 | ||||||||
| 6,884 | Archer-Daniels-Midland Co. | 549,206 | ||||||||
| 5,229 | Bunge Global SA | 644,736 | ||||||||
| 3,329 | Cal-Maine Foods, Inc. | 248,743 | ||||||||
| 16,678 | Coca-Cola Co. | 1,317,729 | ||||||||
| 2,532 | Coca-Cola Consolidated, Inc. | 438,694 | ||||||||
| 40,305 | General Mills, Inc. | 1,362,712 | ||||||||
| 35,077 | Keurig Dr. Pepper, Inc. | 1,053,362 | ||||||||
| 20,145 | Monster Beverage Corp. * | 1,774,372 | ||||||||
| 10,523 | PepsiCo, Inc. | 1,517,311 | ||||||||
| 25 | Seaboard Corp. | 127,048 | ||||||||
| 5,597 | Smithfield Foods, Inc. | 144,570 | ||||||||
| 3,307 | Universal Corp. | 171,534 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 11,317,531 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 1.1% | ||||||||||
| 1,182 | Cigna Group | 327,887 | ||||||||
| 19,469 | CVS Health Corp. | 1,771,289 | ||||||||
| 567 | Elevance Health, Inc. | 222,939 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 2,322,115 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 1.2% | ||||||||||
| 97 | Colgate-Palmolive Co. | 8,743 | ||||||||
| 10,898 | Kimberly-Clark Corp. | 1,063,645 | ||||||||
| 11,215 | Procter & Gamble Co. | 1,610,025 | ||||||||
|
|
|
|||||||||
| Total Household & Personal Products | 2,682,413 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Insurance — 2.0% | ||||||||||
| 8,593 | Allstate Corp. | 1,770,932 | ||||||||
| 8,840 | Hartford Insurance Group, Inc. | 1,123,829 | ||||||||
| 5,454 | Heritage Insurance Holdings, Inc. * | 118,243 | ||||||||
| 4,462 | Travelers Cos., Inc. | 1,302,413 | ||||||||
|
|
|
|||||||||
| Total Insurance | 4,315,417 | |||||||||
|
|
|
|||||||||
| Materials — 2.0% | ||||||||||
| 3,318 | CF Industries Holdings, Inc. | 372,777 | ||||||||
| 694 | NewMarket Corp. | 536,865 | ||||||||
| 13,612 | Nucor Corp. | 3,403,000 | ||||||||
| 581 | Steel Dynamics, Inc. | 151,147 | ||||||||
|
|
|
|||||||||
| Total Materials | 4,463,789 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 6.9% | ||||||||||
| 5,514 | Alphabet, Inc. – Class A | 2,097,195 | ||||||||
| 24,906 | Alphabet, Inc. – Class C | 9,375,365 | ||||||||
| 5,708 | Meta Platforms, Inc. – Class A | 3,610,367 | ||||||||
| 3,317 | Yelp, Inc. * | 75,628 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 15,158,555 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 4.8% |
||||||||||
| 35,659 | Altimmune, Inc. * (a) | 108,760 | ||||||||
| 12,033 | Bristol-Myers Squibb Co. | 688,047 | ||||||||
| 13,380 | Johnson & Johnson | 3,014,915 | ||||||||
| 27,238 | Merck & Co., Inc. | 3,233,695 | ||||||||
| 70,394 | Pfizer, Inc. | 1,842,915 | ||||||||
| 2,625 | Regeneron Pharmaceuticals, Inc. | 1,613,798 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 10,502,130 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 20.8% |
||||||||||
| 5,019 | ACM Research, Inc. – Class A * | 434,445 | ||||||||
| 10,771 | Applied Materials, Inc. | 4,847,596 | ||||||||
| 6,873 | Axcelis Technologies, Inc. * | 1,033,768 | ||||||||
| 8,011 | Broadcom, Inc. | 3,579,074 | ||||||||
| 3,851 | Cirrus Logic, Inc. * | 654,477 | ||||||||
| 6,856 | Everspin Technologies, Inc. * | 180,861 | ||||||||
| 998 | KLA Corp. | 1,917,867 | ||||||||
| 14,570 | Lam Research Corp. | 4,635,883 | ||||||||
| 85,720 | NVIDIA Corp. | 18,098,921 | ||||||||
| 1,548 | NXP Semiconductors NV | 497,450 | ||||||||
| 3,872 | Photronics, Inc. * | 125,259 | ||||||||
| 18,944 | Qnity Electronics, Inc. | 2,955,264 | ||||||||
| 22,797 | QUALCOMM, Inc. | 5,722,503 | ||||||||
| 14,845 | Skyworks Solutions, Inc. | 1,155,683 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 45,839,051 | |||||||||
|
|
|
|||||||||
| Software & Services — 4.7% | ||||||||||
| 7,977 | Accenture PLC – Class A | 1,492,257 | ||||||||
| 3,209 | Adobe, Inc. * | 831,805 | ||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| Software & Services — continued | ||||||||||
| 20,379 | Cognizant Technology Solutions Corp. – Class A | 1,136,231 | ||||||||
| 15,470 | Microsoft Corp. | 6,965,213 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 10,425,506 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 13.3% | ||||||||||
| 48,208 | Apple, Inc. | 15,043,788 | ||||||||
| 1,698 | Avnet, Inc. | 147,607 | ||||||||
| 61,354 | Cisco Systems, Inc. | 7,388,249 | ||||||||
| 9,259 | Dell Technologies, Inc. – Class C | 3,897,206 | ||||||||
| 38,826 | Hewlett Packard Enterprise Co. | 1,671,071 | ||||||||
| 544 | Keysight Technologies, Inc. * | 184,052 | ||||||||
| 11,684 | Methode Electronics, Inc. | 134,833 | ||||||||
| 3,094 | Ralliant Corp. | 191,426 | ||||||||
| 3,361 | TE Connectivity PLC | 717,271 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 29,375,503 | |||||||||
|
|
|
|||||||||
| Telecommunication Services — 1.7% | ||||||||||
| 76,174 | Verizon Communications, Inc. | 3,641,879 | ||||||||
|
|
|
|||||||||
| Transportation — 2.2% | ||||||||||
| 3,743 | FedEx Corp. | 1,541,180 | ||||||||
| 1,494 | Matson, Inc. | 270,862 | ||||||||
| 28,982 | United Parcel Service, Inc. – Class B | 3,092,090 | ||||||||
|
|
|
|||||||||
| Total Transportation | 4,904,132 | |||||||||
|
|
|
|||||||||
| Utilities — 0.5% | ||||||||||
| 937 | American Electric Power Co., Inc. | 118,690 | ||||||||
| 8,231 | Edison International | 575,676 | ||||||||
| 7,024 | Exelon Corp. | 320,575 | ||||||||
| 4,154 | UGI Corp. | 145,058 | ||||||||
|
|
|
|||||||||
| Total Utilities | 1,159,999 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $172,344,351) |
219,640,505 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.0% | ||||||||||
| U.S. Government — 0.0% | ||||||||||
| 56,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 04/30/27 (b) | 56,053 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $56,012) |
56,053 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 0.5% | ||||||||||
| United States — 0.5% | ||||||||||
| 210,299 | GMO U.S. Treasury Fund, Class VI (c) (d) | 1,053,596 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $1,053,596) |
1,053,596 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 98,750 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (e) | 98,750 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $98,750) |
98,750 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.3% (Cost $173,552,709) |
220,848,904 | |||||||||
| Other Assets and Liabilities (net) — (0.3)% | (691,713 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 220,157,191 | ||||||||
|
|
|
|||||||||
GMO U.S. Equity Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 1 | S&P 500 E-Mini | June 2026 | $ | 379,788 | $ | 43,433 | ||||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (c) | Affiliated company. |
| (d) | All or a portion of this security is purchased with collateral from securities loaned. |
| (e) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
REIT - Real Estate Investment Trust
GMO U.S. Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 99.1% |
| |||||||||
| Automobiles & Components — 2.2% | ||||||||||
| 5,701 | Autoliv, Inc. | 724,711 | ||||||||
| 2,885 | BorgWarner, Inc. | 207,201 | ||||||||
| 173,804 | Ford Motor Co. | 3,031,142 | ||||||||
| 37,893 | General Motors Co. | 3,154,213 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 7,117,267 | |||||||||
|
|
|
|||||||||
| Banks — 9.3% | ||||||||||
| 134,922 | Bank of America Corp. | 6,961,975 | ||||||||
| 32,999 | Citigroup, Inc. | 4,154,574 | ||||||||
| 13,405 | Fifth Third Bancorp | 669,312 | ||||||||
| 73,185 | Huntington Bancshares, Inc. | 1,197,307 | ||||||||
| 18,347 | JPMorgan Chase & Co. | 5,491,441 | ||||||||
| 7,270 | M&T Bank Corp. | 1,571,120 | ||||||||
| 13,803 | PNC Financial Services Group, Inc. | 3,052,119 | ||||||||
| 34,634 | Truist Financial Corp. | 1,669,705 | ||||||||
| 65,160 | U.S. Bancorp | 3,574,026 | ||||||||
| 23,995 | Wells Fargo & Co. | 1,860,572 | ||||||||
|
|
|
|||||||||
| Total Banks | 30,202,151 | |||||||||
|
|
|
|||||||||
| Capital Goods — 1.5% | ||||||||||
| 5,220 | A.O. Smith Corp. | 296,079 | ||||||||
| 8,467 | Carrier Global Corp. | 540,787 | ||||||||
| 19,035 | Fortune Brands Innovations, Inc. | 741,223 | ||||||||
| 3,688 | Northrop Grumman Corp. | 2,078,852 | ||||||||
| 1,579 | Oshkosh Corp. | 205,270 | ||||||||
| 497 | Snap-on, Inc. | 184,491 | ||||||||
| 3,385 | Terex Corp. | 196,939 | ||||||||
| 2,158 | Textron, Inc. | 198,018 | ||||||||
| 3,828 | Timken Co. | 489,908 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 4,931,567 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 0.6% | ||||||||||
| 3,050 | Booz Allen Hamilton Holding Corp. | 241,499 | ||||||||
| 11,109 | Genpact Ltd. | 366,042 | ||||||||
| 3,004 | Leidos Holdings, Inc. | 383,911 | ||||||||
| 5,644 | Paycom Software, Inc. | 788,297 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 1,779,749 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 3.0% | ||||||||||
| 4,679 | Abercrombie & Fitch Co. – Class A * | 361,312 | ||||||||
| 19,075 | Academy Sports & Outdoors, Inc. | 1,007,160 | ||||||||
| 2,799 | AutoNation, Inc. * | 525,428 | ||||||||
| 16,758 | Bath & Body Works, Inc. | 335,495 | ||||||||
| 7,633 | Best Buy Co., Inc. | 594,992 | ||||||||
| 26,058 | eBay, Inc. | 2,847,358 | ||||||||
| 19,171 | Gap, Inc. | 405,467 | ||||||||
| 1,662 | Group 1 Automotive, Inc. | 525,757 | ||||||||
| 27,540 | LKQ Corp. | 746,885 | ||||||||
| 81,947 | Macy’s, Inc. | 1,783,167 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Consumer Discretionary Distribution & Retail — continued |
||||||||||
| 7,535 | Signet Jewelers Ltd. | 658,484 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 9,791,505 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 3.1% | ||||||||||
| 11,455 | Crocs, Inc. * | 1,359,365 | ||||||||
| 15,293 | DR Horton, Inc. | 2,249,447 | ||||||||
| 21,077 | KB Home | 1,029,822 | ||||||||
| 6,984 | Lennar Corp. – Class A | 627,024 | ||||||||
| 1,714 | M/I Homes, Inc. * | 225,597 | ||||||||
| 47,531 | Mattel, Inc. * | 710,113 | ||||||||
| 11,615 | Meritage Homes Corp. | 757,763 | ||||||||
| 11,918 | NIKE, Inc. – Class B | 550,969 | ||||||||
| 8,934 | PulteGroup, Inc. | 1,055,820 | ||||||||
| 9,379 | PVH Corp. | 874,873 | ||||||||
| 1,402 | Toll Brothers, Inc. | 194,233 | ||||||||
| 9,856 | YETI Holdings, Inc. * | 472,792 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 10,107,818 | |||||||||
|
|
|
|||||||||
| Consumer Services — 1.0% | ||||||||||
| 3,981 | Covista, Inc. * | 468,962 | ||||||||
| 61,008 | H&R Block, Inc. | 2,348,198 | ||||||||
| 15,461 | Perdoceo Education Corp. | 500,627 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 3,317,787 | |||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 2.5% | ||||||||||
| 51,846 | Albertsons Cos., Inc. – Class A | 809,316 | ||||||||
| 5,377 | Dollar General Corp. | 594,750 | ||||||||
| 30,095 | Kroger Co. | 1,870,404 | ||||||||
| 2,825 | Sysco Corp. | 214,163 | ||||||||
| 37,178 | Target Corp. | 4,724,209 | ||||||||
|
|
|
|||||||||
| Total Consumer Staples Distribution & Retail | 8,212,842 | |||||||||
|
|
|
|||||||||
| Energy — 7.3% | ||||||||||
| 57,110 | APA Corp. | 2,080,517 | ||||||||
| 13,255 | Chevron Corp. | 2,418,507 | ||||||||
| 24,678 | ConocoPhillips | 2,812,798 | ||||||||
| 25,299 | Devon Energy Corp. | 1,125,553 | ||||||||
| 30,980 | EOG Resources, Inc. | 4,132,112 | ||||||||
| 3,114 | Expand Energy Corp. | 289,540 | ||||||||
| 57,442 | Exxon Mobil Corp. | 8,344,025 | ||||||||
| 28,186 | Halliburton Co. | 1,095,026 | ||||||||
| 11,549 | Kinder Morgan, Inc. | 358,943 | ||||||||
| 3,563 | Marathon Petroleum Corp. | 886,368 | ||||||||
| 1,498 | Phillips 66 | 263,468 | ||||||||
|
|
|
|||||||||
| Total Energy | 23,806,857 | |||||||||
|
|
|
|||||||||
| Equity Real Estate Investment Trusts (REITs) — 0.3% | ||||||||||
| 31,048 | VICI Properties, Inc. – (REIT) | 876,174 | ||||||||
|
|
|
|||||||||
GMO U.S. Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Financial Services — 6.6% | ||||||||||
| 8,285 | American Express Co. | 2,621,954 | ||||||||
| 1,356 | Ameriprise Financial, Inc. | 604,383 | ||||||||
| 1,890 | Berkshire Hathaway, Inc. – Class B * | 896,767 | ||||||||
| 22,925 | Blue Owl Capital Corp. | 258,135 | ||||||||
| 7,040 | Bread Financial Holdings, Inc. | 627,053 | ||||||||
| 18,174 | Capital One Financial Corp. | 3,415,440 | ||||||||
| 7,173 | Enova International, Inc. * | 1,158,511 | ||||||||
| 4,716 | Federated Hermes, Inc. | 264,379 | ||||||||
| 21,189 | Franklin Resources, Inc. | 657,283 | ||||||||
| 16,927 | Janus Henderson Group PLC | 875,295 | ||||||||
| 39,245 | MGIC Investment Corp. | 989,759 | ||||||||
| 52,272 | PayPal Holdings, Inc. | 2,339,172 | ||||||||
| 43,384 | Radian Group, Inc. | 1,481,563 | ||||||||
| 26,065 | SLM Corp. | 576,558 | ||||||||
| 12,858 | State Street Corp. | 2,001,219 | ||||||||
| 11,402 | Synchrony Financial | 814,559 | ||||||||
| 10,223 | T. Rowe Price Group, Inc. | 1,068,610 | ||||||||
| 107,028 | Western Union Co. | 870,138 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 21,520,778 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 2.9% | ||||||||||
| 22,059 | Archer-Daniels-Midland Co. | 1,759,867 | ||||||||
| 16,495 | Brown-Forman Corp. – Class B | 424,251 | ||||||||
| 29,597 | General Mills, Inc. | 1,000,675 | ||||||||
| 4,650 | Ingredion, Inc. | 471,696 | ||||||||
| 36,116 | Keurig Dr. Pepper, Inc. | 1,084,563 | ||||||||
| 30,463 | Mondelez International, Inc. – Class A | 1,863,422 | ||||||||
| 20,228 | PepsiCo, Inc. | 2,916,675 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 9,521,149 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 6.3% | ||||||||||
| 1,519 | Becton Dickinson & Co. | 223,475 | ||||||||
| 17,850 | Cigna Group | 4,951,590 | ||||||||
| 43,059 | CVS Health Corp. | 3,917,508 | ||||||||
| 7,646 | Elevance Health, Inc. | 3,006,331 | ||||||||
| 3,632 | Humana, Inc. | 1,109,285 | ||||||||
| 3,408 | ResMed, Inc. | 649,463 | ||||||||
| 17,190 | UnitedHealth Group, Inc. | 6,537,529 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 20,395,181 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 2.8% | ||||||||||
| 12,384 | Colgate-Palmolive Co. | 1,116,170 | ||||||||
| 78,012 | Kenvue, Inc. | 1,348,047 | ||||||||
| 15,323 | Kimberly-Clark Corp. | 1,495,525 | ||||||||
| 34,575 | Procter & Gamble Co. | 4,963,587 | ||||||||
|
|
|
|||||||||
| Total Household & Personal Products | 8,923,329 | |||||||||
|
|
|
|||||||||
| Insurance — 6.9% | ||||||||||
| 14,733 | Aflac, Inc. | 1,656,284 | ||||||||
| 18,167 | Allstate Corp. | 3,744,037 | ||||||||
| 18,801 | American International Group, Inc. | 1,395,598 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Insurance — continued | ||||||||||
| 15,142 | Arch Capital Group Ltd.* | 1,352,786 | ||||||||
| 7,102 | Chubb Ltd. | 2,213,907 | ||||||||
| 20,913 | Hartford Insurance Group, Inc. | 2,658,670 | ||||||||
| 20,469 | MetLife, Inc. | 1,692,582 | ||||||||
| 22,086 | Progressive Corp. | 4,205,174 | ||||||||
| 7,172 | Prudential Financial, Inc. | 721,790 | ||||||||
| 8,156 | Travelers Cos., Inc. | 2,380,655 | ||||||||
| 2,892 | Unum Group | 240,701 | ||||||||
|
|
|
|||||||||
| Total Insurance | 22,262,184 | |||||||||
|
|
|
|||||||||
| Materials — 1.4% | ||||||||||
| 6,894 | Commercial Metals Co. | 524,289 | ||||||||
| 5,736 | CRH PLC | 624,019 | ||||||||
| 4,247 | Eastman Chemical Co. | 322,220 | ||||||||
| 8,984 | Mosaic Co. | 214,718 | ||||||||
| 443 | NewMarket Corp. | 342,696 | ||||||||
| 7,584 | Nucor Corp. | 1,896,000 | ||||||||
| 6,685 | PPG Industries, Inc. | 755,271 | ||||||||
|
|
|
|||||||||
| Total Materials | 4,679,213 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 7.2% | ||||||||||
| 617 | Alphabet, Inc. – Class A | 234,670 | ||||||||
| 11,623 | Fox Corp. – Class A | 742,942 | ||||||||
| 43,277 | Fox Corp. – Class B | 2,483,667 | ||||||||
| 78,858 | Match Group, Inc. | 2,849,140 | ||||||||
| 26,452 | Meta Platforms, Inc. – Class A | 16,731,154 | ||||||||
| 41,099 | ZoomInfo Technologies, Inc. * | 136,860 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 23,178,433 | |||||||||
|
|
|
|||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 9.7% |
||||||||||
| 91,651 | Bristol-Myers Squibb Co. | 5,240,604 | ||||||||
| 3,506 | Gilead Sciences, Inc. | 471,312 | ||||||||
| 28,411 | Johnson & Johnson | 6,401,851 | ||||||||
| 73,018 | Merck & Co., Inc. | 8,668,697 | ||||||||
| 259,291 | Pfizer, Inc. | 6,788,238 | ||||||||
| 6,250 | Regeneron Pharmaceuticals, Inc. | 3,842,375 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 31,413,077 | |||||||||
|
|
|
|||||||||
| Real Estate Management & Development — 0.1% | ||||||||||
| 3,408 | CBRE Group, Inc. – Class A * | 426,136 | ||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 3.4% | ||||||||||
| 1,984 | NXP Semiconductors NV | 637,558 | ||||||||
| 38,036 | QUALCOMM, Inc. | 9,547,797 | ||||||||
| 11,605 | Skyworks Solutions, Inc. | 903,449 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 11,088,804 | |||||||||
|
|
|
|||||||||
GMO U.S. Opportunistic Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Software & Services — 9.7% | ||||||||||
| 31,883 | Cognizant Technology Solutions Corp. – Class A | 1,777,637 | ||||||||
| 23,026 | Dropbox, Inc. – Class A * | 618,939 | ||||||||
| 18,977 | DXC Technology Co. * | 188,062 | ||||||||
| 17,260 | International Business Machines Corp. | 5,140,028 | ||||||||
| 1,684 | Intuit, Inc. | 558,297 | ||||||||
| 48,197 | Microsoft Corp. | 21,700,217 | ||||||||
| 13,338 | Zoom Communications, Inc. * | 1,355,007 | ||||||||
|
|
|
|||||||||
| Total Software & Services | 31,338,187 | |||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 3.4% | ||||||||||
| 1,023 | Arrow Electronics, Inc. * | 219,567 | ||||||||
| 22,865 | Avnet, Inc. | 1,987,654 | ||||||||
| 18,165 | Cisco Systems, Inc. | 2,187,429 | ||||||||
| 1,260 | Dell Technologies, Inc. – Class C | 530,347 | ||||||||
| 78,137 | Hewlett Packard Enterprise Co. | 3,363,017 | ||||||||
| 39,709 | HP, Inc. | 1,073,731 | ||||||||
| 7,811 | NetApp, Inc. | 1,361,379 | ||||||||
| 7,413 | Vontier Corp. | 210,381 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 10,933,505 | |||||||||
|
|
|
|||||||||
| Telecommunication Services — 5.0% | ||||||||||
| 212,537 | AT&T, Inc. | 5,270,918 | ||||||||
| 136,143 | Comcast Corp. – Class A | 3,385,876 | ||||||||
| 160,144 | Verizon Communications, Inc. | 7,656,485 | ||||||||
|
|
|
|||||||||
| Total Telecommunication Services | 16,313,279 | |||||||||
|
|
|
|||||||||
| Transportation — 2.7% | ||||||||||
| 28,414 | Delta Air Lines, Inc. | 2,343,587 | ||||||||
| 3,932 | FedEx Corp. | 1,619,001 | ||||||||
| 44,472 | United Parcel Service, Inc. – Class B | 4,744,717 | ||||||||
|
|
|
|||||||||
| Total Transportation | 8,707,305 | |||||||||
|
|
|
|||||||||
| Utilities — 0.2% | ||||||||||
| 6,889 | Edison International | 481,817 | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $288,691,751) |
321,326,094 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 1.0% | ||||||||||
| United States — 1.0% | ||||||||||
| 667,920 | GMO U.S. Treasury Fund, Class VI (a) | 3,346,281 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $3,346,281) |
3,346,281 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 0.2% | ||||||||||
| Money Market Funds — 0.2% | ||||||||||
| 519,489 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 519,489 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $519,489) |
519,489 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.3% (Cost $292,557,521) |
325,191,864 | |||||||||
| Other Assets and Liabilities (net) — (0.3)% | (859,736 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 324,332,128 | ||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Affiliated company. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
Portfolio Abbreviations:
REIT - Real Estate Investment Trust
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 98.6% |
| |||||||||
| Automobiles & Components — 6.5% | ||||||||||
| 15,394 | BorgWarner, Inc. | 1,105,597 | ||||||||
| 15,777 | Dauch Corp. * | 104,759 | ||||||||
| 8,325 | Garrett Motion, Inc. | 272,727 | ||||||||
| 4,291 | Gentex Corp. | 103,670 | ||||||||
| 1,704 | Harley-Davidson, Inc. | 41,203 | ||||||||
| 13,457 | Holley, Inc. * | 36,738 | ||||||||
| 5,433 | Lear Corp. | 777,571 | ||||||||
| 1,749 | Motorcar Parts of America, Inc. * | 19,344 | ||||||||
| 4,370 | Phinia, Inc. | 337,626 | ||||||||
| 279 | Strattec Security Corp. * | 22,309 | ||||||||
| 4,091 | Winnebago Industries, Inc. | 121,462 | ||||||||
|
|
|
|||||||||
| Total Automobiles & Components | 2,943,006 | |||||||||
|
|
|
|||||||||
| Banks — 8.0% | ||||||||||
| 4,458 | Amalgamated Financial Corp. | 184,918 | ||||||||
| 1,073 | Associated Banc-Corp. | 29,840 | ||||||||
| 397 | BankUnited, Inc. | 18,417 | ||||||||
| 600 | Capital City Bank Group, Inc. | 27,384 | ||||||||
| 3,623 | Central Pacific Financial Corp. | 124,486 | ||||||||
| 778 | ChoiceOne Financial Services, Inc. | 24,429 | ||||||||
| 2,069 | Community Trust Bancorp, Inc. | 138,333 | ||||||||
| 2,782 | Customers Bancorp, Inc. * | 209,039 | ||||||||
| 884 | East West Bancorp, Inc. | 108,325 | ||||||||
| 4,926 | First Commonwealth Financial Corp. | 93,298 | ||||||||
| 1,441 | First Community Bankshares, Inc. | 62,122 | ||||||||
| 2,252 | First Financial Corp. | 155,793 | ||||||||
| 20,652 | FNB Corp. | 360,997 | ||||||||
| 21,541 | Fulton Financial Corp. | 467,224 | ||||||||
| 4,357 | Hanmi Financial Corp. | 131,233 | ||||||||
| 8,743 | Hope Bancorp, Inc. | 109,637 | ||||||||
| 4,294 | Horizon Bancorp, Inc. | 79,654 | ||||||||
| 3,074 | Independent Bank Corp. | 105,500 | ||||||||
| 1,008 | Investar Holding Corp. | 28,486 | ||||||||
| 2,407 | Northwest Bancshares, Inc. | 34,059 | ||||||||
| 301 | OceanFirst Financial Corp. | 5,656 | ||||||||
| 1,076 | OFG Bancorp | 49,023 | ||||||||
| 1,879 | Popular, Inc. | 279,088 | ||||||||
| 452 | Preferred Bank | 43,311 | ||||||||
| 1,766 | Provident Financial Services, Inc. | 39,188 | ||||||||
| 758 | Stellar Bancorp, Inc. | 28,304 | ||||||||
| 49,246 | Valley National Bancorp | 678,117 | ||||||||
|
|
|
|||||||||
| Total Banks | 3,615,861 | |||||||||
|
|
|
|||||||||
| Capital Goods — 9.4% | ||||||||||
| 3,735 | Apogee Enterprises, Inc. | 143,461 | ||||||||
| 6,352 | Atkore, Inc. | 526,009 | ||||||||
| 511 | BlueLinx Holdings, Inc. * | 26,567 | ||||||||
| 3,090 | EnerSys | 704,427 | ||||||||
| 105 | Gates Industrial Corp. PLC * | 2,722 | ||||||||
| 7,080 | Hudson Technologies, Inc. * | 37,666 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Capital Goods — continued | ||||||||||
| 1,159 | Hyster-Yale, Inc. | 42,095 | ||||||||
| 2,810 | Innovative Solutions & Support, Inc. * | 48,444 | ||||||||
| 21,899 | Kennametal, Inc. | 718,287 | ||||||||
| 6,650 | Matrix Service Co. * | 87,315 | ||||||||
| 40 | Miller Industries, Inc. | 1,916 | ||||||||
| 3,025 | Mueller Industries, Inc. | 389,015 | ||||||||
| 1,777 | Oshkosh Corp. | 231,010 | ||||||||
| 1,152 | Park-Ohio Holdings Corp. | 37,509 | ||||||||
| 2,008 | Perma-Pipe International Holdings, Inc. * | 61,626 | ||||||||
| 610 | Preformed Line Products Co. | 225,590 | ||||||||
| 300 | Rush Enterprises, Inc. – Class B | 19,470 | ||||||||
| 519 | Tennant Co. | 44,691 | ||||||||
| 11,667 | Terex Corp. | 678,786 | ||||||||
| 1,471 | Toro Co. | 132,213 | ||||||||
| 749 | Trinity Industries, Inc. | 24,298 | ||||||||
| 2,219 | Wabash National Corp. | 17,597 | ||||||||
| 670 | Worthington Enterprises, Inc. | 38,036 | ||||||||
|
|
|
|||||||||
| Total Capital Goods | 4,238,750 | |||||||||
|
|
|
|||||||||
| Commercial & Professional Services — 2.7% | ||||||||||
| 2,194 | Amentum Holdings, Inc. * | 50,967 | ||||||||
| 2,886 | Brady Corp. – Class A | 248,427 | ||||||||
| 1,923 | Cimpress PLC * | 189,531 | ||||||||
| 10,708 | Deluxe Corp. | 260,097 | ||||||||
| 1,281 | Interface, Inc. | 37,918 | ||||||||
| 6,354 | Kelly Services, Inc. – Class A | 73,833 | ||||||||
| 5,482 | ManpowerGroup, Inc. | 173,396 | ||||||||
| 1,381 | Millerknoll, Inc. | 22,344 | ||||||||
| 1,300 | Mistras Group, Inc. * | 22,854 | ||||||||
| 139 | Pitney Bowes, Inc. | 2,238 | ||||||||
| 10,690 | Resources Connection, Inc. | 48,319 | ||||||||
| 2,176 | Robert Half, Inc. | 64,061 | ||||||||
| 5,005 | TrueBlue, Inc. * | 31,081 | ||||||||
|
|
|
|||||||||
| Total Commercial & Professional Services | 1,225,066 | |||||||||
|
|
|
|||||||||
| Consumer Discretionary Distribution & Retail — 3.2% | ||||||||||
| 4,104 | Buckle, Inc. | 188,250 | ||||||||
| 2,190 | Cato Corp. – Class A * | 7,096 | ||||||||
| 8,206 | Kohl’s Corp. | 117,838 | ||||||||
| 34,194 | Macy’s, Inc. | 744,061 | ||||||||
| 25,884 | Sally Beauty Holdings, Inc. * | 343,740 | ||||||||
| 1,831 | Shoe Carnival, Inc. | 32,409 | ||||||||
| 901 | Upbound Group, Inc. | 17,308 | ||||||||
| 494 | Weyco Group, Inc. | 17,433 | ||||||||
|
|
|
|||||||||
| Total Consumer Discretionary Distribution & Retail | 1,468,135 | |||||||||
|
|
|
|||||||||
| Consumer Durables & Apparel — 8.4% | ||||||||||
| 13,624 | Carter’s, Inc. | 525,750 | ||||||||
| 5,102 | Century Communities, Inc. | 269,488 | ||||||||
| 1,284 | Columbia Sportswear Co. | 84,975 | ||||||||
| 2,272 | Dream Finders Homes, Inc. – Class A * | 35,125 | ||||||||
| 7,269 | Ethan Allen Interiors, Inc. | 149,887 | ||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Consumer Durables & Apparel — continued | ||||||||||
| 9,500 | G-III Apparel Group Ltd. | 307,135 | ||||||||
| 1,368 | Hooker Furnishings Corp. | 16,375 | ||||||||
| 634 | Johnson Outdoors, Inc. – Class A | 28,378 | ||||||||
| 5,118 | KB Home | 250,065 | ||||||||
| 6,128 | La-Z-Boy, Inc. | 230,290 | ||||||||
| 6,337 | Leggett & Platt, Inc. | 65,081 | ||||||||
| 4,503 | Levi Strauss & Co. – Class A | 104,470 | ||||||||
| 1,878 | M/I Homes, Inc. * | 247,182 | ||||||||
| 11,405 | Mattel, Inc. * | 170,391 | ||||||||
| 2,354 | Meritage Homes Corp. | 153,575 | ||||||||
| 1,977 | Movado Group, Inc. | 75,679 | ||||||||
| 2,669 | Oxford Industries, Inc. | 119,091 | ||||||||
| 5,670 | Polaris, Inc. | 400,132 | ||||||||
| 3,752 | Steven Madden Ltd. | 162,987 | ||||||||
| 2,896 | Toll Brothers, Inc. | 401,212 | ||||||||
| 1,681 | Universal Electronics, Inc. * | 6,993 | ||||||||
|
|
|
|||||||||
| Total Consumer Durables & Apparel | 3,804,261 | |||||||||
|
|
|
|||||||||
| Consumer Services — 2.9% | ||||||||||
| 4,035 | Bloomin’ Brands, Inc. | 34,056 | ||||||||
| 4,448 | El Pollo Loco Holdings, Inc. * | 66,142 | ||||||||
| 173 | Graham Holdings Co. – Class B | 189,831 | ||||||||
| 3,010 | H&R Block, Inc. | 115,855 | ||||||||
| 16,422 | Perdoceo Education Corp. | 531,744 | ||||||||
| 1,713 | Stride, Inc. * | 158,247 | ||||||||
| 30,683 | Wendy’s Co. | 236,259 | ||||||||
|
|
|
|||||||||
| Total Consumer Services | 1,332,134 | |||||||||
|
|
|
|||||||||
| Consumer Staples Distribution & Retail — 1.1% | ||||||||||
| 1,615 | Ingles Markets, Inc. – Class A | 142,863 | ||||||||
| 5,421 | United Natural Foods, Inc. * | 278,368 | ||||||||
| 1,140 | Village Super Market, Inc. – Class A | 52,965 | ||||||||
|
|
|
|||||||||
| Total Consumer Staples Distribution & Retail | 474,196 | |||||||||
|
|
|
|||||||||
| Energy — 8.5% | ||||||||||
| 789 | Cactus, Inc. – Class A | 45,794 | ||||||||
| 2,049 | Chord Energy Corp. | 270,202 | ||||||||
| 2,936 | Core Laboratories, Inc. | 40,135 | ||||||||
| 5,966 | Dorian LPG Ltd. | 239,953 | ||||||||
| 130 | Expro Group Holdings NV * | 1,920 | ||||||||
| 3,973 | Flowco Holdings, Inc. – Class A | 92,928 | ||||||||
| 9,097 | FutureFuel Corp. | 37,662 | ||||||||
| 5,023 | Helix Energy Solutions Group, Inc. * | 46,965 | ||||||||
| 2,782 | Innovex International, Inc. * | 74,307 | ||||||||
| 3,523 | International Seaways, Inc. | 271,940 | ||||||||
| 3,850 | Liberty Energy, Inc. | 112,651 | ||||||||
| 2,514 | Matador Resources Co. | 134,750 | ||||||||
| 227 | Natural Gas Services Group, Inc. | 8,921 | ||||||||
| 8,296 | Noble Corp. PLC | 385,598 | ||||||||
| 7,612 | NOV, Inc. | 151,936 | ||||||||
| 7,224 | Oceaneering International, Inc. * | 276,174 | ||||||||
| 1,843 | Oil States International, Inc. * | 15,665 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Energy — continued | ||||||||||
| 6,927 | PBF Energy, Inc. – Class A | 281,929 | ||||||||
| 760 | Riley Exploration Permian, Inc. | 25,278 | ||||||||
| 21,502 | SM Energy Co. | 660,326 | ||||||||
| 7,262 | Valaris Ltd. * | 672,679 | ||||||||
|
|
|
|||||||||
| Total Energy | 3,847,713 | |||||||||
|
|
|
|||||||||
| Equity Real Estate Investment Trusts (REITs) — 4.8% | ||||||||||
| 2,874 | Alpine Income Property Trust, Inc. – (REIT) | 55,382 | ||||||||
| 4,094 | American Assets Trust, Inc. – (REIT) | 95,390 | ||||||||
| 10,334 | Apple Hospitality REIT, Inc. | 151,806 | ||||||||
| 665 | CBL & Associates Properties, Inc. – (REIT) | 31,980 | ||||||||
| 8,409 | DiamondRock Hospitality Co. – (REIT) | 92,415 | ||||||||
| 366 | Empire State Realty Trust, Inc. – Class A, (REIT) | 2,097 | ||||||||
| 1,487 | EPR Properties – (REIT) | 84,833 | ||||||||
| 21,676 | Host Hotels & Resorts, Inc. – (REIT) | 498,114 | ||||||||
| 13,716 | Industrial Logistics Properties Trust – (REIT) | 123,033 | ||||||||
| 3,612 | Innovative Industrial Properties, Inc. – (REIT) | 209,460 | ||||||||
| 4,836 | LTC Properties, Inc. – (REIT) | 180,915 | ||||||||
| 9,236 | Outfront Media, Inc. – (REIT) | 297,769 | ||||||||
| 4,198 | Postal Realty Trust, Inc. – Class A, (REIT) | 96,722 | ||||||||
| 19,165 | SITE Centers Corp. – (REIT) | 96,783 | ||||||||
| 2,686 | Sunstone Hotel Investors, Inc. – (REIT) | 29,063 | ||||||||
| 2,995 | Whitestone REIT – (REIT) | 57,145 | ||||||||
| 4,828 | Xenia Hotels & Resorts, Inc. – (REIT) | 83,862 | ||||||||
|
|
|
|||||||||
| Total Equity Real Estate Investment Trusts (REITs) | 2,186,769 | |||||||||
|
|
|
|||||||||
| Financial Services — 10.3% | ||||||||||
| 7,279 | Bread Financial Holdings, Inc. | 648,341 | ||||||||
| 5,201 | Enova International, Inc. * | 840,014 | ||||||||
| 9,161 | EZCORP, Inc. – Class A * | 286,190 | ||||||||
| 13,151 | Invesco Ltd. | 374,278 | ||||||||
| 7,361 | Jackson Financial, Inc. – Class A | 758,993 | ||||||||
| 639 | Merchants Bancorp | 30,122 | ||||||||
| 14,158 | MGIC Investment Corp. | 357,065 | ||||||||
| 6,415 | Oportun Financial Corp. * | 34,769 | ||||||||
| 6,781 | PROG Holdings, Inc. | 249,337 | ||||||||
| 19,036 | Radian Group, Inc. | 650,079 | ||||||||
| 2,039 | Waterstone Financial, Inc. | 37,742 | ||||||||
| 49,441 | Western Union Co. | 401,955 | ||||||||
| 294 | Westwood Holdings Group, Inc. | 4,839 | ||||||||
|
|
|
|||||||||
| Total Financial Services | 4,673,724 | |||||||||
|
|
|
|||||||||
| Food, Beverage & Tobacco — 4.5% | ||||||||||
| 7,041 | Cal-Maine Foods, Inc. | 526,104 | ||||||||
| 1,804 | Campbell’s Co. | 38,082 | ||||||||
| 20,028 | Conagra Brands, Inc. | 265,972 | ||||||||
| 1,436 | Flowers Foods, Inc. | 10,971 | ||||||||
| 5,645 | Fresh Del Monte Produce, Inc. | 181,430 | ||||||||
| 112 | Seaboard Corp. | 569,176 | ||||||||
| 1,258 | Seneca Foods Corp. – Class A * | 180,888 | ||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Food, Beverage & Tobacco — continued | ||||||||||
| 5,213 | Universal Corp. | 270,398 | ||||||||
|
|
|
|||||||||
| Total Food, Beverage & Tobacco | 2,043,021 | |||||||||
|
|
|
|||||||||
| Health Care Equipment & Services — 1.6% | ||||||||||
| 6,951 | Ardent Health, Inc. * | 64,158 | ||||||||
| 1,075 | Molina Healthcare, Inc. * | 186,620 | ||||||||
| 294 | National HealthCare Corp. | 54,220 | ||||||||
| 2,765 | NeuroPace, Inc. * | 45,733 | ||||||||
| 12,331 | OraSure Technologies, Inc. * | 53,023 | ||||||||
| 10,995 | Pediatrix Medical Group, Inc. * | 236,832 | ||||||||
| 3,923 | RxSight, Inc. * | 20,910 | ||||||||
| 6,071 | Varex Imaging Corp. * | 62,106 | ||||||||
|
|
|
|||||||||
| Total Health Care Equipment & Services | 723,602 | |||||||||
|
|
|
|||||||||
| Household & Personal Products — 0.9% | ||||||||||
| 2,125 | Edgewell Personal Care Co. | 37,230 | ||||||||
| 15,113 | Herbalife Ltd. * | 180,751 | ||||||||
| 4,404 | Nu Skin Enterprises, Inc. – Class A | 25,499 | ||||||||
| 2,140 | Spectrum Brands Holdings, Inc. | 168,397 | ||||||||
|
|
|
|||||||||
| Total Household & Personal Products | 411,877 | |||||||||
|
|
|
|||||||||
| Insurance — 2.1% | ||||||||||
| 2,623 | Hamilton Insurance Group Ltd. – Class B | 77,667 | ||||||||
| 310 | Heritage Insurance Holdings, Inc. * | 6,721 | ||||||||
| 21,531 | Lincoln National Corp. | 759,829 | ||||||||
| 2,723 | Universal Insurance Holdings, Inc. | 100,805 | ||||||||
|
|
|
|||||||||
| Total Insurance | 945,022 | |||||||||
|
|
|
|||||||||
| Materials — 4.2% | ||||||||||
| 3,132 | AdvanSix, Inc. | 70,282 | ||||||||
| 566 | Alpha Metallurgical Resources, Inc. * | 112,617 | ||||||||
| 615 | Cabot Corp. | 53,819 | ||||||||
| 9,336 | Commercial Metals Co. | 710,003 | ||||||||
| 2,533 | Eastman Chemical Co. | 192,179 | ||||||||
| 10,625 | FMC Corp. | 145,137 | ||||||||
| 238 | Kaiser Aluminum Corp. | 43,325 | ||||||||
| 3,519 | Koppers Holdings, Inc. | 143,575 | ||||||||
| 13,440 | Orion SA | 102,682 | ||||||||
| 562 | Ryerson Holding Corp. | 16,073 | ||||||||
| 26,866 | SunCoke Energy, Inc. | 242,063 | ||||||||
| 223 | Sylvamo Corp. | 8,757 | ||||||||
| 29 | Warrior Met Coal, Inc. | 2,742 | ||||||||
| 1,065 | Worthington Steel, Inc. | 44,932 | ||||||||
|
|
|
|||||||||
| Total Materials | 1,888,186 | |||||||||
|
|
|
|||||||||
| Media & Entertainment — 0.6% | ||||||||||
| 6,121 | Gray Media, Inc. | 24,545 | ||||||||
| 5,832 | Shutterstock, Inc. | 86,839 | ||||||||
| 7,720 | Yelp, Inc. * | 176,016 | ||||||||
|
|
|
|||||||||
| Total Media & Entertainment | 287,400 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Pharmaceuticals, Biotechnology & Life Sciences — 1.6% |
||||||||||
| 12,031 | Altimmune, Inc. * | 36,695 | ||||||||
| 1,569 | Amphastar Pharmaceuticals, Inc. * | 29,576 | ||||||||
| 593 | Avalo Therapeutics, Inc. * | 9,458 | ||||||||
| 4,937 | Enanta Pharmaceuticals, Inc. * | 64,971 | ||||||||
| 5,678 | Exagen, Inc. * | 28,276 | ||||||||
| 10,891 | Harmony Biosciences Holdings, Inc. * | 344,047 | ||||||||
| 13,065 | Larimar Therapeutics, Inc. * | 45,466 | ||||||||
| 166 | Phibro Animal Health Corp. – Class A | 5,111 | ||||||||
| 1,843 | Tenax Therapeutics, Inc. * | 21,876 | ||||||||
| 20,178 | Vanda Pharmaceuticals, Inc. * | 130,148 | ||||||||
|
|
|
|||||||||
| Total Pharmaceuticals, Biotechnology & Life Sciences | 715,624 | |||||||||
|
|
|
|||||||||
| Real Estate Management & Development — 0.3% | ||||||||||
| 12,743 | Douglas Elliman, Inc. * | 22,938 | ||||||||
| 8,663 | Newmark Group, Inc. – Class A | 121,022 | ||||||||
|
|
|
|||||||||
| Total Real Estate Management & Development | 143,960 | |||||||||
|
|
|
|||||||||
| Semiconductors & Semiconductor Equipment — 8.8% | ||||||||||
| 6,822 | Axcelis Technologies, Inc. * | 1,026,097 | ||||||||
| 4,910 | Cirrus Logic, Inc. * | 834,455 | ||||||||
| 2,448 | Diodes, Inc. * | 257,823 | ||||||||
| 7,974 | Everspin Technologies, Inc. * | 210,354 | ||||||||
| 396 | Kulicke & Soffa Industries, Inc. | 40,348 | ||||||||
| 19,351 | Photronics, Inc. * | 626,005 | ||||||||
| 11,121 | Skyworks Solutions, Inc. | 865,770 | ||||||||
| 2,154 | Veeco Instruments, Inc. * | 124,157 | ||||||||
|
|
|
|||||||||
| Total Semiconductors & Semiconductor Equipment | 3,985,009 | |||||||||
|
|
|
|||||||||
| Software & Services — 0.1% | ||||||||||
| 2,360 | Viant Technology, Inc. – Class A * | 30,019 | ||||||||
|
|
|
|||||||||
| Technology Hardware & Equipment — 3.2% | ||||||||||
| 8,309 | Avnet, Inc. | 722,301 | ||||||||
| 1,810 | Eastman Kodak Co. * | 17,955 | ||||||||
| 2,139 | Kimball Electronics, Inc. * | 55,464 | ||||||||
| 3,330 | Lantronix, Inc. * | 25,142 | ||||||||
| 6,720 | Methode Electronics, Inc. | 77,549 | ||||||||
| 3,578 | One Stop Systems, Inc. * | 65,048 | ||||||||
| 9,148 | Vishay Intertechnology, Inc. | 476,154 | ||||||||
|
|
|
|||||||||
| Total Technology Hardware & Equipment | 1,439,613 | |||||||||
|
|
|
|||||||||
| Telecommunication Services — 0.1% | ||||||||||
| 3,787 | Spok Holdings, Inc. | 40,104 | ||||||||
|
|
|
|||||||||
GMO U.S. Small Cap Value Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Transportation — 3.0% | ||||||||||
| 6,246 | ArcBest Corp. | 853,766 | ||||||||
| 1,506 | Genco Shipping & Trading Ltd. | 36,234 | ||||||||
| 2,421 | Matson, Inc. | 438,927 | ||||||||
| 3,164 | Pangaea Logistics Solutions Ltd. | 23,952 | ||||||||
|
|
|
|||||||||
| Total Transportation | 1,352,879 | |||||||||
|
|
|
|||||||||
| Utilities — 1.8% | ||||||||||
| 1,690 | Northwest Natural Holding Co. | 81,948 | ||||||||
| 1,103 | Portland General Electric Co. | 55,282 | ||||||||
| 19,463 | UGI Corp. | 679,648 | ||||||||
|
|
|
|||||||||
| Total Utilities | 816,878 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $37,378,015) |
44,632,809 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 1.1% | ||||||||||
| United States — 1.1% | ||||||||||
| 102,075 | GMO U.S. Treasury Fund, Class VI (a) | 511,397 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $511,397) |
511,397 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.4% | ||||||||||
| Money Market Funds — 0.4% | ||||||||||
| 185,373 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 185,373 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $185,373) |
185,373 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $38,074,785) |
45,329,579 | |||||||||
| Other Assets and Liabilities (net) — (0.1)% | (36,773 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ | 45,292,806 | ||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| * | Non-income producing security. |
| (a) | Affiliated company. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
Portfolio Abbreviations:
REIT - Real Estate Investment Trust
Organization
Each of Climate Change Fund, Emerging Markets ex-China Fund, Emerging Markets Fund, International Equity Fund, International Opportunistic Value Fund, Japan Value Creation Fund, Quality Fund, Resource Transition Fund, Resources Fund, Small Cap Quality Fund, U.S. Equity Fund, U.S. Opportunistic Value Fund and U.S. Small Cap Value Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).
The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO. The Funds may also invest in other GMO Funds (“underlying funds”). The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
Portfolio valuation
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are valued at the price generally determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, prices will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect changes in valuation through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2026, the Funds did not reduce the value of any of their OTC derivatives contracts, if any, based on the creditworthiness of their counterparties.
U.S. GAAP requires the Funds to disclose the fair value of their investments in a three-level hierarchy (Levels 1, 2 and 3). The valuation hierarchy is based upon the relative observability of inputs to the valuation of the Funds’ investments. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to the liquidity of investments, could cause a security to be reclassified between levels.
The three levels are defined as follows:
Level 1 – Valuations based on quoted prices for identical securities in active markets.
The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities; certain U.S. government obligations; derivatives actively traded on a national securities exchange (such as some futures and options); and shares of open-end mutual funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; certain equity securities that are valued based on the last traded exchange price adjusted for the movement in a relevant index and/or a security type conversion discount; certain equity securities valued off the last traded price with a discount for liquidity; certain securities that are valued using a price from a comparable security related to the same issuer; investment funds whose valuations are based on quarterly net asset value statements; 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 May 31, 2026:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Climate Change Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 5,182,388 | $ | — | $ | 5,182,388 | ||||||||
| Brazil |
— | 15,065,438 | — | 15,065,438 | ||||||||||||
| Canada |
28,332,173 | — | — | 28,332,173 | ||||||||||||
| China |
— | 35,317,372 | — | 35,317,372 | ||||||||||||
| Denmark |
— | 13,688,412 | — | 13,688,412 | ||||||||||||
| Finland |
— | 15,924,328 | — | 15,924,328 | ||||||||||||
| France |
— | 47,718,205 | — | 47,718,205 | ||||||||||||
| Germany |
— | 17,960,115 | — | 17,960,115 | ||||||||||||
| Italy |
— | 6,910,966 | — | 6,910,966 | ||||||||||||
| Japan |
— | 17,737,626 | — | 17,737,626 | ||||||||||||
| Kazakhstan |
— | 3,365,877 | — | 3,365,877 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Climate Change Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Mexico |
$ | 2,912,450 | $ | — | $ | — | $ | 2,912,450 | ||||||||
| Netherlands |
— | 1,387,762 | — | 1,387,762 | ||||||||||||
| Norway |
— | 14,066,388 | — | 14,066,388 | ||||||||||||
| Portugal |
— | 2,401,184 | — | 2,401,184 | ||||||||||||
| Russia |
— | — | 0 | § | 0 | § | ||||||||||
| South Korea |
— | 40,314,998 | — | 40,314,998 | ||||||||||||
| Spain |
— | 9,188,076 | — | 9,188,076 | ||||||||||||
| Switzerland |
— | 11,326,356 | — | 11,326,356 | ||||||||||||
| Thailand |
— | 2,759,498 | — | 2,759,498 | ||||||||||||
| Ukraine |
— | 1,169,384 | — | 1,169,384 | ||||||||||||
| United Kingdom |
2,415,000 | 7,676,833 | — | 10,091,833 | ||||||||||||
| United States |
337,246,826 | — | — | 337,246,826 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
370,906,449 | 269,161,206 | 0 | § | 640,067,655 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Chile |
21,242,005 | — | — | 21,242,005 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
21,242,005 | — | — | 21,242,005 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| France |
— | — | 220,405 | 220,405 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 220,405 | 220,405 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
17,150,037 | — | — | 17,150,037 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
17,150,037 | — | — | 17,150,037 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
3,259,465 | — | — | 3,259,465 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
412,557,956 | 269,161,206 | 220,405 | 681,939,567 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 412,557,956 | $ | 269,161,206 | $ | 220,405 | $ | 681,939,567 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Markets ex-China Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Brazil |
$ | 2,274,890 | $ | 918,198 | $ | — | $ | 3,193,088 | ||||||||
| Czech Republic |
— | 209,284 | — | 209,284 | ||||||||||||
| Egypt |
— | 240,706 | — | 240,706 | ||||||||||||
| Greece |
— | 155,584 | — | 155,584 | ||||||||||||
| Hungary |
— | 3,207,493 | — | 3,207,493 | ||||||||||||
| India |
— | 7,526,027 | — | 7,526,027 | ||||||||||||
| Indonesia |
— | 1,641,725 | — | 1,641,725 | ||||||||||||
| Kuwait |
— | 1,113,489 | — | 1,113,489 | ||||||||||||
| Mexico |
1,600,305 | — | — | 1,600,305 | ||||||||||||
| Poland |
— | 1,096,709 | — | 1,096,709 | ||||||||||||
| Russia |
— | — | 0 | § | 0 | § | ||||||||||
| Saudi Arabia |
— | 2,471,793 | — | 2,471,793 | ||||||||||||
| South Africa |
— | 822,200 | — | 822,200 | ||||||||||||
| South Korea |
— | 30,830,451 | — | 30,830,451 | ||||||||||||
| Taiwan |
535,616 | 39,290,890 | — | 39,826,506 | ||||||||||||
| Thailand |
— | 9,219,054 | — | 9,219,054 | ||||||||||||
| Turkey |
— | 187,339 | — | 187,339 | ||||||||||||
| United Arab Emirates |
— | 530,516 | — | 530,516 | ||||||||||||
| United Kingdom |
663,026 | — | — | 663,026 | ||||||||||||
| Vietnam |
— | 2,049,875 | — | 2,049,875 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
5,073,837 | 101,511,333 | 0 | § | 106,585,170 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
1,578,443 | 1,851,768 | — | 3,430,211 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Markets ex-China Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Preferred Stocks (continued) |
||||||||||||||||
| Colombia |
$ | 3,487 | $ | — | $ | — | $ | 3,487 | ||||||||
| South Korea |
— | 519,253 | — | 519,253 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
1,581,930 | 2,371,021 | — | 3,952,951 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
2,244,841 | — | — | 2,244,841 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
2,244,841 | — | — | 2,244,841 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
52,510 | — | — | 52,510 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
8,953,118 | 103,882,354 | 0 | § | 112,835,472 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 8,953,118 | $ | 103,882,354 | $ | 0 | § | $ | 112,835,472 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | (5,841 | ) | $ | — | $ | — | $ | (5,841 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (5,841 | ) | $ | — | $ | — | $ | (5,841 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Markets Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Brazil |
$ | 9,249,035 | $ | 1,500,376 | $ | — | $ | 10,749,411 | ||||||||
| China |
6,092,061 | 87,904,770 | 24 | 93,996,855 | ||||||||||||
| Colombia |
28,027 | — | — | 28,027 | ||||||||||||
| Egypt |
— | 813,017 | — | 813,017 | ||||||||||||
| Greece |
— | 374,709 | — | 374,709 | ||||||||||||
| Hungary |
— | 10,964,206 | — | 10,964,206 | ||||||||||||
| India |
— | 23,265,849 | — | 23,265,849 | ||||||||||||
| Indonesia |
— | 7,623,729 | — | 7,623,729 | ||||||||||||
| Kuwait |
— | 3,861,075 | — | 3,861,075 | ||||||||||||
| Mexico |
7,474,859 | — | — | 7,474,859 | ||||||||||||
| Philippines |
— | 509,647 | — | 509,647 | ||||||||||||
| Poland |
— | 5,892,696 | — | 5,892,696 | ||||||||||||
| Russia |
— | — | 0 | § | 0 | § | ||||||||||
| Saudi Arabia |
— | 14,177,560 | — | 14,177,560 | ||||||||||||
| South Africa |
— | 3,307,020 | — | 3,307,020 | ||||||||||||
| South Korea |
— | 130,513,042 | — | 130,513,042 | ||||||||||||
| Sri Lanka |
— | — | 284,021 | 284,021 | ||||||||||||
| Taiwan |
— | 168,467,911 | — | 168,467,911 | ||||||||||||
| Thailand |
— | 48,465,270 | — | 48,465,270 | ||||||||||||
| Turkey |
— | 3,378,233 | — | 3,378,233 | ||||||||||||
| United Arab Emirates |
— | 3,062,739 | — | 3,062,739 | ||||||||||||
| United Kingdom |
1,693,995 | — | — | 1,693,995 | ||||||||||||
| Vietnam |
— | 11,117,266 | — | 11,117,266 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
24,537,977 | 525,199,115 | 284,045 | 550,021,137 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
11,555,246 | 9,453,773 | — | 21,009,019 | ||||||||||||
| Russia |
— | — | 0 | § | 0 | § | ||||||||||
| South Korea |
— | 7,421,927 | — | 7,421,927 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
11,555,246 | 16,875,700 | 0 | § | 28,430,946 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
1,471,885 | — | — | 1,471,885 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
1,471,885 | — | — | 1,471,885 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Markets Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Short-Term Investments |
$ | 3,373,852 | $ | — | $ | — | $ | 3,373,852 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
40,938,960 | 542,074,815 | 284,045 | 583,297,820 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
100,023 | — | — | 100,023 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 41,038,983 | $ | 542,074,815 | $ | 284,045 | $ | 583,397,843 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Equity Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 65,355,205 | $ | — | $ | 65,355,205 | ||||||||
| Belgium |
— | 8,847,130 | — | 8,847,130 | ||||||||||||
| Canada |
26,574,195 | — | — | 26,574,195 | ||||||||||||
| Finland |
— | 41,872,558 | — | 41,872,558 | ||||||||||||
| France |
6,918,039 | 104,310,060 | — | 111,228,099 | ||||||||||||
| Germany |
— | 64,850,412 | — | 64,850,412 | ||||||||||||
| Hong Kong |
— | 68,314,696 | — | 68,314,696 | ||||||||||||
| Israel |
— | 8,097,990 | — | 8,097,990 | ||||||||||||
| Italy |
5,090,519 | 26,821,867 | — | 31,912,386 | ||||||||||||
| Japan |
— | 358,486,522 | — | 358,486,522 | ||||||||||||
| Netherlands |
64,591,038 | 57,732,414 | — | 122,323,452 | ||||||||||||
| Norway |
— | 48,499,563 | — | 48,499,563 | ||||||||||||
| Portugal |
— | 4,457,784 | — | 4,457,784 | ||||||||||||
| Singapore |
— | 34,389,345 | — | 34,389,345 | ||||||||||||
| Spain |
— | 97,611,760 | — | 97,611,760 | ||||||||||||
| Sweden |
— | 8,633,740 | — | 8,633,740 | ||||||||||||
| Switzerland |
— | 70,477,671 | — | 70,477,671 | ||||||||||||
| United Kingdom |
97,336,240 | 44,264,787 | 191,448 | 141,792,475 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
200,510,031 | 1,113,023,504 | 191,448 | 1,313,724,983 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | 7,484,334 | — | 7,484,334 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 7,484,334 | — | 7,484,334 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
73,377,799 | — | — | 73,377,799 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
73,377,799 | — | — | 73,377,799 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
1,508,594 | — | — | 1,508,594 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
275,396,424 | 1,120,507,838 | 191,448 | 1,396,095,710 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
488,688 | — | — | 488,688 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 275,885,112 | $ | 1,120,507,838 | $ | 191,448 | $ | 1,396,584,398 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Opportunistic Value Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 19,344,598 | $ | — | $ | 19,344,598 | ||||||||
| Austria |
— | 4,203,881 | — | 4,203,881 | ||||||||||||
| Belgium |
— | 1,118,167 | — | 1,118,167 | ||||||||||||
| Canada |
50,107,459 | — | — | 50,107,459 | ||||||||||||
| Denmark |
— | 2,756,398 | — | 2,756,398 | ||||||||||||
| Finland |
— | 741,996 | — | 741,996 | ||||||||||||
| France |
— | 32,054,258 | — | 32,054,258 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| International Opportunistic Value Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Germany |
$ | — | $ | 26,329,125 | $ | — | $ | 26,329,125 | ||||||||
| Hong Kong |
— | 9,118,065 | — | 9,118,065 | ||||||||||||
| Ireland |
— | 1,823,263 | — | 1,823,263 | ||||||||||||
| Israel |
478,116 | 4,038,984 | — | 4,517,100 | ||||||||||||
| Italy |
— | 3,613,110 | — | 3,613,110 | ||||||||||||
| Japan |
3,063,203 | 64,798,809 | — | 67,862,012 | ||||||||||||
| Netherlands |
— | 8,636,042 | — | 8,636,042 | ||||||||||||
| Norway |
— | 7,469,434 | — | 7,469,434 | ||||||||||||
| Portugal |
— | 9,956 | — | 9,956 | ||||||||||||
| Singapore |
— | 2,637,437 | — | 2,637,437 | ||||||||||||
| Spain |
— | 18,598,469 | — | 18,598,469 | ||||||||||||
| Sweden |
— | 8,080,665 | — | 8,080,665 | ||||||||||||
| Switzerland |
3,645,141 | 18,165,341 | — | 21,810,482 | ||||||||||||
| United Kingdom |
15,275,382 | 15,443,911 | — | 30,719,293 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
72,569,301 | 248,981,909 | — | 321,551,210 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | 4,604,514 | — | 4,604,514 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | 4,604,514 | — | 4,604,514 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
6,400,692 | — | — | 6,400,692 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
6,400,692 | — | — | 6,400,692 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
244,146 | — | — | 244,146 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
79,214,139 | 253,586,423 | — | 332,800,562 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 79,214,139 | $ | 253,586,423 | $ | — | $ | 332,800,562 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Japan Value Creation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | — | $ | 293,556,759 | $ | — | $ | 293,556,759 | ||||||||
| Investment Funds |
9,751,553 | — | 449,005 | 10,200,558 | ||||||||||||
| Short-Term Investments |
3,510,497 | — | — | 3,510,497 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
13,262,050 | 293,556,759 | 449,005 | 307,267,814 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 13,262,050 | $ | 293,556,759 | $ | 449,005 | $ | 307,267,814 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Quality Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Canada |
$ | 93,392,030 | $ | — | $ | — | $ | 93,392,030 | ||||||||
| France |
— | 528,879,258 | — | 528,879,258 | ||||||||||||
| Germany |
— | 287,284,889 | — | 287,284,889 | ||||||||||||
| Spain |
— | 92,986,258 | — | 92,986,258 | ||||||||||||
| Taiwan |
— | 674,813,734 | — | 674,813,734 | ||||||||||||
| United Kingdom |
— | 817,070,105 | — | 817,070,105 | ||||||||||||
| United States |
10,099,072,035 | — | — | 10,099,072,035 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
10,192,464,065 | 2,401,034,244 | — | 12,593,498,309 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
70,795,952 | — | — | 70,795,952 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
70,795,952 | — | — | 70,795,952 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
911,356 | — | — | 911,356 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
10,264,171,373 | 2,401,034,244 | — | 12,665,205,617 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 10,264,171,373 | $ | 2,401,034,244 | $ | — | $ | 12,665,205,617 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Resource Transition Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 5,890,434 | $ | — | $ | 5,890,434 | ||||||||
| Brazil |
— | 12,663,377 | — | 12,663,377 | ||||||||||||
| Canada |
22,746,531 | — | — | 22,746,531 | ||||||||||||
| China |
— | 3,527,759 | — | 3,527,759 | ||||||||||||
| Denmark |
— | 2,932,466 | — | 2,932,466 | ||||||||||||
| Finland |
— | 7,306,055 | — | 7,306,055 | ||||||||||||
| France |
— | 2,804,956 | — | 2,804,956 | ||||||||||||
| Italy |
— | 1,914,121 | — | 1,914,121 | ||||||||||||
| Japan |
— | 965,281 | — | 965,281 | ||||||||||||
| Netherlands |
— | 680,569 | — | 680,569 | ||||||||||||
| Norway |
— | 6,507,427 | — | 6,507,427 | ||||||||||||
| South Africa |
— | 1,318,626 | — | 1,318,626 | ||||||||||||
| South Korea |
— | 673,951 | — | 673,951 | ||||||||||||
| United Kingdom |
— | 17,951,469 | — | 17,951,469 | ||||||||||||
| United States |
82,521,276 | — | — | 82,521,276 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
105,267,807 | 65,136,491 | — | 170,404,298 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 8,020,767 | — | 8,020,767 | ||||||||||||
| Chile |
9,282,547 | — | — | 9,282,547 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
9,282,547 | 8,020,767 | — | 17,303,314 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
5,441,934 | — | — | 5,441,934 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
5,441,934 | — | — | 5,441,934 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
535,710 | — | — | 535,710 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
120,527,998 | 73,157,258 | — | 193,685,256 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 120,527,998 | $ | 73,157,258 | $ | — | $ | 193,685,256 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Resources Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 86,577,851 | $ | — | $ | — | $ | 86,577,851 | ||||||||
| Australia |
— | 28,035,744 | — | 28,035,744 | ||||||||||||
| Brazil |
— | 59,299,349 | — | 59,299,349 | ||||||||||||
| Canada |
140,826,746 | — | — | 140,826,746 | ||||||||||||
| China |
— | 19,986,882 | — | 19,986,882 | ||||||||||||
| Denmark |
— | 12,271,941 | — | 12,271,941 | ||||||||||||
| Finland |
— | 30,582,443 | — | 30,582,443 | ||||||||||||
| France |
— | 11,999,546 | — | 11,999,546 | ||||||||||||
| Hong Kong |
— | 2,400,904 | — | 2,400,904 | ||||||||||||
| Italy |
— | 7,542,562 | — | 7,542,562 | ||||||||||||
| Japan |
— | 7,782,667 | — | 7,782,667 | ||||||||||||
| Netherlands |
— | 2,586,170 | — | 2,586,170 | ||||||||||||
| Norway |
— | 42,174,954 | — | 42,174,954 | ||||||||||||
| Pakistan |
— | 3,510,378 | — | 3,510,378 | ||||||||||||
| Russia |
— | — | 0 | § | 0 | § | ||||||||||
| Singapore |
— | — | 3 | 3 | ||||||||||||
| South Africa |
— | 11,313,472 | — | 11,313,472 | ||||||||||||
| South Korea |
— | 2,884,458 | — | 2,884,458 | ||||||||||||
| Thailand |
— | 3,762,475 | — | 3,762,475 | ||||||||||||
| Ukraine |
— | 2,664,892 | — | 2,664,892 | ||||||||||||
| United Kingdom |
6,410,250 | 188,604,337 | — | 195,014,587 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Resources Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| United States |
$ | 514,185,854 | $ | — | $ | — | $ | 514,185,854 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
748,000,701 | 437,403,174 | 3 | 1,185,403,878 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
— | 70,086,187 | — | 70,086,187 | ||||||||||||
| Chile |
38,402,953 | — | — | 38,402,953 | ||||||||||||
| Russia |
— | — | 0 | § | 0 | § | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
38,402,953 | 70,086,187 | 0 | § | 108,489,140 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| United States |
5,075,930 | — | — | 5,075,930 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
5,075,930 | — | — | 5,075,930 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
833,764 | — | — | 833,764 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
792,313,348 | 507,489,361 | 3 | 1,299,802,712 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 792,313,348 | $ | 507,489,361 | $ | 3 | $ | 1,299,802,712 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Small Cap Quality Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 682,752,155 | $ | — | $ | — | $ | 682,752,155 | ||||||||
| Investment Funds |
17,955,663 | — | — | 17,955,663 | ||||||||||||
| Short-Term Investments |
1,773,724 | — | — | 1,773,724 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
702,481,542 | — | — | 702,481,542 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 702,481,542 | $ | — | $ | — | $ | 702,481,542 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Equity Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 219,640,505 | $ | — | $ | — | $ | 219,640,505 | ||||||||
| Debt Obligations |
56,053 | — | — | 56,053 | ||||||||||||
| Investment Funds |
1,053,596 | — | — | 1,053,596 | ||||||||||||
| Short-Term Investments |
98,750 | — | — | 98,750 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
220,848,904 | — | — | 220,848,904 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
43,433 | — | — | 43,433 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 220,892,337 | $ | — | $ | — | $ | 220,892,337 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Opportunistic Value Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 321,326,094 | $ | — | $ | — | $ | 321,326,094 | ||||||||
| Investment Funds |
3,346,281 | — | — | 3,346,281 | ||||||||||||
| Short-Term Investments |
519,489 | — | — | 519,489 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
325,191,864 | — | — | 325,191,864 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 325,191,864 | $ | — | $ | — | $ | 325,191,864 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| U.S. Small Cap Value Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
$ | 44,632,809 | $ | — | $ | — | $ | 44,632,809 | ||||||||
| Investment Funds |
511,397 | — | — | 511,397 | ||||||||||||
| Short-Term Investments |
185,373 | — | — | 185,373 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
45,329,579 | — | — | 45,329,579 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 45,329,579 | $ | — | $ | — | $ | 45,329,579 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
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 May 31, 2026. |
| ^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments. |
The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ financial statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
Investments in affiliated companies and other Funds of the Trust
An affiliated company for the purposes of this disclosure is a company in which a Fund has or had direct ownership of at least 5% of the issuer’s voting securities or an investment in other funds of GMO Trust. A summary of the Funds’ transactions involving companies that are or were affiliates during the period ended May 31, 2026 is set forth below:
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Climate Change Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 16,963,453 | $ | 40,780,608 | $ | 40,600,000 | $ | 75,505 | $ | — | $ | 5,976 | $ | — | $ | 17,150,037 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Markets ex-China Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 506,163 | $ | 8,907,178 | $ | 7,168,500 | $ | 6,958 | $ | — | $ | — | $ | — | $ | 2,244,841 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Markets Fund | ||||||||||||||||||||||||||||||||
| Anilana Hotels & Properties Ltd. |
$ | 302,374 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (18,353 | ) | $ | 284,021 | |||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
2,002,959 | 63,053,926 | 63,585,000 | 54,076 | — | — | — | 1,471,885 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 2,305,333 | $ | 63,053,926 | $ | 63,585,000 | $ | 54,076 | $ | — | $ | — | $ | (18,353 | ) | $ | 1,755,906 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| International Equity Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 10,318,555 | $ | 181,160,000 | $ | 123,900,000 | $ | 276,809 | $ | — | $ | — | $ | (5,976 | ) | $ | 67,572,579 | |||||||||||||||
| GMO Ultra-Short Income ETF |
— | 5,815,370 | — | 34,359 | — | — | (10,150 | ) | 5,805,220 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 10,318,555 | $ | 186,975,370 | $ | 123,900,000 | $ | 311,168 | $ | — | $ | — | $ | (16,126 | ) | $ | 73,377,799 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| International Opportunistic Value Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 9,692 | $ | 11,800,000 | $ | 5,409,000 | $ | 18,085 | $ | — | $ | 18 | $ | (18 | ) | $ | 6,400,692 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Japan Value Creation Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 5,349,561 | $ | 16,200,000 | $ | 11,800,000 | $ | 55,203 | $ | — | $ | 1,992 | $ | — | $ | 9,751,553 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Quality Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 180,906,709 | $ | 380,000,000 | $ | 490,300,000 | $ | 1,483,375 | $ | — | $ | 189,243 | $ | — | $ | 70,795,952 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Resource Transition Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 3,886,166 | $ | 44,545,356 | $ | 42,989,531 | $ | 32,375 | ** | $ | — | $ | — | $ | (57 | ) | $ | 5,441,934 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Resources Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 6,785,891 | $ | 85,800,000 | $ | 87,500,000 | $ | 144,177 | $ | — | $ | (9,961 | ) | $ | — | $ | 5,075,930 | |||||||||||||||
| Kosmos Energy Ltd. |
56,201,103 | — | 43,737,185 | — | — | (17,432,108 | ) | 29,060,983 | — | # | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 62,986,994 | $ | 85,800,000 | $ | 131,237,185 | $ | 144,177 | $ | — | $ | (17,442,069 | ) | $ | 29,060,983 | $ | 5,075,930 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Small Cap Quality Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 19,993,081 | $ | 10,062,582 | $ | 12,100,000 | $ | 161,432 | $ | — | $ | — | $ | — | $ | 17,955,663 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| U.S. Equity Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 1,100,608 | $ | 8,782,422 | $ | 8,828,500 | $ | 5,803 | ** | $ | — | $ | (934 | ) | $ | — | $ | 1,053,596 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| U.S. Opportunistic Value Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 1,129,113 | $ | 7,917,168 | $ | 5,700,000 | $ | 17,294 | $ | — | $ | — | $ | — | $ | 3,346,281 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| U.S. Small Cap Value Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 91,397 | $ | 1,200,000 | $ | 780,000 | $ | 1,665 | $ | — | $ | — | $ | — | $ | 511,397 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2026 through May 31, 2026. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2027. |
| ** | 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 $5,503 and $582 in Resource Transition Fund and U.S. Equity Fund, respectively, during the period. |
| # | Security is no longer an affiliate at period end. |
Subsequent events
With respect to GMO International Opportunistic Value Fund, effective June 30, 2026, GMO has contractually agreed to waive its fees with respect to and/or reimburse the Fund to the extent that the Fund’s total annual fund operating expenses (after applying all other contractual and voluntary expense limitation arrangements in effect at the time) exceed the following amounts for each class of shares, in each case representing the average daily net assets for the indicated class of shares: 0.67% for Class III shares; 0.62% for Class IV shares; 0.67% for Class R6 shares; and 0.67% for Class I shares (each, an “Expense Cap”). Fees and expenses of the “non-interested” Trustees and legal counsel to the “non-interested” Trustees, investment-related costs (such as brokerage commissions, interest, and acquired fund fees and expenses), payments out of assets attributable to Class I shares for sub-transfer agency, recordkeeping and other administrative services provided by financial intermediaries, borrowing and borrowing-related costs (such as expenses incurred in establishing and maintaining a credit facility), taxes, litigation and indemnification expenses, judgments, and other extraordinary or non-recurring expenses not incurred in the ordinary course of the Fund’s business (collectively, “Excluded Expenses”), are excluded from the Expense Cap. GMO is permitted to recover from the Fund, on a class-by-class basis, expenses it has borne or reimbursed pursuant to an Expense Cap (whether through reduction of its fees or otherwise) to the extent that the Fund’s total annual fund operating expenses (excluding Excluded Expenses) later fall below that Expense Cap or any lower expense limit in effect when GMO seeks to recover the expenses. The Fund, however, is not obligated to pay any such amount more than three years after GMO bore or reimbursed an expense. Any such recovery will not cause the Fund to exceed the Expense Caps set forth above or any lower expense limits as is in effect at the time GMO seeks to recover expenses. These reimbursements and waivers will continue through at least June 30, 2027 and may not be terminated prior to this date without the action or consent of the Trust’s Board of Trustees.
***
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)
May 31, 2026 (Unaudited)
| Par Value† / Shares |
Description | Value ($) | ||||||||
|
|
DEBT OBLIGATIONS — 7.9% |
| ||||||||
| U.S. Government — 7.9% | ||||||||||
| 4,855,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 07/31/27 (a) | 4,859,716 | ||||||||
| 4,425,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 (a) | 4,425,705 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 9,285,421 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $9,280,817) |
9,285,421 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 92.2% | ||||||||||
| Money Market Funds — 2.2% | ||||||||||
| 2,543,089 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 2,543,089 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 90.0% | ||||||||||
| 106,000,000 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/29/2026 maturing on 06/01/26 with a maturity value of $106,031,888 and an effective yield of 3.61%, collateralized by a U.S. Treasury Note with maturity date 10/31/27 and a market value of $108,208,763. | 106,000,000 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $108,543,089) |
108,543,089 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $117,823,906) |
117,828,510 | |||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — (0.1)% | (101,537 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $117,726,973 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Forward Currency Contracts
| Settlement Date |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 08/31/2026 | JPM | USD | 2,794,901 | EUR | 2,393,000 | $ | 6,741 | |||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 249 | U.S. Long Bond (CBT) | September 2026 | 27,942,469 | 365,373 | ||||||||||
| 325 | U.S. Treasury Note 10 Yr. (CBT) | September 2026 | 35,694,141 | 74,451 | ||||||||||
| 706 | U.S. Treasury Note 2 Yr. (CBT) | September 2026 | 145,833,125 | 328,457 | ||||||||||
| 732 | U.S. Treasury Note 5 Yr. (CBT) | September 2026 | 78,478,406 | 94,933 | ||||||||||
| 273 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2026 | 30,597,328 | 119,077 | ||||||||||
| 183 | U.S. Ultra Bond (CBT) | September 2026 | 20,936,344 | 337,137 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 339,481,813 | $ | 1,319,428 | |||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
GMO Asset Allocation Bond Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||||||||
| Buy Protection^: |
||||||||||||||||||||||||||||||||||||||
| ITRAXX.EUR.45 |
EUR | 154,700,000 | 1.00% | 0.53% | N/A | 06/20/2031 | Quarterly | $ | (2,748,215 | ) | $ | (4,018,083 | ) | $ | (1,269,868 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2026, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | 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, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
Counterparty Abbreviations:
JPM - JPMorgan Chase Bank, N.A.
Currency Abbreviations:
EUR - Euro
USD - United States Dollar
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 92.9% |
| |||||||||
| Albania — 0.9% | ||||||||||
| Corporate Debt — 0.8% | ||||||||||
| EUR |
15,900,000 | Delphos Securities SARL - Compartment Bernina, 7.63%, due 04/08/35 | 18,237,811 | |||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| EUR |
2,410,000 | Albania Government International Bonds, Reg S, 4.75%, due 02/14/35 | 2,812,373 | |||||||
|
|
|
|||||||||
| Total Albania | 21,050,184 | |||||||||
|
|
|
|||||||||
| Angola — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 1,670,000 | Angola Government International Bonds, 144A, 9.88%, due 03/31/37 | 1,750,369 | ||||||||
| 4,680,000 | Angola Government International Bonds, Reg S, 9.38%, due 05/08/48 | 4,586,400 | ||||||||
| 7,720,000 | Angola Government International Bonds, Reg S, 9.13%, due 11/26/49 | 7,358,125 | ||||||||
|
|
|
|||||||||
| Total Angola | 13,694,894 | |||||||||
|
|
|
|||||||||
| Argentina — 3.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.2% | ||||||||||
| EUR |
2,456,273 | Argentina Government International Bonds, Step Up, 4.00%, due 07/09/46 | 1,991,172 | |||||||
| 353,739 | Argentina Republic Government International Bonds, 1.00%, due 07/09/29 | 309,590 | ||||||||
| 8,412,115 | Argentina Republic Government International Bonds, Step Up, 0.75%, due 07/09/30 | 7,335,364 | ||||||||
| JPY |
218,057,108 | Argentina Republic Government International Bonds, 4.33%, due 12/31/33 (a) | 232,755 | |||||||
| EUR |
7,100,000 | Argentina Republic Government International Bonds, Step Up, 3.88%, due 07/09/35 | 6,103,420 | |||||||
| EUR |
11,260,000 | Argentina Republic Government International Bonds, Step Up, 4.25%, due 01/09/38 | 10,112,919 | |||||||
| JPY |
223,573,000 | Argentina Republic Government International Bonds, 0.67%, due 12/31/38 (a) | 238,643 | |||||||
| EUR |
10,268,000 | Argentina Republic Government International Bonds, Step Up, 3.00%, due 07/09/41 | 8,299,779 | |||||||
| 622,000 | Argentina Republic Government International Bonds, Step Up, 3.50%, due 07/09/41 | 446,285 | ||||||||
| 50,837,204 | Argentina Republic Government International Bonds, Step Up, 4.13%, due 07/09/46 | 37,416,183 | ||||||||
|
|
|
|||||||||
| Total Argentina | 72,486,110 | |||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Armenia — 0.4% | ||||||||||
| Corporate Debt — 0.1% | ||||||||||
|
|
2,990,000 | Ardshinbank CJSC Via Dilijan Finance BV, 144A, 6.60%, due 01/22/31 | 2,992,796 | |||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
|
|
6,000,000 | Republic of Armenia International Bonds, Reg S, 6.75%, due 03/12/35 | 6,266,280 | |||||||
|
|
|
|||||||||
| Total Armenia | 9,259,076 | |||||||||
|
|
|
|||||||||
| Bahamas — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 1,310,000 | Bahamas Government International Bonds, Reg S, 8.25%, due 06/24/36 | 1,462,615 | ||||||||
|
|
|
|||||||||
| Bahrain — 2.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.0% | ||||||||||
| 3,700,000 | Bahrain Government International Bonds, Reg S, 7.10%, due 02/03/38 | 3,662,445 | ||||||||
| 46,296,000 | Bahrain Government International Bonds, Reg S, 6.00%, due 09/19/44 | 39,081,463 | ||||||||
| 3,350,000 | Bahrain Government International Bonds, Reg S, 6.25%, due 01/25/51 | 2,881,971 | ||||||||
|
|
|
|||||||||
| Total Bahrain | 45,625,879 | |||||||||
|
|
|
|||||||||
| Barbados — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 12,220,000 | Barbados Government International Bonds, Reg S, 8.00%, due 06/26/35 | 12,940,980 | ||||||||
|
|
|
|||||||||
| Belarus — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 6,804,000 | Development Bank of the Republic of Belarus JSC, Reg S, 6.75%, due 05/02/24 (b) | 3,878,280 | ||||||||
| 12,200,000 | Republic of Belarus International Bonds, Reg S, 6.20%, due 02/28/30 (a) (b) | 9,394,000 | ||||||||
|
|
|
|||||||||
| Total Belarus | 13,272,280 | |||||||||
|
|
|
|||||||||
| Bolivia — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 4,600,230 | Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28 (c) | 4,270,164 | ||||||||
|
|
|
|||||||||
| Brazil — 4.4% | ||||||||||
| Corporate Debt — 1.8% | ||||||||||
| 1,457,000 | Braskem America Finance Co., Reg S, 7.13%, due 07/22/41 (c) | 786,780 | ||||||||
| 10,010,000 | Braskem Netherlands Finance BV, Reg S, 8.50%, due 01/12/31 | 6,275,269 | ||||||||
| 30,812,000 | Braskem Netherlands Finance BV, Reg S, 8.00%, due 10/15/34 | 17,763,118 | ||||||||
| 12,125,000 | Kinetics LNG Holdings Ltd., Reg S, 9.88%, due 11/13/29 | 12,447,805 | ||||||||
| 3,840,182 | Yinson Boronia Production BV, Reg S, 8.95%, due 07/31/42 | 4,225,543 | ||||||||
|
|
|
|||||||||
| 41,498,515 | ||||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Brazil — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.6% | ||||||||||
| 23,100,000 | Brazil Government International Bonds, 6.25%, due 05/22/36 | 22,909,425 | ||||||||
| 5,950,000 | Brazil Government International Bonds, 4.75%, due 01/14/50 | 4,413,413 | ||||||||
| 24,100,000 | Brazil Government International Bonds, 7.25%, due 01/12/56 | 24,045,775 | ||||||||
| BRL |
35,675,533 | Rio Smart Lighting SARL, Reg S, 12.25%, due 09/20/32 (d) | 6,555,535 | |||||||
|
|
|
|||||||||
| 57,924,148 | ||||||||||
|
|
|
|||||||||
| Total Brazil | 99,422,663 | |||||||||
|
|
|
|||||||||
| Bulgaria — 0.1% | ||||||||||
| Corporate Debt — 0.1% | ||||||||||
| EUR |
2,300,000 | Eastern European Electric Co. BV, 144A, 6.50%, due 05/15/30 | 2,773,261 | |||||||
|
|
|
|||||||||
| Cameroon — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.9% | ||||||||||
| EUR |
18,650,000 | Republic of Cameroon International Bonds, Reg S, 5.95%, due 07/07/32 | 19,671,994 | |||||||
|
|
|
|||||||||
| Chile — 1.2% | ||||||||||
| Corporate Debt — 0.9% | ||||||||||
| 14,451,000 | Enel Generacion Chile SA, 8.13%, due 02/01/97 (e) | 13,660,531 | ||||||||
| 7,890,000 | EnfraGen Energia Sur SAU/EnfraGen Chile SpA/EnfraGen Spain SAU, Reg S, 8.50%, due 06/30/32 | 8,112,892 | ||||||||
|
|
|
|||||||||
| 21,773,423 | ||||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| 2,200,000 | Chile Government International Bonds, 3.10%, due 05/07/41 | 1,669,800 | ||||||||
| 4,496,523 | Chile Electricity Lux MPC II SARL, Reg S, 5.58%, due 10/20/35 | 4,567,568 | ||||||||
|
|
|
|||||||||
| 6,237,368 | ||||||||||
|
|
|
|||||||||
| Total Chile | 28,010,791 | |||||||||
|
|
|
|||||||||
| China — 0.0% | ||||||||||
| Corporate Debt — 0.0% | ||||||||||
| 9,300,000 | China Evergrande Group, Reg S, 11.50%, due 01/22/23 (b) | 176,700 | ||||||||
| 11,800,000 | China Evergrande Group, Reg S, 12.00%, due 01/22/24 (b) | 221,840 | ||||||||
| 6,200,000 | China Evergrande Group, Reg S, 10.50%, due 04/11/24 (b) | 117,025 | ||||||||
| 5,000,000 | Scenery Journey Ltd., Reg S, 11.50%, due 10/24/22 (b) | 31,250 | ||||||||
| 1,700,000 | Scenery Journey Ltd., Reg S, 13.00%, due 11/06/22 (b) | 17,000 | ||||||||
| 3,000,000 | Scenery Journey Ltd., Reg S, 12.00%, due 10/24/23 (b) | 30,000 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| Corporate Debt — continued | ||||||||||
| 3,400,000 | Scenery Journey Ltd., Reg S, 13.75%, due 11/06/23 (b) | 34,000 | ||||||||
|
|
|
|||||||||
| Total China | 627,815 | |||||||||
|
|
|
|||||||||
| Colombia — 3.2% | ||||||||||
| Corporate Debt — 0.2% | ||||||||||
| COP |
26,099,790,781 | PA Autopista Rio Magdalena, Reg S, 6.05%, due 06/15/36 | 5,911,256 | |||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 3.0% | ||||||||||
| 892,000 | Colombia Government International Bonds, 8.38%, due 02/15/27 (e) | 905,994 | ||||||||
| 2,500,000 | Colombia Government International Bonds, 11.85%, due 03/09/28 (e) | 2,735,380 | ||||||||
| 31,260,000 | Colombia Government International Bonds, 5.63%, due 02/26/44 | 25,523,790 | ||||||||
| 18,890,000 | Colombia Government International Bonds, 5.00%, due 06/15/45 | 14,205,280 | ||||||||
| 27,140,000 | Ecopetrol SA, 5.88%, due 05/28/45 | 20,413,351 | ||||||||
| COP |
16,553,000,000 | Empresas Publicas de Medellin ESP, Reg S, 8.38%, due 11/08/27 | 4,099,693 | |||||||
|
|
|
|||||||||
| 67,883,488 | ||||||||||
|
|
|
|||||||||
| Total Colombia | 73,794,744 | |||||||||
|
|
|
|||||||||
| Congo Republic (Brazzaville) — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.9% | ||||||||||
| 20,003,998 | Congolese International Bonds, Reg S, Step Up, 6.00%, due 06/30/29 (a) (c) | 19,566,511 | ||||||||
|
|
|
|||||||||
| Costa Rica — 2.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.2% | ||||||||||
| EUR |
4,790,000 | Costa Rica Government International Bonds, 144A, 5.95%, due 04/27/33 | 5,922,278 | |||||||
| EUR |
17,000,000 | Costa Rica Government International Bonds, Reg S, 6.00%, due 01/16/36 | 20,833,521 | |||||||
| 3,860,000 | Costa Rica Government International Bonds, Reg S, 7.00%, due 04/04/44 | 4,157,220 | ||||||||
| 17,231,000 | Costa Rica Government International Bonds, Reg S, 7.16%, due 03/12/45 | 18,790,406 | ||||||||
|
|
|
|||||||||
| Total Costa Rica | 49,703,425 | |||||||||
|
|
|
|||||||||
| Cote D’Ivoire — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| EUR |
13,150,000 | Ivory Coast Government International Bonds, Reg S, 6.63%, due 03/22/48 | 14,580,835 | |||||||
|
|
|
|||||||||
| Czech Republic — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 3,658,000 | CEZ AS, Reg S, 5.63%, due 04/03/42 | 3,351,057 | ||||||||
|
|
|
|||||||||
| Democratic Republic of the Congo — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 1,700,000 | DRC International Bonds, 144A, 9.50%, due 04/16/37 | 1,733,762 | ||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Dominican Republic — 2.4% | ||||||||||
| Corporate Debt — 0.1% | ||||||||||
| 3,125,000 | Polaris Renewable Energy, Inc., 9.50%, due 12/03/29 | 3,275,391 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 2.3% | ||||||||||
| DOP |
60,500,000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 1,218,036 | |||||||
| 2,490,000 | Dominican Republic International Bonds, Reg S, 5.88%, due 10/28/35 | 2,447,670 | ||||||||
| DOP |
203,800,000 | Dominican Republic International Bonds, Reg S, 10.75%, due 06/01/36 | 3,697,651 | |||||||
| 17,620,000 | Dominican Republic International Bonds, Reg S, 6.15%, due 05/17/38 | 17,338,080 | ||||||||
| 700,000 | Dominican Republic International Bonds, Reg S, 5.30%, due 01/21/41 | 623,000 | ||||||||
| 29,554,000 | Dominican Republic International Bonds, Reg S, 5.88%, due 01/30/60 | 25,800,642 | ||||||||
|
|
|
|||||||||
| 51,125,079 | ||||||||||
|
|
|
|||||||||
| Total Dominican Republic | 54,400,470 | |||||||||
|
|
|
|||||||||
| Ecuador — 2.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.6% | ||||||||||
| 2,922,203 | Ecuador Government International Bonds, Reg S, Zero Coupon, due 07/31/30 | 2,518,358 | ||||||||
| 5,350,000 | Ecuador Government International Bonds, Reg S, 8.75%, due 01/29/34 | 5,415,805 | ||||||||
| 37,385,988 | Ecuador Government International Bonds, Reg S, Step Up, 6.90%, due 07/31/35 | 34,314,452 | ||||||||
| 1,040,000 | Ecuador Government International Bonds, Reg S, 9.25%, due 01/29/39 | 1,068,309 | ||||||||
| 18,381,750 | Ecuador Government International Bonds, Reg S, Step Up, 5.00%, due 07/31/40 | 15,358,687 | ||||||||
| 1,734,536 | Ecuador Social Bonds SARL, Reg S, Zero Coupon, due 01/30/35 | 1,298,509 | ||||||||
|
|
|
|||||||||
| Total Ecuador | 59,974,120 | |||||||||
|
|
|
|||||||||
| Egypt — 2.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.4% | ||||||||||
| 17,170,000 | Egypt Government International Bonds, Reg S, 8.50%, due 01/31/47 | 16,322,145 | ||||||||
| 17,430,000 | Egypt Government International Bonds, Reg S, 8.70%, due 03/01/49 | 16,691,622 | ||||||||
| 24,064,000 | Egypt Government International Bonds, Reg S, 8.15%, due 11/20/59 | 21,656,517 | ||||||||
|
|
|
|||||||||
| Total Egypt | 54,670,284 | |||||||||
|
|
|
|||||||||
| El Salvador — 0.7% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.7% | ||||||||||
| 16,720,000 | El Salvador Government International Bonds, Reg S, 7.12%, due 01/20/50 | 15,220,885 | ||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Ethiopia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
|
|
2,490,000 | Ethiopia International Bonds, Reg S, 6.63%, due 12/11/24 (b) | 2,614,500 | |||||||
|
|
|
|||||||||
| Gabon — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 1,700,000 | Gabon Blue Bond Master Trust, Reg S, 6.10%, due 08/01/38 | 1,686,604 | ||||||||
| 5,300,000 | Gabon Government International Bonds, Reg S, 6.63%, due 02/06/31 | 4,665,113 | ||||||||
| 8,700,000 | Gabon Government International Bonds, Reg S, 7.00%, due 11/24/31 | 7,601,364 | ||||||||
|
|
|
|||||||||
| Total Gabon | 13,953,081 | |||||||||
|
|
|
|||||||||
| Georgia — 0.1% | ||||||||||
| Corporate Debt — 0.1% | ||||||||||
| 3,240,000 | Bank of Georgia JSC, 144A, 6.50%, due 06/03/31 | 3,235,950 | ||||||||
|
|
|
|||||||||
| Ghana — 1.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.4% | ||||||||||
| 572,000 | Ghana Government International Bonds, Reg S, Zero Coupon, due 07/03/26 | 569,140 | ||||||||
| 3,283,826 | Ghana Government International Bonds, Reg S, Zero Coupon, due 01/03/30 | 2,930,815 | ||||||||
| 24,582,000 | Ghana Government International Bonds, Step Up, Reg S, 5.00%, due 07/03/35 | 23,006,785 | ||||||||
| 5,865,211 | Saderea DAC, Reg S, 12.50%, due 11/30/26 (b) | 6,129,145 | ||||||||
|
|
|
|||||||||
| Total Ghana | 32,635,885 | |||||||||
|
|
|
|||||||||
| Grenada — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 2,622,999 | Grenada Government International Bonds, Reg S, 7.00%, due 05/12/30 | 2,525,660 | ||||||||
|
|
|
|||||||||
| Guatemala — 1.3% | ||||||||||
| Corporate Debt — 0.3% | ||||||||||
| 7,410,000 | Threelands Energy Ltd. SARL, Reg S, 7.45%, due 10/20/35 | 7,552,842 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 1.0% | ||||||||||
| 1,890,000 | Guatemala Government Bonds, Reg S, 6.60%, due 06/13/36 | 2,006,235 | ||||||||
| 3,300,000 | Guatemala Government Bonds, Reg S, 6.25%, due 08/15/36 | 3,423,750 | ||||||||
| 16,240,000 | Guatemala Government Bonds, Reg S, 6.13%, due 06/01/50 | 16,128,594 | ||||||||
|
|
|
|||||||||
| 21,558,579 | ||||||||||
|
|
|
|||||||||
| Total Guatemala | 29,111,421 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Hungary — 2.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.2% | ||||||||||
|
|
30,630,000 | Hungary Government International Bonds, Reg S, 5.50%, due 03/26/36 | 30,692,485 | |||||||
| 17,200,000 | Hungary Government International Bonds, Reg S, 3.13%, due 09/21/51 | 10,750,000 | ||||||||
| 7,450,000 | Hungary Government International Bonds, 144A, 6.75%, due 09/23/55 | 7,970,979 | ||||||||
|
|
|
|||||||||
| Total Hungary | 49,413,464 | |||||||||
|
|
|
|||||||||
| India — 0.9% | ||||||||||
| Corporate Debt — 0.9% | ||||||||||
| 14,541,828 | Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, Reg S, 6.70%, due 03/12/42 | 14,338,242 | ||||||||
| 7,752,000 | Adani Renewable Energy RJ Ltd./Kodangal Solar Parks Pvt Ltd./Wardha Solar Maharashtra, Reg S, 4.63%, due 10/15/39 | 6,569,820 | ||||||||
|
|
|
|||||||||
| Total India | 20,908,062 | |||||||||
|
|
|
|||||||||
| Indonesia — 0.8% | ||||||||||
| Corporate Debt — 0.6% | ||||||||||
| 9,920,000 | Delphos Securities SARL - Compartment Verdant Rock, Reg S, Variable Rate, 11.00%, due 04/29/56 (a) | 9,448,800 | ||||||||
| 3,876,371 | LLPL Capital Pte. Ltd., Reg S, 6.88%, due 02/04/39 | 3,944,208 | ||||||||
|
|
|
|||||||||
| 13,393,008 | ||||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 4,080,000 | Indonesia Government International Bonds, 5.69%, due 05/29/36 | 4,153,542 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 17,546,550 | |||||||||
|
|
|
|||||||||
| Iraq — 0.5% | ||||||||||
| Corporate Debt — 0.5% | ||||||||||
| 10,440,000 | Pearl Petroleum Co. Ltd., Reg S, 13.00%, due 05/15/28 | 11,182,910 | ||||||||
|
|
|
|||||||||
| Israel — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.9% | ||||||||||
| 12,683,000 | Israel Electric Corp. Ltd., Reg S, 8.10%, due 12/15/96 | 16,513,076 | ||||||||
| 7,350,000 | State of Israel, Reg S, 3.80%, due 05/13/60 | 4,922,662 | ||||||||
|
|
|
|||||||||
| Total Israel | 21,435,738 | |||||||||
|
|
|
|||||||||
| Jamaica — 0.9% | ||||||||||
| Corporate Debt — 0.9% | ||||||||||
| 19,200,000 | NCB Financial Group Ltd., Reg S, 11.00%, due 07/31/30 | 20,225,280 | ||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Jamaica — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
|
|
505,000 | Jamaica Government International Bonds, 7.88%, due 07/28/45 | 599,154 | |||||||
|
|
|
|||||||||
| Total Jamaica | 20,824,434 | |||||||||
|
|
|
|||||||||
| Jordan — 0.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.8% | ||||||||||
| 19,455,000 | Jordan Government International Bonds, Reg S, 7.38%, due 10/10/47 | 19,056,756 | ||||||||
|
|
|
|||||||||
| Kazakhstan — 0.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.5% | ||||||||||
| KZT |
1,742,000,000 | Development Bank of Kazakhstan JSC, 144A, 18.40%, due 10/16/28 | 3,586,685 | |||||||
| 4,500,000 | Kazakhstan Government International Bonds, Reg S, 5.50%, due 07/01/37 | 4,627,350 | ||||||||
| 2,310,000 | KazMunayGas National Co. JSC, Reg S, 6.38%, due 10/24/48 | 2,329,150 | ||||||||
| 1,580,000 | QazaqGaz NC JSC, 144A, 5.63%, due 05/08/36 | 1,546,425 | ||||||||
|
|
|
|||||||||
| Total Kazakhstan | 12,089,610 | |||||||||
|
|
|
|||||||||
| Kenya — 1.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.4% | ||||||||||
| 9,200,000 | Republic of Kenya Government International Bonds, Reg S, 8.70%, due 02/26/39 | 9,004,178 | ||||||||
| 24,574,000 | Republic of Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48 (c) | 23,130,032 | ||||||||
|
|
|
|||||||||
| Total Kenya | 32,134,210 | |||||||||
|
|
|
|||||||||
| Kyrgyzstan — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.4% | ||||||||||
| 5,720,000 | Eldik Bank OAO, 144A, 8.50%, due 04/23/31 | 5,709,990 | ||||||||
| 3,460,000 | Kyrgyz Republic International Bonds, 144A, 7.75%, due 06/03/30 | 3,520,550 | ||||||||
|
|
|
|||||||||
| Total Kyrgyzstan | 9,230,540 | |||||||||
|
|
|
|||||||||
| Lao Peoples Democratic Republic — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 5,300,000 | Laos Government International Bonds, 144A, 11.25%, due 11/12/30 | 5,593,408 | ||||||||
|
|
|
|||||||||
| Latvia — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| 6,250,000 | Latvia Government International Bonds, Reg S, 5.13%, due 07/30/34 | 6,258,250 | ||||||||
|
|
|
|||||||||
| Lebanon — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% | ||||||||||
| 4,547,000 | Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28 (b) (c) | 1,168,579 | ||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Lebanon — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
|
|
40,805,000 | Lebanon Government International Bonds, Reg S, 7.15%, due 11/20/31 (b) | 10,650,105 | |||||||
| 12,100,000 | Lebanon Government International Bonds, Reg S, 8.20%, due 05/17/33 (b) (c) | 3,248,850 | ||||||||
| 46,914,000 | Lebanon Government International Bonds, Reg S, 8.25%, due 05/17/34 (b) (c) | 12,596,409 | ||||||||
|
|
|
|||||||||
| Total Lebanon | 27,663,943 | |||||||||
|
|
|
|||||||||
| Mexico — 6.6% | ||||||||||
| Corporate Debt — 1.1% | ||||||||||
| 25,000,000 | Newco Holding Eur 31 SARL, 13.50%, due 04/24/30 (e) | 24,859,767 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 5.5% | ||||||||||
| 4,320,000 | Comision Federal de Electricidad, Reg S, 5.00%, due 07/30/49 | 3,654,979 | ||||||||
| 3,600,000 | Mexico Government International Bonds, 6.75%, due 02/09/56 | 3,506,400 | ||||||||
| GBP |
32,506,000 | Mexico Government International Bonds, 5.63%, due 03/19/2114 | 31,879,743 | |||||||
| 7,190,000 | Petroleos Mexicanos, Reg S, 6.63% (f) | 5,464,400 | ||||||||
| 87,500,000 | Petroleos Mexicanos, 7.69%, due 01/23/50 | 80,356,500 | ||||||||
|
|
|
|||||||||
| 124,862,022 | ||||||||||
|
|
|
|||||||||
| Total Mexico | 149,721,789 | |||||||||
|
|
|
|||||||||
| Mongolia — 1.0% | ||||||||||
| Corporate Debt — 1.0% | ||||||||||
| 21,280,000 | Tsetsens Mining & Energy LLC, Reg S, 11.38%, due 02/05/31 | 22,035,866 | ||||||||
|
|
|
|||||||||
| Montenegro — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 1,200,000 | Montenegro Government International Bonds, Reg S, 7.25%, due 03/12/31 | 1,266,000 | ||||||||
|
|
|
|||||||||
| Morocco — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 5,200,000 | Morocco Government International Bonds, Reg S, 4.00%, due 12/15/50 | 3,672,864 | ||||||||
|
|
|
|||||||||
| Mozambique — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| 8,276,000 | Mozambique International Bonds, Reg S, Step Up, 9.00%, due 09/15/31 | 7,194,244 | ||||||||
|
|
|
|||||||||
| Nigeria — 1.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.1% | ||||||||||
| 4,000,000 | Nigeria Government International Bonds, 144A, 9.13%, due 01/13/46 | 4,470,000 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Nigeria — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
|
|
20,150,000 | Nigeria Government International Bonds, Reg S, 8.25%, due 09/28/51 | 20,682,061 | |||||||
|
|
|
|||||||||
| Total Nigeria | 25,152,061 | |||||||||
|
|
|
|||||||||
| Oman — 0.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.9% | ||||||||||
| 18,810,000 | Oman Government International Bonds, Reg S, 6.75%, due 01/17/48 | 20,487,100 | ||||||||
|
|
|
|||||||||
| Pakistan — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.4% | ||||||||||
| 2,710,000 | Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36 (c) | 2,636,153 | ||||||||
| 5,530,000 | Pakistan Government International Bonds, Reg S, 8.88%, due 04/08/51 | 5,358,215 | ||||||||
| 1,746,000 | Pakistan Water & Power Development Authority, Reg S, 7.50%, due 06/04/31 | 1,655,103 | ||||||||
|
|
|
|||||||||
| Total Pakistan | 9,649,471 | |||||||||
|
|
|
|||||||||
| Panama — 0.5% | ||||||||||
| Corporate Debt — 0.2% | ||||||||||
| 4,270,000 | Generadora de Gatun SA, 144A, 6.87%, due 09/30/44 | 4,354,205 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| 1,470,000 | Empresa de Transmision Electrica SA, Reg S, 5.13%, due 05/02/49 | 1,164,225 | ||||||||
| 2,479,000 | Panama Government International Bonds, 8.13%, due 04/28/34 | 2,865,781 | ||||||||
| 4,200,000 | Panama Government International Bonds, 4.50%, due 04/16/50 | 3,332,700 | ||||||||
|
|
|
|||||||||
| 7,362,706 | ||||||||||
|
|
|
|||||||||
| Total Panama | 11,716,911 | |||||||||
|
|
|
|||||||||
| Paraguay — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| PYG |
26,341,000,000 | Paraguay Government International Bonds, 144A, 8.50%, due 04/04/38 | 4,118,865 | |||||||
|
|
|
|||||||||
| Peru — 2.2% | ||||||||||
| Corporate Debt — 0.3% | ||||||||||
| 6,898,713 | Peru LNG SRL, Reg S, 5.38%, due 03/22/30 | 6,691,751 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 1.9% | ||||||||||
| 2,000,000 | Peru Government International Bonds, 3.60%, due 01/15/72 | 1,257,000 | ||||||||
| 2,710,000 | Peru Government International Bonds, 3.23%, due 07/28/2121 | 1,470,175 | ||||||||
| 57,345,000 | Petroleos del Peru SA, Reg S, 5.63%, due 06/19/47 | 41,575,125 | ||||||||
|
|
|
|||||||||
| 44,302,300 | ||||||||||
|
|
|
|||||||||
| Total Peru | 50,994,051 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Philippines — 0.8% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.8% | ||||||||||
|
|
3,200,000 | Bangko Sentral ng Pilipinas International Bonds, 8.60%, due 06/15/97 (e) | 4,335,970 | |||||||
| 8,500,000 | Philippines Government International Bonds, 3.20%, due 07/06/46 | 5,869,250 | ||||||||
| 3,090,000 | Philippines Government International Bonds, 4.20%, due 03/29/47 | 2,473,545 | ||||||||
| 4,800,000 | Philippines Government International Bonds, 5.75%, due 01/27/51 | 4,758,000 | ||||||||
|
|
|
|||||||||
| Total Philippines | 17,436,765 | |||||||||
|
|
|
|||||||||
| Poland — 3.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.4% | ||||||||||
| 24,930,000 | Republic of Poland Government International Bonds, 5.13%, due 09/18/34 | 25,086,311 | ||||||||
| 23,300,000 | Republic of Poland Government International Bonds, 5.38%, due 02/12/35 | 23,662,781 | ||||||||
| 15,640,000 | Republic of Poland Government International Bonds, 5.38%, due 04/14/36 | 15,710,536 | ||||||||
| 10,600,000 | Republic of Poland Government International Bonds, 5.50%, due 03/18/54 | 9,819,734 | ||||||||
| 3,550,000 | Republic of Poland Government International Bonds, 6.13%, due 04/14/56 | 3,538,392 | ||||||||
|
|
|
|||||||||
| Total Poland | 77,817,754 | |||||||||
|
|
|
|||||||||
| Republic of North Macedonia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| EUR |
2,900,000 | North Macedonia Government International Bonds, 144A, 4.75%, due 01/21/34 | 3,324,413 | |||||||
|
|
|
|||||||||
| Romania — 3.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 3.3% | ||||||||||
| 31,250,000 | Romania Government International Bonds, Reg S, 5.75%, due 03/24/35 | 30,195,312 | ||||||||
| 5,910,000 | Romania Government International Bonds, Reg S, 6.63%, due 05/16/36 | 6,033,815 | ||||||||
| EUR |
2,900,000 | Romania Government International Bonds, Reg S, 2.75%, due 04/14/41 | 2,272,674 | |||||||
| EUR |
35,280,000 | Romania Government International Bonds, Reg S, 2.88%, due 04/13/42 | 27,493,939 | |||||||
| EUR |
1,800,000 | Romania Government International Bonds, Reg S, 3.38%, due 01/28/50 | 1,352,091 | |||||||
| 11,260,000 | Romania Government International Bonds, Reg S, 4.00%, due 02/14/51 | 7,659,277 | ||||||||
|
|
|
|||||||||
| Total Romania | 75,007,108 | |||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Russia — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
|
|
6,870,000 | GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 (b) (e) (g) | 3,435 | |||||||
| 5,200,000 | GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 (b) (e) (g) | 2,600 | ||||||||
| 6,800,000 | GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 (b) (e) (g) | 3,400 | ||||||||
| 20,000,000 | Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35 (b) (e) (g) | 10,000 | ||||||||
| 6,400,000 | Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35 (b) (e) (g) | 3,200 | ||||||||
|
|
|
|||||||||
| Total Russia | 22,635 | |||||||||
|
|
|
|||||||||
| Rwanda — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| 2,240,000 | Rwanda International Government Bonds, Reg S, 5.50%, due 08/09/31 | 2,112,970 | ||||||||
|
|
|
|||||||||
| Saudi Arabia — 1.8% | ||||||||||
| Corporate Debt — 0.1% | ||||||||||
| 2,069,959 | Acwa Power Management & Investments One Ltd., Reg S, 5.95%, due 12/15/39 | 2,076,438 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 1.7% | ||||||||||
| 8,100,000 | Saudi Government International Bonds, Reg S, 4.63%, due 10/04/47 | 6,864,750 | ||||||||
| 7,600,000 | Saudi Government International Bonds, Reg S, 5.00%, due 01/18/53 | 6,621,500 | ||||||||
| 11,540,000 | Saudi Government International Bonds, Reg S, 3.75%, due 01/21/55 | 8,078,000 | ||||||||
| 26,000,000 | Saudi Government International Bonds, Reg S, 3.45%, due 02/02/61 | 16,614,000 | ||||||||
|
|
|
|||||||||
| 38,178,250 | ||||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 40,254,688 | |||||||||
|
|
|
|||||||||
| Senegal — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.4% | ||||||||||
| EUR |
1,333,333 | Senegal Government International Bonds, Reg S, 4.75%, due 03/13/28 | 884,520 | |||||||
| 15,850,000 | Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48 (c) | 8,043,875 | ||||||||
|
|
|
|||||||||
| Total Senegal | 8,928,395 | |||||||||
|
|
|
|||||||||
| Serbia — 1.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.0% | ||||||||||
| 6,820,000 | Serbia International Bonds, Reg S, 6.00%, due 06/12/34 | 6,988,795 | ||||||||
| 14,530,000 | Serbia International Bonds, 144A, 5.50%, due 05/06/36 | 14,198,571 | ||||||||
| EUR |
860,000 | Telecommunications Co. Telekom Srbija AD Belgrade, 144A, 7.13%, due 05/18/36 | 1,019,013 | |||||||
|
|
|
|||||||||
| Total Serbia | 22,206,379 | |||||||||
|
|
|
|||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| South Africa — 1.9% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.9% |
||||||||||
| ZAR |
136,450,000 | Eskom Holdings, Zero Coupon, due 12/31/32 | 3,400,100 | |||||||
| 44,820,000 | Republic of South Africa Government International Bonds, 5.75%, due 09/30/49 | 37,751,886 | ||||||||
| ZAR |
18,300,000 | Transnet, Reg S, 13.50%, due 04/18/28 | 1,184,168 | |||||||
|
|
|
|||||||||
| Total South Africa | 42,336,154 | |||||||||
|
|
|
|||||||||
| Sri Lanka — 1.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.3% |
||||||||||
| 1,622,885 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.10%, due 01/15/30 | 1,587,425 | ||||||||
| 9,401,276 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.35%, due 03/15/33 | 8,602,167 | ||||||||
| 7,435,292 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.60%, due 06/15/35 | 5,903,622 | ||||||||
| 2,415,484 | Sri Lanka Government International Bonds, Step Up, 144A, 3.60%, due 05/15/36 (c) | 2,340,000 | ||||||||
| 10,335,771 | Sri Lanka Government International Bonds, Step Up, Reg S, 3.60%, due 02/15/38 | 10,028,282 | ||||||||
|
|
|
|||||||||
| Total Sri Lanka | 28,461,496 | |||||||||
|
|
|
|||||||||
| SupraNational — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% |
||||||||||
| NGN |
3,125,000,000 | European Bank for Reconstruction & Development, 21.00%, due 07/21/26 | 2,283,628 | |||||||
| NGN |
3,925,000,000 | European Bank for Reconstruction & Development, 22.50%, due 07/31/26 | 2,865,917 | |||||||
|
|
|
|||||||||
| Total SupraNational | 5,149,545 | |||||||||
|
|
|
|||||||||
| Tajikistan — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% |
||||||||||
| 1,287,000 | Republic of Tajikistan International Bonds, Reg S, 7.13%, due 09/14/27 | 1,289,819 | ||||||||
|
|
|
|||||||||
| Trinidad And Tobago — 1.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.2% |
||||||||||
| 17,854,667 | Port of Spain Waterfront Development, Reg S, 7.88%, due 02/19/40 | 18,401,020 | ||||||||
| 5,322,000 | Telecommunications Services of Trinidad & Tobago Ltd., Reg S, 8.88%, due 10/18/29 | 5,416,199 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Trinidad And Tobago — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| 3,960,000 | Trinidad & Tobago Government International Bonds, Reg S, 6.50%, due 01/28/36 | 4,075,122 | ||||||||
|
|
|
|||||||||
| Total Trinidad And Tobago | 27,892,341 | |||||||||
|
|
|
|||||||||
| Tunisia — 1.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.4% | ||||||||||
| JPY |
4,711,700,000 | Tunisian Republic, 4.30%, due 08/02/30 (a) | 26,403,744 | |||||||
| JPY |
190,000,000 | Tunisian Republic, 4.20%, due 03/17/31 (a) | 1,052,805 | |||||||
| JPY |
630,000,000 | Tunisian Republic, 3.50%, due 02/03/33 | 3,278,263 | |||||||
|
|
|
|||||||||
| Total Tunisia | 30,734,812 | |||||||||
|
|
|
|||||||||
| Turkey — 4.4% | ||||||||||
| Corporate Debt — 1.4% | ||||||||||
| 40,330,000 | Zorlu Enerji Elektrik Uretim AS, Reg S, 11.00%, due 04/23/30 | 31,870,782 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 3.0% | ||||||||||
| 2,500,000 | Turkiye Government International Bonds, 6.38%, due 05/22/31 | 2,480,000 | ||||||||
| 9,969,000 | Turkiye Government International Bonds, 6.88%, due 01/14/38 | 9,645,506 | ||||||||
| 27,277,000 | Turkiye Government International Bonds, 4.88%, due 04/16/43 | 20,019,136 | ||||||||
| 46,013,000 | Turkiye Government International Bonds, 5.75%, due 05/11/47 | 36,120,205 | ||||||||
|
|
|
|||||||||
| 68,264,847 | ||||||||||
|
|
|
|||||||||
| Total Turkey | 100,135,629 | |||||||||
|
|
|
|||||||||
| Ukraine — 2.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 2.3% | ||||||||||
| 4,500,000 | NPC Ukrenergo, Reg S, 6.88%, due 11/09/28 (b) | 4,342,500 | ||||||||
| 2,011,014 | Ukraine Government International Bonds, Step Up, Reg S, Zero Coupon, due 02/01/30 | 1,407,710 | ||||||||
| 12,965,640 | Ukraine Government International Bonds, Reg S, Step Up, 4.00%, due 02/01/32 | 10,631,825 | ||||||||
| 16,726,157 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/34 | 8,889,952 | ||||||||
| 3,622,412 | Ukraine Government International Bonds, Step Up, Reg S, 4.50%, due 02/01/34 | 2,481,352 | ||||||||
| 7,282,158 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/35 | 4,209,087 | ||||||||
| 12,255,124 | Ukraine Government International Bonds, Step Up, Reg S, 4.50%, due 02/01/35 | 8,272,209 | ||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Ukraine — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
|
|
5,318,464 | Ukraine Government International Bonds, Step Up, Reg S, 3.00%, due 02/01/36 | 3,068,754 | |||||||
| 13,553,917 | Ukraine Government International Bonds, Step Up, Reg S, 4.50%, due 02/01/36 | 9,013,355 | ||||||||
| 211,141 | Ukraine Railways Via Rail Capital Markets PLC, Reg S, 7.88%, due 07/15/28 (b) | 158,527 | ||||||||
|
|
|
|||||||||
| Total Ukraine | 52,475,271 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.6% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.6% | ||||||||||
| 7,500,000 | Finance Department Government of Sharjah, Reg S, 4.00%, due 07/28/50 | 4,865,519 | ||||||||
| 11,300,000 | Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51 (c) | 7,746,150 | ||||||||
|
|
|
|||||||||
| Total United Arab Emirates | 12,611,669 | |||||||||
|
|
|
|||||||||
| United States — 2.3% | ||||||||||
| Asset-Backed Securities — 0.2% | ||||||||||
| 253,014 | CWHEQ Revolving Home Equity Loan Trust, Series 05-F, Class 2A, AMBAC, Variable Rate, 1 mo. USD Term SOFR + 0.35%, 3.98%, due 12/15/35 | 247,199 | ||||||||
| 259,569 | CWHEQ Revolving Home Equity Loan Trust, Series 06-D, Class 2A, XLCA, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 3.94%, due 05/15/36 | 252,302 | ||||||||
| 4,993,618 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.26%, 3.85%, due 11/25/36 | 1,601,711 | ||||||||
| 5,043,060 | Morgan Stanley IXIS Real Estate Capital Trust, Series 06-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.33%, 3.92%, due 11/25/36 | 1,617,525 | ||||||||
| 2,575,369 | WaMu Asset-Backed Certificates Trust, Series 07-HE2, Class 2A4, Variable Rate, 1 mo. USD Term SOFR + 0.83%, 4.42%, due 04/25/37 | 911,940 | ||||||||
|
|
|
|||||||||
| 4,630,677 | ||||||||||
|
|
|
|||||||||
| U.S. Government — 2.1% | ||||||||||
| 13,600,000 | U.S. Treasury Bonds, 4.25%, due 08/15/54 (h) | 12,046,094 | ||||||||
| 28,820,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 07/31/27 (h) | 28,847,994 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| U.S. Government — continued | ||||||||||
|
|
7,500,000 | U.S. Treasury Notes, 3.88%, due 11/30/27 | 7,487,988 | |||||||
|
|
|
|||||||||
| 48,382,076 | ||||||||||
|
|
|
|||||||||
| Total United States | 53,012,753 | |||||||||
|
|
|
|||||||||
| Uruguay — 0.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.4% |
||||||||||
| 1,700,000 | Oriental Republic of Uruguay, 5.25%, due 09/10/60 | 1,551,250 | ||||||||
| UYU |
77,400,000 | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 2,139,128 | |||||||
| UYU |
132,500,000 | Uruguay Government International Bonds, 8.00%, due 10/29/35 | 3,370,837 | |||||||
| 1,518,000 | Uruguay Government International Bonds, 4.98%, due 04/20/55 | 1,352,538 | ||||||||
|
|
|
|||||||||
| Total Uruguay | 8,413,753 | |||||||||
|
|
|
|||||||||
| Uzbekistan — 1.5% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 1.5% |
||||||||||
| 4,520,000 | Aloqabank JSC, 144A, 7.70%, due 05/18/31 | 4,468,020 | ||||||||
| 3,000,000 | Jscb Agrobank, Reg S, 9.25%, due 10/02/29 | 3,257,250 | ||||||||
| 4,700,000 | Republic of Uzbekistan International Bonds, Reg S, 3.70%, due 11/25/30 | 4,382,750 | ||||||||
| 600,000 | Republic of Uzbekistan International Bonds, Reg S, 6.95%, due 05/25/32 | 644,268 | ||||||||
| 4,600,000 | Uzbek Industrial & Construction Bank ATB, Reg S, 8.95%, due 07/24/29 | 4,942,244 | ||||||||
| 5,400,000 | Uzbekneftegaz JSC, Reg S, 4.75%, due 11/16/28 | 5,251,500 | ||||||||
| 9,590,000 | Uzbekneftegaz JSC, Reg S, 8.75%, due 05/07/30 | 10,335,047 | ||||||||
|
|
|
|||||||||
| Total Uzbekistan | 33,281,079 | |||||||||
|
|
|
|||||||||
| Venezuela — 5.4% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 5.4% |
||||||||||
| 91,865,000 | C.A. La Electricidad de Caracas, Reg S, 8.50%, due 04/10/18 (a) (b) | 34,944,527 | ||||||||
| 8,900,000 | Petroleos de Venezuela SA, Reg S, 9.00%, due 11/17/21 (b) | 4,108,240 | ||||||||
| 690,000 | Petroleos de Venezuela SA, Reg S, 12.75%, due 02/17/22 (b) | 363,078 | ||||||||
| 8,400,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 10/28/22 (b) | 3,169,320 | ||||||||
| 34,420,000 | Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24 (b) (c) | 13,602,784 | ||||||||
| 65,070,000 | Petroleos de Venezuela SA, Reg S, 9.75%, due 05/17/35 (b) | 30,713,040 | ||||||||
| 24,850,000 | Venezuela Government International Bonds, Reg S, 12.75%, due 08/23/22 (b) | 14,065,100 | ||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Venezuela — continued | ||||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
|
|
41,593,000 | Venezuela Government International Bonds, Reg S, 9.00%, due 05/07/23 (b) | 20,630,128 | |||||||
|
|
|
|||||||||
| Total Venezuela | 121,596,217 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| 6,618,000 | Vietnam Government International Bonds, Variable Rate, 6 mo. USD LIBOR + 0.81%, 5.49%, due 03/13/28 (a) | 6,684,180 | ||||||||
|
|
|
|||||||||
| Zambia — 0.2% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| 4,115,983 | Zambia Government International Bonds, Reg S, Step Up, 5.75%, due 06/30/33 | 4,076,922 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $2,181,763,879) |
2,110,251,140 | |||||||||
|
|
|
|||||||||
| LOAN ASSIGNMENTS — 0.6% | ||||||||||
| Serbia — 0.6% | ||||||||||
| 12,400,000 | Telekom Srbija AD Beograd, Variable Rate, 8.42%, due 06/13/29 (a) | 14,174,090 | ||||||||
|
|
|
|||||||||
| TOTAL LOAN ASSIGNMENT (COST $13,393,243) |
14,174,090 | |||||||||
|
|
|
|||||||||
| LOAN PARTICIPATIONS — 0.1% | ||||||||||
| Angola — 0.1% | ||||||||||
| 1,600,000 | Angola Government International Bonds Loan Agreement (Participation via Avenir Issuer II Ireland DAC), Reg S, 6.93%, due 02/19/27 (a) | 1,588,720 | ||||||||
|
|
|
|||||||||
| Iraq — 0.0% | ||||||||||
| EUR |
224,413 | Republic of Iraq Paris Club Loan Agreement (Participation with Credit Suisse), 4.50%, due 12/30/27 (e) | 247,647 | |||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| EUR |
76,893,500 | Russian Foreign Trade Obligations, (Participation with GML International Ltd.) (a) (b) (g) | 3 | |||||||
|
|
|
|||||||||
| Sudan — 0.0% | ||||||||||
| CHF |
11,833,578 | Republic of Sudan, Loan Agreement, Tranche A (Participation via Abu Dhabi Investment Company) (a) (b) | 379,014 | |||||||
| CHF |
5,155,077 | Republic of Sudan, Loan Agreement, Tranche B (Participation via Abu Dhabi Investment Company) (a) (b) | 148,599 | |||||||
|
|
|
|||||||||
| Total Sudan | 527,613 | |||||||||
|
|
|
|||||||||
| TOTAL LOAN PARTICIPATIONS (COST $22,474,233) |
2,363,983 | |||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description | Value ($) | ||||||||
| INVESTMENT FUNDS — 0.7% | ||||||||||
| Colombia — 0.7% | ||||||||||
| 9,300,000 | Bona Fide Investment Holdings II LLC (e) (i) (j) | 16,751,922 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $9,300,000) |
16,751,922 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 1.1% | ||||||||||
| Argentina — 1.1% | ||||||||||
| EUR |
179,789,676 | Argentina Republic GDP Linked Warrants, Variable Rate, Expires 12/15/35 (k) | 24,011,410 | |||||||
| JPY |
1,656,571,000 | Argentina Republic GDP Linked Warrants, Variable Rate, Expires 12/15/35 (e) (k) | 234,030 | |||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $26,587,765) |
24,245,440 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 4.2% |
| |||||||||
| Money Market Funds — 0.1% | ||||||||||
| 2,365,732 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (l) | 2,365,732 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 4.1% | ||||||||||
| 90,000,000 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/29/2026, maturing on 06/01/26 with a maturity value of $90,027,075 and an effective yield of 3.61%, collateralized by a U.S. Treasury Note with maturity date 10/31/27 and a market value of $91,875,196. | 90,000,000 | ||||||||
| 3,214,362 | Nomura International PLC Repurchase Agreement, dated 10/10/2025, to be returned on demand at face value plus an effective yield of 3.80%, collateralized by a Suzano Austria GmbH, 3.75%, due 01/15/31 and a market value of $3,229,496. (m) | 3,214,362 | ||||||||
|
|
|
|||||||||
| Total Repurchase Agreements | 93,214,362 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $95,580,094) |
95,580,094 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.6% (Cost $2,349,099,214) |
2,263,366,669 | |||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| SECURITIES SOLD SHORT — (0.1)% | ||||||||||
| Corporate Debt — (0.1)% | ||||||||||
| Brazil — (0.1)% | ||||||||||
|
|
(3,400,000 | ) | Suzano Austria GmbH, 3.75%, due 01/15/31 | (3,194,232 | ) | |||||
|
|
|
|||||||||
| TOTAL CORPORATE DEBT (PROCEEDS $3,162,000) |
(3,194,232 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT — (0.1)% (PROCEEDS $3,162,000) |
(3,194,232 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — 0.5% | 11,490,144 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $2,271,662,581 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2026 |
||||||||
| Bona Fide Investment Holdings II LLC | 06/07/23 | $ | 9,300,000 | 0.7% | $ | 16,751,922 | ||||||
| GTLK Europe Capital DAC, Reg S, 4.65%, due 03/10/27 | 04/30/20 | 6,830,433 | 0.0% | 3,435 | ||||||||
| GTLK Europe Capital DAC, Reg S, 4.80%, due 02/26/28 | 03/12/21 | 5,248,738 | 0.0% | 2,600 | ||||||||
| GTLK Europe Capital DAC, Reg S, 4.35%, due 02/27/29 | 01/26/22 | 5,890,814 | 0.0% | 3,400 | ||||||||
| Russia Foreign Bonds - Eurobond, 144A, 5.10%, due 03/28/35 | 03/21/19 | 20,000,000 | 0.0% | 10,000 | ||||||||
| Russia Foreign Bonds - Eurobond, Reg S, 5.10%, due 03/28/35 | 10/11/19 | 6,748,719 | 0.0% | 3,200 | ||||||||
| Russian Foreign Trade Obligations, (Participation with GML International Ltd.) | 07/12/07 | 17,524,276 | 0.0% | 3 | ||||||||
|
|
|
|||||||||||
| $ | 16,774,560 | |||||||||||
|
|
|
|||||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 07/14/2026 | DB | EUR | 4,300,000 | USD | 5,046,426 | 21,873 | ||||||||||||||
| 07/14/2026 | JPM | EUR | 1,900,000 | USD | 2,235,737 | 15,586 | ||||||||||||||
| 07/14/2026 | MSCI | EUR | 168,070,000 | USD | 197,450,460 | 1,060,554 | ||||||||||||||
| 07/14/2026 | SSB | EUR | 2,200,000 | USD | 2,606,416 | 35,714 | ||||||||||||||
| 07/14/2026 | BCLY | JPY | 4,290,620,000 | USD | 27,314,416 | 281,513 | ||||||||||||||
| 07/15/2026 | SSB | USD | 3,630,254 | GBP | 2,700,000 | 5,542 | ||||||||||||||
| 06/30/2026 | MSCI | USD | 4,811,203 | PEN | 17,000,000 | 162,434 | ||||||||||||||
| 06/30/2026 | MSCI | USD | 1,799,295 | ZAR | 30,000,000 | 46,584 | ||||||||||||||
| 08/10/2026 | MSCI | COP | 98,825,000,000 | USD | 25,991,736 | (369,858 | ) | |||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 07/15/2026 | JPM | GBP | 37,800,000 | USD | 50,813,035 | (88,121 | ) | |||||||||||||
| 07/14/2026 | SSB | USD | 20,245,139 | EUR | 17,200,000 | (146,928 | ) | |||||||||||||
| 07/15/2026 | DB | USD | 3,928,902 | GBP | 2,900,000 | (23,786 | ) | |||||||||||||
| 07/15/2026 | JPM | USD | 2,579,166 | GBP | 1,900,000 | (20,642 | ) | |||||||||||||
| 07/15/2026 | MSCI | USD | 7,582,672 | GBP | 5,620,000 | (14,828 | ) | |||||||||||||
| 07/14/2026 | SSB | USD | 2,916,415 | JPY | 461,600,000 | (8,120 | ) | |||||||||||||
| 07/16/2026 | JPM | USD | 11,821,252 | KRW | 17,430,200,000 | (252,052 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $ | 705,465 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Reverse Repurchase Agreements(n)
| Face Value |
Description |
Value ($) | ||||||||
| USD | (926,716 | ) | JP Morgan Securities PLC, 3.30%, dated 04/29/26, (Collateral: Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51), to be repurchased on demand at face value plus accrued interest. | (926,716 | ) | |||||
| USD | (2,269,577 | ) | JP Morgan Securities PLC, 3.30%, dated 04/29/26, (Collateral: Petroleos de Venezuela SA, Reg S, 6.00%, due 05/16/24), to be repurchased on demand at face value plus accrued interest. | (2,269,577 | ) | |||||
| USD | (4,772,910 | ) | JP Morgan Securities PLC, 3.25%, dated 05/18/26, (Collateral: Finance Department Government of Sharjah, Reg S, 4.38%, due 03/10/51), to be repurchased on demand at face value plus accrued interest. | (4,772,910 | ) | |||||
| USD | (2,137,415 | ) | JP Morgan Securities PLC, 3.25%, dated 05/18/26, (Collateral: Pakistan Government International Bonds, Reg S, 7.88%, due 03/31/36), to be repurchased on demand at face value plus accrued interest. | (2,137,415 | ) | |||||
| USD | (8,099,327 | ) | JP Morgan Securities PLC, 3.30%, dated 05/28/26, (Collateral: Republic of Kenya Government International Bonds, Reg S, 8.25%, due 02/28/48), to be repurchased on demand at face value plus accrued interest. | (8,099,327 | ) | |||||
| USD | (1,497,194 | ) | Morgan Stanley & Co. International PLC, 2.75%, dated 01/13/26, (Collateral: Sri Lanka Government International Bonds, Step Up, 144A, 3.60%, due 05/15/36), to be repurchased on demand at face value plus accrued interest. | (1,497,194 | ) | |||||
| USD | (8,045,951 | ) | Morgan Stanley & Co. International PLC, 3.25%, dated 02/25/26, (Collateral: Senegal Government International Bonds, Reg S, 6.75%, due 03/13/48), to be repurchased on demand at face value plus accrued interest. | (8,045,951 | ) | |||||
| USD | (412,091 | ) | Morgan Stanley & Co. International PLC, 2.75%, dated 02/26/26, (Collateral: Congolese International Bonds, Reg S, Step Up, 6.00%, due 06/30/29), to be repurchased on demand at face value plus accrued interest. | (412,091 | ) | |||||
| USD | (714,698 | ) | Morgan Stanley & Co. International PLC, 2.75%, dated 03/20/26, (Collateral: Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (714,698 | ) | |||||
| USD | (760,779 | ) | Morgan Stanley & Co. International PLC, 3.10%, dated 03/20/26, (Collateral: Lebanon Government International Bonds, Reg S, 8.25%, due 05/17/34), to be repurchased on demand at face value plus accrued interest. | (760,779 | ) | |||||
| USD | (783,807 | ) | Morgan Stanley & Co. International PLC, 2.75%, dated 04/23/26, (Collateral: Lebanon Government International Bonds, Reg S, 8.20%, due 05/17/33), to be repurchased on demand at face value plus accrued interest. | (783,807 | ) | |||||
| USD | (750,271 | ) | Morgan Stanley & Co. International PLC, 2.75%, dated 04/30/26, (Collateral: Braskem America Finance Co., Reg S, 7.13%, due 07/22/41), to be repurchased on demand at face value plus accrued interest. | (750,271 | ) | |||||
| USD | (1,600,426 | ) | Morgan Stanley & Co. International PLC, 2.75%, dated 05/07/26, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (1,600,426 | ) | |||||
| USD | (227,163 | ) | Morgan Stanley & Co. International PLC, 2.75%, dated 05/18/26, (Collateral: Lebanon Government International Bonds, Reg S, 7.00%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (227,163 | ) | |||||
| USD | (1,464,780 | ) | Nomura International PLC, 3.10%, dated 05/05/26, (Collateral: Bolivia Government International Bonds, Reg S, 4.50%, due 03/20/28), to be repurchased on demand at face value plus accrued interest. | (1,464,780 | ) | |||||
|
|
|
|||||||||
| $ | (34,463,105 | ) | ||||||||
|
|
|
|||||||||
| Average balance outstanding | $ | (30,360,444 | ) | |||||||
| Average interest rate (net) | (3.26 | )% | ||||||||
| Maximum balance outstanding | $ | (48,556,227 | ) | |||||||
Average balance outstanding was calculated based on daily face value balances outstanding during the period that the Fund had entered into reverse repurchase agreements. Average interest rate was calculated based on interest received and/or paid during the period that the Fund had entered into the reverse repurchase agreements.
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||
| CDX.EM.S45 |
USD | 73,200,000 | 1.00% | 1.50% | N/A | 06/20/2031 | Quarterly | $ | 1,820,740 | $ | 1,625,406 | $ | (195,334 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts — (Continued)
OTC Credit Default Swaps
| Reference Entity |
Counter- party |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||||||||||
| Republic of Brazil |
MSBNA | USD | 12,700,000 | 1.00% | 44.40% | N/A | 12/20/2026 | Quarterly | (63,507 | ) | (39,519 | ) | 23,988 | |||||||||||||||||||||||||||
| Republic of Colombia |
MSCI | USD | 45,300,000 | 1.00% | 0.73% | N/A | 12/20/2026 | Quarterly | (125,808 | ) | (68,978 | ) | 56,830 | |||||||||||||||||||||||||||
| Republic of South Africa Government International Bonds |
JPM | USD | 34,300,000 | 1.00% | 0.23% | N/A | 12/20/2026 | Quarterly | (234,412 | ) | (148,668 | ) | 85,744 | |||||||||||||||||||||||||||
| Republic of Egypt |
CITI | USD | 2,300,000 | 1.00% | 2.23% | N/A | 12/20/2027 | Quarterly | 655,500 | 42,292 | (613,208 | ) | ||||||||||||||||||||||||||||
| Republic of Egypt |
JPM | USD | 2,500,000 | 1.00% | 2.23% | N/A | 12/20/2027 | Quarterly | 690,000 | 45,970 | (644,030 | ) | ||||||||||||||||||||||||||||
| Republic of Egypt |
JPM | USD | 2,500,000 | 1.00% | 2.23% | N/A | 12/20/2027 | Quarterly | 725,000 | 45,970 | (679,030 | ) | ||||||||||||||||||||||||||||
| Israel Government International Bonds |
GS | USD | 10,000,000 | 1.00% | 23.92% | N/A | 06/20/2028 | Quarterly | (98,649 | ) | (151,868 | ) | (53,219 | ) | ||||||||||||||||||||||||||
| Kingdom of Bahrain |
MSBNA | USD | 5,400,000 | 1.00% | 190.60% | N/A | 06/20/2028 | Quarterly | 401,901 | 95,531 | (306,370 | ) | ||||||||||||||||||||||||||||
| Republic of Turkey |
MSBNA | USD | 1,600,000 | 1.00% | 136.93% | N/A | 06/20/2028 | Quarterly | 350,660 | 11,643 | (339,017 | ) | ||||||||||||||||||||||||||||
| Panama Government International Bonds |
DB | USD | 113,000,000 | 1.00% | 0.53% | N/A | 03/20/2029 | Quarterly | (1,429,530 | ) | (1,405,467 | ) | 24,063 | |||||||||||||||||||||||||||
| Israel Government International Bonds |
BOA | USD | 9,500,000 | 1.00% | 0.39% | N/A | 12/20/2029 | Quarterly | 211,213 | (193,783 | ) | (404,996 | ) | |||||||||||||||||||||||||||
| Israel Government International Bonds |
JPM | USD | 3,800,000 | 1.00% | 0.39% | N/A | 12/20/2029 | Quarterly | 76,240 | (77,513 | ) | (153,753 | ) | |||||||||||||||||||||||||||
| United States of Mexico |
MSBNA | USD | 29,400,000 | 1.00% | 62.10% | N/A | 12/20/2029 | Quarterly | 273,879 | (370,567 | ) | (644,446 | ) | |||||||||||||||||||||||||||
| Republic of South Africa Government International Bonds |
MSBNA | USD | 15,000,000 | 1.00% | 130.56% | N/A | 06/20/2031 | Quarterly | 306,291 | 206,782 | (99,509 | ) | ||||||||||||||||||||||||||||
| United States of Mexico |
GS | USD | 14,700,000 | 1.00% | 89.94% | N/A | 09/20/2031 | Quarterly | 1,940,882 | (70,214 | ) | (2,011,096 | ) | |||||||||||||||||||||||||||
| Sell Protection^: |
||||||||||||||||||||||||||||||||||||||||
| Panama Government International Bonds |
DB | USD | 113,000,000 | 1.00% | 0.53% | 113,000,000 USD | 03/20/2029 | Quarterly | (123,129 | ) | (100,061 | ) | 23,068 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | 3,556,531 | $ | (2,178,450 | ) | $ | (5,734,981 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2026, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||
| USD-SOFR-OIS COMPOUND |
4.01% | USD | 162,500,000 | 12/21/2027 | Annually | 155,081 | 335,939 | 180,858 | ||||||||||||||||||||
| BRL-CDI |
13.30% | BRL | 266,263,658 | 01/02/2031 | At Maturity | (10,266 | ) | (1,280,079 | ) | (1,269,813 | ) | |||||||||||||||||
| 1.10% |
JPY-TONA-OIS-COMPOUND | JPY | 7,694,000,000 | 09/18/2034 | Annually | (96,110 | ) | 4,304,340 | 4,400,450 | |||||||||||||||||||
| USD-SOFR-OIS COMPOUND |
4.00% | USD | 87,800,000 | 09/17/2035 | Annually | 2,412,828 | (97,779 | ) | (2,510,607 | ) | ||||||||||||||||||
| 1.40% |
THB-THOR | THB | 835,000,000 | 12/17/2035 | Quarterly | 173,060 | 1,786,312 | 1,613,252 | ||||||||||||||||||||
| 3.10% |
EURIBOR | EUR | 32,300,000 | 06/17/2036 | Semi-Annually | 106,206 | (388,816 | ) | (495,022 | ) | ||||||||||||||||||
| 4.60% |
GBP-SONIA-COMPOUND | GBP | 16,200,000 | 09/17/2055 | Annually | (81,607 | ) | 755,045 | 836,652 | |||||||||||||||||||
| 3.20% |
EURIBOR | EUR | 30,900,000 | 06/17/2056 | Semi-Annually | 120,949 | (363,263 | ) | (484,212 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 2,780,141 | $ | 5,051,699 | $ | 2,271,558 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
GMO Emerging Country Debt Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts — (Continued)
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| J.P. Morgan EMBIG Div Ex CCC Total Return USD |
USD-SOFR-OIS COMPOUND | JPM | USD | 57,100,000 | 06/09/2026 | At Maturity | $ | — | $ | 211,523 | $ | 211,523 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | Investment valued using significant unobservable inputs. |
| (b) | Security is in default. |
| (c) | All or a portion of this security has been pledged to cover collateral requirements on reverse repurchase agreements. |
| (d) | Security is backed by the United States International Development Finance Corporation. |
| (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) | Perpetual security with not stated maturity date. |
| (g) | The security is restricted as to resale. |
| (h) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (i) | Affiliated company. |
| (j) | Private placement security; restricted as to resale. Represents investment in a pool of constitutional obligations of the Colombian government owed to individuals. Share amount represents the Fund’s invested capital. |
| (k) | Indexed security in which price and/or coupon is linked to the price of a specific instrument or financial statistic. |
| (l) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
| (m) | The repurchase agreement has an open maturity date and can be closed by either party on demand. |
| (n) | Reverse repurchase agreements have an open maturity date and can be closed by either party on demand. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
AMBAC - Insured as to the payment of principal and interest by AMBAC Assurance Corporation.
BRL CDI - Brazilian Interbank Offered Rate denominated in Brazilian Real.
CDI - Certificado de Deposito Interbancario
CJSC - Closed Joint-Stock Company
EURIBOR - Euro Interbank Offered Rate
GDP - Gross Domestic Product
JSC - Joint-Stock Company
LIBOR - London Interbank Offered Rate
OIS - Overnight Indexed Swaps
Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SOFR - Secured Overnight Financing Rate
STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at May 31, 2026.
THOR - Thai Overnight Repurchase Rate
TONA - Tokyo Overnight Average Rate
USD LIBOR - London Interbank Offered Rate denominated in United States Dollar.
XLCA - Insured as to the payment of principal and interest by XL Capital Assurance.
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. MSBNA - Morgan Stanley Bank, N.A. MSCI - Morgan Stanley & Co. International PLC SSB - State Street Bank and Trust Company |
Currency Abbreviations:
| BRL - Brazilian Real CHF - Swiss Franc COP - Colombian Peso DOP - Dominican Republic Peso EUR - Euro GBP - British Pound JPY - Japanese Yen KRW - South Korean Won |
KZT - Kazakhstani Tenge NGN - Nigerian Naira PEN - Peruvian Sol PYG - Paraguayan Guarani THB - Thai Baht USD - United States Dollar UYU - Uruguay Peso ZAR - South African Rand |
GMO Emerging Country Debt Shares Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Shares |
Description | Value ($) | ||||||||
|
|
INVESTMENT FUNDS — 100.1% |
| ||||||||
| United States — 100.1% | ||||||||||
| 2,539,012 | GMO Emerging Country Debt Fund, Class III (a) | 62,002,681 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $60,428,083) |
62,002,681 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.0% | ||||||||||
| Money Market Funds — 0.0% | ||||||||||
| 19,455 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 19,455 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $19,455) |
19,455 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $60,447,538) |
62,022,136 | |||||||||
| Other Assets and Liabilities (net) — (0.1%) | (56,451 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $61,965,685 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | Affiliated company. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 85.2% |
| |||||||||
| Corporate Debt — 29.9% | ||||||||||
| Australia — 1.0% | ||||||||||
|
|
470,000 | Fortescue Treasury Pty. Ltd., 144A, 4.50%, due 09/15/27 | 467,601 | |||||||
| 450,000 | Mineral Resources Ltd., 144A, 7.00%, due 04/01/31 | 467,804 | ||||||||
| 395,000 | PLS Group Ltd., 144A, 6.88%, due 05/01/31 | 405,233 | ||||||||
|
|
|
|||||||||
| Total Australia | 1,340,638 | |||||||||
|
|
|
|||||||||
| Canada — 1.4% | ||||||||||
| 445,000 | Bombardier, Inc., 144A, 7.45%, due 05/01/34 | 489,490 | ||||||||
| 475,000 | Enerflex, Inc., 144A, 6.88%, due 01/15/31 | 488,571 | ||||||||
| 460,000 | Precision Drilling Corp., 144A, 6.88%, due 01/15/29 | 464,517 | ||||||||
| 385,000 | RB Global Holdings, Inc., 144A, 6.75%, due 03/15/28 | 390,993 | ||||||||
|
|
|
|||||||||
| Total Canada | 1,833,571 | |||||||||
|
|
|
|||||||||
| Denmark — 0.3% | ||||||||||
| 465,000 | Genmab AS/Genmab Finance LLC, 144A, 6.25%, due 12/15/32 | 473,665 | ||||||||
|
|
|
|||||||||
| Italy — 0.3% | ||||||||||
| 430,000 | Telecom Italia Capital SA, 7.20%, due 07/18/36 | 468,518 | ||||||||
|
|
|
|||||||||
| Japan — 0.9% | ||||||||||
| 370,000 | Kioxia Holdings Corp., 144A, 6.25%, due 07/24/30 | 380,949 | ||||||||
| 435,000 | Nissan Motor Co. Ltd., 144A, 8.13%, due 07/17/35 | 461,916 | ||||||||
| 300,000 | Rakuten Group, Inc., 144A, 9.75%, due 04/15/29 | 327,805 | ||||||||
|
|
|
|||||||||
| Total Japan | 1,170,670 | |||||||||
|
|
|
|||||||||
| Luxembourg — 0.1% | ||||||||||
| 235,000 | SES AMERICOM, Inc., 144A, 5.30%, due 03/25/44 | 181,109 | ||||||||
|
|
|
|||||||||
| Macau — 0.3% | ||||||||||
| 350,000 | Wynn Macau Ltd., 144A, 5.13%, due 12/15/29 | 342,989 | ||||||||
|
|
|
|||||||||
| Norway — 0.8% | ||||||||||
| 485,000 | Seadrill Finance Ltd., 144A, 8.38%, due 08/01/30 | 506,912 | ||||||||
| 480,000 | TGS ASA, 144A, 8.50%, due 01/15/30 | 504,716 | ||||||||
|
|
|
|||||||||
| Total Norway | 1,011,628 | |||||||||
|
|
|
|||||||||
| United Kingdom — 0.3% | ||||||||||
| 395,000 | Belron U.K. Finance PLC, 144A, 5.75%, due 10/15/29 | 398,353 | ||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Corporate Debt — continued | ||||||||||
| United States — 24.5% | ||||||||||
| 460,000 | Allegiant Travel Co., 144A, 7.25%, due 08/15/27 | 461,853 | ||||||||
| 360,000 | Alliance Resource Operating Partners LP/Alliance Resource Finance Corp., 144A, 8.63%, due 06/15/29 | 376,167 | ||||||||
| 245,000 | Allison Transmission, Inc., 144A, 3.75%, due 01/30/31 | 229,484 | ||||||||
| 475,000 | AMN Healthcare, Inc., 144A, 6.50%, due 01/15/31 | 477,431 | ||||||||
|
|
495,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 144A, 5.75%, due 10/15/33 | 489,800 | |||||||
| 265,000 | Arbor Realty SR, Inc., 144A, 7.88%, due 07/15/30 | 248,870 | ||||||||
| 535,000 | Ball Corp., 2.88%, due 08/15/30 | 486,688 | ||||||||
| 495,000 | Boyd Gaming Corp., 144A, 4.75%, due 06/15/31 | 477,232 | ||||||||
| 360,000 | Brandywine Operating Partnership LP, 8.88%, due 04/12/29 | 379,724 | ||||||||
| 350,000 | BWX Technologies, Inc., 144A, 4.13%, due 06/30/28 | 343,565 | ||||||||
| 485,000 | California Resources Corp., 144A, 7.00%, due 01/15/34 | 488,914 | ||||||||
| 505,000 | Carpenter Technology Corp., 144A, 5.63%, due 03/01/34 | 501,722 | ||||||||
| 450,000 | Celanese U.S. Holdings LLC, 7.70%, due 11/15/33 | 483,259 | ||||||||
| 525,000 | Centene Corp., 4.63%, due 12/15/29 | 511,333 | ||||||||
| 490,000 | Charles River Laboratories International, Inc., 144A, 3.75%, due 03/15/29 | 469,411 | ||||||||
| 505,000 | Chord Energy Corp., 144A, 6.00%, due 10/01/30 | 511,288 | ||||||||
| 495,000 | Clean Harbors, Inc., 144A, 5.75%, due 10/15/33 | 497,486 | ||||||||
| 525,000 | Clearway Energy Operating LLC, 144A, 3.75%, due 02/15/31 | 489,249 | ||||||||
| 365,000 | CNX Resources Corp., 144A, 7.38%, due 01/15/31 | 374,643 | ||||||||
| 490,000 | Constellium SE, 144A, 3.75%, due 04/15/29 | 472,276 | ||||||||
| 500,000 | Credit Acceptance Corp., 144A, 6.63%, due 03/15/30 | 503,500 | ||||||||
| 475,000 | DaVita, Inc., 144A, 4.63%, due 06/01/30 | 461,550 | ||||||||
| 440,000 | Deluxe Corp., 144A, 8.13%, due 09/15/29 | 459,405 | ||||||||
| 418,000 | Diamond Foreign Asset Co./Diamond Finance LLC, 144A, 8.50%, due 10/01/30 | 439,709 | ||||||||
| 475,000 | Encore Capital Group, Inc., 144A, 6.63%, due 04/15/31 | 478,935 | ||||||||
| 470,000 | Enpro, Inc., 144A, 6.13%, due 06/01/33 | 478,507 | ||||||||
| 195,000 | Excelerate Energy LP, 144A, 8.00%, due 05/15/30 | 206,471 | ||||||||
| 505,000 | FirstCash, Inc., 144A, 4.63%, due 09/01/28 | 497,831 | ||||||||
| 750,000 | FMC Corp., 5.65%, due 05/18/33 | 673,950 | ||||||||
| 525,000 | FS KKR Capital Corp., 6.13%, due 01/15/30 | 513,890 | ||||||||
| 470,000 | FTAI Aviation Investors LLC, 144A, 5.50%, due 05/01/28 | 469,459 | ||||||||
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Corporate Debt — continued | ||||||||||
| United States — continued | ||||||||||
| 250,000 | Genting New York LLC/GENNY Capital, Inc., 144A, 7.25%, due 10/01/29 | 255,998 | ||||||||
| 475,000 | GFL Environmental, Inc., 144A, 4.00%, due 08/01/28 | 464,509 | ||||||||
|
|
490,000 | Hilton Domestic Operating Co., Inc., 144A, 3.75%, due 05/01/29 | 473,154 | |||||||
| 300,000 | HNI Corp., 144A, 5.13%, due 01/18/29 | 293,267 | ||||||||
| 490,000 | Huntsman International LLC, 4.50%, due 05/01/29 | 474,524 | ||||||||
| 490,000 | Ingevity Corp., 144A, 3.88%, due 11/01/28 | 473,245 | ||||||||
| 350,000 | Iron Mountain, Inc., 144A, 4.50%, due 02/15/31 | 334,252 | ||||||||
| 475,000 | Jazz Securities DAC, 144A, 4.38%, due 01/15/29 | 466,273 | ||||||||
| 475,000 | Kodiak Gas Services LLC, 144A, 6.75%, due 10/01/35 | 488,178 | ||||||||
| 515,000 | Lamar Media Corp., 3.75%, due 02/15/28 | 505,043 | ||||||||
| 275,000 | Level 3 Financing, Inc., 144A, 7.00%, due 03/31/34 | 285,034 | ||||||||
| 270,000 | Match Group Holdings II LLC, 144A, 6.13%, due 09/15/33 | 265,495 | ||||||||
| 505,000 | MGM Resorts International, 6.13%, due 09/15/29 | 512,479 | ||||||||
| 520,000 | Mueller Water Products, Inc., 144A, 4.00%, due 06/15/29 | 502,326 | ||||||||
| 475,000 | Murphy Oil Corp., 6.00%, due 10/01/32 | 477,893 | ||||||||
| 545,000 | Murphy Oil USA, Inc., 144A, 3.75%, due 02/15/31 | 507,826 | ||||||||
| 470,000 | Nabors Industries, Inc., 144A, 7.63%, due 11/15/32 | 489,950 | ||||||||
| 375,000 | NRG Energy, Inc., 144A, 3.63%, due 02/15/31 | 347,792 | ||||||||
| 520,000 | Olin Corp., 144A, 6.63%, due 04/01/33 | 516,184 | ||||||||
| 510,000 | ON Semiconductor Corp., 144A, 3.88%, due 09/01/28 | 497,584 | ||||||||
| 505,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 144A, 4.13%, due 04/30/28 | 498,837 | ||||||||
| 105,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 144A, 7.38%, due 02/15/31 | 109,507 | ||||||||
| 525,000 | Paramount Global, 6.88%, due 04/30/36 | 485,631 | ||||||||
| 460,000 | Patrick Industries, Inc., 144A, 6.38%, due 11/01/32 | 459,449 | ||||||||
| 470,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.00%, due 02/15/28 | 470,180 | ||||||||
| 180,000 | Phinia, Inc., 144A, 6.63%, due 10/15/32 | 184,689 | ||||||||
| 495,000 | PRA Group, Inc., 144A, 8.88%, due 01/31/30 | 508,852 | ||||||||
| 210,000 | Range Resources Corp., 144A, 4.75%, due 02/15/30 | 205,509 | ||||||||
| 455,000 | Resideo Funding, Inc., 144A, 6.50%, due 07/15/32 | 457,440 | ||||||||
| 400,000 | Resorts World Las Vegas LLC/RWLV Capital, Inc., Reg S, 4.63%, due 04/16/29 | 364,113 | ||||||||
| 350,000 | Seagate Data Storage Technology Pte. Ltd., 144A, 5.75%, due 12/01/34 | 355,992 | ||||||||
| 355,000 | Sealed Air Corp., 144A, 6.88%, due 07/15/33 | 348,820 | ||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| Corporate Debt — continued | ||||||||||
| United States — continued | ||||||||||
| 530,000 | Sensata Technologies, Inc., 144A, 3.75%, due 02/15/31 | 497,074 | ||||||||
|
|
470,000 | TerraForm Power Operating LLC, 144A, 5.00%, due 01/31/28 | 467,331 | |||||||
| 430,000 | Tidewater, Inc., 144A, 9.13%, due 07/15/30 | 462,990 | ||||||||
| 245,000 | TransDigm, Inc., 144A, 6.00%, due 01/15/33 | 247,801 | ||||||||
| 465,000 | Travel & Leisure Co., 6.00%, due 04/01/27 | 465,477 | ||||||||
| 485,000 | TTM Technologies, Inc., 144A, 4.00%, due 03/01/29 | 469,762 | ||||||||
| 490,000 | Twilio, Inc., 3.63%, due 03/15/29 | 471,858 | ||||||||
| 380,000 | U.S. Foods, Inc., 144A, 4.63%, due 06/01/30 | 369,378 | ||||||||
| 390,000 | Vertiv Group Corp., 144A, 4.13%, due 11/15/28 | 385,271 | ||||||||
| 530,000 | VF Corp., 2.95%, due 04/23/30 | 479,774 | ||||||||
| 420,000 | Viasat, Inc., 144A, 5.63%, due 04/15/27 | 419,444 | ||||||||
| 50,000 | Weatherford International Ltd., 144A, 6.75%, due 10/15/33 | 51,450 | ||||||||
| 205,000 | WESCO Distribution, Inc., 144A, 6.38%, due 03/15/29 | 209,597 | ||||||||
| 345,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 144A, 5.25%, due 05/15/27 | 345,273 | ||||||||
| 475,000 | XPLR Infrastructure Operating Partners LP, 144A, 7.75%, due 04/15/34 | 501,577 | ||||||||
|
|
|
|||||||||
| Total United States | 32,877,684 | |||||||||
|
|
|
|||||||||
| Total Corporate Debt | 40,098,825 | |||||||||
|
|
|
|||||||||
| U.S. Government — 55.3% | ||||||||||
| 955,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 07/31/27 (a) | 955,927 | ||||||||
| 160,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.82%, due 10/31/27 (a) | 160,275 | ||||||||
| 72,995,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 (a) | 73,006,631 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 74,122,833 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $114,161,207) |
114,221,658 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 13.8% | ||||||||||
| Money Market Funds — 0.7% | ||||||||||
| 961,347 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 961,347 | ||||||||
|
|
|
|||||||||
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Sovereign and Sovereign Agency Issuers — 12.6% | ||||||||||
| JPY |
2,695,000,000 | Japan Treasury Discount Bills, Zero Coupon, due 07/10/26 | 16,906,851 | |||||||
|
|
|
|||||||||
| U.S. Government — 0.5% | ||||||||||
|
|
700,000 | U.S. Treasury Notes, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 04/30/28 | 700,162 | |||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $18,535,725) |
18,568,360 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.0% (Cost $132,696,932) |
132,790,018 | |||||||||
| Other Assets and Liabilities (net) — 1.0% | 1,325,204 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $134,115,222 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Forward Currency Contracts
| Settlement Date |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 07/10/2026 | JPM | JPY | 2,695,000,000 | USD | 16,998,003 | $ | 23,666 | |||||||||||||
|
|
|
|||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 40 | U.S. Treasury Note 10 Yr. (CBT) | September 2026 | 4,393,125 | 13,347 | ||||||||||
| 51 | U.S. Treasury Note 2 Yr. (CBT) | September 2026 | 10,534,687 | 23,361 | ||||||||||
| 87 | U.S. Treasury Note 5 Yr. (CBT) | September 2026 | 9,327,352 | 17,540 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 24,255,164 | $ | 54,248 | |||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||||||||
| Sell Protection^: |
||||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.46 |
USD | 34,188,660 | 5.00% | 3.02% | 34,188,660 USD | 06/20/2031 | Quarterly | $ | 1,569,338 | $ | 2,851,368 | $ | 1,282,030 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| ^ | 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. |
GMO High Yield Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts — continued
Centrally Cleared Credit Default Swaps — continued
| (1) | As of May 31, 2026, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | BNP | USD | 29,591,000 | 06/20/2026 | Quarterly | — | 505,005 | 505,005 | |||||||||||||||||||||||
| SOFR |
Total Return on iBoxx USD Liquid High Yield Index | BOA | USD | 24,170,000 | 06/20/2026 | Quarterly | — | 440,983 | 440,983 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | — | $ | 945,988 | $ | 945,988 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | 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, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, 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.
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
Counterparty Abbreviations:
BNP - BNP Paribas
BOA - Bank of America, N.A.
JPM - JPMorgan Chase Bank, N.A.
Currency Abbreviations:
JPY - Japanese Yen
USD - United States Dollar
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 89.1% | ||||||||||
| Asset-Backed Securities — 73.3% | ||||||||||
| Auto Retail Prime — 0.4% | ||||||||||
|
|
5,253,144 | Chase Auto Owner Trust, Series 24-4A, Class A3, 144A, 4.94%, due 07/25/29 | 5,281,667 | |||||||
|
|
|
|||||||||
| Auto Retail Subprime — 2.2% | ||||||||||
| 6,655,000 | Ford Credit Auto Owner Trust, Series 22-1, Class A, 144A, 3.88%, due 11/15/34 | 6,638,442 | ||||||||
| 3,624,134 | GM Financial Consumer Automobile Receivables Trust, Series 24-1, Class A3, 4.85%, due 12/18/28 | 3,637,137 | ||||||||
| 7,549,537 | Hyundai Auto Receivables Trust, Series 24-A, Class A3, 4.99%, due 02/15/29 | 7,587,987 | ||||||||
| 943,906 | Volkswagen Auto Loan Enhanced Trust, Series 23-1, Class A3, 5.02%, due 06/20/28 | 947,284 | ||||||||
| 3,621,000 | Volkswagen Auto Loan Enhanced Trust, Series 24-1, Class A3, 4.63%, due 07/20/29 | 3,639,115 | ||||||||
| 5,692,492 | World Omni Auto Receivables Trust, Series 24-C, Class A3, 4.43%, due 12/17/29 | 5,706,898 | ||||||||
|
|
|
|||||||||
| Total Auto Retail Subprime | 28,156,863 | |||||||||
|
|
|
|||||||||
| CMBS CDO — 0.0% | ||||||||||
| 8,586,000 | ARCap Resecuritization Trust, Series 05-1A, Class B, 144A, 5.55%, due 12/21/42 | 9 | ||||||||
|
|
|
|||||||||
| Collateralized Loan Obligations — 10.0% | ||||||||||
| 5,050,833 | AGL CLO 12 Ltd., Series 21-12A, Class XR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.80%, 4.48%, due 10/20/38 | 5,047,267 | ||||||||
| 2,000,000 | Allegro CLO X Ltd., Series 19-1A, Class BRR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.60%, 5.28%, due 04/20/32 | 2,000,702 | ||||||||
| 2,454,000 | Battalion CLO VIII Ltd., Series 15-8A, Class BR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.25%, 4.93%, due 07/18/30 | 2,455,031 | ||||||||
| 3,259,675 | Battalion CLO XV Ltd., Series 20-15A, Class A1RR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.98%, 4.66%, due 01/17/33 | 3,256,184 | ||||||||
| 6,924,369 | BlueMountain CLO Ltd., Series 15-4A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.95%, 4.63%, due 04/20/30 | 6,928,116 | ||||||||
| 6,818,721 | Canyon Capital CLO Ltd., Series 16-1A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.33%, 5.00%, due 07/15/31 | 6,823,808 | ||||||||
| 9,260,000 | Carlyle U.S. CLO Ltd., Series 19-1A, A2R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.40%, 5.08%, due 04/20/31 | 9,273,890 | ||||||||
| 2,593,222 | Dryden 64 CLO Ltd., Series 18-64A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 4.91%, due 04/18/31 | 2,595,330 | ||||||||
|
|
9,078,004 | Dryden 80 CLO Ltd., Series 19-80A, Class ARR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.95%, 4.63%, due 01/17/33 | 9,072,729 | |||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Collateralized Loan Obligations — continued | ||||||||||
| 2,199,034 | Eaton Vance CLO Ltd., Series 14-1RA, Class BR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.90%, 4.57%, due 07/15/30 | 2,199,047 | ||||||||
|
|
10,000,000 | Galaxy XXII CLO Ltd., Series 16-22A, Class AR4, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.02%, 4.70%, due 04/16/34 | 10,005,550 | |||||||
| 4,783,772 | Gallatin CLO VIII Ltd., Series 17-1A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.35%, 5.02%, due 07/15/31 | 4,789,336 | ||||||||
| 534,022 | Jefferson Mill CLO Ltd., Series 15-1A, Class ARR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.23%, 4.91%, due 10/20/31 | 534,164 | ||||||||
| 3,308,248 | LCM 37 Ltd., Series 37A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.06%, 4.73%, due 04/15/34 | 3,308,903 | ||||||||
| 298,770 | LCM XVIII LP, Series 18A, Class CR, 144A, Variable Rate, 3 mo. USD Term SOFR + 2.11%, 5.79%, due 04/20/31 | 298,697 | ||||||||
| 2,473,434 | Madison Park Funding XLII Ltd., Series 13A, Class AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.92%, 4.59%, due 11/21/30 | 2,473,753 | ||||||||
| 4,047,920 | Mountain View CLO LLC, Series 16-1A, Class AR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.88%, 4.55%, due 04/14/33 | 4,047,786 | ||||||||
| 3,641,584 | Mountain View CLO Ltd., Series 13-1A, Class BRR , 144A, Variable Rate, 3 mo. USD Term SOFR + 1.93%, 5.60%, due 10/12/30 | 3,650,892 | ||||||||
| 1,645,965 | Northwoods Capital XVII Ltd., Series 18-17A, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.32%, 4.99%, due 04/22/31 | 1,650,023 | ||||||||
| 1,083,456 | OZLM VII Ltd., Series 14-7A, Class SUB, 144A, Variable Rate, 0.00, due 07/17/26 | 108 | ||||||||
| 4,050,800 | OZLM XV Ltd., Series 16-15A, Class A1R3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.05%, 4.73%, due 04/20/33 | 4,050,800 | ||||||||
| 9,793,487 | Riserva CLO Ltd., Series 16-3A, Class AR3, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.05%, 4.73%, due 01/18/34 | 9,798,374 | ||||||||
| 6,000,000 | Rockford Tower CLO Ltd., Series 18-1A, Class B, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.98%, 5.62%, due 05/20/31 | 6,016,674 | ||||||||
| 4,156,702 | Rockford Tower CLO Ltd., Series 19-2A, Class AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.13%, 4.77%, due 08/20/32 | 4,159,146 | ||||||||
|
|
454,048 | Sounds Point CLO IV-R Ltd., Series 13-3RA, Class A, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 5.09%, due 04/18/31 | 454,048 | |||||||
| 900,000 | THL Credit Wind River CLO Ltd., Series 17-3A, Class AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.20%, 4.87%, due 04/15/35 | 900,264 | ||||||||
| 4,353,035 | Trinitas CLO XII Ltd., Series 20-12A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.05%, 4.72%, due 04/25/33 | 4,350,623 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Collateralized Loan Obligations — continued | ||||||||||
|
|
1,230,175 | Venture 32 CLO Ltd., Series 18-32A, Class A1, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.36%, 5.04%, due 07/18/31 | 1,231,999 | |||||||
| 1,114,492 | Venture 38 CLO Ltd., Series 19-38A, Class ARR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.00%, 4.66%, due 07/30/32 | 1,115,105 | ||||||||
| 799,791 | Voya CLO Ltd., Series 19-2A, Class AR, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.20%, 4.88%, due 07/20/32 | 800,409 | ||||||||
| 1,552,500 | Voya CLO Ltd., Series 25-1A, Class X, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.90%, 4.58%, due 04/20/38 | 1,552,475 | ||||||||
| 7,112,945 | Wellfleet CLO Ltd., Series 20-1A, Class A1RR, 144A, Variable Rate, 3 mo. USD Term SOFR + 0.99%, 4.66%, due 04/15/33 | 7,116,501 | ||||||||
| 5,368,000 | Zais CLO 16 Ltd., Series 20-16A, Class A1R2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.13%, 4.81%, due 10/20/34 | 5,355,922 | ||||||||
|
|
|
|||||||||
| Total Collateralized Loan Obligations | 127,313,656 | |||||||||
|
|
|
|||||||||
| Commercial Mortgage-Backed Securities — 20.1% | ||||||||||
| 15,387,600 | BBCMS Mortgage Trust, Series 18-TALL, Class A, 144A, Variable Rate, 1 mo. USD | |||||||||
| Term SOFR + 0.92%, 4.55%, due 03/15/37 | 14,588,696 | |||||||||
| 4,931,125 | Bear Stearns Mortgage Funding Trust, Series 06-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.12%, due 07/25/36 | 4,642,164 | ||||||||
| 4,825,120 | Benchmark Mortgage Trust, Series 18-B8, Class A5, 4.23%, due 01/15/52 | 4,743,924 | ||||||||
| 18,847,000 | Benchmark Mortgage Trust, Series 20-B20, Class A5, 2.03%, due 10/15/53 | 16,681,759 | ||||||||
| 11,556,000 | Benchmark Mortgage Trust, Series 22-B32, Class A5, Variable Rate, 3.00%, due 01/15/55 | 10,273,291 | ||||||||
| 16,535,000 | Benchmark Mortgage Trust, Series 22-B34, Class A5, Variable Rate, 3.79%, due 04/15/55 | 15,280,753 | ||||||||
| 11,790,000 | Benchmark Mortgage Trust, Series 19-B15, Class A5, 2.93%, due 12/15/72 | 10,996,295 | ||||||||
| 8,000,000 | BX Commercial Mortgage Trust, Series 20-VIV4, Class A, 144A, 2.84%, due 03/09/44 | 7,420,014 | ||||||||
| 8,000,000 | BX Commercial Mortgage Trust, Series 20-VIVA, Class D, 144A, Variable Rate, 3.55%, due 03/11/44 | 7,412,179 | ||||||||
| 13,000,000 | BX Trust, Series 19-OC11, Class A, 144A, 3.20%, due 12/09/41 | 12,300,493 | ||||||||
| 4,570,000 | BX Trust, Series 19-OC11, Class D, 144A, Variable Rate, 3.94%, due 12/09/41 | 4,321,002 | ||||||||
| 9,000,000 | BX Trust, Series 19-OC11, Class E, 144A, Variable Rate, 3.94%, due 12/09/41 | 8,329,581 | ||||||||
| 15,516,000 | COMM Mortgage Trust, Series 24-277P, Class A, 144A, 6.34%, due 08/10/44 | 16,110,998 | ||||||||
| 26,327,712 | COMM Mortgage Trust, Series 18-COR3, Class A3, 4.23%, due 05/10/51 | 25,882,874 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Commercial Mortgage-Backed Securities — continued |
||||||||||
|
|
7,865,000 | ESTN Trust, Series 26-TOWN, Class A, 144A, Variable Rate, 5.54%, due 05/12/46 | 7,918,495 | |||||||
| 8,625,000 | Grace Trust, Series 20-GRCE, Class A, 144A, 2.35%, due 12/10/40 | 7,695,590 | ||||||||
| 2,566,279 | GSMS Trust, Series 26-DAWN, Class A, 144A, Variable Rate, 5.63%, due 04/10/43 | 2,553,721 | ||||||||
| 4,636,000 | Houston Galleria Mall Trust, Series 25-HGLR, Class A, 144A, Variable Rate, 5.46%, due 02/05/45 | 4,742,874 | ||||||||
| 11,393,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 24-OMNI, Class A, 144A, Variable Rate, 5.80%, due 10/05/39 | 11,489,381 | ||||||||
| 14,600,000 | MKT Mortgage Trust, Series 20-525M, Class A, 144A, 2.69%, due 02/12/40 | 13,147,929 | ||||||||
| 4,000,000 | MTN Commercial Mortgage Trust, Series 26-LPFX, Class A, 144A, Variable Rate, 5.15%, due 05/15/43 | 4,001,486 | ||||||||
| 2,754,000 | NYC Commercial Mortgage Trust, Series 26-1PARK, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.25%, 4.88%, due 02/15/43 | 2,751,418 | ||||||||
| 5,708,086 | OBX Trust, Series 25-NQM8, Class A1, 144A, Step Up, 5.47%, due 03/25/65 | 5,729,258 | ||||||||
| 4,000,000 | ROCK Trust, Series 24-CNTR, Class A, 144A, 5.39%, due 11/13/41 | 4,056,313 | ||||||||
| 4,000,000 | ROCK Trust, Series 24-CNTR, Class E, 144A, 8.82%, due 11/13/41 | 4,168,919 | ||||||||
| 2,265,688 | Velocity Commercial Capital Loan Trust, Series 22-1, Class A, 144A, Variable Rate, 3.38%, due 02/25/52 | 2,006,729 | ||||||||
| 3,231,240 | WaMu Commercial Mortgage Securities Trust, Series 06-SL1, Class E, 144A, Variable Rate, 5.38%, due 11/23/43 | 3,206,243 | ||||||||
| 11,594,960 | WaMu Commercial Mortgage Securities Trust, Series 07-SL3, Class J, 144A, Variable Rate, 6.09%, due 03/23/45 | 10,709,942 | ||||||||
| 2,413,437 | WFRBS Commercial Mortgage Trust, Series 14-C21, Class B, Variable Rate, 4.21%, due 08/15/47 | 2,371,177 | ||||||||
| 9,814,966 | WFRBS Commercial Mortgage Trust, Series 14-C21, Class C, Variable Rate, 4.23%, due 08/15/47 | 9,446,807 | ||||||||
|
|
|
|||||||||
| Total Commercial Mortgage-Backed Securities | 254,980,305 | |||||||||
|
|
|
|||||||||
| Credit Cards — 1.1% | ||||||||||
| 13,695,000 | American Express Credit Account Master Trust, Series 24-3, Class A, 4.65%, due 07/15/29 | 13,785,051 | ||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Other — 10.2% |
||||||||||
| 732,465 | ACE Securities Corp. Home Equity Loan Trust, Series 06-ASL1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.39%, 3.98%, due 02/25/36 | 46,410 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Other — continued |
||||||||||
|
|
1,902,838 | ACE Securities Corp. Home Equity Loan Trust, Series 05-SD3, Class M2, Variable Rate, 1 mo. USD Term SOFR + 2.36%, 5.95%, due 08/25/45 | 1,712,544 | |||||||
| 864,610 | American Home Mortgage Assets Trust, Series 06-2, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.49%, 4.08%, due 09/25/46 | 852,767 | ||||||||
| 17,663,707 | American Home Mortgage Investment Trust, Series 06-2, Class 4A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 4.06%, due 02/25/36 | 499,939 | ||||||||
| 6,918,871 | Angel Oak Mortgage Trust, Series 25-5, Class A1, 144A, Step Up, 5.57%, due 04/25/70 | 6,949,007 | ||||||||
| 1,577,479 | Atlas Senior Loan Fund XV Ltd., Series 19-15A, Class A1R, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.22%, 4.89%, due 10/23/32 | 1,578,407 | ||||||||
| 13,743,281 | BankAmerica Manufactured Housing Contract Trust, Series 98-1, Class B2, Variable Rate, 8.00%, due 08/10/25 | 744,087 | ||||||||
| 8,834,023 | BCMSC Trust, Series 99-B, Class A4, Variable Rate, 7.30%, due 12/15/16 | 430,890 | ||||||||
| 1,541,843 | BCMSC Trust, Series 99-A, Class M1, Variable Rate, 6.79%, due 03/15/29 | 1,513,251 | ||||||||
| 2,928,137 | BCMSC Trust, Series 00-A, Class A4, Variable Rate, 8.29%, due 06/15/30 | 155,583 | ||||||||
| 4,287,280 | Bear Stearns Mortgage Funding Trust, Series 07-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.27%, 3.86%, due 01/25/37 | 3,841,087 | ||||||||
| 58,367 | Bear Stearns Mortgage Funding Trust, Series 07-SL2, Class 1A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.02%, due 02/25/37 | 83,184 | ||||||||
| 3,190,404 | CHL Mortgage Pass-Through Trust, Series 07-4, Class 1A71, 6.00%, due 05/25/37 | 1,296,542 | ||||||||
| 850,000 | COLT Mortgage Loan Trust, Series 26-3, Class A1, 144A, Variable Rate, 5.12%, due 05/25/71 | 847,564 | ||||||||
| 712,211 | Conseco Finance Corp., Series 97-6, Class M1, Variable Rate, 7.21%, due 01/15/29 | 720,469 | ||||||||
| 752,772 | Conseco Finance Corp., Series 98-6, Class M1, Variable Rate, 6.63%, due 06/01/30 | 761,142 | ||||||||
| 3,835,576 | Conseco Finance Securitizations Corp., Series 02-2, Class M2, Variable Rate, 9.16%, due 03/01/33 | 3,947,433 | ||||||||
| 4,206,049 | Conseco Finance Securitizations Corp., Series 01-3, Class M1, Variable Rate, 7.15%, due 05/01/33 | 4,317,309 | ||||||||
| 3,377,083 | Conseco Finance Securitizations Corp., Series 02-1, Class M2, Variable Rate, 9.55%, due 12/01/33 | 3,435,229 | ||||||||
| 180,938 | CoreVest American Finance Trust, Series 21-1, Class A, 144A, 1.57%, due 04/15/53 | 177,873 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Other — continued |
||||||||||
|
|
6,173,234 | Cross Mortgage Trust, Series 26-NQM6, Class A1, 144A, Variable Rate, 5.27%, due 05/25/71 | 6,166,633 | |||||||
| 5,162,711 | Dryden 40 Senior Loan Fund, Series 15-40A, Class AR2, 144A, Variable Rate, 3 mo. USD Term SOFR + 1.15%, 4.80%, due 08/15/31 | 5,167,678 | ||||||||
| 6,096,308 | FirstKey Homes Trust, Series 21-SFR3, Class A, 144A, 2.14%, due 12/17/38 | 6,013,012 | ||||||||
| 1,779,743 | GMACM Home Equity Loan Trust, Series 04-HE3, Class A3, FSA, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.20%, due 10/25/34 | 1,761,669 | ||||||||
| 963,821 | GMACM Home Equity Loan Trust, Series 07-HE3, Class 2A1, Variable Rate, 7.00%, due 09/25/37 | 950,323 | ||||||||
| 4,328,989 | Home Equity Loan Trust, Series 05-HS1, Class AI4, Step Up, 5.36%, due 09/25/35 | 37,788 | ||||||||
| 7,572,884 | Home Loan Trust, Series 06-HI4, Class A4, Step Up, 6.22%, due 09/25/36 | 1,160,963 | ||||||||
| 8,236,190 | Home Loan Trust, Series 07-HI1, Class A4, Step Up, 6.43%, due 03/25/37 | 660,847 | ||||||||
| 8,472,722 | Invitation Homes Trust, Series 24-SFR1, Class A, 144A, 4.00%, due 09/17/41 | 8,245,494 | ||||||||
| 3,325,064 | Lehman ABS Manufactured Housing Contract Trust, Series 01-B, Class M2, Variable Rate, 7.17%, due 04/15/40 | 3,177,950 | ||||||||
| 3,445,353 | MASTR Second Lien Trust, Series 06-1, Class A, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.02%, due 03/25/36 | 176,534 | ||||||||
| 69,748 | Mellon Re-REMICS Pass-Through Trust, Series 04-TBC1, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.36%, 3.95%, due 02/26/34 | 65,793 | ||||||||
| 620,505 | New Century Home Equity Loan Trust, Series 03-B, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.09%, 4.67%, due 10/25/33 | 617,724 | ||||||||
| 13,443,273 | New Century Home Equity Loan Trust, Series 06-S1, Class A2A, Variable Rate, 1 mo. USD Term SOFR + 0.31%, 3.90%, due 03/25/36 | 260,943 | ||||||||
| 7,668,319 | New Century Home Equity Loan Trust, Series 06-S1, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 4.04%, due 03/25/36 | 148,761 | ||||||||
| 20,444,582 | New Century Home Equity Loan Trust, Series 06-S1, Class A2B, Variable Rate, 1 mo. USD Term SOFR + 0.51%, 4.10%, due 03/25/36 | 396,502 | ||||||||
| 10,725 | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 05-S3, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 4.67%, due 08/25/35 (a) | 197,615 | ||||||||
| 1,122,385 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A2, 5.05%, due 11/15/19 | 1,088,605 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Other — continued |
||||||||||
|
|
356,051 | Oakwood Mortgage Investors, Inc., Series 98-A, Class B1, Variable Rate, 7.50%, due 05/15/28 | 357,483 | |||||||
| 1,476,282 | Oakwood Mortgage Investors, Inc., Series 98-D, Class M1, 144A, 7.42%, due 01/15/29 | 1,487,402 | ||||||||
| 5,462,979 | Oakwood Mortgage Investors, Inc., Series 99-E, Class A1, Variable Rate, 7.61%, due 03/15/30 | 1,861,636 | ||||||||
| 11,752,084 | Oakwood Mortgage Investors, Inc., Series 00-D, Class A4, Variable Rate, 7.40%, due 07/15/30 | 1,170,502 | ||||||||
| 2,751,397 | Oakwood Mortgage Investors, Inc., Series 01-B, Class M1, 144A, Variable Rate, 7.92%, due 03/15/31 | 2,694,952 | ||||||||
| 2,376,755 | Oakwood Mortgage Investors, Inc., Series 01-D, Class A4, Variable Rate, 6.93%, due 09/15/31 | 835,265 | ||||||||
| 231,814 | Oakwood Mortgage Investors, Inc., Series 01-E, Class A3, 5.69%, due 12/15/31 | 227,501 | ||||||||
| 1,658,815 | Oakwood Mortgage Investors, Inc., Series 02-C, Class M1, Variable Rate, 6.89%, due 11/15/32 | 1,666,624 | ||||||||
| 1,269,543 | Progress Residential Trust, Series 21-SFR10, Class A, 144A, 2.39%, due 12/17/40 | 1,199,424 | ||||||||
| 3,250,041 | RALI Trust, Series 05-QS11, Class A1, 5.50%, due 07/25/35 | 2,742,516 | ||||||||
| 9,260,000 | RCKT Mortgage Trust, Series 26-CES5, Class A1A, 144A, Step Up, 5.25%, due 05/25/56 | 9,252,671 | ||||||||
| 12,698,411 | Tricon American Homes Trust, Series 20-SFR1, Class A, 144A, 1.50%, due 07/17/38 | 12,643,637 | ||||||||
| 9,102,949 | Tricon American Homes Trust, Series 20-SFR2, Class A, 144A, 1.48%, due 11/17/39 | 8,696,542 | ||||||||
| 9,839,504 | Tricon Residential Trust, Series 24-SFR4, Class A, 144A, 4.30%, due 11/17/41 | 9,632,885 | ||||||||
| 968,906 | UCFC Manufactured Housing Contract, Series 98-2, Class M1, 6.73%, due 10/15/29 | 947,995 | ||||||||
| 4,333,099 | Verus Securitization Trust, Series 22-5, Class A1, 144A, Step Up, 4.80%, due 04/25/67 | 4,228,180 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Other | 129,850,766 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Performing Loans — 0.6% |
||||||||||
| 1,751,568 | Ajax Mortgage Loan Trust, Series 21-A, Class A1, 144A, Variable Rate, 1.07%, due 09/25/65 | 1,585,251 | ||||||||
| 3,017,747 | COLT Trust, Series 21-RPL1, Class A1, 144A, Variable Rate, 1.67%, due 09/25/61 | 2,780,204 | ||||||||
| 3,512,623 | CSMC Trust, Series 21-RPL2, Class A1A, 144A, Variable Rate, 1.11%, due 01/25/60 | 2,959,303 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Performing Loans | 7,324,758 | |||||||||
|
|
|
|||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Prime —2.4% |
||||||||||
|
|
7,232,145 | American Home Mortgage Assets Trust, Series 06-4, Class 1A12, Variable Rate, 1 mo. USD Term SOFR + 0.32%, 3.91%, due 10/25/46 | 3,598,499 | |||||||
| 314,484 | Bear Stearns ARM Trust, Series 05-9, Class A1, Variable Rate, 1 yr. CMT + 2.30%, 6.42%, due 10/25/35 | 304,911 | ||||||||
| 3,585,594 | CSMC Mortgage-Backed Trust, Series 07-4, Class 2A1, 6.00%, due 06/25/37 | 1,774,624 | ||||||||
| 1,661,619 | IndyMac INDA Mortgage Loan Trust, Series 06-AR3, Class 1A1, Variable Rate, 3.82%, due 12/25/36 | 1,262,349 | ||||||||
| 767,301 | IndyMac INDA Mortgage Loan Trust, Series 07-AR1, Class 1A1, Variable Rate, 3.88%, due 03/25/37 | 558,565 | ||||||||
| 6,047,470 | IndyMac INDX Mortgage Loan Trust, Series 06-AR2, Class 1A1A, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 4.14%, due 04/25/46 | 5,572,201 | ||||||||
| 1,597,079 | Morgan Stanley Mortgage Loan Trust, Series 06-2, Class 6A, 6.50%, due 02/25/36 | 618,453 | ||||||||
| 50,789,310 | RFMSI Trust, Series 05-SA4, Class 2A2, Variable Rate, 6.23%, due 09/25/35 (a) | 1 | ||||||||
| 3,576,497 | Structured Adjustable Rate Mortgage Loan Trust, Series 05-9, Class 2A2A, Variable Rate, 1 yr. MTA + 1.40%, 5.17%, due 05/25/35 | 2,863,660 | ||||||||
| 2,872,499 | Structured Asset Mortgage Investments II Trust, Series 07-AR1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.02%, due 01/25/37 | 2,636,281 | ||||||||
| 576,393 | WaMu Mortgage Pass-Through Certificates Trust, Series 05-AR10, Class 1A3, Variable Rate, 4.47%, due 09/25/35 | 550,214 | ||||||||
| 745,019 | WaMu Mortgage Pass-Through Certificates Trust, Series 06-AR19, Class 2A, Variable Rate, 1 yr. MTA + 1.25%, 5.02%, due 01/25/47 | 678,168 | ||||||||
| 1,435,879 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-4, Class CB3, Variable Rate, 1 mo. USD Term SOFR + 0.56%, 4.15%, due 06/25/35 | 1,264,192 | ||||||||
| 1,553,919 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 05-10, Class 4CB3, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 4.30%, due 12/25/35 | 1,392,839 | ||||||||
| 3,760,243 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-8, Class A5, Step Up, 4.06%, due 10/25/36 | 1,300,610 | ||||||||
| 7,008,715 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 07-5, Class A6, 6.00%, due 06/25/37 | 6,469,362 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Prime | 30,844,929 | |||||||||
|
|
|
|||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Subprime — 2.2% |
||||||||||
|
|
609,847 | ABFC Trust, Series 05-AQ1, Class A5, Step Up, 4.06%, due 06/25/35 | 589,322 | |||||||
| 403,041 | BCAP LLC Trust, Series 14-RR2, Class 11A3, 144A, Variable Rate, 3.15%, due 05/26/37 | 396,914 | ||||||||
| 13,756,370 | Bravo Mortgage Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 4.30%, due 07/25/36 | 12,544,553 | ||||||||
| 5,583,561 | Carrington Mortgage Loan Trust, Series 06-FRE2, Class A2, Variable Rate, 1 mo. USD Term SOFR + 0.23%, 3.82%, due 10/25/36 | 4,738,403 | ||||||||
| 265,862 | Carrington Mortgage Loan Trust, Series 07-RFC1, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.39%, 3.98%, due 12/25/36 | 261,429 | ||||||||
| 619,965 | CHL Mortgage Pass-Through Trust, Series 04-HYB6, Class A2, Variable Rate, 5.23%, due 11/20/34 | 601,516 | ||||||||
| 1,765,120 | First Franklin Mortgage Loan Trust, Series 06-FF12, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.22%, 3.80%, due 09/25/36 | 1,669,452 | ||||||||
| 1,724,941 | Home Equity Asset Trust, Series 06-2, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 4.27%, due 05/25/36 | 1,712,158 | ||||||||
| 630,583 | Lehman XS Trust, Series 07-15N, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.20%, due 08/25/37 | 625,418 | ||||||||
| 2,153,245 | Residential Asset Mortgage Products Trust, Series 05-RS1, Class MII2, Variable Rate, 1 mo. USD Term SOFR + 1.31%, 4.90%, due 01/25/35 | 2,089,280 | ||||||||
| 831,205 | Saxon Asset Securities Trust, Series 04-3, Class M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 4.60%, due 12/26/34 | 813,637 | ||||||||
| 1,404,604 | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 06-AR9, Class 2A, Variable Rate, 1 yr. MTA + 0.84%, 4.61%, due 11/25/46 | 1,230,086 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Subprime | 27,272,168 | |||||||||
|
|
|
|||||||||
| Residential Mortgage-Backed Securities — Alt-A — 3.2% |
||||||||||
| 462,448 | Bear Stearns ALT-A Trust, Series 04-11, Class 1M1, Variable Rate, 1 mo. USD Term SOFR + 1.01%, 4.60%, due 11/25/34 | 463,453 | ||||||||
| 1,540,456 | Bear Stearns ALT-A Trust, Series 07-1, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.02%, due 01/25/47 | 1,458,041 | ||||||||
| 1,113,520 | Bear Stearns Asset-Backed Securities I Trust, Series 04-AC5, Class A1, Step Up, 5.75%, due 10/25/34 | 1,072,604 | ||||||||
| 3,128,849 | Citigroup Mortgage Loan Trust, Inc., Series 06-AR5, Class 2A2A, Variable Rate, 4.69%, due 07/25/36 | 1,685,647 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Residential Mortgage-Backed Securities — Alt-A — continued |
||||||||||
| 85,489 | Countrywide Alternative Loan Trust, Series 04-J11, Class 1CB1, 5.50%, due 11/25/34 | 85,397 | ||||||||
| 1,921,733 | Countrywide Alternative Loan Trust, Series 05-18CB, Class A8, 5.50%, due 05/25/35 | 1,401,395 | ||||||||
|
|
1,470,622 | Countrywide Alternative Loan Trust, Series 06-7CB, Class 1A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 4.40%, due 05/25/36 | 574,675 | |||||||
| 1,518,127 | Countrywide Alternative Loan Trust, Series 06-28CB, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.81%, 4.40%, due 10/25/36 | 511,849 | ||||||||
| 2,026,932 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 06-AF1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.71%, 4.30%, due 04/25/36 | 1,941,041 | ||||||||
| 7,046,642 | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 07-AR2, Class A1, Variable Rate, 1 mo. USD Term SOFR + 0.41%, 4.00%, due 03/25/37 | 6,791,138 | ||||||||
| 3,937,197 | Fieldstone Mortgage Investment Trust, Series 04-4, Class M4, Variable Rate, 1 mo. USD Term SOFR + 2.66%, 6.25%, due 10/25/35 | 2,510,641 | ||||||||
| 10,122,666 | GSAA Home Equity Trust, Series 06-9, Class A3, Variable Rate, 1 mo. USD Term SOFR + 0.43%, 4.02%, due 06/25/36 | 1,769,873 | ||||||||
| 9,975,307 | GSR Mortgage Loan Trust, Series 07-OA2, Class 1A1, Variable Rate, 3.17%, due 06/25/47 | 5,667,202 | ||||||||
| 4,993,307 | HarborView Mortgage Loan Trust, Series 07-4, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 0.55%, 3.95%, due 07/19/37 | 4,918,945 | ||||||||
| 26,996 | JP Morgan Resecuritization Trust, Series 09-10, Class 7A1, 144A, Variable Rate, 6.05%, due 02/26/37 | 21,772 | ||||||||
| 911,630 | Merrill Lynch First Franklin Mortgage Loan Trust, Series 07-H1, Class 2A1, Variable Rate, 1 mo. USD Term SOFR + 3.11%, 6.70%, due 10/25/37 | 875,227 | ||||||||
| 3,453,560 | Residential Asset Securitization Trust, Series 25-A8CB, Class A6, 5.00%, due 07/25/35 | 1,572,334 | ||||||||
| 15,320,011 | Residential Asset Securitization Trust, Series 06-A7CB, Class 3A1, 6.50%, due 07/25/36 | 3,442,947 | ||||||||
| 7,509,182 | Terwin Mortgage Trust, Series 06-7, Class 2A3, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 4.24%, due 08/25/37 | 3,229,874 | ||||||||
|
|
|
|||||||||
| Total Residential Mortgage-Backed Securities — Alt-A | 39,994,055 | |||||||||
|
|
|
|||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Small Balance Commercial Mortgages — 4.1% | ||||||||||
|
|
1,741,041 | Bayview Commercial Asset Trust, Series 05-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.58%, 4.16%, due 08/25/35 | 1,703,831 | |||||||
| 905,864 | Bayview Commercial Asset Trust, Series 05-4A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.70%, 4.35%, due 01/25/36 | 868,619 | ||||||||
| 1,161,772 | Bayview Commercial Asset Trust, Series 06-1A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.65%, 4.24%, due 04/25/36 | 1,104,429 | ||||||||
| 467,007 | Bayview Commercial Asset Trust, Series 06-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.68%, 4.27%, due 04/25/36 | 439,550 | ||||||||
| 644,695 | Bayview Commercial Asset Trust, Series 06-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 4.04%, due 07/25/36 | 627,003 | ||||||||
| 1,318,733 | Bayview Commercial Asset Trust, Series 06-2A, Class A2, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.12%, due 07/25/36 | 1,285,009 | ||||||||
| 2,568,525 | Bayview Commercial Asset Trust, Series 06-3A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.49%, 4.07%, due 10/25/36 | 2,495,835 | ||||||||
| 5,175,460 | Bayview Commercial Asset Trust, Series 06-SP2, Class A, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.53%, 4.12%, due 01/25/37 | 4,946,983 | ||||||||
| 812,647 | Bayview Commercial Asset Trust, Series 07-1, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.44%, 4.03%, due 03/25/37 | 780,777 | ||||||||
| 1,486,038 | Bayview Commercial Asset Trust, Series 07-3, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.47%, 4.06%, due 07/25/37 | 1,430,197 | ||||||||
| 4,185,861 | Bayview Commercial Asset Trust, Series 07-2A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.52%, 4.10%, due 07/25/37 | 3,931,137 | ||||||||
| 5,376,096 | Bayview Commercial Asset Trust, Series 07-4A, Class A1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.79%, 4.37%, due 09/25/37 | 5,120,097 | ||||||||
| 595,664 | Bayview Commercial Asset Trust, Series 08-1, Class A4, 144A, Variable Rate, 1 mo. USD Term SOFR + 2.36%, 5.95%, due 01/25/38 | 593,376 | ||||||||
| 69,184,182 | FRESB Mortgage Trust, Series 20-SB76, Class X1, IO, Variable Rate, 0.00, due 05/25/30 | 1,598,826 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Small Balance Commercial Mortgages — continued | ||||||||||
| 82,131,039 | FRESB Mortgage Trust, Series 19-SB63, Class X1, Variable Rate, 1.56%, due 04/25/39 | 2,063,624 | ||||||||
| 30,778,946 | FRESB Mortgage Trust, Series 20-SB74, Class X1, Variable Rate, 0.00, due 03/25/40 | 810,308 | ||||||||
|
|
189,488,596 | FRESB Mortgage Trust, Series 20-SB77, Class X1, IO, Variable Rate, 0.18%, due 06/25/40 | 6,586,264 | |||||||
| 1,295,000 | Harvest Commercial Capital Loan Trust, Series 19-1, Class M4, 144A, Variable Rate, 4.64%, due 09/25/46 | 1,256,725 | ||||||||
| 3,500,000 | Harvest Commercial Capital Loan Trust, Series 19-1, Class M5, 144A, Variable Rate, 5.73%, due 09/25/46 | 3,386,658 | ||||||||
| 3,230,000 | Harvest Commercial Capital Loan Trust, Series 20-1, Class M4, 144A, Variable Rate, 5.96%, due 04/25/52 | 3,156,462 | ||||||||
| 1,532,289 | Harvest Commercial Capital Loan Trust, Series 24-1, Class A, 6.16%, due 10/25/56 | 1,551,439 | ||||||||
| 1,877,652 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-1A, Class M1, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.61%, 4.20%, due 03/25/37 | 1,734,488 | ||||||||
| 606,569 | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 07-3A, Class M1, 144A, Variable Rate, 5.30%, due 10/25/37 | 615,748 | ||||||||
| 3,391,461 | Velocity Commercial Capital Loan Trust, Series 21-4, Class A, 144A, Variable Rate, 2.52%, due 12/26/51 | 3,054,377 | ||||||||
| 1,196,482 | Velocity Commercial Capital Loan Trust, Series 21-4, Class M3, 144A, Variable Rate, 3.81%, due 12/26/51 | 991,169 | ||||||||
|
|
|
|||||||||
| Total Small Balance Commercial Mortgages | 52,132,931 | |||||||||
|
|
|
|||||||||
| Student Loans — Federal Family Education Loan Program — 3.7% |
||||||||||
| 6,493,782 | AccessLex Institute, Series 04-2, Class A4, Variable Rate, 90 day USD SOFR Average + 0.60%, 4.27%, due 04/26/32 | 6,442,115 | ||||||||
| 2,872,714 | AccessLex Institute, Series 04-2, Class B, Variable Rate, 90 day USD SOFR Average + 0.96%, 4.63%, due 01/25/43 | 2,650,930 | ||||||||
| 8,922,866 | SLC Student Loan Trust, Series 08-2, Class A4, Variable Rate, 90 day USD SOFR Average + 1.16%, 4.85%, due 06/15/40 | 8,850,990 | ||||||||
| 3,324,957 | SLM Student Loan Trust, Series 07-7, Class A4, Variable Rate, 90 day USD SOFR Average + 0.59%, 4.26%, due 01/25/22 | 3,288,372 | ||||||||
| 6,204,406 | SLM Student Loan Trust, Series 08-4, Class A4, Variable Rate, 90 day USD SOFR Average + 1.91%, 5.58%, due 07/25/22 | 6,197,678 | ||||||||
| 13,674,624 | SLM Student Loan Trust, Series 08-6, Class A4, Variable Rate, 90 day USD SOFR Average + 1.36%, 5.03%, due 07/25/23 | 13,530,048 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Student Loans — Federal Family Education Loan Program — continued |
||||||||||
| 5,843,932 | SLM Student Loan Trust, Series 08-5, Class A4, Variable Rate, 90 day USD SOFR Average + 1.96%, 5.63%, due 07/25/23 | 5,866,822 | ||||||||
|
|
|
|||||||||
| Total Student Loans — Federal Family Education Loan Program | 46,826,955 | |||||||||
|
|
|
|||||||||
| Student Loans — Private — 13.1% | ||||||||||
|
|
2,383,071 | Commonbond Student Loan Trust, Series 21-AGS, Class A, 144A, 1.20%, due 03/25/52 | 2,060,230 | |||||||
| 3,861,166 | KeyCorp Student Loan Trust, Series 05-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.56%, 5.27%, due 12/27/38 | 3,795,978 | ||||||||
| 10,482,945 | KeyCorp Student Loan Trust, Series 06-A, Class 2C, Variable Rate, 3 mo. USD Term SOFR + 1.41%, 5.12%, due 03/27/42 | 8,446,168 | ||||||||
| 3,165,822 | KeyCorp Student Loan Trust, Series 04-A, Class 2D, Variable Rate, 3 mo. USD Term SOFR + 1.51%, 5.18%, due 07/28/42 | 3,074,284 | ||||||||
| 8,758,011 | National Collegiate Commutation Trust, Series 07-3, Class A3R4, 144A, Variable Rate, 8.64%, due 03/31/38 (a) | 996,224 | ||||||||
| 7,625,000 | National Collegiate II Commutation Trust, Series 07-4, Class A3R7, Variable Rate, 28 day ARS + 0.00%, 8.07%, due 03/25/38 (a) | 867,344 | ||||||||
| 423,652 | National Collegiate Student Loan Trust, Series 06-4, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 4.01%, due 05/25/32 | 422,503 | ||||||||
| 5,440,000 | National Collegiate Student Loan Trust, Series 06-4, Class B, Variable Rate, 1 mo. USD Term SOFR + 0.45%, 4.04%, due 05/25/32 | 3,082,365 | ||||||||
| 2,128,138 | National Collegiate Student Loan Trust, Series 07-2, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.40%, 3.99%, due 01/25/33 | 2,093,956 | ||||||||
| 2,152,242 | National Collegiate Student Loan Trust, Series 06-1, Class A5, Variable Rate, 1 mo. USD Term SOFR + 0.46%, 4.05%, due 03/25/33 | 2,134,113 | ||||||||
| 564,137 | National Collegiate Student Loan Trust, Series 05-2, Class A51, Variable Rate, 1 mo. USD Term SOFR + 0.48%, 4.07%, due 06/25/33 | 560,818 | ||||||||
| 5,351,968 | National Collegiate Student Loan Trust, Series 07-1, Class A4, Variable Rate, 1 mo. USD Term SOFR + 0.42%, 4.00%, due 10/25/33 | 5,301,675 | ||||||||
| 24,944 | National Collegiate Student Loan Trust, Series 07-3, Class A3A4, Variable Rate, 7.26%, due 03/25/38 (b) | 19,442 | ||||||||
| 75,000 | National Collegiate Student Loan Trust, Series 07-4, Class A3A7, Variable Rate, 7.75%, due 03/25/38 (b) | 58,455 | ||||||||
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Student Loans — Private — continued | ||||||||||
|
|
2,714,389 | Navient Private Education Refi Loan Trust, Series 21-DA, Class A, 144A, Variable Rate, U.S. (Fed) Prime Rate - 1.99%, 4.76%, due 04/15/60 | 2,652,101 | |||||||
| 3,309,652 | Navient Private Education Refi Loan Trust, Series 22-A, Class A, 144A, 2.23%, due 07/15/70 | 3,013,346 | ||||||||
| 1,095,811 | Navient Student Loan Trust, Series 23-BA, Class A1B, 144A, Variable Rate, 30 day USD SOFR Average + 1.70%, 5.34%, due 03/15/72 | 1,101,449 | ||||||||
| 798,086 | Navient Student Loan Trust, Series 23-BA, Class A1A, 144A, 6.48%, due 03/15/72 | 813,413 | ||||||||
| 1,662,215 | Nelnet Student Loan Trust, Series 21-A, Class APT1, 144A, 1.36%, due 04/20/62 | 1,584,853 | ||||||||
| 2,515,898 | Nelnet Student Loan Trust, Series 21-DA, Class AFL, 144A, Variable Rate, 1 mo. USD Term SOFR + 0.80%, 4.41%, due 04/20/62 | 2,506,267 | ||||||||
| 1,939,289 | SLM Private Credit Student Loan Trust, Series 03-A, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 5.54%, due 06/15/32 | 789,575 | ||||||||
| 1,621,000 | SLM Private Credit Student Loan Trust, Series 03-A, Class A3, Variable Rate, 6.94%, due 06/15/32 (b) | 1,617,434 | ||||||||
| 11,085,731 | SLM Private Credit Student Loan Trust, Series 03-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 5.54%, due 09/15/32 | 2,336,504 | ||||||||
| 750,000 | SLM Private Credit Student Loan Trust, Series 03-C, Class A3, Variable Rate, 8.07%, due 09/15/32 (b) | 748,350 | ||||||||
| 7,367,782 | SLM Private Credit Student Loan Trust, Series 03-B, Class C, Variable Rate, 3 mo. USD Term SOFR + 1.86%, 5.54%, due 03/15/33 | 1,974,514 | ||||||||
| 1,400,100 | SLM Private Credit Student Loan Trust, Series 04-A, Class A3, Variable Rate, 3 mo. USD Term SOFR + 0.66%, 4.34%, due 06/15/33 | 1,398,621 | ||||||||
| 4,386,933 | SLM Private Credit Student Loan Trust, Series 04-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.69%, 4.37%, due 09/15/33 | 4,340,285 | ||||||||
| 13,539,786 | SLM Private Credit Student Loan Trust, Series 05-A, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.57%, 4.25%, due 12/15/38 | 13,461,235 | ||||||||
| 13,704,817 | SLM Private Credit Student Loan Trust, Series 06-A, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.55%, 4.23%, due 06/15/39 | 13,412,952 | ||||||||
| 16,796,589 | SLM Private Credit Student Loan Trust, Series 05-B, Class A4, Variable Rate, 3 mo. USD Term SOFR + 0.59%, 4.27%, due 06/15/39 | 16,596,953 | ||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Par Value† |
Description | Value ($) | ||||||||
| Asset-Backed Securities — continued | ||||||||||
| Student Loans - Private — continued | ||||||||||
|
|
3,958,578 | SLM Private Credit Student Loan Trust, Series 06-BW, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.46%, 4.14%, due 12/15/39 | 3,885,445 | |||||||
| 6,652,576 | SLM Private Credit Student Loan Trust, Series 06-B, Class A5, Variable Rate, 3 mo. USD Term SOFR + 0.53%, 4.21%, due 12/15/39 | 6,528,467 | ||||||||
| 2,672,291 | SLM Private Credit Student Loan Trust, Series 06-C, Class C, Variable Rate, 3 mo. USD Term SOFR + 0.65%, 4.33%, due 12/15/39 | 2,540,890 | ||||||||
| 7,590,201 | SLM Private Credit Student Loan Trust, Series 07-A, Class A4A, Variable Rate, 3 mo. USD Term SOFR + 0.50%, 4.18%, due 12/16/41 | 7,503,177 | ||||||||
| 3,101,867 | SLM Private Education Loan Trust, Series 10-C, Class A5, 144A, Variable Rate, 1 mo. USD Term SOFR + 4.86%, 8.49%, due 10/15/41 | 3,242,361 | ||||||||
| 938,929 | SLM Student Loan Trust, Series 08-2, Class A3, Variable Rate, 90 day USD SOFR Average + 1.01%, 4.68%, due 04/25/23 | 938,907 | ||||||||
| 1,150,000 | SMB Private Education Loan Trust, Series 14-A, Class C, 144A, 4.50%, due 09/15/45 | 1,033,903 | ||||||||
| 6,897,863 | SMB Private Education Loan Trust, Series 21-A, Class B, 144A, 2.31%, due 01/15/53 | 6,715,839 | ||||||||
| 1,000 | SMB Private Education Loan Trust, Series 23-B, Class R, 144A, 0.00, due 10/16/56 (b) | 295,535 | ||||||||
| 448,117 | Towd Point Asset Trust, Series 18-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 4.75%, due 01/25/46 | 448,100 | ||||||||
| 6,897,850 | Towd Point Asset Trust, Series 21-SL1, Class A1, 144A, 1.05%, due 11/20/61 | 6,724,579 | ||||||||
| 6,900,000 | Towd Point Asset Trust, Series 21-SL1, Class B, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.16%, 4.77%, due 11/20/61 | 6,854,758 | ||||||||
| 17,741,000 | Towd Point Asset Trust, Series 21-SL1, Class C, 144A, Variable Rate, 1 mo. USD Term SOFR + 1.51%, 5.12%, due 11/20/61 | 17,547,644 | ||||||||
|
|
|
|||||||||
| Total Student Loans — Private | 165,521,012 | |||||||||
|
|
|
|||||||||
| Total Asset-Backed Securities | 929,285,125 | |||||||||
|
|
|
|||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| U.S. Government — 13.1% | ||||||||||
| 13,200,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 07/31/27 (c) | 13,212,822 | ||||||||
|
|
153,150,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 (c) | 153,174,403 | |||||||
|
|
|
|||||||||
| Total U.S. Government | 166,387,225 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 2.7% | ||||||||||
| 13,800,000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 06/01/39 | 14,042,579 | ||||||||
| 7,000,000 | Uniform Mortgage-Backed Security, TBA, 2.50%, due 06/01/56 | 5,856,216 | ||||||||
| 14,500,000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/56 | 14,805,517 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 34,704,312 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $1,214,720,689) |
1,130,376,662 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 1.7% | ||||||||||
| United States — 1.7% | ||||||||||
| 2,323,242 | GMO U.S. Treasury Fund, Class VI (d) | 11,639,444 | ||||||||
| 199,600 | GMO Ultra-Short Income ETF (d) | 9,988,982 | ||||||||
|
|
|
|||||||||
| Total United States | 21,628,426 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $21,710,407) | 21,628,426 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 9.8% | ||||||||||
| Money Market Funds — 0.2% | ||||||||||
| 2,474,436 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (e) | 2,474,436 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 9.6% | ||||||||||
| 122,000,950 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/29/2026 maturing on 06/01/26 with a maturity value of $122,037,753 and an effective yield of 3.62%, collateralized by a U.S. Treasury Note with maturity date 06/15/28 and a market value of $124,509,192. | 122,000,950 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $124,475,386) | 124,475,386 | |||||||||
|
|
|
|||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
PURCHASED OPTIONS — 0.0%
| Description | Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount |
Value ($) |
|||||||||||||
| Equity Options – Calls — 0.0% | ||||||||||||||||||
| iShares 20+ Year Treasury Bond ETF (f) |
86.00 | 09/18/26 | 82,000 | USD | 7,032,320 | 143,500 | ||||||||||||
| iShares 7-10 Year Treasury Bond ETF (f) |
95.00 | 09/18/26 | 41,000 | USD | 3,880,650 | 45,100 | ||||||||||||
|
|
|
|||||||||||||||||
| Total Equity Options – Calls | 188,600 | |||||||||||||||||
|
|
|
|||||||||||||||||
| TOTAL PURCHASED OPTIONS (COST $175,877) |
|
188,600 | ||||||||||||||||
|
|
|
|||||||||||||||||
| TOTAL INVESTMENTS — 100.6% (Cost $1,361,082,359) |
|
1,276,669,074 | ||||||||||||||||
|
|
|
|||||||||||||||||
| Par |
Description | Value ($) | ||||||||
|
|
SECURITIES SOLD SHORT — (0.8)% |
| ||||||||
| DEBT OBLIGATIONS — (0.8)% | ||||||||||
| U.S. Government Agency — (0.8)% | ||||||||||
| (10,500,000 | ) | Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/56 | (10,724,518 | ) | ||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (PROCEEDS $10,714,102) |
(10,724,518 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $10,714,102) |
(10,724,518 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — 0.2% | 2,650,225 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $1,268,594,781 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||
| 08/31/2026 | JPM | USD | 2,622,044 | EUR | 2,245,000 | 6,324 | ||||||||||||||
| 08/31/2026 | MSCI | EUR | 1,745,000 | USD | 2,037,712 | (5,273 | ) | |||||||||||||
| 08/31/2026 | JPM | EUR | 4,598,000 | USD | 5,370,227 | (12,952 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| $ | (11,901 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Buys | ||||||||||||||
| 770 | U.S. Treasury Note 10 Yr. (CBT) | September 2026 | 84,567,656 | 176,392 | ||||||||||
| 1,455 | U.S. Treasury Note 2 Yr. (CBT) | September 2026 | 300,548,438 | 676,918 | ||||||||||
| 265 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2026 | 29,700,703 | 115,588 | ||||||||||
|
|
|
|
|
|||||||||||
| $ | 414,816,797 | $ | 968,898 | |||||||||||
|
|
|
|
|
|||||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||||
| Sales | ||||||||||||||
| 25 | BBG U.S. Corporate Investment Grade Duration-Hedged Index Futures | June 2026 | 2,812,500 | (1,920 | ) | |||||||||
| 306 | U.S. Treasury Note 5 Yr. (CBT) | September 2026 | 32,806,547 | (40,999 | ) | |||||||||
| 6 | U.S. Ultra Bond (CBT) | September 2026 | 686,438 | (11,259 | ) | |||||||||
|
|
|
|
|
|||||||||||
| $ | 36,305,485 | $ | (54,178 | ) | ||||||||||
|
|
|
|
|
|||||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Written Options
| Description |
Exercise |
Expiration Date |
Number of Contracts |
Notional Amount |
Value ($) | |||||||||||||||||
| Equity Options — Calls |
||||||||||||||||||||||
| iShares iBoxx USD Investment Grade Corporate Bond ETF (f) |
109.00 | 09/18/26 | (1,261 | ) | USD | (13,790,296 | ) | (308,945 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||
| |
TOTAL WRITTEN OPTIONS (Premiums $172,346) |
$(308,945) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional Amount |
Annual |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||
| ITRAXX.EUR.42 |
EUR | 47,150,000 | 1.00% | 0.36% | N/A | 12/20/2029 | Quarterly | (881,120 | ) | (1,201,547 | ) | (320,427 | ) | |||||||||||||||||||
| CDX.NA.IG.S45 |
USD | 39,820,000 | 1.00% | 0.47% | N/A | 12/20/2030 | Quarterly | (781,419 | ) | (887,707 | ) | (106,288 | ) | |||||||||||||||||||
| ITRAXX.FINSR.44 |
EUR | 104,424,000 | 1.00% | 0.48% | N/A | 12/20/2030 | Quarterly | (2,290,098 | ) | (2,689,956 | ) | (399,858 | ) | |||||||||||||||||||
| ITRAXX.XO.44 |
EUR | 10,290,000 | 5.00% | 2.23% | N/A | 12/20/2030 | Quarterly | (1,331,030 | ) | (1,338,395 | ) | (7,365 | ) | |||||||||||||||||||
| CDX.NA.IG.46.V1 |
USD | 117,930,000 | 1.00% | 0.51% | N/A | 06/20/2031 | Quarterly | (1,990,395 | ) | (2,654,133 | ) | (663,738 | ) | |||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||
| CDX.NA.IG.46.V1 |
USD | 2,387,000 | 1.00% | 0.90% | 2,387,000 USD | 06/20/2036 | Quarterly | 16,887 | 18,418 | 1,531 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (7,257,175 | ) | $ | (8,753,320 | ) | $ | (1,496,145 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts — continued
OTC Credit Default Swaps
| Reference Entity |
Counter- |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||
| CDX.NA.HY.43 |
GS | USD | 11,900,000 | 5.00% | 1.89% | N/A | 12/20/2029 | Quarterly | (896,533 | ) | (1,221,585 | ) | (325,052 | ) | ||||||||||||||||||
| ITRAXX.EUR.44 |
BOA | EUR | 1,690,000 | 1.00% | 5.97% | N/A | 12/20/2030 | Quarterly | 403,818 | 385,600 | (18,218 | ) | ||||||||||||||||||||
| ITRAXX.EUR.44 |
BOA | EUR | 3,705,000 | 1.00% | 1.44% | N/A | 12/20/2030 | Quarterly | 96,206 | 82,144 | (14,062 | ) | ||||||||||||||||||||
| CMBX.NA.A.7 |
CGMI | USD | 240,243 | 2.00% | 83.55% | N/A | 01/17/2047 | Monthly | 15,087 | 38,831 | 23,744 | |||||||||||||||||||||
| CMBX.NA.A.7 |
CGMI | USD | 1,691,852 | 2.00% | 83.55% | N/A | 01/17/2047 | Monthly | 100,453 | 273,457 | 173,004 | |||||||||||||||||||||
| CMBX.NA.A.7 |
GS | USD | 480,486 | 2.00% | 83.55% | N/A | 01/17/2047 | Monthly | 26,454 | 77,662 | 51,208 | |||||||||||||||||||||
| CMBX.NA.AS.7 |
BOA | USD | 192,546 | 1.00% | 1.74% | N/A | 01/17/2047 | Monthly | 2,024 | 120 | (1,904 | ) | ||||||||||||||||||||
| CMBX.NA.AS.7 |
DB | USD | 325,170 | 1.00% | 1.74% | N/A | 01/17/2047 | Monthly | (5,125 | ) | 203 | 5,328 | ||||||||||||||||||||
| CMBX.NA.AS.7 |
DB | USD | 712,819 | 1.00% | 1.74% | N/A | 01/17/2047 | Monthly | 8,435 | 446 | (7,989 | ) | ||||||||||||||||||||
| CMBX.NA.AS.7 |
GS | USD | 188,059 | 1.00% | 1.74% | N/A | 01/17/2047 | Monthly | 4,822 | 118 | (4,704 | ) | ||||||||||||||||||||
| CMBX.NA.AS.7 |
MORD | USD | 567,167 | 1.00% | 1.74% | N/A | 01/17/2047 | Monthly | 8,795 | 354 | (8,441 | ) | ||||||||||||||||||||
| CMBX.NA.AA.11 |
CGMI | USD | 4,000,000 | 1.50% | 1.74% | N/A | 11/18/2054 | Monthly | (6,041 | ) | 12,444 | 18,485 | ||||||||||||||||||||
| CMBX.NA.AA.11 |
CGMI | USD | 4,626,000 | 1.50% | 1.74% | N/A | 11/18/2054 | Monthly | (63,740 | ) | 14,392 | 78,132 | ||||||||||||||||||||
| CMBX.NA.AA.11 |
MORD | USD | 4,624,500 | 1.50% | 1.74% | N/A | 11/18/2054 | Monthly | (67,279 | ) | 14,387 | 81,666 | ||||||||||||||||||||
| CMBX.NA.AA.11 |
MORD | USD | 4,624,500 | 1.50% | 1.74% | N/A | 11/18/2054 | Monthly | (61,372 | ) | 14,386 | 75,758 | ||||||||||||||||||||
| CMBX.NA.BBB-.11 |
CGMI | USD | 2,167,000 | 3.00% | 12.16% | N/A | 11/18/2054 | Monthly | 331,822 | 247,851 | (83,971 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.11 |
GS | USD | 9,940,000 | 3.00% | 12.16% | N/A | 11/18/2054 | Monthly | 1,289,094 | 1,136,888 | (152,206 | ) | ||||||||||||||||||||
| CMBX.NA.A.8 |
CGMI | USD | 2,484,076 | 2.00% | 32.18% | N/A | 10/17/2057 | Monthly | 130,414 | 148,427 | 18,013 | |||||||||||||||||||||
| CMBX.NA.A.8 |
GS | USD | 908,675 | 2.00% | 32.18% | N/A | 10/17/2057 | Monthly | 15,348 | 54,295 | 38,947 | |||||||||||||||||||||
| CMBX.NA.A.8 |
MORD | USD | 993,631 | 2.00% | 32.18% | N/A | 10/17/2057 | Monthly | 53,408 | 59,371 | 5,963 | |||||||||||||||||||||
| CMBX.NA.BBB-.18 |
GS | USD | 5,156,000 | 3.00% | 5.93% | N/A | 12/17/2057 | Monthly | 331,917 | 415,638 | 83,721 | |||||||||||||||||||||
| CMBX.NA.BBB-.18 |
GS | USD | 8,160,000 | 3.00% | 5.93% | N/A | 12/17/2057 | Monthly | 633,175 | 657,798 | 24,623 | |||||||||||||||||||||
| CMBX.NA.BBB-.18 |
MSCI | USD | 5,156,000 | 3.00% | 5.93% | N/A | 12/17/2057 | Monthly | 360,920 | 415,638 | 54,718 | |||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MORD | USD | 2,692,009 | 3.00% | 185.49% | N/A | 09/17/2058 | Monthly | 307,632 | 882,474 | 574,842 | |||||||||||||||||||||
| CMBX.NA.AA.12 |
GS | USD | 6,974,000 | 1.50% | 1.71% | N/A | 08/17/2061 | Monthly | (61,731 | ) | 30,476 | 92,207 | ||||||||||||||||||||
| CMBX.NA.AA.6 |
GS | USD | 487,718 | 1.50% | 64.34% | N/A | 05/11/2063 | Monthly | 3,617 | 57,135 | 53,518 | |||||||||||||||||||||
| CMBX.NA.BBB-.6 |
CGMI | USD | 1,203,681 | 3.00% | 59.59% | N/A | 05/11/2063 | Monthly | 382,269 | 304,682 | (77,587 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.6 |
GS | USD | 1,149,045 | 3.00% | 59.59% | N/A | 05/11/2063 | Monthly | 162,303 | 290,852 | 128,549 | |||||||||||||||||||||
| CMBX.NA.A.15 |
CGMI | USD | 5,000,000 | 2.00% | 2.95% | N/A | 11/18/2064 | Monthly | 600,000 | 202,648 | (397,352 | ) | ||||||||||||||||||||
| CMBX.NA.A.15 |
MORD | USD | 3,000,000 | 2.00% | 2.95% | N/A | 11/18/2064 | Monthly | 287,104 | 121,589 | (165,515 | ) | ||||||||||||||||||||
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts — continued
OTC Credit Default Swaps — continued
| Reference Entity |
Counter- |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||
| CMBX.NA.A.15 |
MSCI | USD | 4,560,000 | 2.00% | 2.95% | N/A | 11/18/2064 | Monthly | 275,394 | 184,815 | (90,579 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.15 |
CGMI | USD | 5,000,000 | 3.00% | 6.76% | N/A | 11/18/2064 | Monthly | 796,876 | 729,688 | (67,188 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.15 |
GS | USD | 5,000,000 | 3.00% | 6.76% | N/A | 11/18/2064 | Monthly | 787,500 | 729,688 | (57,812 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.15 |
MSCI | USD | 5,000,000 | 3.00% | 6.76% | N/A | 11/18/2064 | Monthly | 718,500 | 729,688 | 11,188 | |||||||||||||||||||||
| CMBX.NA.A.14 |
GS | USD | 2,682,000 | 2.00% | 3.38% | N/A | 12/16/2072 | Monthly | 349,769 | 129,901 | (219,868 | ) | ||||||||||||||||||||
| CMBX.NA.AA.13 |
CGMI | USD | 2,000,000 | 1.50% | 1.86% | N/A | 12/16/2072 | Monthly | 147,238 | 21,611 | (125,627 | ) | ||||||||||||||||||||
| CMBX.NA.AA.13 |
CGMI | USD | 3,000,000 | 1.50% | 1.86% | N/A | 12/16/2072 | Monthly | 138,948 | 32,416 | (106,532 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.14 |
CGMI | USD | 3,933,500 | 3.00% | 8.08% | N/A | 12/16/2072 | Monthly | 1,111,213 | 642,881 | (468,332 | ) | ||||||||||||||||||||
| CMBX.NA.BBB-.14 |
GS | USD | 1,360,000 | 3.00% | 8.08% | N/A | 12/16/2072 | Monthly | 340,000 | 222,275 | (117,725 | ) | ||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||
| CDX.NA.HY.43 |
GS | USD | 18,250,000 | 5.00% | 0.75% | 18,250,000 USD | 12/20/2029 | Quarterly | 2,749,160 | 2,591,261 | (157,899 | ) | ||||||||||||||||||||
| CDX.NA.HY.43 |
MSCI | USD | 3,967,000 | 5.00% | 0.75% | 3,967,000 USD | 12/20/2029 | Quarterly | 595,601 | 563,262 | (32,339 | ) | ||||||||||||||||||||
| CDX.NA.HY.43 |
GS | USD | 3,060,000 | 5.00% | 0.75% | 3,060,000 USD | 12/20/2029 | Quarterly | 288,677 | 434,480 | 145,803 | |||||||||||||||||||||
| CDX.NA.HY.43 |
GS | USD | 3,060,000 | 5.00% | 1.89% | 3,060,000 USD | 12/20/2029 | Quarterly | (161,755 | ) | 314,122 | 475,877 | ||||||||||||||||||||
| ITRAXX.EUR.42 |
BOA | EUR | 78,580,000 | 1.00% | 0.17% | 78,580,000 EUR | 12/20/2029 | Quarterly | 2,735,206 | 2,603,719 | (131,487 | ) | ||||||||||||||||||||
| CDX.NA.HY.45 |
JPM | USD | 14,884,332 | 5.00% | 0.46% | 14,884,332 USD | 12/20/2030 | Quarterly | 2,798,999 | 2,743,153 | (55,846 | ) | ||||||||||||||||||||
| ITRAXX.EUR.44 |
BOA | EUR | 39,500,000 | 1.00% | 0.25% | 39,500,000 EUR | 12/20/2030 | Quarterly | 1,589,343 | 1,494,298 | (95,045 | ) | ||||||||||||||||||||
| ITRAXX.XO.44 |
BNP | EUR | 23,390,000 | 5.00% | 0.54% | 23,390,000 EUR | 12/20/2030 | Quarterly | 5,444,057 | 5,081,401 | (362,656 | ) | ||||||||||||||||||||
| CMBX.NA.AA.7 |
CITI | USD | 714,003 | 1.50% | 20.14% | 714,003 USD | 01/17/2047 | Monthly | (22,138 | ) | (38,549 | ) | (16,411 | ) | ||||||||||||||||||
| CMBX.NA.BBB-.17 |
MSCI | USD | 3,747,000 | 3.00% | 5.88% | 3,747,000 USD | 12/15/2056 | Monthly | (497,649 | ) | (533,854 | ) | (36,205 | ) | ||||||||||||||||||
| CMBX.NA.AAA.10 |
GS | USD | 6,209,219 | 0.50% | 0.17% | 6,209,219 USD | 11/17/2059 | Monthly | 56,789 | 6,201 | (50,588 | ) | ||||||||||||||||||||
| CMBX.NA.AAA.15 |
CGMI | USD | 9,984,762 | 0.50% | 0.46% | 9,984,762 USD | 11/18/2064 | Monthly | (372,539 | ) | 18,220 | 390,759 | ||||||||||||||||||||
| CMBX.NA.AAA.15 |
GS | USD | 2,820,695 | 0.50% | 0.46% | 2,820,695 USD | 11/18/2064 | Monthly | (43,398 | ) | 5,147 | 48,545 | ||||||||||||||||||||
| CMBX.NA.AAA.15 |
MSCI | USD | 9,106,103 | 0.50% | 0.46% | 9,106,103 USD | 11/18/2064 | Monthly | (131,541 | ) | 16,616 | 148,157 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 24,087,546 | $ | 23,441,161 | $ | (646,385 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2026, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
GMO Opportunistic Income Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives |
Notional Amount | Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||
| 3.89% |
USD-SOFR-OIS COMPOUND | USD 26,000,000 | 11/30/2030 | Annually | 10,200 | (22,131 | ) | (32,331 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (b) | Investment valued using significant unobservable inputs. |
| (c) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (d) | Affiliated company. |
| (e) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
| (f) | All or a portion of this investment is held in connection with one or more holdings within the Fund. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
CDO - Collateralized Debt Obligation
CLO - Collateralized Loan Obligation
CMBS - Commercial Mortgage Backed Security
CMT - Constant Maturity Treasury
ETF - Exchange-Traded Fund
FSA - Insured as to the payment of principal and interest by Financial Security Assurance.
IO - Interest Only
MTA - Monthly Treasury Average Index
MTN - Medium Term Note
OIS - Overnight Indexed Swaps
SOFR - Secured Overnight Financing Rate
STEP - Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at May 31, 2026.
TBA - To Be Announced - Delayed Delivery Security
Counterparty Abbreviations:
BNP - BNP Paribas
BOA - Bank of America, N.A.
CGMI - Citigroup Global Markets Inc.
CITI - Citibank N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
Currency Abbreviations:
EUR - Euro
USD - United States Dollar
GMO U.S. Treasury Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares / Par Value |
Description | Value ($) | ||||||||
| SHORT-TERM INVESTMENTS — 99.5% |
| |||||||||
| Money Market Funds — 0.0% | ||||||||||
|
|
111,089 | State Street Institutional Treasury Plus Money Market Fund – Premier Class, 3.57% (a) | 111,089 | |||||||
|
|
|
|||||||||
| Repurchase Agreements — 24.1% | ||||||||||
| 6,300,189 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/29/2026 maturing on 06/01/26 with a maturity value of $6,302,079 and an effective yield of 3.60%, collateralized by a U.S. Treasury Note with maturity date 12/31/28 and a market value of $6,427,293. | 6,300,188 | ||||||||
| 95,000,813 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/29/2026 maturing on 06/01/26 with a maturity value of $95,029,471 and an effective yield of 3.62%, collateralized by a U.S. Treasury Note with maturity date 06/15/28 and a market value of $96,953,954. | 95,000,813 | ||||||||
|
|
|
|||||||||
| Total Repurchase Agreements | 101,301,001 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 2.7% | ||||||||||
| 2,900,000 | Federal Home Loan Bank Discount Notes, Zero Coupon, , due 09/23/26 | 2,866,117 | ||||||||
| 8,700,000 | Federal Home Loan Bank Discount Notes, Zero Coupon, , due 09/30/26 | 8,592,270 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 11,458,387 | |||||||||
|
|
|
|||||||||
| U.S. Government — 72.7% | ||||||||||
| 16,610,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 07/31/27 | 16,626,134 | ||||||||
| 50,148,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 | 50,155,991 | ||||||||
| 17,036,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 04/30/28 | 17,039,933 | ||||||||
| 7,546,727 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 07/15/26 | 7,598,316 | ||||||||
| 7,574,348 | U.S. Treasury Inflation-Indexed Notes, 0.13%, due 10/15/26 | 7,594,467 | ||||||||
| 10,749,000 | U.S. Treasury Notes, 4.38%, due 07/31/26 | 10,760,337 | ||||||||
| 5,350,000 | U.S. Treasury Notes, 3.75%, due 08/31/26 | 5,349,948 | ||||||||
| 19,011,000 | U.S. Treasury Notes, 4.63%, due 09/15/26 | 19,057,537 | ||||||||
| 18,797,000 | U.S. Treasury Notes, 4.25%, due 11/30/26 | 18,841,202 | ||||||||
| 18,855,000 | U.S. Treasury Notes, 4.25%, due 12/31/26 | 18,902,138 | ||||||||
| 18,941,000 | U.S. Treasury Notes, 4.13%, due 01/31/27 | 18,978,734 | ||||||||
| 19,424,000 | U.S. Treasury Notes, 1.88%, due 02/28/27 | 19,147,056 | ||||||||
| 18,874,000 | U.S. Treasury Notes, 3.88%, due 05/31/27 | 18,868,249 | ||||||||
| 19,005,000 | U.S. Treasury Notes, 3.88%, due 07/31/27 | 18,990,895 | ||||||||
| 19,137,000 | U.S. Treasury Notes, 3.63%, due 08/31/27 | 19,062,246 | ||||||||
| Shares / Par Value |
Description | Value ($) | ||||||||
| U.S. Government — continued | ||||||||||
| 19,078,000 | U.S. Treasury Notes, 3.38%, due 11/30/27 | 18,913,303 | ||||||||
| 19,142,000 | U.S. Treasury Notes, 3.38%, due 12/31/27 | 18,962,544 | ||||||||
|
|
|
|||||||||
|
|
Total U.S. Government | 304,849,030 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $417,849,858) | 417,719,507 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 99.5% (Cost $417,849,858) | 417,719,507 | |||||||||
| Other Assets and Liabilities (net) — 0.5% | 1,961,168 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $419,680,675 | |||||||||
|
|
|
|||||||||
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 May 31, 2026. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
Organization
Each of Asset Allocation Bond Fund, Emerging Country Debt Fund, Emerging Country Debt Shares Fund, High Yield Fund, Opportunistic Income Fund and U.S. Treasury Fund (each a “Fund” and collectively the “Funds”) is a series of GMO Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Massachusetts business trust under the laws of The Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits the Trustees of the Trust (“Trustees”) to create an unlimited number of series of shares (Funds) and to subdivide Funds into classes. The Funds are advised and managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”).
The Funds may invest in GMO U.S. Treasury Fund and in money market funds unaffiliated with GMO.
Some of the Funds may invest in other GMO Funds (“underlying funds”). Emerging Country Debt Shares Fund invests substantially all its assets in shares of Emerging Country Debt Fund. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
Portfolio valuation
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are valued at the price generally determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price. Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, prices will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that
are intended to reflect changes in valuation through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below).
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2026, 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 and exchange-traded funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; certain sovereign debt securities valued using comparable securities issued by the sovereign adjusted by a specified spread; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or
quoted price; certain loan assignments valued using a vendor price of a comparable loan; certain investment funds whose valuations are based on monthly net asset value statements; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price and potential litigation recoveries and interests related to bankruptcy proceedings.
The following is a summary of the respective levels assigned to the Funds’ direct securities and derivatives, if any, as of May 31, 2026:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Asset Allocation Bond Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| U.S. Government |
$ | 9,285,421 | $ | — | $ | — | $ | 9,285,421 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
9,285,421 | — | — | 9,285,421 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
2,543,089 | 106,000,000 | — | 108,543,089 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
11,828,510 | 106,000,000 | — | 117,828,510 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 6,741 | — | 6,741 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
1,319,428 | — | — | 1,319,428 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 13,147,938 | $ | 106,006,741 | $ | — | $ | 119,154,679 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
$ | — | $ | (4,018,083 | ) | $ | — | $ | (4,018,083 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (4,018,083 | ) | $ | — | $ | (4,018,083 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Country Debt Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 4,630,677 | $ | — | $ | 4,630,677 | ||||||||
| Corporate Debt |
— | 217,508,031 | 47,969,098 | 265,477,129 | ||||||||||||
| Sovereign and Sovereign Agency Issuers |
— | 1,685,244,114 | 106,517,144 | 1,791,761,258 | ||||||||||||
| U.S. Government |
48,382,076 | — | — | 48,382,076 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
48,382,076 | 1,907,382,822 | 154,486,242 | 2,110,251,140 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Loan Assignments |
— | — | 14,174,090 | 14,174,090 | ||||||||||||
| Loan Participations |
— | — | 2,363,983 | 2,363,983 | ||||||||||||
| Investment Funds |
— | — | 16,751,922 | 16,751,922 | ||||||||||||
| Rights/Warrants |
— | 24,011,410 | 234,030 | 24,245,440 | ||||||||||||
| Short-Term Investments |
2,365,732 | 93,214,362 | — | 95,580,094 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
50,747,808 | 2,024,608,594 | 188,010,267 | 2,263,366,669 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 1,629,800 | — | 1,629,800 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 2,073,594 | — | 2,073,594 | ||||||||||||
| Interest Rate Risk |
— | 7,393,159 | — | 7,393,159 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 50,747,808 | $ | 2,035,705,147 | $ | 188,010,267 | $ | 2,274,463,222 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Emerging Country Debt Fund (continued) | ||||||||||||||||
| Liability Valuation Inputs |
||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Corporate Debt |
$ | — | $ | (3,194,232 | ) | $ | — | $ | (3,194,232 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
— | (3,194,232 | ) | — | (3,194,232 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (924,335 | ) | — | (924,335 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (2,626,638 | ) | — | (2,626,638 | ) | ||||||||||
| Interest Rate Risk |
— | (2,129,937 | ) | — | (2,129,937 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (8,875,142 | ) | $ | — | $ | (8,875,142 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Emerging Country Debt Shares Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investment Funds |
$ | 62,002,681 | $ | — | $ | — | $ | 62,002,681 | ||||||||
| Short-Term Investments |
19,455 | — | — | 19,455 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
62,022,136 | — | — | 62,022,136 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 62,022,136 | $ | — | $ | — | $ | 62,022,136 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| High Yield Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Corporate Debt |
$ | — | $ | 40,098,825 | $ | — | $ | 40,098,825 | ||||||||
| U.S. Government |
74,122,833 | — | — | 74,122,833 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
74,122,833 | 40,098,825 | — | 114,221,658 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
1,661,509 | 16,906,851 | — | 18,568,360 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
75,784,342 | 57,005,676 | — | 132,790,018 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 23,666 | — | 23,666 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
54,248 | — | — | 54,248 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 2,851,368 | — | 2,851,368 | ||||||||||||
| Interest Rate Risk |
— | 945,988 | — | 945,988 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 75,838,590 | $ | 60,826,698 | $ | — | $ | 136,665,288 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Opportunistic Income Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 924,484,725 | $ | 4,800,400 | $ | 929,285,125 | ||||||||
| U.S. Government |
166,387,225 | — | — | 166,387,225 | ||||||||||||
| U.S. Government Agency |
— | 34,704,312 | — | 34,704,312 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
166,387,225 | 959,189,037 | 4,800,400 | 1,130,376,662 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
21,628,426 | — | — | 21,628,426 | ||||||||||||
| Short-Term Investments |
2,474,436 | 122,000,950 | — | 124,475,386 | ||||||||||||
| Purchased Options |
188,600 | — | — | 188,600 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
190,678,687 | 1,081,189,987 | 4,800,400 | 1,276,669,074 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Opportunistic Income Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | 6,324 | $ | — | $ | 6,324 | ||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
968,898 | — | — | 968,898 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 25,253,567 | — | 25,253,567 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 191,647,585 | $ | 1,106,449,878 | $ | 4,800,400 | $ | 1,302,897,863 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| U.S. Government Agency |
$ | — | $ | (10,724,518 | ) | $ | — | $ | (10,724,518 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
— | (10,724,518 | ) | — | (10,724,518 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (18,225 | ) | — | (18,225 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
(54,178 | ) | — | — | (54,178 | ) | ||||||||||
| Written Options |
||||||||||||||||
| Interest Rate Risk |
(308,945 | ) | — | — | (308,945 | ) | ||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | (10,565,726 | ) | — | (10,565,726 | ) | ||||||||||
| Interest Rate Risk |
— | (22,131 | ) | — | (22,131 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (363,123 | ) | $ | (21,330,600 | ) | $ | — | $ | (21,693,723 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| U.S. Treasury Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Short-Term Investments |
$ | 301,225,723 | $ | 116,493,784 | $ | — | $ | 417,719,507 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
301,225,723 | 116,493,784 | — | 417,719,507 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 301,225,723 | $ | 116,493,784 | $ | — | $ | 417,719,507 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
The risks referenced in the tables above are not intended to be inclusive of all risks. Please see the Prospectus for more information.
| ^ | In the tables above derivatives are based on market values, rather than the notional amounts of derivatives, except for bond forward contracts and forward currency contracts which are based on unrealized appreciation/(depreciation). Excludes purchased options, if any, which are included in investments. |
The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct securities and derivatives, if any, please refer to the underlying funds’ financial statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
As of May 31, 2026, under U.S. GAAP the following Funds require additional disclosures about fair value measurements for Level 3 securities and derivatives, if any (determined by each category of asset or liability as compared to a Fund’s total net assets). Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendor). Emerging Country Debt Fund’s Level 3 holdings also include Newco Holding Eur 31 SARL, 13.50%, due 04/24/30, which is valued by applying a spread of 860 basis points over the spread of Mexico Government International Bonds, 6.00%, due 05/13/30, and an investment fund valued based on a monthly net asset value statement.
The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:
| Balances as of February 28, 2026 |
Purchases | Sales | Accrued Discounts/ Premiums |
Total Realized Gain/ (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Transfer into Level 3 |
Transfer out of Level 3 |
Balances as of May 31, 2026 |
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2026 |
|||||||||||||||||||||||||||||||
| Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||||||||||
| Debt Obligations: |
|
|||||||||||||||||||||||||||||||||||||||
| Corporate Debt |
$ | 15,394,310 | $ | 36,924,000 | $ | (3,923,193 | ) | $ | 973 | $ | (74,601 | ) | $ | (352,391 | ) | $ | — | $ | — | $ | 47,969,098 | $ | (352,391 | ) | ||||||||||||||||
| Sovereign and Sovereign Agency Issuers |
107,417,033 | — | (11,567,699 | ) | 335,953 | (8,595,051 | ) | 18,926,908 | — | — | 106,517,144 | 18,926,908 | ||||||||||||||||||||||||||||
| Investment Funds |
15,843,071 | — | — | — | — | 908,851 | — | — | 16,751,922 | 908,851 | ||||||||||||||||||||||||||||||
| Loan Assignments |
23,139,275 | — | (8,507,335 | ) | 8,449 | (346,643 | ) | (119,656 | ) | — | — | 14,174,090 | (404,492 | ) | ||||||||||||||||||||||||||
| Loan Participations |
2,521,866 | — | (154,960 | ) | 24,224 | (187 | ) | (26,960 | ) | — | — | 2,363,983 | (26,960 | ) | ||||||||||||||||||||||||||
| Rights/Warrants |
195,890 | 9,537 | (18,486 | ) | — | 11,874 | 35,215 | — | — | 234,030 | 35,215 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
164,511,445 | 36,933,537 | (24,171,673 | ) | 369,599 | (9,004,608 | ) | 19,371,967 | — | — | 188,010,267 | 19,087,131 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 164,511,445 | $ | 36,933,537 | $ | (24,171,673 | )# | $ | 369,599 | $ | (9,004,608 | ) | $ | 19,371,967 | $ | — | $ | — | $ | 188,010,267 | $ | 19,087,131 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| # | Includes $8,507,335 of proceeds received from partial calls and/or principal paydowns as applicable. |
The following table summarizes the quantitative inputs used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended May 31, 2026.
Quantitative information about Level 3 Fair Value Measurements*
| Investment Type | Total Fair Value ($) |
Valuation Methodology |
Unobservable Inputs | Range (Weighted Average) | ||||||
| Emerging Country Debt Fund | ||||||||||
| Sovereign and Sovereign Agency Issuers |
7,977,344 | Market comparable | Discount for lack of liquidity/marketability | 0.50% - 1.60% (0.99%) | ||||||
| Sovereign and Sovereign Agency Issuers |
22,635 | Recovery value | Discount for lack of liquidity/marketability | 99% (N/A) | ||||||
| Corporate Debt |
13,660,531 | Market comparable | Discount for lack of liquidity/marketability | 2.70% (N/A) | ||||||
| Corporate Debt |
24,859,767 | Market comparable | Discount for lack of liquidity/marketability | 8.60% (N/A) | ||||||
| Loan Participations |
247,647 | Market comparable | Discount for lack of liquidity/marketability | 5.00% (N/A) | ||||||
|
Warrants |
234,030 | Market comparable | Discount for lack of liquidity/marketability | 50% (N/A) | ||||||
|
Investment Funds |
16,751,922 | NAV | Net asset value statement | (N/A) | ||||||
| * | The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2026, the value of these securities and/or derivatives for Emerging Country Debt Fund was $124,256,391. 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 May 31, 2026 is set forth below:
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Emerging Country Debt Fund | ||||||||||||||||||||||||||||||||
| Bona Fide Investment Holdings II LLC |
$ | 15,843,071 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 908,851 | $ | 16,751,922 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Emerging Country Debt Shares Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class III |
$ | 26,566,548 | $ | 34,390,170 | $ | 43,000 | $ | — | $ | — | $ | 677 | $ | 1,088,286 | $ | 62,002,681 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Opportunistic Income Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 11,639,444 | $ | — | $ | — | $ | 110,233 | $ | — | $ | — | $ | — | $ | 11,639,444 | ||||||||||||||||
| GMO Ultra-Short Income ETF |
301,417 | 9,706,476 | — | 61,202 | — | — | (18,911 | ) | 9,988,982 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 11,940,861 | $ | 9,706,476 | $ | — | $ | 171,435 | $ | — | $ | — | $ | (18,911 | ) | $ | 21,628,426 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2026 through May 31, 2026. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2027. |
Subsequent events
Subsequent to May 31, 2026, GMO Emerging Country Debt Shares Fund received redemption requests in the amount of $25,852,748.
***
For additional information regarding the Funds, please see the Funds’ most recent annual or semiannual shareholder report available on the SEC’s website, www.sec.gov, or visit GMO’s website at www.gmo.com.
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| |
Description | Value ($) | ||||||||
| COMMON STOCKS — 148.4% |
| |||||||||
| Australia — 3.3% | ||||||||||
| 4,887 | Aristocrat Leisure Ltd. (a) | 175,592 | ||||||||
| 22,922 | ASX Ltd. (a) | 761,384 | ||||||||
| 75,917 | BHP Group Ltd. (a) | 3,379,700 | ||||||||
| 76,203 | Brambles Ltd. (a) | 907,826 | ||||||||
| 7,078 | CSL Ltd. | 491,575 | ||||||||
| 200,818 | Fortescue Ltd. (a) | 3,225,310 | ||||||||
| 4,436,538 | Qube Holdings Ltd. | 15,963,733 | ||||||||
| 27,518 | Santos Ltd. (a) | 154,423 | ||||||||
| 406,058 | Stockland – (REIT) (a) | 1,193,392 | ||||||||
| 328,834 | Vicinity Ltd. – (REIT) (a) | 596,925 | ||||||||
|
|
|
|||||||||
| Total Australia | 26,849,860 | |||||||||
|
|
|
|||||||||
| Austria — 0.4% | ||||||||||
| 8,799 | Erste Group Bank AG (a) | 1,048,817 | ||||||||
| 1,883 | OMV AG (a) | 135,501 | ||||||||
| 30,186 | Raiffeisen Bank International AG (a) | 1,732,765 | ||||||||
| 2,620 | Verbund AG (a) | 175,883 | ||||||||
|
|
|
|||||||||
| Total Austria | 3,092,966 | |||||||||
|
|
|
|||||||||
| Belgium — 0.4% | ||||||||||
| 45,595 | Ageas SA (a) | 3,532,779 | ||||||||
|
|
|
|||||||||
| Canada — 6.9% | ||||||||||
| 10,600 | Alimentation Couche-Tard, Inc. (a) | 598,871 | ||||||||
| 571,058 | Allied Gold Corp. * | 14,456,116 | ||||||||
| 906,535 | ARC Resources Ltd. (a) | 20,522,219 | ||||||||
| 17,900 | Brookfield Asset Management Ltd. – Class A (b) (c) | 869,940 | ||||||||
| 13,200 | Canadian Tire Corp. Ltd. – Class A (a) | 1,693,744 | ||||||||
| 17,700 | CCL Industries, Inc. – Class B (a) | 1,143,153 | ||||||||
| 31,900 | CGI, Inc. (a) | 2,227,782 | ||||||||
| 612 | Constellation Software, Inc. (a) | 1,253,090 | ||||||||
| 6,000 | Empire Co. Ltd. – Class A (a) | 212,773 | ||||||||
| 600 | Fairfax Financial Holdings Ltd. (a) | 933,827 | ||||||||
| 3,700 | FirstService Corp. (a) | 496,017 | ||||||||
| 7,800 | iA Financial Corp., Inc. (a) | 972,447 | ||||||||
| 20,169 | IGM Financial, Inc. (a) | 1,149,296 | ||||||||
| 25,700 | Kinross Gold Corp. (a) | 780,703 | ||||||||
| 38,097 | Magna International, Inc. (a) (d) | 2,467,162 | ||||||||
| 11,300 | Magna International, Inc. (a) (d) | 732,350 | ||||||||
| 22,008 | Manulife Financial Corp. (a) (c) | 840,485 | ||||||||
| 11,965 | Nutrien Ltd. (a) | 820,201 | ||||||||
| 63,500 | Open Text Corp. (a) (d) | 1,509,832 | ||||||||
| 48,300 | Open Text Corp. (a) (c) (d) | 1,151,472 | ||||||||
| 6,900 | TFI International, Inc. (a) (b) | 1,063,428 | ||||||||
|
|
|
|||||||||
| Total Canada | 55,894,908 | |||||||||
|
|
|
|||||||||
| China — 0.7% | ||||||||||
| 1,279,000 | AviChina Industry & Technology Co. Ltd. – Class H | 511,544 | ||||||||
| |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 45,000 | Bank of Communications Co. Ltd. – Class H | 41,949 | ||||||||
| 61,000 | Beijing Enterprises Holdings Ltd. | 240,040 | ||||||||
| 410,000 | China Communications Services Corp. Ltd. – Class H | 216,070 | ||||||||
| 250,000 | China National Building Material Co. Ltd. – Class H | 169,225 | ||||||||
| 695,000 | China Overseas Land & Investment Ltd. | 1,382,410 | ||||||||
| 1,414,000 | China Railway Group Ltd. – Class H | 632,546 | ||||||||
| 58,800 | China Taiping Insurance Holdings Co. Ltd. | 149,288 | ||||||||
| 791,000 | CITIC Ltd. | 1,326,695 | ||||||||
| 2,293 | JD.com, Inc. ADR (c) | 66,107 | ||||||||
| 152,000 | Longfor Group Holdings Ltd. | 152,031 | ||||||||
| 42,456 | Qfin Holdings, Inc. ADR (a) | 682,692 | ||||||||
|
|
|
|||||||||
| Total China | 5,570,597 | |||||||||
|
|
|
|||||||||
| Denmark — 1.1% | ||||||||||
| 697 | AP Moller – Maersk AS – Class A (a) | 1,697,089 | ||||||||
| 881 | AP Moller – Maersk AS – Class B (a) | 2,187,492 | ||||||||
| 11,402 | Genmab AS * | 2,988,734 | ||||||||
| 5,206 | Pandora AS (a) | 487,222 | ||||||||
| 49,248 | Rockwool AS – B Shares (a) | 1,541,959 | ||||||||
|
|
|
|||||||||
| Total Denmark | 8,902,496 | |||||||||
|
|
|
|||||||||
| Finland — 0.9% | ||||||||||
| 3,025 | Elisa OYJ (a) | 145,252 | ||||||||
| 38,775 | Neste OYJ (a) | 1,274,922 | ||||||||
| 216,204 | Nokia OYJ (a) | 3,175,557 | ||||||||
| 15,128 | Orion OYJ – Class B | 1,263,594 | ||||||||
| 32,140 | Wartsila OYJ Abp (a) | 1,304,357 | ||||||||
|
|
|
|||||||||
| Total Finland | 7,163,682 | |||||||||
|
|
|
|||||||||
| France — 2.3% | ||||||||||
| 13,071 | Amundi SA (a) | 1,274,347 | ||||||||
| 36,131 | ArcelorMittal SA (a) | 2,487,344 | ||||||||
| 9,602 | BioMerieux (a) | 830,435 | ||||||||
| 10,683 | Capgemini SE * (a) | 1,269,192 | ||||||||
| 20,683 | Carrefour SA (a) | 386,427 | ||||||||
| 28,610 | Cie Generale des Etablissements Michelin SCA (a) | 1,044,298 | ||||||||
| 55,685 | Dassault Systemes SE (a) | 1,221,696 | ||||||||
| 7,817 | Ipsen SA | 1,427,925 | ||||||||
| 7,526 | Legrand SA (a) | 1,293,566 | ||||||||
| 282 | L’Oreal SA (a) | 124,432 | ||||||||
| 3,563 | LVMH Moet Hennessy Louis Vuitton SE (a) | 1,948,775 | ||||||||
| 1,168 | Publicis Groupe SA (a) | 113,633 | ||||||||
| 11,022 | Safran SA (a) | 3,919,997 | ||||||||
| 2,275 | Schneider Electric SE (a) | 714,539 | ||||||||
| 2,524 | TotalEnergies SE (a) | 221,463 | ||||||||
|
|
|
|||||||||
| Total France | 18,278,069 | |||||||||
|
|
|
|||||||||
| Germany — 2.4% | ||||||||||
| 44,587 | Bayer AG (Registered) | 1,896,139 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| |
Description | Value ($) | ||||||||
| Germany — continued | ||||||||||
| 64,404 | Deutsche Bank AG (Registered) (a) | 2,087,018 | ||||||||
|
|
21,379 | Deutsche Post AG (a) | 1,273,277 | |||||||
| 33,807 | Deutsche Telekom AG (Registered) (a) | 1,135,073 | ||||||||
| 84,808 | E.ON SE (a) | 1,800,348 | ||||||||
| 4,262 | GEA Group AG (a) | 274,740 | ||||||||
| 18,915 | Infineon Technologies AG (a) | 1,793,435 | ||||||||
| 5,915 | Knorr-Bremse AG (a) | 714,552 | ||||||||
| 25,462 | Mercedes-Benz Group AG (a) | 1,546,002 | ||||||||
| 28,600 | Qiagen NV (b) (c) | 1,046,474 | ||||||||
| 1,653 | Rational AG (a) | 1,264,791 | ||||||||
| 17,269 | SAP SE (a) | 3,123,865 | ||||||||
| 1,832 | Siemens AG (Registered) (a) | 574,405 | ||||||||
| 2,777 | Symrise AG (a) | 255,254 | ||||||||
| 8,553 | Talanx AG (a) | 1,023,078 | ||||||||
|
|
|
|||||||||
| Total Germany | 19,808,451 | |||||||||
|
|
|
|||||||||
| Hong Kong — 1.4% | ||||||||||
| 369,268 | CK Asset Holdings Ltd. (a) | 2,229,502 | ||||||||
| 292,500 | CK Hutchison Holdings Ltd. (a) | 2,631,876 | ||||||||
| 766,279 | HKT Trust & HKT Ltd. (a) | 1,183,838 | ||||||||
| 300,000 | SITC International Holdings Co. Ltd. | 1,327,420 | ||||||||
| 87,500 | Sun Hung Kai Properties Ltd. (a) | 1,469,539 | ||||||||
| 73,500 | Techtronic Industries Co. Ltd. (a) | 1,091,151 | ||||||||
| 1,094,500 | WH Group Ltd. (a) | 1,263,092 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 11,196,418 | |||||||||
|
|
|
|||||||||
| Indonesia — 0.0% | ||||||||||
| 888,600 | Astra International Tbk. PT | 248,910 | ||||||||
| 168,600 | Indofood Sukses Makmur Tbk. PT | 65,351 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 314,261 | |||||||||
|
|
|
|||||||||
| Ireland — 0.1% | ||||||||||
| 3,852 | Kingspan Group PLC | 352,111 | ||||||||
|
|
|
|||||||||
| Israel — 0.3% | ||||||||||
| 54,899 | ICL Group Ltd. | 360,772 | ||||||||
| 32,276 | Israel Discount Bank Ltd. – Class A | 357,338 | ||||||||
| 19,442 | Nice Ltd. Sponsored ADR * (a) (c) | 1,801,496 | ||||||||
| 2,253 | Nice Ltd. * | 203,432 | ||||||||
|
|
|
|||||||||
| Total Israel | 2,723,038 | |||||||||
|
|
|
|||||||||
| Italy — 1.8% | ||||||||||
| 17,622 | Buzzi SpA (a) | 951,901 | ||||||||
| 18,207 | Leonardo SpA (a) | 1,156,236 | ||||||||
| 14,406 | Moncler SpA (a) | 933,840 | ||||||||
| 8,197 | Prysmian SpA (a) | 1,412,072 | ||||||||
| 21,804 | Recordati Industria Chimica e Farmaceutica SpA | 1,309,404 | ||||||||
| 33,819 | Snam SpA (a) | 247,166 | ||||||||
| 294,965 | Stellantis NV * (a) | 2,353,917 | ||||||||
| 4,313,726 | Telecom Italia SpA * (a) | 3,664,508 | ||||||||
| 42,254 | Tenaris SA (a) | 1,287,139 | ||||||||
| |
Description | Value ($) | ||||||||
| Italy — continued | ||||||||||
| 47,598 | Unipol Assicurazioni SpA (a) | 1,176,779 | ||||||||
|
|
|
|||||||||
| Total Italy | 14,492,962 | |||||||||
|
|
|
|||||||||
| Japan — 6.0% | ||||||||||
|
|
2,300 | Canon, Inc. (a) | 61,167 | |||||||
| 36,200 | Chubu Electric Power Co., Inc. (a) | 664,639 | ||||||||
| 18,200 | Dai Nippon Printing Co. Ltd. (a) | 316,458 | ||||||||
| 64,900 | Daito Trust Construction Co. Ltd. (a) | 1,289,172 | ||||||||
| 29,100 | Daiwa House Industry Co. Ltd. (a) | 791,355 | ||||||||
| 20,400 | Fuji Electric Co. Ltd. (a) | 1,979,791 | ||||||||
| 12,500 | FUJIFILM Holdings Corp. (a) | 259,868 | ||||||||
| 114,200 | Honda Motor Co. Ltd. (a) | 1,026,198 | ||||||||
| 4,000 | Hoya Corp. (a) | 679,308 | ||||||||
| 70,500 | Inpex Corp. (a) | 1,585,297 | ||||||||
| 5,400 | Japan Post Insurance Co. Ltd. (a) | 48,430 | ||||||||
| 76,400 | Kirin Holdings Co. Ltd. (a) | 1,300,251 | ||||||||
| 6,400 | Komatsu Ltd. (a) | 261,361 | ||||||||
| 81,000 | Kyowa Kirin Co. Ltd. | 1,272,868 | ||||||||
| 3,100 | Makita Corp. (a) | 107,591 | ||||||||
| 34,800 | Mitsubishi Electric Corp. (a) | 1,414,726 | ||||||||
| 7,700 | Mitsui Fudosan Co. Ltd. (a) | 73,707 | ||||||||
| 5,400 | Mitsui OSK Lines Ltd. (a) | 185,608 | ||||||||
| 54,700 | Nippon Yusen KK (a) | 1,822,624 | ||||||||
| 967,600 | Nissan Motor Co. Ltd. * (a) | 2,407,921 | ||||||||
| 70,400 | Nitto Denko Corp. (a) | 1,319,283 | ||||||||
| 19,300 | Olympus Corp. (a) | 216,232 | ||||||||
| 29,400 | Osaka Gas Co. Ltd. (a) | 987,976 | ||||||||
| 172,426 | Panasonic Holdings Corp. (a) | 3,983,725 | ||||||||
| 24,600 | Recruit Holdings Co. Ltd. (a) | 1,645,018 | ||||||||
| 91,800 | Renesas Electronics Corp. (a) | 2,555,501 | ||||||||
| 32,400 | SBI Holdings, Inc. (a) | 592,755 | ||||||||
| 4,900 | Shin-Etsu Chemical Co. Ltd. (a) | 237,859 | ||||||||
| 144,500 | Shionogi & Co. Ltd. | 2,717,731 | ||||||||
| 14,000 | SoftBank Group Corp. (a) | 658,589 | ||||||||
| 198,900 | Subaru Corp. (a) | 3,018,580 | ||||||||
| 21,200 | Sumitomo Electric Industries Ltd. (a) | 1,635,171 | ||||||||
| 16,500 | Sumitomo Metal Mining Co. Ltd. (a) | 935,411 | ||||||||
| 18,500 | Sumitomo Mitsui Financial Group, Inc. (a) | 674,748 | ||||||||
| 113,400 | Suzuki Motor Corp. (a) | 1,404,353 | ||||||||
| 68,102 | TDK Corp. (a) | 1,763,999 | ||||||||
| 700 | Tokyo Electron Ltd. (a) | 234,762 | ||||||||
| 40,000 | Tokyo Gas Co. Ltd. (a) | 1,599,174 | ||||||||
| 13,500 | TOPPAN Holdings, Inc. (a) | 386,852 | ||||||||
| 81,200 | Toyota Tsusho Corp. (a) | 3,537,809 | ||||||||
| 38,500 | Yamaha Motor Co. Ltd. (a) | 316,825 | ||||||||
| 18,500 | Yokogawa Electric Corp. (a) | 580,691 | ||||||||
|
|
|
|||||||||
| Total Japan | 48,551,384 | |||||||||
|
|
|
|||||||||
| Mexico — 0.1% | ||||||||||
| 65,583 | Cemex SAB de CV Sponsored ADR | 858,481 | ||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| |
Description | Value ($) | ||||||||
| Netherlands — 2.1% | ||||||||||
| 32,749 | ABN AMRO Bank NV (a) | 1,301,489 | ||||||||
| 261,269 | Aegon Ltd. (a) | 2,216,107 | ||||||||
|
|
48,240 | Akzo Nobel NV (a) | 3,661,179 | |||||||
| 974 | ASM International NV (a) | 1,016,286 | ||||||||
| 18,290 | DSM-Firmenich AG (a) | 1,536,932 | ||||||||
| 31,815 | EXOR NV (a) | 2,477,643 | ||||||||
| 15,702 | ING Groep NV (a) | 486,376 | ||||||||
| 19,465 | Koninklijke Ahold Delhaize NV (a) | 820,199 | ||||||||
| 123,484 | Koninklijke KPN NV (a) | 643,234 | ||||||||
| 14,456 | NN Group NV (a) | 1,206,733 | ||||||||
| 17,898 | Randstad NV (a) | 548,730 | ||||||||
| 15,947 | Wolters Kluwer NV (a) | 1,133,778 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 17,048,686 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 65,902 | Meridian Energy Ltd. (a) | 231,338 | ||||||||
|
|
|
|||||||||
| Norway — 0.5% | ||||||||||
| 47,287 | Equinor ASA (a) | 1,709,407 | ||||||||
| 114,523 | Norsk Hydro ASA (a) | 1,400,590 | ||||||||
| 22,163 | Orkla ASA (a) | 233,574 | ||||||||
| 11,162 | Yara International ASA | 605,969 | ||||||||
|
|
|
|||||||||
| Total Norway | 3,949,540 | |||||||||
|
|
|
|||||||||
| Poland — 0.4% | ||||||||||
| 80,643 | ORLEN SA | 3,151,940 | ||||||||
| 143,893 | PGE Polska Grupa Energetyczna SA * | 419,287 | ||||||||
|
|
|
|||||||||
| Total Poland | 3,571,227 | |||||||||
|
|
|
|||||||||
| Portugal — 0.2% | ||||||||||
| 54,211 | Galp Energia SGPS SA | 1,181,396 | ||||||||
| 17,783 | Jeronimo Martins SGPS SA | 376,490 | ||||||||
|
|
|
|||||||||
| Total Portugal | 1,557,886 | |||||||||
|
|
|
|||||||||
| Singapore — 0.6% | ||||||||||
| 278,400 | CapitaLand Integrated Commercial Trust – (REIT) | 495,539 | ||||||||
| 80,600 | Singapore Exchange Ltd. | 1,381,778 | ||||||||
| 16,400 | Wilmar International Ltd. | 46,139 | ||||||||
| 1,102,700 | Yangzijiang Shipbuilding Holdings Ltd. | 3,145,904 | ||||||||
|
|
|
|||||||||
| Total Singapore | 5,069,360 | |||||||||
|
|
|
|||||||||
| South Korea — 2.6% | ||||||||||
| 12,475 | Doosan Bobcat, Inc. | 533,686 | ||||||||
| 17,151 | Hankook Tire & Technology Co. Ltd. | 760,141 | ||||||||
| 38,235 | HMM Co. Ltd. | 496,032 | ||||||||
| 2,995 | Hyundai Glovis Co. Ltd. | 482,493 | ||||||||
| 7,199 | Hyundai Mobis Co. Ltd. | 3,666,005 | ||||||||
| 20,400 | Kia Corp. | 2,288,475 | ||||||||
| 2,838 | Korea Electric Power Corp. | 73,724 | ||||||||
| 870 | Krafton, Inc. | 148,637 | ||||||||
| |
Description | Value ($) | ||||||||
| South Korea — continued | ||||||||||
| 11,716 | LG Corp. | 1,140,559 | ||||||||
| 21,578 | LG Electronics, Inc. | 4,207,159 | ||||||||
| 1,179 | POSCO Holdings, Inc. Sponsored ADR (c) | 83,591 | ||||||||
|
|
1,150 | POSCO Holdings, Inc. | 323,929 | |||||||
| 11,653 | Samsung Electronics Co. Ltd. | 2,444,725 | ||||||||
| 854 | Samsung SDS Co. Ltd. | 169,936 | ||||||||
| 4,901 | Shinhan Financial Group Co. Ltd. ADR (a) | 309,204 | ||||||||
| 3,769 | Shinhan Financial Group Co. Ltd. | 234,440 | ||||||||
| 4,286 | SK Square Co. Ltd. | 3,554,030 | ||||||||
|
|
|
|||||||||
| Total South Korea | 20,916,766 | |||||||||
|
|
|
|||||||||
| Spain — 1.5% | ||||||||||
| 40,565 | Amadeus IT Group SA (a) | 2,587,718 | ||||||||
| 93,546 | Banco Bilbao Vizcaya Argentaria SA (a) | 2,184,922 | ||||||||
| 341,752 | Banco Santander SA (a) | 4,273,896 | ||||||||
| 256,389 | Mapfre SA (a) | 1,198,891 | ||||||||
| 67,824 | Repsol SA (a) | 1,751,235 | ||||||||
|
|
|
|||||||||
| Total Spain | 11,996,662 | |||||||||
|
|
|
|||||||||
| Sweden — 1.4% | ||||||||||
| 25,969 | Boliden AB (a) | 1,617,029 | ||||||||
| 9,996 | Industrivarden AB – A Shares (a) | 566,912 | ||||||||
| 34,621 | Industrivarden AB – C Shares (a) | 1,893,081 | ||||||||
| 59,120 | Investor AB – B Shares (a) | 2,429,326 | ||||||||
| 30,927 | Sandvik AB (a) | 1,257,808 | ||||||||
| 27,675 | Skanska AB – B Shares (a) | 748,746 | ||||||||
| 87,050 | SKF AB – B Shares (a) | 2,283,273 | ||||||||
| 26,103 | Svenska Cellulosa AB SCA – Class B (a) | 287,135 | ||||||||
| 44,650 | Telefonaktiebolaget LM Ericsson – B Shares (a) | 582,245 | ||||||||
|
|
|
|||||||||
| Total Sweden | 11,665,555 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.9% | ||||||||||
| 12,101 | ABB Ltd. (Registered) (a) | 1,293,927 | ||||||||
| 6,330 | BKW AG (a) | 1,197,728 | ||||||||
| 17,391 | Logitech International SA (Registered) (a) | 2,113,439 | ||||||||
| 1,672 | Novartis AG (Registered) (a) | 251,486 | ||||||||
| 1,200 | Schindler Holding AG (Registered) (a) | 392,762 | ||||||||
| 1,044 | Swatch Group AG – Class BR (a) | 289,016 | ||||||||
| 30,650 | UBS Group AG (Registered) (a) | 1,447,472 | ||||||||
| 882 | VAT Group AG (a) | 688,654 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 7,674,484 | |||||||||
|
|
|
|||||||||
| Taiwan — 1.9% | ||||||||||
| 80,000 | Asustek Computer, Inc. | 1,929,965 | ||||||||
| 699,000 | Compal Electronics, Inc. | 813,143 | ||||||||
| 356,000 | Evergreen Marine Corp. Taiwan Ltd. | 2,417,697 | ||||||||
| 135,000 | Pegatron Corp. | 380,868 | ||||||||
| 19,000 | Realtek Semiconductor Corp. | 350,206 | ||||||||
| 122,110 | Taiwan Semiconductor Manufacturing Co. Ltd. | 9,046,553 | ||||||||
| 238,000 | Wan Hai Lines Ltd. | 622,703 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| |
Description | Value ($) | ||||||||
| Taiwan — continued | ||||||||||
| 109,000 | Yang Ming Marine Transport Corp. | 183,286 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 15,744,421 | |||||||||
|
|
|
|||||||||
| Thailand — 0.5% | ||||||||||
| 236,800 | Kasikornbank PCL NVDR | 1,461,695 | ||||||||
|
|
2,114,100 | Krung Thai Bank PCL NVDR | 2,256,049 | |||||||
| 155,000 | PTT Exploration & Production PCL NVDR | 674,514 | ||||||||
|
|
|
|||||||||
| Total Thailand | 4,392,258 | |||||||||
|
|
|
|||||||||
| Turkey — 0.1% | ||||||||||
| 129,508 | Turk Hava Yollari AO | 831,231 | ||||||||
|
|
|
|||||||||
| United Kingdom — 8.1% | ||||||||||
| 88,473 | 3i Group PLC (a) | 2,686,907 | ||||||||
| 25,205 | Antofagasta PLC | 1,388,479 | ||||||||
| 25,910 | Barratt Redrow PLC (a) | 91,286 | ||||||||
| 601,515 | Beazley PLC (a) | 10,347,306 | ||||||||
| 826,966 | BT Group PLC (a) | 2,319,032 | ||||||||
| 18,441 | Coca-Cola HBC AG – Class DI (a) | 1,057,858 | ||||||||
| 121,364 | Compass Group PLC (a) | 3,892,177 | ||||||||
| 74,559 | Diageo PLC (a) | 1,528,351 | ||||||||
| 55,918 | Experian PLC (a) | 1,931,056 | ||||||||
| 12,791 | Fresnillo PLC | 562,028 | ||||||||
| 41,910 | GSK PLC Sponsored ADR (a) | 2,118,131 | ||||||||
| 16,582 | GSK PLC (a) | 419,303 | ||||||||
| 576,285 | Haleon PLC | 2,601,594 | ||||||||
| 39,342 | HSBC Holdings PLC (a) | 738,773 | ||||||||
| 912,128 | JD Sports Fashion PLC (a) | 1,032,644 | ||||||||
| 450,496 | Kingfisher PLC (a) | 1,739,438 | ||||||||
| 6,596 | Next PLC (a) | 1,169,881 | ||||||||
| 73,801 | Pearson PLC (a) | 1,097,008 | ||||||||
| 92,997 | Sage Group PLC (a) | 1,052,009 | ||||||||
| 2,500,846 | Schroders PLC | 19,592,077 | ||||||||
| 8,302 | Shell PLC ADR (a) | 698,364 | ||||||||
| 12,187 | Smiths Group PLC (a) | 402,350 | ||||||||
| 31,617 | Standard Chartered PLC (a) | 846,695 | ||||||||
| 45,145 | Unilever PLC (a) | 2,543,991 | ||||||||
| 3,431 | Unilever PLC Sponsored ADR (a) | 193,680 | ||||||||
| 1,068,107 | Vodafone Group PLC (a) | 1,605,070 | ||||||||
| 148,695 | Vodafone Group PLC Sponsored ADR (a) | 2,224,477 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 65,879,965 | |||||||||
|
|
|
|||||||||
| United States — 99.5% | ||||||||||
| 18,634 | AAON, Inc. (c) | 2,612,487 | ||||||||
| 35,106 | Abbott Laboratories (c) | 3,005,074 | ||||||||
| 22,717 | Accenture PLC – Class A (a) (c) | 4,249,669 | ||||||||
| 13,871 | Acushnet Holdings Corp. (c) | 1,231,467 | ||||||||
| 74,918 | ACV Auctions, Inc. – Class A * (c) | 492,211 | ||||||||
| 13,729 | Adobe, Inc. * (a) (c) | 3,558,694 | ||||||||
| 1,356,632 | AES Corp. (a) | 19,901,791 | ||||||||
| 3,100 | Air Products & Chemicals, Inc. (a) (b) | 863,722 | ||||||||
| 67,300 | Albertsons Cos., Inc. – Class A (b) (c) | 1,050,553 | ||||||||
| |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 8,943 | Allegion PLC (a) (c) | 1,163,216 | ||||||||
| 14,641 | Allstate Corp. (c) | 3,017,364 | ||||||||
| 24,615 | Alphabet, Inc. – Class A (a) (c) | 9,362,069 | ||||||||
| 31,337 | Amazon.com, Inc. * (c) | 8,481,046 | ||||||||
|
|
8,018 | American Electric Power Co., Inc. (a) (c) | 1,015,640 | |||||||
| 9,387 | Amphenol Corp. – Class A (c) | 1,396,410 | ||||||||
| 31,733 | Apple, Inc. (a) | 9,902,600 | ||||||||
| 18,597 | AptarGroup, Inc. (c) | 2,154,462 | ||||||||
| 60,876 | Aramark (a) | 3,249,561 | ||||||||
| 6,359 | Arch Capital Group Ltd. * (a) (c) | 568,113 | ||||||||
| 719 | Arxis, Inc. – Class A * (a) | 32,305 | ||||||||
| 3,232 | Atlassian Corp. – Class A * (c) | 347,796 | ||||||||
| 106,700 | Avantor, Inc. * (b) (c) | 973,104 | ||||||||
| 449,930 | Axalta Coating Systems Ltd. * (a) | 13,844,346 | ||||||||
| 8,674 | Axcelis Technologies, Inc. * | 1,304,656 | ||||||||
| 14,793 | Badger Meter, Inc. (c) | 1,832,853 | ||||||||
| 15,293 | Balchem Corp. (a) | 2,396,872 | ||||||||
| 44,586 | Bank of America Corp. (a) (c) | 2,300,638 | ||||||||
| 4,572 | Bank of New York Mellon Corp. (a) | 637,474 | ||||||||
| 4,000 | Becton Dickinson & Co. (a) (b) | 588,480 | ||||||||
| 58,556 | Best Buy Co., Inc. (a) | 4,564,440 | ||||||||
| 7,000 | Blackstone, Inc. (a) (b) | 818,790 | ||||||||
| 8,589 | Block, Inc. * (a) | 650,359 | ||||||||
| 18,488 | Booz Allen Hamilton Holding Corp. (c) | 1,463,880 | ||||||||
| 15,000 | Boston Scientific Corp. * (a) (b) | 724,650 | ||||||||
| 12,722 | Broadcom, Inc. (a) | 5,683,808 | ||||||||
| 20,320 | Bruker Corp. (c) | 1,196,645 | ||||||||
| 37,121 | Builders FirstSource, Inc. * (c) | 2,830,847 | ||||||||
| 27,215 | Cactus, Inc. – Class A (c) | 1,579,559 | ||||||||
| 3,440 | Cadence Design Systems, Inc. * (a) | 1,289,759 | ||||||||
| 228,101 | Caesars Entertainment, Inc. * (a) | 6,626,334 | ||||||||
| 16,099 | Capital One Financial Corp. (a) (c) | 3,025,485 | ||||||||
| 1,479 | Caterpillar, Inc. (a) | 1,295,412 | ||||||||
| 1,226 | Cboe Global Markets, Inc. (c) | 408,945 | ||||||||
| 8,598 | CBRE Group, Inc. – Class A * (a) | 1,075,094 | ||||||||
| 2,957 | CDW Corp. (a) | 370,956 | ||||||||
| 26,089 | Celsius Holdings, Inc. * (c) | 867,981 | ||||||||
| 399,386 | Centessa Pharmaceuticals PLC ADR * | 15,879,587 | ||||||||
| 10,170 | CF Industries Holdings, Inc. (a) | 1,142,599 | ||||||||
| 99,324 | Chart Industries, Inc. * (a) (c) | 20,641,514 | ||||||||
| 5,800 | Charter Communications, Inc. – Class A * (a) (b) | 835,490 | ||||||||
| 3,612 | Chubb Ltd. (a) (c) | 1,125,969 | ||||||||
| 18,959 | Cigna Group (a) (c) | 5,259,227 | ||||||||
| 17,283 | Cirrus Logic, Inc. * (a) (c) | 2,937,246 | ||||||||
| 14,190 | Cisco Systems, Inc. (c) | 1,708,760 | ||||||||
| 30,863 | Citigroup, Inc. (a) (c) | 3,885,652 | ||||||||
| 8,131 | Citizens Financial Group, Inc. (a) (c) | 506,236 | ||||||||
| 8,190 | Clean Harbors, Inc. * (c) | 2,301,636 | ||||||||
| 181,275 | CNH Industrial NV (a) (c) | 1,850,818 | ||||||||
| 32,596 | Coca-Cola Co. (c) | 2,575,410 | ||||||||
| 8,615 | Coca-Cola Consolidated, Inc. (a) | 1,492,635 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 293,511 | Coeur Mining, Inc. | 5,670,632 | ||||||||
| 15,400 | Cognex Corp. (b) (c) | 1,014,090 | ||||||||
| 77,514 | Cognizant Technology Solutions Corp. – Class A (a) (b) (c) | 4,321,793 | ||||||||
| 25,969 | Cohen & Steers, Inc. (a) (c) | 1,812,636 | ||||||||
|
|
166,185 | Comcast Corp. – Class A (a) (b) (c) | 4,133,021 | |||||||
| 496 | Comfort Systems USA, Inc. (a) | 906,792 | ||||||||
| 10,410 | Consolidated Edison, Inc. (a) | 1,099,608 | ||||||||
| 16,171 | Constellation Brands, Inc. – Class A (c) | 2,244,858 | ||||||||
| 17,500 | Cooper Cos., Inc. * (a) (b) | 1,071,175 | ||||||||
| 50,601 | Corebridge Financial, Inc. (c) | 1,366,227 | ||||||||
| 11,781 | Corteva, Inc. (c) | 922,217 | ||||||||
| 4,922 | CorVel Corp. * (a) (c) | 303,933 | ||||||||
| 19,522 | CoStar Group, Inc. * (a) | 628,608 | ||||||||
| 1,983 | Cummins, Inc. (c) | 1,282,267 | ||||||||
| 1,729 | Curtiss-Wright Corp. (a) (c) | 1,292,618 | ||||||||
| 46,438 | CVS Health Corp. (c) | 4,224,929 | ||||||||
| 2,200 | Darden Restaurants, Inc. (c) | 448,602 | ||||||||
| 23,186 | Deckers Outdoor Corp. * (a) | 2,639,726 | ||||||||
| 12,816 | Dell Technologies, Inc. – Class C (a) | 5,394,383 | ||||||||
| 35,626 | Delta Air Lines, Inc. (c) | 2,938,432 | ||||||||
| 316,417 | Devon Energy Corp. (c) | 14,077,392 | ||||||||
| 29,001 | Dolby Laboratories, Inc. – Class A (a) (c) | 1,618,546 | ||||||||
| 3,930 | Dollar General Corp. (a) | 434,697 | ||||||||
| 5,920 | Dover Corp. (c) | 1,251,251 | ||||||||
| 14,970 | DR Horton, Inc. (a) (c) | 2,201,937 | ||||||||
| 8,891 | Duke Energy Corp. (c) | 1,091,192 | ||||||||
| 3,500 | Eagle Materials, Inc. (a) (b) (c) | 774,130 | ||||||||
| 35,195 | eBay, Inc. (a) | 3,845,758 | ||||||||
| 26,732 | Edison International (a) (c) | 1,869,636 | ||||||||
| 13,346 | Edwards Lifesciences Corp. * (a) | 1,154,029 | ||||||||
| 54,675 | Electronic Arts, Inc. (a) (c) | 11,029,041 | ||||||||
| 12,423 | Elevance Health, Inc. (a) (c) | 4,884,599 | ||||||||
| 2,952 | Eli Lilly & Co. (c) | 3,261,960 | ||||||||
| 1,434 | EMCOR Group, Inc. (a) | 1,185,660 | ||||||||
| 4,990 | Entegris, Inc. (c) | 692,562 | ||||||||
| 7,207 | EOG Resources, Inc. (a) (c) | 961,270 | ||||||||
| 511,958 | Essential Utilities, Inc. (a) | 18,886,131 | ||||||||
| 6,779 | Everest Group Ltd. (a) | 2,196,599 | ||||||||
| 14,454 | Evergy, Inc. (c) | 1,185,806 | ||||||||
| 25,217 | Exelon Corp. (c) | 1,150,904 | ||||||||
| 568 | Expedia Group, Inc. (c) | 128,249 | ||||||||
| 8,299 | Expeditors International of Washington, Inc. (c) | 1,311,159 | ||||||||
| 2,900 | FedEx Corp. (a) (c) | 1,194,075 | ||||||||
| 955 | First Solar, Inc. * (a) | 292,984 | ||||||||
| 4,745 | Fiserv, Inc. * (a) | 268,377 | ||||||||
| 32,700 | Fluor Corp. * (a) (b) (c) | 1,496,352 | ||||||||
| 211,493 | Ford Motor Co. (a) (c) | 3,688,438 | ||||||||
| 20,862 | Fox Corp. – Class A (c) | 1,333,499 | ||||||||
| 12,414 | FTI Consulting, Inc. * (a) (c) | 1,901,576 | ||||||||
| 27,050 | Gaming & Leisure Properties, Inc. – (REIT) (a) (c) | 1,270,538 | ||||||||
| |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 1,127 | Gartner, Inc. * (a) | 182,799 | ||||||||
| 54,939 | GE HealthCare Technologies, Inc. (c) | 3,424,897 | ||||||||
| 9,492 | Gen Digital, Inc. (c) | 244,799 | ||||||||
| 59,800 | General Mills, Inc. (c) | 2,021,838 | ||||||||
| 34,338 | General Motors Co. (a) | 2,858,295 | ||||||||
|
|
37,700 | Gitlab, Inc. – Class A * (b) (c) | 1,170,585 | |||||||
| 24,413 | Global Payments, Inc. (c) | 1,843,426 | ||||||||
| 29,185 | Globus Medical, Inc. – Class A * (a) (c) | 2,389,668 | ||||||||
| 1,279 | Goldman Sachs Group, Inc. (a) | 1,311,691 | ||||||||
| 32,073 | Halliburton Co. (a) | 1,246,036 | ||||||||
| 12,146 | Hartford Insurance Group, Inc. (c) | 1,544,121 | ||||||||
| 89,997 | Hewlett Packard Enterprise Co. (a) (c) | 3,873,471 | ||||||||
| 4,934 | Hilton Worldwide Holdings, Inc. (b) (c) | 1,616,674 | ||||||||
| 12,132 | Houlihan Lokey, Inc. (c) | 1,718,619 | ||||||||
| 168,159 | HP, Inc. (c) | 4,547,019 | ||||||||
| 2,683 | Humana, Inc. (c) | 819,442 | ||||||||
| 6,724 | Huntington Bancshares, Inc. (c) | 110,005 | ||||||||
| 43,432 | Incyte Corp. * (c) | 4,201,612 | ||||||||
| 14,497 | Interactive Brokers Group, Inc. – Class A (a) (c) | 1,260,804 | ||||||||
| 664 | International Business Machines Corp. (c) | 197,739 | ||||||||
| 28,500 | International Paper Co. (a) (b) | 953,895 | ||||||||
| 7,648 | Intuitive Surgical, Inc. * (a) (c) | 3,247,647 | ||||||||
| 6,858 | Itron, Inc. * (a) | 565,648 | ||||||||
| 3,607 | Jabil, Inc. (a) | 1,314,968 | ||||||||
| 13,666 | Jack Henry & Associates, Inc. (a) | 1,862,949 | ||||||||
| 15,786 | Jacobs Solutions, Inc. (a) (b) | 1,892,110 | ||||||||
| 28,417 | Johnson & Johnson (a) (c) | 6,403,203 | ||||||||
| 5,630 | Kadant, Inc. (c) | 1,796,983 | ||||||||
| 901,579 | Kenvue, Inc. (a) | 15,579,285 | ||||||||
| 39,500 | Keurig Dr. Pepper, Inc. (b) (c) | 1,186,185 | ||||||||
| 22,671 | Kimberly-Clark Corp. (a) (b) | 2,212,690 | ||||||||
| 55,007 | Kimco Realty Corp. – (REIT) (a) | 1,324,569 | ||||||||
| 8,600 | KKR & Co., Inc. (a) (b) | 825,084 | ||||||||
| 1,642 | KLA Corp. (a) | 3,155,448 | ||||||||
| 115,978 | Kraft Heinz Co. (a) (b) | 2,784,632 | ||||||||
| 11,401 | Kroger Co. (a) | 708,572 | ||||||||
| 30,622 | Lam Research Corp. (a) | 9,743,308 | ||||||||
| 19,400 | Lamb Weston Holdings, Inc. (b) (c) | 837,692 | ||||||||
| 3,171 | Landstar System, Inc. (a) | 656,080 | ||||||||
| 23,277 | Las Vegas Sands Corp. (a) | 1,177,118 | ||||||||
| 7,566 | Leidos Holdings, Inc. (c) | 966,935 | ||||||||
| 24,791 | Lennar Corp. – Class A (c) | 2,225,736 | ||||||||
| 317,311 | Liberty Broadband Corp. – Class C * (a) | 10,712,419 | ||||||||
| 43,900 | LKQ Corp. (b) (c) | 1,190,568 | ||||||||
| 25,754 | Lululemon Athletica, Inc. * (a) (c) | 3,378,410 | ||||||||
| 12,414 | LyondellBasell Industries NV – Class A (a) | 827,393 | ||||||||
| 1,037 | M&T Bank Corp. (c) | 224,106 | ||||||||
| 19,539 | Malibu Boats, Inc. – Class A * (a) (c) | 536,541 | ||||||||
| 14,056 | Marzetti Co. (a) | 1,573,429 | ||||||||
| 3,534 | Masco Corp. (a) (c) | 248,263 | ||||||||
| 5,930 | Mastercard, Inc. – Class A (a) | 2,929,301 | ||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 2,432 | Medpace Holdings, Inc. * (c) | 1,087,372 | ||||||||
| 48,657 | Merck & Co., Inc. (c) | 5,776,559 | ||||||||
| 19,777 | Meta Platforms, Inc. – Class A (a) (b) | 12,509,150 | ||||||||
| 29,452 | Microsoft Corp. (a) | 13,260,468 | ||||||||
| 6,800 | Middleby Corp. * (a) (b) (c) | 1,054,068 | ||||||||
|
|
757 | Monolithic Power Systems, Inc. (c) | 1,185,621 | |||||||
| 16,032 | Monster Beverage Corp. * (a) | 1,412,099 | ||||||||
| 6,488 | Morgan Stanley (c) | 1,349,504 | ||||||||
| 73,407 | National Storage Affiliates Trust – (REIT) REIT (c) | 3,130,809 | ||||||||
| 309,330 | NCR Atleos Corp. * | 13,796,118 | ||||||||
| 1,560 | NetApp, Inc. (a) | 271,892 | ||||||||
| 46,658 | Netflix, Inc. * (a) (b) (c) | 4,013,521 | ||||||||
| 13,201 | Neurocrine Biosciences, Inc. * | 2,089,718 | ||||||||
| 28,573 | New York Times Co. – Class A (a) (c) | 2,148,975 | ||||||||
| 2,593 | Nordson Corp. (a) | 745,047 | ||||||||
| 71,696 | Norfolk Southern Corp. (a) | 21,864,412 | ||||||||
| 1,761 | Northrop Grumman Corp. (c) | 992,640 | ||||||||
| 364,065 | Northwestern Energy Group, Inc. (c) | 25,706,630 | ||||||||
| 19,682 | Nucor Corp. (a) (c) | 4,920,500 | ||||||||
| 2,331 | NVIDIA Corp. (a) | 492,167 | ||||||||
| 26,914 | Ollie’s Bargain Outlet Holdings, Inc. * (a) (c) | 2,196,990 | ||||||||
| 26,041 | Omnicom Group, Inc. (c) | 1,893,441 | ||||||||
| 8,369 | Onto Innovation, Inc. * (a) (c) | 2,161,211 | ||||||||
| 69,497 | PayPal Holdings, Inc. (a) | 3,109,991 | ||||||||
| 93,500 | Penn Entertainment, Inc. * (a) (b) | 1,760,605 | ||||||||
| 10,592 | Pentair PLC (a) (c) | 750,337 | ||||||||
| 5,427 | Penumbra, Inc. * (a) | 1,727,414 | ||||||||
| 80,794 | Pfizer, Inc. (a) | 2,115,187 | ||||||||
| 2,022 | Phillips 66 (a) | 355,629 | ||||||||
| 175,157 | Pinterest, Inc. – Class A * (a) (c) | 3,511,898 | ||||||||
| 423 | PPG Industries, Inc. (c) | 47,791 | ||||||||
| 844 | Preformed Line Products Co. (a) (c) | 312,128 | ||||||||
| 18,580 | PriceSmart, Inc. (a) (c) | 3,158,414 | ||||||||
| 13,092 | Principal Financial Group, Inc. (c) | 1,356,593 | ||||||||
| 18,377 | PulteGroup, Inc. (c) | 2,171,794 | ||||||||
| 6,546 | Qnity Electronics, Inc. (c) | 1,021,176 | ||||||||
| 173,502 | Qorvo, Inc. * (a) | 17,967,867 | ||||||||
| 13,747 | QUALCOMM, Inc. (c) | 3,450,772 | ||||||||
| 7,628 | Quest Diagnostics, Inc. (c) | 1,486,697 | ||||||||
| 1,772 | Raymond James Financial, Inc. (c) | 254,123 | ||||||||
| 1,752 | RBC Bearings, Inc. * (c) | 1,002,074 | ||||||||
| 4,281 | Regeneron Pharmaceuticals, Inc. | 2,631,873 | ||||||||
| 67,694 | Regions Financial Corp. (c) | 1,895,432 | ||||||||
| 66,900 | Rocket Cos., Inc. – Class A * (a) (b) | 970,719 | ||||||||
| 780 | Roper Technologies, Inc. (c) | 253,913 | ||||||||
| 6,008 | Ross Stores, Inc. (a) (c) | 1,392,234 | ||||||||
| 17,310 | Salesforce, Inc. (a) (c) | 3,307,941 | ||||||||
| 594,270 | Select Medical Holdings Corp. | 9,805,455 | ||||||||
| 60,771 | Silicon Laboratories, Inc. * (a) (c) | 13,223,770 | ||||||||
| 47,967 | Solventum Corp. * (a) (b) (c) | 3,595,127 | ||||||||
| 18,138 | State Street Corp. (a) | 2,822,998 | ||||||||
| |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 10,864 | Steel Dynamics, Inc. (a) (c) | 2,826,270 | ||||||||
| 22,537 | StepStone Group, Inc. – Class A (a) | 1,111,299 | ||||||||
| 63,438 | Super Micro Computer, Inc. * (a) | 2,923,857 | ||||||||
| 52,147 | Synchrony Financial (a) | 3,725,382 | ||||||||
| 5,595 | Synopsys, Inc. * (b) (c) | 2,661,094 | ||||||||
| 35,813 | T. Rowe Price Group, Inc. (c) | 3,743,533 | ||||||||
|
|
35,951 | Target Corp. (a) (b) (c) | 4,568,294 | |||||||
| 4,856 | TE Connectivity PLC (a) | 1,036,319 | ||||||||
| 19,976 | Texas Instruments, Inc. (a) | 6,106,264 | ||||||||
| 24,083 | Textron, Inc. (a) (c) | 2,209,856 | ||||||||
| 10,217 | Thermo Fisher Scientific, Inc. (c) | 5,031,975 | ||||||||
| 14,939 | TJX Cos., Inc. (a) | 2,311,810 | ||||||||
| 36,382 | Trade Desk, Inc. – Class A * (c) | 784,396 | ||||||||
| 11,349 | Tradeweb Markets, Inc. – Class A (a) | 1,137,737 | ||||||||
| 1,964 | Trane Technologies PLC (a) | 886,353 | ||||||||
| 3,686 | Travelers Cos., Inc. (a) (c) | 1,075,907 | ||||||||
| 49,368 | Trex Co., Inc. * (a) | 2,043,835 | ||||||||
| 18,153 | Trimble, Inc. * (c) | 1,024,011 | ||||||||
| 379,313 | TXNM Energy, Inc. (a) | 22,459,123 | ||||||||
| 134,493 | U.S. Bancorp (a) (c) | 7,376,941 | ||||||||
| 4,129 | U.S. Lime & Minerals, Inc. (a) | 470,665 | ||||||||
| 30,072 | Uber Technologies, Inc. * (a) (c) | 2,117,069 | ||||||||
| 2,236 | Ulta Beauty, Inc. * (a) | 1,137,789 | ||||||||
| 4,000 | Union Pacific Corp. (a) (b) | 1,050,560 | ||||||||
| 22,173 | United Airlines Holdings, Inc. * (a) (c) | 2,545,460 | ||||||||
| 23,209 | United Parcel Service, Inc. – Class B (a) (c) | 2,476,168 | ||||||||
| 2,340 | United Therapeutics Corp. * (c) | 1,302,959 | ||||||||
| 12,418 | UnitedHealth Group, Inc. (a) (c) | 4,722,690 | ||||||||
| 11,042 | Universal Display Corp. (c) | 1,017,189 | ||||||||
| 15,119 | Universal Health Services, Inc. – Class B (a) (c) | 2,209,037 | ||||||||
| 5,415 | Valero Energy Corp. (a) | 1,325,700 | ||||||||
| 27,552 | Veeco Instruments, Inc. * | 1,588,097 | ||||||||
| 72,648 | Verizon Communications, Inc. (a) (c) | 3,473,301 | ||||||||
| 3,734 | Vertiv Holdings Co. – Class A (a) | 1,178,861 | ||||||||
| 41,752 | VICI Properties, Inc. – (REIT) (a) | 1,178,241 | ||||||||
| 13,477 | Visa, Inc. – Class A (a) (c) | 4,398,354 | ||||||||
| 372,494 | Warner Bros Discovery, Inc. * (a) | 10,061,063 | ||||||||
| 542 | Waters Corp. * | 207,877 | ||||||||
| 318,352 | Webster Financial Corp. (a) | 23,150,557 | ||||||||
| 6,748 | Williams-Sonoma, Inc. (c) | 1,373,690 | ||||||||
| 16,734 | WP Carey, Inc. – (REIT) (a) | 1,245,344 | ||||||||
| 1,080 | WW Grainger, Inc. (c) | 1,332,979 | ||||||||
| 16,464 | XPEL, Inc. * (c) | 752,734 | ||||||||
| 2,943 | Yum! Brands, Inc. (c) | 435,417 | ||||||||
| 6,874 | Zebra Technologies Corp. – Class A * (a) | 1,674,713 | ||||||||
| 7,223 | Zoetis, Inc. (c) | 561,155 | ||||||||
| 35,770 | Zoom Communications, Inc. * (a) (c) | 3,633,874 | ||||||||
|
|
|
|||||||||
| Total United States | 809,314,660 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $1,101,479,759) |
1,207,426,502 | |||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| PREFERRED STOCKS (e) — 0.4% |
| |||||||||
| Brazil — 0.1% | ||||||||||
| 122,200 | Cia Energetica de Minas Gerais | 260,652 | ||||||||
|
|
51,873 | Gerdau SA Sponsored ADR (a) | 233,429 | |||||||
|
|
|
|||||||||
| Total Brazil | 494,081 | |||||||||
|
|
|
|||||||||
| Germany — 0.3% | ||||||||||
| 5,162 | Bayerische Motoren Werke AG (a) | 448,687 | ||||||||
| 21,740 | Volkswagen AG * (a) | 2,319,648 | ||||||||
|
|
|
|||||||||
| Total Germany | 2,768,335 | |||||||||
|
|
|
|||||||||
| South Korea — 0.0% | ||||||||||
| 2,532 | Samsung Electronics Co. Ltd. | 338,765 | ||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $3,251,934) |
3,601,181 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.1% | ||||||||||
| Canada — 0.0% | ||||||||||
| 176,256 | Resolute Forest Products, Inc. * (f) | 264,384 | ||||||||
|
|
|
|||||||||
| United States — 0.1% | ||||||||||
| 13,635 | ABIOMED, Inc. CVR * (f) | 21,816 | ||||||||
| 117,606 | Akero Therapeutics, Inc. CVR * (f) | 58,803 | ||||||||
| 195,149 | Bristol-Myers Squibb Co. * (f) | 585,447 | ||||||||
| 192,737 | Hologic, Inc. * (f) | 1,927 | ||||||||
| 38,486 | Pershing Square Holdings Ltd. * (f) | 11,546 | ||||||||
| 121,981 | Walgreens Boots Alliance, Inc. CVR * (f) | 60,991 | ||||||||
|
|
|
|||||||||
| Total United States | 740,530 | |||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $691,641) |
1,004,914 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 1.7% | ||||||||||
| Japan — 0.2% | ||||||||||
| 3,259,500 | Carlyle ARE Partners II, L.P. (g) (h) | 1,840,921 | ||||||||
|
|
|
|||||||||
| United States — 1.5% | ||||||||||
| 9,856,086 | Altaba, Inc.* (f) | 12,320,107 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $14,141,689) |
14,161,028 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 24.3% | ||||||||||
| Dominican Republic — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| DOP |
100,000,000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 2,013,282 | |||||||
|
|
|
|||||||||
| |
Description | Value ($) | ||||||||
| Kazakhstan — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| KZT |
183,000,000 | Development Bank of Kazakhstan JSC, 144A, 18.40%, due 10/16/28 | 376,787 | |||||||
|
|
|
|||||||||
| Malaysia — 0.3% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.3% | ||||||||||
| MYR |
10,200,000 | Malaysia Government Bonds, 3.90%, due 11/30/26 | 2,584,176 | |||||||
|
|
|
|||||||||
| Paraguay — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
| PYG |
1,660,000,000 | Paraguay Government International Bonds, 144A, 8.50%, due 04/04/38 | 259,569 | |||||||
|
|
|
|||||||||
| Uganda — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
| UGX |
1,010,000,000 | Republic of Uganda Government Bonds, 15.80%, due 06/23/39 | 268,424 | |||||||
|
|
|
|||||||||
| United States — 23.5% | ||||||||||
| U.S. Government — 21.1% | ||||||||||
| 305,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/27 (a) (i) | 305,095 | ||||||||
| 58,669,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 07/31/27 (a) (i) | 58,725,987 | ||||||||
| 1,150,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.82%, due 10/31/27 (a) (i) | 1,151,977 | ||||||||
| 111,456,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 (a) (i) | 111,473,759 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 171,656,818 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 2.4% | ||||||||||
| 15,000,000 | Uniform Mortgage-Backed Security, TBA, 5.50%, due 06/01/39 | 15,263,673 | ||||||||
| 1,500,000 | Uniform Mortgage-Backed Security, TBA, 2.50%, due 06/01/56 | 1,254,903 | ||||||||
| 3,100,000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/56 | 3,165,318 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 19,683,894 | |||||||||
|
|
|
|||||||||
| Total United States | 191,340,712 | |||||||||
|
|
|
|||||||||
| Uruguay — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| UYU |
13,000,000 | Uruguay Government International Bonds, 8.25%, due 05/21/31 | 338,075 | |||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Par Value† / Shares |
Description | Value ($) | ||||||||
| Sovereign and Sovereign Agency Issuers — continued |
||||||||||
| UYU |
14,000,000 | Uruguay Government International Bonds, 8.00%, due 10/29/35 | 356,164 | |||||||
|
|
|
|||||||||
| Total Uruguay | 694,239 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $197,239,739) |
197,537,189 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 20.7% | ||||||||||
| Money Market Funds — 1.3% | ||||||||||
| 10,281,701 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (j) | 10,281,701 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 18.5% | ||||||||||
| 150,000,760 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/29/26, maturing on 06/01/26 with a maturity value of $150,046,010 and an effective yield of 3.62%, collateralized by a U.S. Treasury Note with maturity date 06/15/28 and a market value of $153,084,656. | 150,000,760 | ||||||||
|
|
|
|||||||||
| |
Description | Value ($) | ||||||||
| Sovereign and Sovereign Agency Issuers — 0.5% | ||||||||||
| EGP |
58,000,000 | Egypt Treasury Bills, Zero Coupon, due 09/01/26 | 1,050,675 | |||||||
| EGP |
34,000,000 | Egypt Treasury Bills, Zero Coupon, due 10/06/26 | 602,364 | |||||||
| EGP |
22,000,000 | Egypt Treasury Bills, Zero Coupon, due 10/20/26 | 386,437 | |||||||
| NGN |
1,500,000,000 | Nigeria OMO Bills, Zero Coupon, due 08/04/26 | 1,055,777 | |||||||
| NGN |
1,699,999,999 | Nigeria OMO Bills, Zero Coupon, due 08/11/26 | 1,191,813 | |||||||
|
|
|
|||||||||
| Total Sovereign and Sovereign Agency Issuers | 4,287,066 | |||||||||
|
|
|
|||||||||
| U.S. Government — 0.4% | ||||||||||
| 3,475,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 04/30/28 (i) | 3,475,802 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $168,184,171) |
168,045,329 | |||||||||
|
|
|
|||||||||
PURCHASED OPTIONS — 0.0%
| Description |
Exercise Price |
Expiration |
Number of Contracts |
Notional Amount |
Value ($) | |||||||||||||||||
| Equity Options – Calls — 0.0% |
||||||||||||||||||||||
| iShares 20+ Year Treasury Bond ETF (b) |
86.00 | 09/18/26 | 371 | USD | 3,181,696 | 64,925 | ||||||||||||||||
| iShares 7-10 Year Treasury Bond ETF (b) |
95.00 | 09/18/26 | 186 | USD | 1,760,490 | 20,460 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Equity Options – Calls | 85,385 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| TOTAL PURCHASED OPTIONS (COST $79,624) |
85,385 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| TOTAL INVESTMENTS — 195.6% |
1,591,861,528 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Shares | Description | Value ($) | ||||||||
| SECURITIES SOLD SHORT — (96.4)% |
| |||||||||
| Common Stocks — (94.6)% | ||||||||||
| Australia — (2.4)% | ||||||||||
| (123,399 | ) | APA Group | (892,902 | ) | ||||||
|
|
(12,940 | ) | Commonwealth Bank of Australia | (1,533,588 | ) | |||||
| (38,376 | ) | GPT Group – (REIT) | (133,645 | ) | ||||||
| (27,325 | ) | Insurance Australia Group Ltd. | (150,188 | ) | ||||||
| (193,788 | ) | Lottery Corp. Ltd. | (752,780 | ) | ||||||
| (134,945 | ) | Lynas Rare Earths Ltd. * | (1,855,289 | ) | ||||||
| (7,850 | ) | Macquarie Group Ltd. | (1,346,111 | ) | ||||||
| (5,328 | ) | National Australia Bank Ltd. | (143,007 | ) | ||||||
| (14,577 | ) | NEXTDC Ltd. * | (159,460 | ) | ||||||
| (18,954 | ) | Pro Medicus Ltd. | (1,801,857 | ) | ||||||
| (74,097 | ) | Scentre Group – (REIT) | (203,567 | ) | ||||||
| Shares | Description | Value ($) | ||||||||
| Australia — continued | ||||||||||
| (27,121 | ) | SGH Ltd. | (800,916 | ) | ||||||
| (1,055,205 | ) | Sigma Healthcare Ltd. | (2,225,979 | ) | ||||||
| (344,906 | ) | South32 Ltd. | (1,196,520 | ) | ||||||
|
|
(148,477 | ) | Transurban Group | (1,596,904 | ) | |||||
| (45,170 | ) | Vicinity Ltd. – (REIT) | (81,996 | ) | ||||||
| (27,193 | ) | Washington H Soul Pattinson & Co. Ltd. | (849,853 | ) | ||||||
| (5,183 | ) | Westpac Banking Corp. | (134,010 | ) | ||||||
| (27,115 | ) | WiseTech Global Ltd. | (704,920 | ) | ||||||
| (49,723 | ) | Xero Ltd. * | (2,701,877 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (19,265,369 | ) | ||||||||
|
|
|
|||||||||
| Belgium — (0.4)% | ||||||||||
| (16,883 | ) | Anheuser-Busch InBev SA | (1,351,781 | ) | ||||||
| (8,596 | ) | Elia Group SA | (1,336,217 | ) | ||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Belgium — continued | ||||||||||
|
|
(2,388 | ) | Groupe Bruxelles Lambert NV | (224,847 | ) | |||||
| (51 | ) | Lotus Bakeries NV | (653,608 | ) | ||||||
|
|
|
|||||||||
| Total Belgium | (3,566,453 | ) | ||||||||
|
|
|
|||||||||
| Brazil — (0.2)% | ||||||||||
| (143,894 | ) | NU Holdings Ltd. – Class A * | (1,889,328 | ) | ||||||
|
|
|
|||||||||
| Canada — (2.4)% | ||||||||||
| (39,100 | ) | AltaGas Ltd. | (1,521,572 | ) | ||||||
| (19,300 | ) | AtkinsRealis Group, Inc. | (1,158,574 | ) | ||||||
| (400 | ) | Bombardier, Inc. – Class B * | (90,230 | ) | ||||||
| (1,200 | ) | Brookfield Corp. (b) | (54,671 | ) | ||||||
| (27,106 | ) | Brookfield Renewable Corp. | (1,083,698 | ) | ||||||
| (11,694 | ) | Cameco Corp. | (1,317,914 | ) | ||||||
| (1,900 | ) | Dollarama, Inc. | (242,970 | ) | ||||||
| (7,500 | ) | Element Fleet Management Corp. | (149,440 | ) | ||||||
| (23,014 | ) | Enbridge, Inc. | (1,259,786 | ) | ||||||
| (3,900 | ) | Equinox Gold Corp. | (53,182 | ) | ||||||
| (4,400 | ) | First Majestic Silver Corp. | (92,937 | ) | ||||||
| (5,367 | ) | Franco-Nevada Corp. | (1,238,167 | ) | ||||||
| (23,167 | ) | GFL Environmental, Inc. | (777,021 | ) | ||||||
| (3,500 | ) | IAMGOLD Corp. * | (63,316 | ) | ||||||
| (93,500 | ) | Keyera Corp. | (3,878,624 | ) | ||||||
| (1,300 | ) | Loblaw Cos. Ltd. | (58,152 | ) | ||||||
| (1,500 | ) | OR Royalties, Inc. | (55,902 | ) | ||||||
| (23,227 | ) | Pan American Silver Corp. | (1,323,707 | ) | ||||||
| (29,639 | ) | Pembina Pipeline Corp. | (1,379,695 | ) | ||||||
| (9,550 | ) | RB Global, Inc. | (1,015,642 | ) | ||||||
| (17,118 | ) | Restaurant Brands International, Inc. | (1,278,715 | ) | ||||||
| (3,919 | ) | TC Energy Corp. | (261,084 | ) | ||||||
| (7,204 | ) | Wheaton Precious Metals Corp. | (955,250 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (19,310,249 | ) | ||||||||
|
|
|
|||||||||
| Chile — (0.1)% | ||||||||||
| (20,275 | ) | Latam Airlines Group SA ADR | (1,088,362 | ) | ||||||
|
|
|
|||||||||
| China — (0.3)% | ||||||||||
| (10,000 | ) | Akeso, Inc. * | (151,038 | ) | ||||||
| (7,200 | ) | BeOne Medicines Ltd. – Class H * | (161,995 | ) | ||||||
| (28,000 | ) | Genscript Biotech Corp. * | (48,786 | ) | ||||||
| (14,000 | ) | Innovent Biologics, Inc. * | (148,657 | ) | ||||||
| (1,300 | ) | Legend Biotech Corp. ADR * | (35,308 | ) | ||||||
| (214,241 | ) | NIO, Inc. ADR * | (1,199,750 | ) | ||||||
| (25,630 | ) | NIO, Inc. – Class A * | (144,416 | ) | ||||||
| (31,105 | ) | XPeng, Inc. ADR * | (511,677 | ) | ||||||
| (13,000 | ) | XPeng, Inc. – Class A * | (105,741 | ) | ||||||
|
|
|
|||||||||
| Total China | (2,507,368 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (1.1)% | ||||||||||
| (40,150 | ) | Coloplast AS – Class B | (2,464,779 | ) | ||||||
| (25,287 | ) | Novonesis Novozymes B – Class B | (1,469,126 | ) | ||||||
| (78,351 | ) | Orsted AS * | (1,996,817 | ) | ||||||
| Shares | Description | Value ($) | ||||||||
| Denmark — continued | ||||||||||
|
|
(127,195 | ) | Tryg AS | (2,989,705 | ) | |||||
|
|
|
|||||||||
| Total Denmark | (8,920,427 | ) | ||||||||
|
|
|
|||||||||
| Finland — (0.4)% | ||||||||||
| (10,616 | ) | Kesko OYJ – Class B | (257,224 | ) | ||||||
| (65,104 | ) | Nordea Bank Abp | (1,247,385 | ) | ||||||
| (51,238 | ) | Sampo OYJ – Class A | (540,794 | ) | ||||||
| (96,200 | ) | Stora Enso OYJ – Class R | (1,125,796 | ) | ||||||
|
|
|
|||||||||
| Total Finland | (3,171,199 | ) | ||||||||
|
|
|
|||||||||
| France — (0.7)% | ||||||||||
| (14,738 | ) | Aeroports de Paris SA | (1,974,731 | ) | ||||||
| (216 | ) | Dassault Aviation SA | (76,739 | ) | ||||||
| (919 | ) | Gecina SA – (REIT) | (78,556 | ) | ||||||
| (73,117 | ) | Getlink SE | (1,597,634 | ) | ||||||
| (773 | ) | Hermes International SCA | (1,444,527 | ) | ||||||
| (12,760 | ) | Renault SA | (436,425 | ) | ||||||
| (1,504 | ) | Unibail-Rodamco-Westfield – (REIT) * | (173,861 | ) | ||||||
|
|
|
|||||||||
| Total France | (5,782,473 | ) | ||||||||
|
|
|
|||||||||
| Germany — (2.6)% | ||||||||||
| (21,757 | ) | BASF SE | (1,288,292 | ) | ||||||
| (27,895 | ) | Bayer AG (Registered) | (1,186,283 | ) | ||||||
| (60,752 | ) | Delivery Hero SE * | (2,602,499 | ) | ||||||
| (1,238 | ) | Deutsche Boerse AG | (356,682 | ) | ||||||
| (113,708 | ) | Deutsche Lufthansa AG (Registered) | (1,130,545 | ) | ||||||
| (63,607 | ) | Evonik Industries AG * | (1,245,661 | ) | ||||||
| (2,556 | ) | Fresenius Medical Care AG | (110,769 | ) | ||||||
| (4,331 | ) | Fresenius SE & Co. KGaA | (182,881 | ) | ||||||
| (31,684 | ) | Hensoldt AG | (3,289,428 | ) | ||||||
| (2,258 | ) | HOCHTIEF AG | (1,276,589 | ) | ||||||
| (8,955 | ) | LEG Immobilien SE | (581,403 | ) | ||||||
| (3,143 | ) | MTU Aero Engines AG | (1,146,681 | ) | ||||||
| (20,203 | ) | Qiagen NV (b) | (744,971 | ) | ||||||
| (121 | ) | Rational AG | (92,583 | ) | ||||||
| (149 | ) | Rheinmetall AG | (224,329 | ) | ||||||
| (13,843 | ) | Siemens Energy AG | (2,620,674 | ) | ||||||
| (12,669 | ) | Talanx AG | (1,515,418 | ) | ||||||
| (51,662 | ) | Vonovia SE | (1,287,606 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (20,883,294 | ) | ||||||||
|
|
|
|||||||||
| Hong Kong — (0.7)% | ||||||||||
| (96,200 | ) | AIA Group Ltd. | (1,009,116 | ) | ||||||
| (65,500 | ) | CK Infrastructure Holdings Ltd. | (495,779 | ) | ||||||
| (28,000 | ) | Galaxy Entertainment Group Ltd. | (111,523 | ) | ||||||
| (18,000 | ) | Henderson Land Development Co. Ltd. | (71,066 | ) | ||||||
| (21,700 | ) | Hongkong Land Holdings Ltd. | (165,417 | ) | ||||||
| (218,800 | ) | Link REIT | (1,127,872 | ) | ||||||
| (288,000 | ) | MTR Corp. Ltd. | (1,158,834 | ) | ||||||
| (422,400 | ) | Sands China Ltd. | (825,213 | ) | ||||||
| (114,000 | ) | Wharf Holdings Ltd. | (322,529 | ) | ||||||
|
|
|
|||||||||
| Total Hong Kong | (5,287,349 | ) | ||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Israel — (0.2)% | ||||||||||
|
|
(2,781 | ) | Monday.com Ltd. * | (232,547 | ) | |||||
| (37,316 | ) | Teva Pharmaceutical Industries Ltd. Sponsored ADR * | (1,318,001 | ) | ||||||
| (3,434 | ) | Wix.com Ltd. * | (192,510 | ) | ||||||
|
|
|
|||||||||
| Total Israel | (1,743,058 | ) | ||||||||
|
|
|
|||||||||
| Italy — (1.3)% | ||||||||||
| (124,124 | ) | Banca Monte dei Paschi di Siena SpA | (1,334,968 | ) | ||||||
| (12,468 | ) | Ferrari NV | (4,284,140 | ) | ||||||
| (86,464 | ) | FinecoBank Banca Fineco SpA | (2,109,649 | ) | ||||||
| (30,721 | ) | Generali | (1,383,527 | ) | ||||||
| (162,428 | ) | Intesa Sanpaolo SpA | (1,097,699 | ) | ||||||
| (522 | ) | Prysmian SpA | (89,923 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (10,299,906 | ) | ||||||||
|
|
|
|||||||||
| Japan — (6.2)% | ||||||||||
| (5,200 | ) | Advantest Corp. | (850,176 | ) | ||||||
| (304,500 | ) | Aeon Co. Ltd. | (2,665,195 | ) | ||||||
| (46,800 | ) | ANA Holdings, Inc. | (876,531 | ) | ||||||
| (2,900 | ) | Asics Corp. | (88,096 | ) | ||||||
| (45,200 | ) | Chiba Bank Ltd. | (660,843 | ) | ||||||
| (5,000 | ) | Disco Corp. | (2,040,174 | ) | ||||||
| (31,200 | ) | East Japan Railway Co. | (664,538 | ) | ||||||
| (23,300 | ) | Eisai Co. Ltd. | (579,306 | ) | ||||||
| (2,400 | ) | Fast Retailing Co. Ltd. | (1,243,767 | ) | ||||||
| (24,100 | ) | Fujikura Ltd. | (718,192 | ) | ||||||
| (18,400 | ) | Fujitsu Ltd. | (391,921 | ) | ||||||
| (5,000 | ) | Hikari Tsushin, Inc. | (1,146,716 | ) | ||||||
| (20,800 | ) | Ibiden Co. Ltd. | (2,990,378 | ) | ||||||
| (139,600 | ) | IHI Corp. | (2,425,740 | ) | ||||||
| (131,500 | ) | Japan Exchange Group, Inc. | (1,606,437 | ) | ||||||
| (70,900 | ) | Japan Post Bank Co. Ltd. | (1,366,328 | ) | ||||||
| (2,800 | ) | JX Advanced Metals Corp. | (69,111 | ) | ||||||
| (61,000 | ) | Kawasaki Heavy Industries Ltd. | (1,193,010 | ) | ||||||
| (30,900 | ) | KDDI Corp. | (531,184 | ) | ||||||
| (4,200 | ) | Kioxia Holdings Corp. * | (1,729,510 | ) | ||||||
| (100 | ) | Kobe Bussan Co. Ltd. | (1,701 | ) | ||||||
| (3,100 | ) | Mitsubishi Estate Co. Ltd. | (78,330 | ) | ||||||
| (37,400 | ) | Mitsubishi Heavy Industries Ltd. | (884,090 | ) | ||||||
| (16,500 | ) | Mizuho Financial Group, Inc. | (741,609 | ) | ||||||
| (161,000 | ) | MonotaRO Co. Ltd. | (1,902,864 | ) | ||||||
| (481,000 | ) | Nissan Motor Co. Ltd. * | (1,196,993 | ) | ||||||
| (49,200 | ) | Nitori Holdings Co. Ltd. | (807,993 | ) | ||||||
| (15,800 | ) | Oracle Corp. Japan | (856,924 | ) | ||||||
| (247,100 | ) | Oriental Land Co. Ltd. | (3,553,456 | ) | ||||||
| (632,200 | ) | Rakuten Group, Inc. * | (2,955,223 | ) | ||||||
| (50,600 | ) | Resona Holdings, Inc. | (645,927 | ) | ||||||
| (6,100 | ) | Ryohin Keikaku Co. Ltd. | (148,986 | ) | ||||||
| (245,000 | ) | Sanrio Co. Ltd. | (1,317,412 | ) | ||||||
| (15,400 | ) | Seibu Holdings, Inc. | (272,883 | ) | ||||||
| (11,524 | ) | Shimano, Inc. | (1,192,717 | ) | ||||||
| (117,100 | ) | Shiseido Co. Ltd. | (2,064,605 | ) | ||||||
| Shares | Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| (2,978,400 | ) | SoftBank Corp. | (4,024,010 | ) | ||||||
|
|
(39,600 | ) | SoftBank Group Corp. | (1,862,866 | ) | |||||
| (13,800 | ) | Tokyo Metro Co. Ltd. | (126,686 | ) | ||||||
| (43,800 | ) | Tokyu Corp. | (439,163 | ) | ||||||
| (55,400 | ) | Toyota Motor Corp. | (1,048,041 | ) | ||||||
| (16,100 | ) | West Japan Railway Co. | (265,550 | ) | ||||||
| (8,600 | ) | Zensho Holdings Co. Ltd. | (434,951 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (50,660,133 | ) | ||||||||
|
|
|
|||||||||
| Mexico — (0.0)% | ||||||||||
| (933 | ) | Grupo Aeroportuario del Pacifico SAB de CV ADR | (220,468 | ) | ||||||
|
|
|
|||||||||
| Netherlands — (3.2)% | ||||||||||
| (1,070 | ) | Adyen NV * | (1,172,043 | ) | ||||||
| (56,031 | ) | Aegon Ltd. | (475,260 | ) | ||||||
| (185,851 | ) | Akzo Nobel NV | (14,105,176 | ) | ||||||
| (8,611 | ) | BE Semiconductor Industries NV | (2,851,152 | ) | ||||||
| (198,338 | ) | CVC Capital Partners PLC | (3,170,306 | ) | ||||||
| (14,299 | ) | Heineken NV | (1,116,677 | ) | ||||||
| (32,788 | ) | Koninklijke Philips NV | (870,520 | ) | ||||||
| (9,111 | ) | Nebius Group NV * | (2,105,461 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (25,866,595 | ) | ||||||||
|
|
|
|||||||||
| New Zealand — (0.2)% | ||||||||||
| (80,074 | ) | Auckland International Airport Ltd. | (396,505 | ) | ||||||
| (101,157 | ) | Contact Energy Ltd. | (577,711 | ) | ||||||
| (33,483 | ) | Infratil Ltd. | (315,102 | ) | ||||||
| (92,443 | ) | Meridian Energy Ltd. | (324,506 | ) | ||||||
|
|
|
|||||||||
| Total New Zealand | (1,613,824 | ) | ||||||||
|
|
|
|||||||||
| Norway — (0.7)% | ||||||||||
| (63,116 | ) | Kongsberg Gruppen ASA | (2,260,886 | ) | ||||||
| (43,308 | ) | Salmar ASA | (2,690,547 | ) | ||||||
| (18,348 | ) | Telenor ASA | (299,678 | ) | ||||||
|
|
|
|||||||||
| Total Norway | (5,251,111 | ) | ||||||||
|
|
|
|||||||||
| Peru — (0.3)% | ||||||||||
| (12,363 | ) | Southern Copper Corp. | (2,365,120 | ) | ||||||
|
|
|
|||||||||
| Portugal — (0.2)% | ||||||||||
| (92,020 | ) | EDP Renewables SA | (1,521,526 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.8)% | ||||||||||
| (89,383 | ) | CapitaLand Integrated Commercial Trust – (REIT) | (159,097 | ) | ||||||
| (628,600 | ) | CapitaLand Investment Ltd. | (1,250,597 | ) | ||||||
| (225,355 | ) | Grab Holdings Ltd. – Class A * | (797,757 | ) | ||||||
| (158,300 | ) | Keppel Ltd. | (1,334,946 | ) | ||||||
| (20,463 | ) | Sea Ltd. ADR * | (1,852,515 | ) | ||||||
| (225,200 | ) | Singapore Airlines Ltd. | (1,196,342 | ) | ||||||
|
|
|
|||||||||
| Total Singapore | (6,591,254 | ) | ||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| Spain — (1.8)% | ||||||||||
|
|
(295,497 | ) | Banco Santander SA Sponsored ADR | (3,687,803 | ) | |||||
| (358,654 | ) | Banco Santander SA | (4,485,270 | ) | ||||||
| (80,689 | ) | Cellnex Telecom SA * | (2,700,068 | ) | ||||||
| (54,450 | ) | Ferrovial NV | (3,724,306 | ) | ||||||
| (33,931 | ) | Grifols SA | (367,318 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (14,964,765 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (1.4)% | ||||||||||
| (4,116 | ) | AddTech AB – B Shares | (146,704 | ) | ||||||
| (83,281 | ) | Beijer Ref AB – Class B | (1,157,141 | ) | ||||||
| (90,324 | ) | EQT AB | (3,106,628 | ) | ||||||
| (160,785 | ) | Fastighets AB Balder – B Shares * | (920,967 | ) | ||||||
| (111,167 | ) | Hexagon AB – B Shares | (1,019,901 | ) | ||||||
| (32,021 | ) | Holmen AB – Class B | (1,063,927 | ) | ||||||
| (118,534 | ) | Nibe Industrier AB – B Shares | (463,284 | ) | ||||||
| (12,364 | ) | Norion Bank AB * | (77,591 | ) | ||||||
| (11,116 | ) | Octave Intelligence PLC SDR * | (189,498 | ) | ||||||
| (17,331 | ) | Skandinaviska Enskilda Banken AB – Class A | (346,356 | ) | ||||||
| (2,712 | ) | Spotify Technology SA * | (1,349,708 | ) | ||||||
| (122,759 | ) | Svenska Cellulosa AB SCA – Class B | (1,350,358 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (11,192,063 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (1.5)% | ||||||||||
| (3,044 | ) | Alcon AG | (202,540 | ) | ||||||
| (44,512 | ) | Avolta AG | (2,797,066 | ) | ||||||
| (6,881 | ) | Banque Cantonale Vaudoise (Registered) | (1,035,419 | ) | ||||||
| (293 | ) | Barry Callebaut AG (Registered) | (451,732 | ) | ||||||
| (35 | ) | Chocoladefabriken Lindt & Spruengli AG | (417,004 | ) | ||||||
| (5,765 | ) | Cie Financiere Richemont SA – Class A (Registered) | (1,237,854 | ) | ||||||
| (2,503 | ) | Helvetia Baloise Holding AG | (649,514 | ) | ||||||
| (877 | ) | Lonza Group AG (Registered) | (560,150 | ) | ||||||
| (63 | ) | Partners Group Holding AG | (66,469 | ) | ||||||
| (1,396 | ) | Sika AG (Registered) | (272,476 | ) | ||||||
| (3,188 | ) | Swatch Group AG – Class BR | (882,551 | ) | ||||||
| (127 | ) | Swiss Life Holding AG (Registered) | (137,880 | ) | ||||||
| (7,559 | ) | Swiss Prime Site AG (Registered) | (1,267,097 | ) | ||||||
| (7,636 | ) | Swiss Re AG | (1,144,151 | ) | ||||||
| (714 | ) | VAT Group AG | (557,481 | ) | ||||||
| (1,060 | ) | Zurich Insurance Group AG | (752,747 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (12,432,131 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (4.2)% | ||||||||||
| (11,843 | ) | Antofagasta PLC | (652,400 | ) | ||||||
| (52,326 | ) | Entain PLC | (374,432 | ) | ||||||
| (211,702 | ) | Informa PLC | (2,300,033 | ) | ||||||
| (16,949 | ) | InterContinental Hotels Group PLC | (2,599,150 | ) | ||||||
| (25,022 | ) | Land Securities Group PLC – (REIT) | (211,250 | ) | ||||||
| (16,514 | ) | London Stock Exchange Group PLC | (1,998,182 | ) | ||||||
| (101,318 | ) | Melrose Industries PLC | (639,411 | ) | ||||||
| (9,456 | ) | Reckitt Benckiser Group PLC | (581,934 | ) | ||||||
| Shares | Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| (142,485 | ) | Rentokil Initial PLC | (856,173 | ) | ||||||
|
|
(60,304 | ) | Rolls-Royce Holdings PLC | (1,084,979 | ) | |||||
| (23,253 | ) | Segro PLC – (REIT) | (225,410 | ) | ||||||
| (65,320 | ) | Severn Trent PLC | (2,604,564 | ) | ||||||
| (176,140 | ) | Shell PLC ADR | (14,816,897 | ) | ||||||
| (5,448 | ) | St. James’s Place PLC | (88,070 | ) | ||||||
| (216,957 | ) | Standard Life PLC | (2,257,280 | ) | ||||||
| (52,203 | ) | United Utilities Group PLC | (943,510 | ) | ||||||
| (16,816 | ) | Whitbread PLC | (528,048 | ) | ||||||
| (132,567 | ) | Wise Group PLC – Class A * | (1,660,745 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (34,422,468 | ) | ||||||||
|
|
|
|||||||||
| United States — (61.3)% | ||||||||||
| (8,294 | ) | 3M Co. | (1,270,060 | ) | ||||||
| (15,565 | ) | AbbVie, Inc. | (3,388,812 | ) | ||||||
| (2,120 | ) | AeroVironment, Inc. * | (439,349 | ) | ||||||
| (87,944 | ) | Affirm Holdings, Inc. * | (6,477,076 | ) | ||||||
| (4,404 | ) | Agilent Technologies, Inc. | (596,874 | ) | ||||||
| (4,955 | ) | Air Products & Chemicals, Inc. (b) | (1,380,562 | ) | ||||||
| (3,200 | ) | Alexandria Real Estate Equities, Inc. – (REIT) | (158,976 | ) | ||||||
| (9,238 | ) | Alnylam Pharmaceuticals, Inc. * | (2,789,691 | ) | ||||||
| (10,096 | ) | American International Group, Inc. | (749,426 | ) | ||||||
| (156,148 | ) | American Water Works Co., Inc. | (19,248,364 | ) | ||||||
| (17,037 | ) | Amrize Ltd. * | (909,843 | ) | ||||||
| (2,360 | ) | Analog Devices, Inc. | (976,686 | ) | ||||||
| (9,100 | ) | Annaly Capital Management, Inc. – (REIT) | (198,835 | ) | ||||||
| (9,500 | ) | Apollo Global Management, Inc. | (1,222,745 | ) | ||||||
| (17,600 | ) | Applied Digital Corp. * | (832,128 | ) | ||||||
| (200 | ) | Applied Optoelectronics, Inc. * | (31,682 | ) | ||||||
| (5,789 | ) | AppLovin Corp. – Class A * | (3,549,178 | ) | ||||||
| (10,883 | ) | ARES Management Corp. – Class A | (1,398,466 | ) | ||||||
| (2,500 | ) | Arrowhead Pharmaceuticals, Inc. * | (194,775 | ) | ||||||
| (8,817 | ) | Arthur J Gallagher & Co. | (1,773,187 | ) | ||||||
| (36,381 | ) | AST SpaceMobile, Inc. * | (4,125,969 | ) | ||||||
| (45,775 | ) | AT&T, Inc. | (1,135,220 | ) | ||||||
| (600 | ) | ATI, Inc. * | (105,096 | ) | ||||||
| (24,600 | ) | Aurora Innovation, Inc. * | (180,564 | ) | ||||||
| (9,349 | ) | Axon Enterprise, Inc. * | (4,195,083 | ) | ||||||
| (1,500 | ) | Baker Hughes Co. | (95,820 | ) | ||||||
| (8,000 | ) | Bank of New York Mellon Corp. | (1,115,440 | ) | ||||||
| (6,446 | ) | Becton Dickinson & Co. (b) | (948,336 | ) | ||||||
| (4,852 | ) | Biogen, Inc. * | (950,992 | ) | ||||||
| (356,628 | ) | Black Hills Corp. | (25,969,651 | ) | ||||||
| (9,913 | ) | Blackstone, Inc. (b) | (1,159,524 | ) | ||||||
| (11,029 | ) | Block, Inc. * | (835,116 | ) | ||||||
| (14,644 | ) | Bloom Energy Corp. – Class A * | (4,173,540 | ) | ||||||
| (77,300 | ) | Blue Owl Capital, Inc. | (794,644 | ) | ||||||
| (27,393 | ) | Boeing Co. * | (6,331,892 | ) | ||||||
| (5,619 | ) | Boston Scientific Corp. * (b) | (271,454 | ) | ||||||
| (7,400 | ) | Bridgebio Pharma, Inc. * | (490,324 | ) | ||||||
| (2,400 | ) | Bright Horizons Family Solutions, Inc. * | (150,288 | ) | ||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (48,687 | ) | Brink’s Co. | (5,064,422 | ) | ||||||
| (19,196 | ) | Brown & Brown, Inc. | (1,079,775 | ) | ||||||
|
|
(10,437 | ) | Burlington Stores, Inc. * | (3,379,814 | ) | |||||
| (900 | ) | BXP, Inc. – (REIT) | (54,009 | ) | ||||||
| (3,800 | ) | Camden Property Trust – (REIT) | (404,928 | ) | ||||||
| (7,800 | ) | Carlyle Group, Inc. | (354,354 | ) | ||||||
| (1,060 | ) | Carpenter Technology Corp. | (497,119 | ) | ||||||
| (77,160 | ) | Carvana Co. * | (5,632,680 | ) | ||||||
| (3,000 | ) | Casella Waste Systems, Inc. – Class A * | (246,510 | ) | ||||||
| (3,700 | ) | Cava Group, Inc. * | (287,342 | ) | ||||||
| (3,977 | ) | Cencora, Inc. | (1,071,245 | ) | ||||||
| (74,895 | ) | Charter Communications, Inc. – Class A * (b) | (10,788,625 | ) | ||||||
| (5,000 | ) | Chewy, Inc. – Class A * | (112,700 | ) | ||||||
| (2,444 | ) | Ciena Corp. * | (1,418,082 | ) | ||||||
| (9,923 | ) | Cintas Corp. | (1,699,413 | ) | ||||||
| (9,400 | ) | Cleveland-Cliffs, Inc. * | (127,840 | ) | ||||||
| (27,644 | ) | Cloudflare, Inc. – Class A * | (6,684,872 | ) | ||||||
| (663 | ) | CME Group, Inc. | (181,357 | ) | ||||||
| (348,011 | ) | Coeur Mining, Inc. | (6,723,573 | ) | ||||||
| (7,286 | ) | Coherent Corp. * | (2,633,670 | ) | ||||||
| (15,581 | ) | Coinbase Global, Inc. – Class A * | (2,945,276 | ) | ||||||
| (5,610 | ) | Constellation Energy Corp. | (1,614,278 | ) | ||||||
| (6,272 | ) | Cooper Cos., Inc. * (b) | (383,909 | ) | ||||||
| (12,400 | ) | CoreWeave, Inc. – Class A * | (1,358,172 | ) | ||||||
| (7,857 | ) | Corning, Inc. | (1,423,374 | ) | ||||||
| (2,260 | ) | Corpay, Inc. * | (817,668 | ) | ||||||
| (324 | ) | Costco Wholesale Corp. | (309,848 | ) | ||||||
| (13,211 | ) | Credo Technology Group Holding Ltd. * | (3,118,192 | ) | ||||||
| (14,133 | ) | Crown Castle, Inc. – (REIT) | (1,293,170 | ) | ||||||
| (4,100 | ) | Cytokinetics, Inc. * | (314,716 | ) | ||||||
| (4,898 | ) | Danaher Corp. | (894,718 | ) | ||||||
| (316,009 | ) | Devon Energy Corp. | (14,059,240 | ) | ||||||
| (15,662 | ) | Dexcom, Inc. * | (1,154,916 | ) | ||||||
| (6,490 | ) | Diamondback Energy, Inc. | (1,242,705 | ) | ||||||
| (18,295 | ) | Digital Realty Trust, Inc. – (REIT) | (3,476,050 | ) | ||||||
| (7,985 | ) | Dollar Tree, Inc. * | (929,773 | ) | ||||||
| (18,213 | ) | Dominion Energy, Inc. | (1,219,178 | ) | ||||||
| (14,198 | ) | DoorDash, Inc. – Class A * | (2,261,599 | ) | ||||||
| (31,837 | ) | Dow, Inc. | (1,074,499 | ) | ||||||
| (166,116 | ) | DraftKings, Inc. – Class A * | (4,068,181 | ) | ||||||
| (3,600 | ) | DT Midstream, Inc. | (503,928 | ) | ||||||
| (20,060 | ) | DuPont de Nemours, Inc. | (971,305 | ) | ||||||
| (9,600 | ) | Dutch Bros, Inc. – Class A * | (556,800 | ) | ||||||
| (41,300 | ) | D-Wave Quantum, Inc. * | (1,244,782 | ) | ||||||
| (2,961 | ) | Eaton Corp. PLC | (1,186,177 | ) | ||||||
| (16,543 | ) | EchoStar Corp. – Class A * | (2,137,190 | ) | ||||||
| (7,498 | ) | Ecolab, Inc. | (1,919,488 | ) | ||||||
| (6,161 | ) | Equifax, Inc. | (1,021,432 | ) | ||||||
| (4,802 | ) | Erie Indemnity Co. – Class A | (1,023,162 | ) | ||||||
| (14,552 | ) | Estee Lauder Cos., Inc. – Class A | (1,294,400 | ) | ||||||
| (5,377 | ) | Everpure, Inc. – Class A * | (427,525 | ) | ||||||
| (2,399 | ) | Fair Isaac Corp. * | (3,000,165 | ) | ||||||
| (102,883 | ) | Fidelity National Information Services, Inc. | (4,422,940 | ) | ||||||
| Shares | Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (608 | ) | First Citizens BancShares, Inc. – Class A | (1,210,230 | ) | ||||||
| (24,238 | ) | Fiserv, Inc. * | (1,370,901 | ) | ||||||
|
|
(1,360 | ) | Flutter Entertainment PLC * | (131,893 | ) | |||||
| (9,852 | ) | FTAI Aviation Ltd. | (2,564,870 | ) | ||||||
| (25,200 | ) | GameStop Corp. – Class A * | (533,736 | ) | ||||||
| (3,625 | ) | Gartner, Inc. * | (587,975 | ) | ||||||
| (1,481 | ) | GE Vernova, Inc. | (1,434,082 | ) | ||||||
| (520 | ) | Goldman Sachs Group, Inc. | (533,291 | ) | ||||||
| (6,500 | ) | Guardant Health, Inc. * | (842,985 | ) | ||||||
| (13,700 | ) | Guidewire Software, Inc. * | (2,091,579 | ) | ||||||
| (1,900 | ) | HealthEquity, Inc. * | (167,181 | ) | ||||||
| (91,011 | ) | Healthpeak Properties, Inc. – (REIT) | (1,742,861 | ) | ||||||
| (42,700 | ) | Hecla Mining Co. | (758,779 | ) | ||||||
| (3,290 | ) | Home Depot, Inc. | (1,043,391 | ) | ||||||
| (400 | ) | Hut 8 Corp. * | (49,932 | ) | ||||||
| (23,882 | ) | Hyatt Hotels Corp. – Class A | (4,331,240 | ) | ||||||
| (9,622 | ) | Illumina, Inc. * | (1,568,001 | ) | ||||||
| (16,045 | ) | Ingersoll Rand, Inc. | (1,149,464 | ) | ||||||
| (29,613 | ) | Insmed, Inc. * | (3,165,926 | ) | ||||||
| (2,712 | ) | Insulet Corp. * | (393,077 | ) | ||||||
| (36,973 | ) | Intel Corp. * | (4,240,064 | ) | ||||||
| (7,834 | ) | Intercontinental Exchange, Inc. | (1,158,257 | ) | ||||||
| (25,407 | ) | International Flavors & Fragrances, Inc. | (1,932,202 | ) | ||||||
| (38,183 | ) | International Paper Co. (b) | (1,277,985 | ) | ||||||
| (201 | ) | Intuit, Inc. | (66,638 | ) | ||||||
| (3,800 | ) | Ionis Pharmaceuticals, Inc. * | (290,700 | ) | ||||||
| (126,518 | ) | IonQ, Inc. * | (9,118,152 | ) | ||||||
| (6,428 | ) | IQVIA Holdings, Inc. * | (1,171,246 | ) | ||||||
| (49,117 | ) | IREN Ltd. * | (3,120,894 | ) | ||||||
| (1,962 | ) | Johnson Controls International PLC | (263,026 | ) | ||||||
| (10,300 | ) | KeyCorp | (219,699 | ) | ||||||
| (131,858 | ) | Kimberly-Clark Corp. (b) | (12,869,341 | ) | ||||||
| (23,400 | ) | Kimco Realty Corp. – (REIT) | (563,472 | ) | ||||||
| (34,726 | ) | KKR & Co., Inc. (b) | (3,331,612 | ) | ||||||
| (52,576 | ) | Kraft Heinz Co. (b) | (1,262,350 | ) | ||||||
| (9,600 | ) | Kratos Defense & Security Solutions, Inc. * | (615,648 | ) | ||||||
| (1,108 | ) | Labcorp Holdings, Inc. | (288,147 | ) | ||||||
| (2,330 | ) | Lennox International, Inc. | (1,170,033 | ) | ||||||
| (53,842 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (4,888,315 | ) | ||||||
| (7,605 | ) | Linde PLC | (3,784,932 | ) | ||||||
| (26,132 | ) | Live Nation Entertainment, Inc. * | (4,400,890 | ) | ||||||
| (4,043 | ) | Lumentum Holdings, Inc. * | (3,456,603 | ) | ||||||
| (520 | ) | Madrigal Pharmaceuticals, Inc. NULL * | (258,580 | ) | ||||||
| (324 | ) | Marriott International, Inc. – Class A | (121,694 | ) | ||||||
| (26,733 | ) | Marvell Technology, Inc. | (5,480,265 | ) | ||||||
| (10,700 | ) | McCormick & Co., Inc. | (506,859 | ) | ||||||
| (2,652 | ) | McKesson Corp. | (1,968,951 | ) | ||||||
| (686 | ) | MercadoLibre, Inc. * | (1,163,216 | ) | ||||||
| (8,939 | ) | MongoDB, Inc. * | (2,999,481 | ) | ||||||
| (288 | ) | Motorola Solutions, Inc. | (116,145 | ) | ||||||
| (25,900 | ) | MP Materials Corp. * | (1,675,730 | ) | ||||||
| (4,422 | ) | MSCI, Inc. | (2,791,962 | ) | ||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (14,614 | ) | Natera, Inc. * | (3,264,329 | ) | ||||||
| (15,822 | ) | NextEra Energy, Inc. | (1,376,672 | ) | ||||||
|
|
(13,771 | ) | NIKE, Inc. – Class B | (636,633 | ) | |||||
| (664 | ) | NiSource, Inc. | (30,690 | ) | ||||||
| (29,200 | ) | Nutanix, Inc. – Class A * | (1,520,444 | ) | ||||||
| (9,570 | ) | Occidental Petroleum Corp. | (541,949 | ) | ||||||
| (50,409 | ) | Oklo, Inc. * | (3,371,354 | ) | ||||||
| (66,656 | ) | Okta, Inc. * | (8,216,685 | ) | ||||||
| (43,411 | ) | ONEOK, Inc. | (3,643,919 | ) | ||||||
| (2,780 | ) | O’Reilly Automotive, Inc. * | (241,526 | ) | ||||||
| (53,005 | ) | Otis Worldwide Corp. | (3,754,874 | ) | ||||||
| (21,874 | ) | Palantir Technologies, Inc. – Class A * | (3,424,156 | ) | ||||||
| (7,321 | ) | Palo Alto Networks, Inc. * | (2,062,253 | ) | ||||||
| (6,476 | ) | Paychex, Inc. | (628,043 | ) | ||||||
| (4,900 | ) | Planet Fitness, Inc. – Class A * | (262,199 | ) | ||||||
| (600 | ) | Planet Labs PBC * | (30,684 | ) | ||||||
| (440 | ) | Praxis Precision Medicines, Inc. * | (153,987 | ) | ||||||
| (1,600 | ) | Public Service Enterprise Group, Inc. | (125,840 | ) | ||||||
| (10,276 | ) | Public Storage – (REIT) | (3,120,718 | ) | ||||||
| (161 | ) | Quanta Services, Inc. | (114,589 | ) | ||||||
| (30,500 | ) | QXO, Inc. * | (526,125 | ) | ||||||
| (26,311 | ) | Realty Income Corp. – (REIT) | (1,612,338 | ) | ||||||
| (5,800 | ) | Reinsurance Group of America, Inc. | (1,164,292 | ) | ||||||
| (4,391 | ) | Republic Services, Inc. | (880,132 | ) | ||||||
| (13,690 | ) | Revolution Medicines, Inc. * | (2,155,901 | ) | ||||||
| (33,500 | ) | Rigetti Computing, Inc. * | (855,590 | ) | ||||||
| (10,000 | ) | Riot Platforms, Inc. * | (271,100 | ) | ||||||
| (280,870 | ) | Rivian Automotive, Inc. – Class A * | (4,578,181 | ) | ||||||
| (43,967 | ) | Robinhood Markets, Inc. – Class A * | (4,146,088 | ) | ||||||
| (96,246 | ) | ROBLOX Corp. – Class A * | (4,537,999 | ) | ||||||
| (178,330 | ) | Rocket Cos., Inc. – Class A * (b) | (2,587,568 | ) | ||||||
| (30,205 | ) | Rocket Lab Corp. * | (4,333,813 | ) | ||||||
| (4,900 | ) | Roku, Inc. * | (637,882 | ) | ||||||
| (42,122 | ) | Rollins, Inc. | (2,005,007 | ) | ||||||
| (1,100 | ) | Royal Caribbean Cruises Ltd. | (313,093 | ) | ||||||
| (7,507 | ) | RTX Corp. | (1,348,708 | ) | ||||||
| (28,200 | ) | Rubrik, Inc. – Class A * | (2,217,366 | ) | ||||||
| (9,700 | ) | Ryan Specialty Holdings, Inc. | (308,945 | ) | ||||||
| (2,870 | ) | S&P Global, Inc. | (1,216,880 | ) | ||||||
| (86,849 | ) | Samsara, Inc. – Class A * | (3,038,847 | ) | ||||||
| (3,579 | ) | Seagate Technology Holdings PLC | (3,148,804 | ) | ||||||
| (1,300 | ) | Semtech Corp. * | (198,302 | ) | ||||||
| (6,690 | ) | ServiceNow, Inc. * | (832,035 | ) | ||||||
| (1,360 | ) | SiTime Corp. * | (965,872 | ) | ||||||
| (166,564 | ) | Skyworks Solutions, Inc. | (12,967,007 | ) | ||||||
| (169,531 | ) | Snap, Inc. – Class A * | (968,022 | ) | ||||||
| (27,497 | ) | Snowflake, Inc. * | (7,026,858 | ) | ||||||
| (214,080 | ) | SoFi Technologies, Inc. * | (3,900,538 | ) | ||||||
| (9,400 | ) | Southern Co. | (865,270 | ) | ||||||
| (33,156 | ) | Starbucks Corp. | (3,287,749 | ) | ||||||
| (3,400 | ) | Starwood Property Trust, Inc. – (REIT) | (58,072 | ) | ||||||
| (2,151 | ) | STERIS PLC | (457,582 | ) | ||||||
| (14,440 | ) | Strategy, Inc. * | (2,297,260 | ) | ||||||
| Shares | Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (21,076 | ) | Sun Communities, Inc. – (REIT) | (2,606,258 | ) | ||||||
| (12,141 | ) | Super Micro Computer, Inc. * | (559,579 | ) | ||||||
| (11,611 | ) | Take-Two Interactive Software, Inc. * | (2,602,722 | ) | ||||||
|
|
(12,452 | ) | Targa Resources Corp. | (3,176,132 | ) | |||||
| (2,400 | ) | TechnipFMC PLC | (164,208 | ) | ||||||
| (3,400 | ) | Tempus AI, Inc. – Class A * | (171,598 | ) | ||||||
| (1,400 | ) | Terawulf, Inc. * | (35,784 | ) | ||||||
| (8,551 | ) | Tesla, Inc. * | (3,726,440 | ) | ||||||
| (5,563 | ) | Texas Pacific Land Corp. | (2,186,259 | ) | ||||||
| (6,151 | ) | T-Mobile U.S., Inc. | (1,153,497 | ) | ||||||
| (27,344 | ) | Tractor Supply Co. | (862,156 | ) | ||||||
| (1,491 | ) | TransDigm Group, Inc. | (1,876,155 | ) | ||||||
| (13,428 | ) | TransUnion | (960,908 | ) | ||||||
| (7,053 | ) | Twilio, Inc. – Class A * | (1,344,584 | ) | ||||||
| (890 | ) | Tyler Technologies, Inc. * | (278,704 | ) | ||||||
| (45,399 | ) | UDR, Inc. – (REIT) | (1,675,223 | ) | ||||||
| (71,697 | ) | Union Pacific Corp. (b) | (18,830,500 | ) | ||||||
| (19,700 | ) | Unity Software, Inc. * | (600,259 | ) | ||||||
| (1,200 | ) | Upstart Holdings, Inc. * | (40,548 | ) | ||||||
| (29,200 | ) | Uranium Energy Corp. * | (402,084 | ) | ||||||
| (2,400 | ) | Varonis Systems, Inc. * | (81,960 | ) | ||||||
| (2,100 | ) | Vaxcyte, Inc. * | (107,940 | ) | ||||||
| (37,404 | ) | Ventas, Inc. – (REIT) | (3,157,646 | ) | ||||||
| (571 | ) | Verisk Analytics, Inc. | (99,919 | ) | ||||||
| (573 | ) | Vertex Pharmaceuticals, Inc. * | (256,440 | ) | ||||||
| (12,815 | ) | Vistra Corp. | (2,053,347 | ) | ||||||
| (7,400 | ) | Vornado Realty Trust – (REIT) | (249,750 | ) | ||||||
| (7,123 | ) | Waste Connections, Inc. | (1,061,470 | ) | ||||||
| (196 | ) | Waste Management, Inc. | (41,446 | ) | ||||||
| (1 | ) | Waters Corp. * | (365 | ) | ||||||
| (10,238 | ) | Watsco, Inc. | (3,758,370 | ) | ||||||
| (1,413 | ) | Wells Fargo & Co. | (109,564 | ) | ||||||
| (10,900 | ) | Welltower, Inc. – (REIT) | (2,238,097 | ) | ||||||
| (5,930 | ) | Western Digital Corp. | (3,150,075 | ) | ||||||
| (50,574 | ) | Williams Cos., Inc. | (3,610,478 | ) | ||||||
| (4,688 | ) | Willis Towers Watson PLC | (1,170,453 | ) | ||||||
| (2,415 | ) | Workday, Inc. – Class A * | (353,049 | ) | ||||||
| (41,375 | ) | Zillow Group, Inc. – Class C * | (1,448,125 | ) | ||||||
| (9,982 | ) | Zimmer Biomet Holdings, Inc. | (821,818 | ) | ||||||
| (31,356 | ) | Zscaler, Inc. * | (4,381,374 | ) | ||||||
|
|
|
|||||||||
| Total United States | (498,607,291 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $723,124,990) |
(769,423,584 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (e) — (0.4)% | ||||||||||
| Germany — (0.4)% | ||||||||||
| (7,007 | ) | Sartorius AG | (1,997,260 | ) | ||||||
| (18,101 | ) | Dr. Ing hc F Porsche AG * | (985,258 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $2,972,908) |
(2,982,518 | ) | ||||||||
|
|
|
|||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description | Value ($) | ||||||||
| RIGHTS/WARRANTS — (0.0)% | ||||||||||
| Portugal — (0.0)% | ||||||||||
|
|
(92,020 | ) | EDP Renewables SA * | (13,620 | ) | |||||
|
|
|
|||||||||
| United States — (0.0)% | ||||||||||
| (1,710 | ) | GameStop Corp. * | (5,558 | ) | ||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (PROCEEDS $13,391) |
(19,178 | ) | ||||||||
|
|
|
|||||||||
| Par Value† | Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — (1.4)% | ||||||||||
| United States — (1.4)% | ||||||||||
| U.S. Government Agency — (1.4)% | ||||||||||
|
|
(11,500,000 | ) | Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/56 | (11,745,901 | ) | |||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (PROCEEDS $11,734,492) |
(11,745,901 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $737,845,781) |
(784,171,181 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — 0.8% | 6,119,262 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ 813,809,609 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2026 |
||||||||
| Carlyle ARE Partners II, L.P. | 03/24/26 | $ | 2,051,226 | 0.2% | $ | 1,840,921 | ||||||
|
|
|
|||||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Forward Currency Contracts
| Settlement Date |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 08/13/2026 | SSB | AUD | 1,400,000 | USD | 1,012,435 | 7,644 | ||||||||||||||||
| 08/13/2026 | MSCI | AUD | 6,410,000 | USD | 4,636,336 | 35,832 | ||||||||||||||||
| 06/23/2026 | SSB | CAD | 1,957,763 | USD | 1,435,701 | 14,318 | ||||||||||||||||
| 06/26/2026 | SSB | CAD | 4,590,795 | USD | 3,350,499 | 17,048 | ||||||||||||||||
| 06/26/2026 | CITI | CAD | 12,702,952 | USD | 9,259,237 | 35,418 | ||||||||||||||||
| 06/26/2026 | DB | CAD | 877,925 | USD | 643,122 | 5,647 | ||||||||||||||||
| 06/26/2026 | JPM | CAD | 20,795 | USD | 15,344 | 244 | ||||||||||||||||
| 06/26/2026 | MSCI | CAD | 14,109,971 | USD | 10,357,324 | 111,845 | ||||||||||||||||
| 07/08/2026 | BCLY | CAD | 5,400,000 | USD | 3,932,947 | 9,930 | ||||||||||||||||
| 08/10/2026 | MSCI | COP | 720,000,000 | USD | 194,708 | 2,648 | ||||||||||||||||
| 06/30/2026 | UBSA | EUR | 23,457,229 | USD | 27,503,390 | 109,391 | ||||||||||||||||
| 06/18/2026 | DB | EUR | 19,290,000 | USD | 22,590,394 | 74,587 | ||||||||||||||||
| 06/05/2026 | SSB | GBP | 21,217,426 | USD | 28,659,289 | 85,996 | ||||||||||||||||
| 06/05/2026 | MSCI | GBP | 1,417,412 | USD | 1,927,293 | 18,479 | ||||||||||||||||
| 06/16/2026 | GS | INR | 225,000,000 | USD | 2,416,030 | 51,018 | ||||||||||||||||
| 06/16/2026 | SSB | INR | 30,000,000 | USD | 317,756 | 2,421 | ||||||||||||||||
| 06/17/2026 | BCLY | JPY | 157,000,000 | USD | 1,005,269 | 18,264 | ||||||||||||||||
| 06/30/2026 | SSB | JPY | 535,429,786 | USD | 3,427,600 | 57,926 | ||||||||||||||||
| 07/15/2026 | SSB | MXN | 42,300,000 | USD | 2,440,916 | 9,893 | ||||||||||||||||
| 07/15/2026 | CITI | MXN | 5,600,000 | USD | 322,850 | 1,013 | ||||||||||||||||
| 06/30/2026 | SSB | NOK | 17,313,366 | USD | 1,876,906 | 5,322 | ||||||||||||||||
| 06/30/2026 | UBSA | NOK | 23,907,969 | USD | 2,596,130 | 11,665 | ||||||||||||||||
| 07/01/2026 | CITI | PHP | 34,500,000 | USD | 565,157 | 5,274 | ||||||||||||||||
| 07/01/2026 | MSCI | PHP | 37,600,000 | USD | 628,353 | 18,161 | ||||||||||||||||
| 07/01/2026 | BCLY | PHP | 50,500,000 | USD | 844,453 | 24,914 | ||||||||||||||||
| 07/01/2026 | SSB | PHP | 21,000,000 | USD | 344,647 | 3,849 | ||||||||||||||||
| 06/17/2026 | MSCI | SEK | 42,000,000 | USD | 4,600,538 | 48,138 | ||||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 07/20/2026 | CITI | SGD | 6,160,000 | USD | 4,873,877 | 31,117 | ||||||||||||||||
| 07/21/2026 | CITI | THB | 94,552,251 | USD | 2,972,612 | 56,494 | ||||||||||||||||
| 06/30/2026 | SSB | USD | 12,358,536 | AUD | 17,253,417 | 35,534 | ||||||||||||||||
| 06/05/2026 | SSB | USD | 1,296,126 | CHF | 1,023,996 | 16,184 | ||||||||||||||||
| 08/10/2026 | MSCI | USD | 14,316,245 | COP | 54,432,800,000 | 203,718 | ||||||||||||||||
| 08/10/2026 | GS | USD | 298,978 | COP | 1,160,000,000 | 10,452 | ||||||||||||||||
| 07/15/2026 | DB | USD | 1,964,151 | CZK | 40,900,000 | 1,170 | ||||||||||||||||
| 07/15/2026 | CITI | USD | 364,787 | CZK | 7,600,000 | 407 | ||||||||||||||||
| 06/30/2026 | SSB | USD | 2,234,278 | EUR | 1,916,445 | 3,800 | ||||||||||||||||
| 07/15/2026 | JPM | USD | 2,137,374 | GBP | 1,590,000 | 3,707 | ||||||||||||||||
| 08/19/2026 | DB | USD | 3,997,750 | HUF | 1,243,020,539 | 84,753 | ||||||||||||||||
| 08/19/2026 | SSB | USD | 386,182 | HUF | 120,000,000 | 7,939 | ||||||||||||||||
| 06/16/2026 | CITI | USD | 312,688 | INR | 30,000,000 | 2,647 | ||||||||||||||||
| 06/16/2026 | GS | USD | 230,959 | INR | 22,000,000 | 287 | ||||||||||||||||
| 06/16/2026 | MSCI | USD | 270,265 | INR | 26,000,000 | 3,026 | ||||||||||||||||
| 06/17/2026 | JPM | USD | 1,482,731 | JPY | 236,000,000 | 920 | ||||||||||||||||
| 07/15/2026 | SSB | USD | 10,360,137 | MXN | 182,318,725 | 117,896 | ||||||||||||||||
| 07/02/2026 | MSCI | USD | 5,950,815 | MXN | 104,687,031 | 72,189 | ||||||||||||||||
| 07/15/2026 | CITI | USD | 20,476,586 | NOK | 195,027,768 | 600,652 | ||||||||||||||||
| 06/30/2026 | SSB | USD | 46,119,387 | NOK | 429,297,703 | 287,933 | ||||||||||||||||
| 06/17/2026 | JPM | USD | 4,687,984 | NZD | 7,980,000 | 93,048 | ||||||||||||||||
| 06/17/2026 | SSB | USD | 4,125,188 | NZD | 7,020,000 | 80,683 | ||||||||||||||||
| 06/17/2026 | BCLY | USD | 2,837,293 | NZD | 4,800,000 | 38,516 | ||||||||||||||||
| 06/17/2026 | MSCI | USD | 2,773,716 | NZD | 4,660,000 | 18,215 | ||||||||||||||||
| 06/30/2026 | BCLY | USD | 882,400 | NZD | 1,505,232 | 19,811 | ||||||||||||||||
| 06/30/2026 | MSCI | USD | 11,767,636 | PEN | 41,580,000 | 397,296 | ||||||||||||||||
| 06/30/2026 | CITI | USD | 1,558,801 | PEN | 5,400,000 | 21,060 | ||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Forward Currency Contracts — continued
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 07/01/2026 | GS | USD | 437,835 | PHP | 27,000,000 | 334 | ||||||||||||||||
| 07/27/2026 | BCLY | USD | 991,313 | SEK | 9,174,215 | 5,155 | ||||||||||||||||
| 07/29/2026 | BCLY | USD | 1,211,180 | TRY | 59,300,000 | 11,301 | ||||||||||||||||
| 07/27/2026 | GS | USD | 795,065 | TWD | 25,156,651 | 2,075 | ||||||||||||||||
| 06/30/2026 | MSCI | USD | 12,721,014 | ZAR | 212,100,000 | 329,352 | ||||||||||||||||
| 06/30/2026 | CITI | USD | 158,972 | ZAR | 2,600,000 | 1,004 | ||||||||||||||||
| 06/30/2026 | UBSA | AUD | 1,266,042 | USD | 902,112 | (7,355 | ) | |||||||||||||||
| 07/27/2026 | MSCI | AUD | 23,069,997 | USD | 16,408,978 | (154,484 | ) | |||||||||||||||
| 08/13/2026 | CITI | AUD | 2,220,000 | USD | 1,580,951 | (12,360 | ) | |||||||||||||||
| 06/30/2026 | SSB | AUD | 2,791,900 | USD | 1,994,248 | (11,326 | ) | |||||||||||||||
| 07/08/2026 | JPM | CAD | 3,690,000 | USD | 2,661,461 | (19,267 | ) | |||||||||||||||
| 07/08/2026 | BCLY | CAD | 4,100,000 | USD | 2,973,627 | (4,960 | ) | |||||||||||||||
| 06/05/2026 | BCLY | CHF | 56,957,628 | USD | 71,764,993 | (1,229,478 | ) | |||||||||||||||
| 07/15/2026 | MSCI | CHF | 17,937,275 | USD | 23,019,576 | (66,926 | ) | |||||||||||||||
| 07/15/2026 | JPM | CHF | 1,780,000 | USD | 2,288,708 | (2,274 | ) | |||||||||||||||
| 08/10/2026 | MSCI | CLP | 525,903,500 | USD | 585,547 | (5,547 | ) | |||||||||||||||
| 08/10/2026 | GS | COP | 1,059,500,000 | USD | 280,644 | (1,977 | ) | |||||||||||||||
| 07/15/2026 | DB | CZK | 29,000,000 | USD | 1,392,674 | (830 | ) | |||||||||||||||
| 08/31/2026 | MSCI | EUR | 2,527,000 | USD | 2,950,888 | (7,636 | ) | |||||||||||||||
| 08/31/2026 | JPM | EUR | 8,841,266 | USD | 10,326,143 | (24,904 | ) | |||||||||||||||
| 07/15/2026 | MSCI | GBP | 1,090,000 | USD | 1,462,757 | (5,028 | ) | |||||||||||||||
| 08/12/2026 | MSCI | ILS | 10,017,605 | USD | 3,448,992 | (106,155 | ) | |||||||||||||||
| 06/16/2026 | SSB | INR | 62,000,000 | USD | 646,367 | (5,325 | ) | |||||||||||||||
| 07/15/2026 | SSB | MXN | 33,000,000 | USD | 1,887,233 | (9,308 | ) | |||||||||||||||
| 07/15/2026 | CITI | MXN | 12,600,000 | USD | 718,572 | (5,563 | ) | |||||||||||||||
| 06/30/2026 | SSB | NOK | 38,201,516 | USD | 4,117,181 | (12,424 | ) | |||||||||||||||
| 06/30/2026 | UBSA | NOK | 6,525,413 | USD | 701,302 | (4,099 | ) | |||||||||||||||
| 06/17/2026 | JPM | NZD | 2,540,000 | USD | 1,457,390 | (64,393 | ) | |||||||||||||||
| 06/17/2026 | MSCI | NZD | 6,360,000 | USD | 3,732,699 | (77,749 | ) | |||||||||||||||
| 06/17/2026 | SSB | NZD | 11,770,000 | USD | 6,980,486 | (71,238 | ) | |||||||||||||||
| 06/30/2026 | JPM | NZD | 5,586,575 | USD | 3,294,621 | (53,877 | ) | |||||||||||||||
| 06/17/2026 | BCLY | NZD | 2,490,000 | USD | 1,471,492 | (20,334 | ) | |||||||||||||||
| 08/19/2026 | SSB | PLN | 5,550,000 | USD | 1,518,167 | (11,855 | ) | |||||||||||||||
| 08/19/2026 | CITI | PLN | 1,250,000 | USD | 342,859 | (1,740 | ) | |||||||||||||||
| 08/26/2026 | DB | RON | 22,291,896 | USD | 4,902,815 | (26,212 | ) | |||||||||||||||
| 06/17/2026 | GS | SEK | 12,800,000 | USD | 1,378,291 | (9,106 | ) | |||||||||||||||
| 06/17/2026 | CITI | SEK | 23,400,000 | USD | 2,495,019 | (41,318 | ) | |||||||||||||||
| 07/27/2026 | MSCI | SEK | 57,698,760 | USD | 6,190,329 | (76,686 | ) | |||||||||||||||
| 07/21/2026 | CITI | THB | 54,000,000 | USD | 1,660,344 | (5,087 | ) | |||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 06/30/2026 | SSB | USD | 2,968,699 | AUD | 4,127,688 | (3,556 | ) | |||||||||||||||
| 07/02/2026 | BCLY | USD | 9,993,963 | BRL | 50,660,798 | (24,603 | ) | |||||||||||||||
| 07/02/2026 | JPM | USD | 24,750,802 | BRL | 125,649,917 | (24,596 | ) | |||||||||||||||
| 07/08/2026 | BCLY | USD | 11,742,722 | CAD | 16,010,000 | (111,703 | ) | |||||||||||||||
| 06/23/2026 | BOA | USD | 14,344,249 | CAD | 19,526,892 | (167,262 | ) | |||||||||||||||
| 07/08/2026 | JPM | USD | 4,485,685 | CAD | 6,090,000 | (61,393 | ) | |||||||||||||||
| 06/05/2026 | SSB | USD | 1,604,127 | CHF | 1,251,430 | (347 | ) | |||||||||||||||
| 07/15/2026 | SSB | USD | 3,561,404 | CHF | 2,750,000 | (21,965 | ) | |||||||||||||||
| 07/15/2026 | CITI | USD | 936,049 | CZK | 19,400,000 | (3,843 | ) | |||||||||||||||
| 07/15/2026 | MSCI | USD | 620,545 | CZK | 12,800,000 | (5,482 | ) | |||||||||||||||
| 07/15/2026 | DB | USD | 727,408 | CZK | 15,000,000 | (6,631 | ) | |||||||||||||||
| 06/30/2026 | BCLY | USD | 1,753,984 | EUR | 1,496,142 | (6,749 | ) | |||||||||||||||
| 06/30/2026 | SSB | USD | 3,523,890 | EUR | 2,996,430 | (24,577 | ) | |||||||||||||||
| 07/15/2026 | BCLY | USD | 5,360,346 | GBP | 3,970,000 | (14,377 | ) | |||||||||||||||
| 07/15/2026 | SSB | USD | 1,733,575 | GBP | 1,280,000 | (9,938 | ) | |||||||||||||||
| 06/30/2026 | JPM | USD | 3,272,766 | GBP | 2,423,444 | (9,281 | ) | |||||||||||||||
| 06/30/2026 | SSB | USD | 514,744 | GBP | 378,856 | (4,565 | ) | |||||||||||||||
| 08/05/2026 | CITI | USD | 3,348,184 | IDR | 58,336,743,000 | (90,710 | ) | |||||||||||||||
| 08/05/2026 | GS | USD | 190,812 | IDR | 3,307,000,000 | (6,152 | ) | |||||||||||||||
| 06/16/2026 | BCLY | USD | 537,230 | INR | 51,000,000 | (1,160 | ) | |||||||||||||||
| 06/16/2026 | CITI | USD | 930,766 | INR | 88,000,000 | (5,784 | ) | |||||||||||||||
| 06/16/2026 | SSB | USD | 1,510,065 | INR | 142,000,000 | (17,480 | ) | |||||||||||||||
| 06/17/2026 | JPM | USD | 27,212,970 | JPY | 4,300,915,155 | (174,576 | ) | |||||||||||||||
| 06/17/2026 | SSB | USD | 1,257,391 | JPY | 199,000,000 | (6,346 | ) | |||||||||||||||
| 06/30/2026 | SSB | USD | 39,755,830 | JPY | 6,299,192,030 | (112,492 | ) | |||||||||||||||
| 06/30/2026 | UBSA | USD | 1,426,247 | JPY | 225,998,626 | (3,947 | ) | |||||||||||||||
| 07/16/2026 | JPM | USD | 1,443,784 | KRW | 2,128,830,175 | (30,784 | ) | |||||||||||||||
| 07/16/2026 | SSB | USD | 3,039,373 | KRW | 4,460,000,000 | (79,071 | ) | |||||||||||||||
| 07/16/2026 | GS | USD | 419,827 | KRW | 620,000,000 | (8,305 | ) | |||||||||||||||
| 07/07/2026 | JPM | USD | 5,113,106 | KRW | 7,540,962,740 | (108,787 | ) | |||||||||||||||
| 07/01/2026 | CITI | USD | 2,548,939 | PHP | 155,600,000 | (23,785 | ) | |||||||||||||||
| 07/01/2026 | MSCI | USD | 373,866 | PHP | 22,500,000 | (8,725 | ) | |||||||||||||||
| 07/01/2026 | SSB | USD | 268,365 | PHP | 16,500,000 | (595 | ) | |||||||||||||||
| 07/21/2026 | CITI | USD | 2,752,095 | THB | 87,600,000 | (50,395 | ) | |||||||||||||||
| 06/30/2026 | SSB | ZAR | 15,600,000 | USD | 939,639 | (20,218 | ) | |||||||||||||||
| 07/27/2026 | GS | ZAR | 34,592,060 | USD | 2,089,450 | (34,295 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | (95,736 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 23 | Australia Government Bond 10 Yr. | June 2026 | 1,802,363 | 23,578 | ||||||||
| 56 | Canada Government Bond 10 Yr. | September 2026 | 4,883,676 | 30,377 | ||||||||
| 14 | Cocoa(i) | July 2026 | 549,220 | (23,699 | ) | |||||||
| 268 | Corn(i) | July 2026 | 5,986,450 | (91,833 | ) | |||||||
| 193 | Cotton(i) | July 2026 | 7,348,475 | 66,281 | ||||||||
| 136 | Euro Bund | June 2026 | 20,065,155 | (322,048 | ) | |||||||
| 185 | FTSE 100 Index | June 2026 | 25,958,027 | 211,979 | ||||||||
| 66 | Health Care Select Sector Futures | June 2026 | 9,972,600 | (64,516 | ) | |||||||
| 966 | IODEX Futures(i) | July 2026 | 10,166,184 | (123,172 | ) | |||||||
| 48 | KOSPI 200 Index | June 2026 | 10,749,834 | 1,119,633 | ||||||||
| 317 | Lean Hogs(i) | July 2026 | 12,616,600 | (529,946 | ) | |||||||
| 7 | Natural Gas(i) | June 2026 | 230,300 | 11,395 | ||||||||
| 15 | RBOB Gasoline(i) | June 2026 | 1,911,672 | 40,624 | ||||||||
| 27 | S&P 500 E-Mini | June 2026 | 10,254,263 | 34,667 | ||||||||
| 264 | Soybean(i) | July 2026 | 15,665,100 | (90,033 | ) | |||||||
| 165 | Soybean Meal(i) | July 2026 | 5,441,700 | 142,547 | ||||||||
| 568 | Sugar(i) | June 2026 | 8,944,410 | (57,385 | ) | |||||||
| 77 | TOPIX Index | June 2026 | 19,122,153 | 1,363,373 | ||||||||
| 142 | UK Gilt Long Bond | September 2026 | 16,969,872 | 280,002 | ||||||||
| 97 | WTI Crude(i) | June 2026 | 8,473,920 | (370,911 | ) | |||||||
|
|
|
|
|
|||||||||
| $ | 197,111,974 | $ | 1,650,913 | |||||||||
|
|
|
|
|
|||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Sales | ||||||||||||
| 25 | BBG U.S. Corporate Investment Grade Duration-Hedged Index Futures | June 2026 | 2,812,500 | (1,921 | ) | |||||||
| 31 | CAC40 10 Euro | June 2026 | 2,945,396 | (73,142 | ) | |||||||
| 316 | CBOE Volatility Index(i) | June 2026 | 5,557,903 | 1,025,195 | ||||||||
| 156 | Coffee(i) | July 2026 | 15,537,600 | 1,400,354 | ||||||||
| 48 | Copper(i) | July 2026 | 7,666,800 | (531,763 | ) | |||||||
| 4 | DAX Index Futures | June 2026 | 2,936,878 | (131,097 | ) | |||||||
| 543 | E-mini Russell 2000 Index | June 2026 | 79,394,745 | (5,737,349 | ) | |||||||
| 52 | E-mini Technology Select Sector Futures | June 2026 | 20,048,080 | (3,735,666 | ) | |||||||
| 20 | FTSE 100 Index | June 2026 | 5,843,546 | (348,331 | ) | |||||||
| 170 | FTSE Taiwan Index | June 2026 | 26,505,272 | (633,849 | ) | |||||||
| 92 | Hang Seng Index | June 2026 | 14,663,943 | 241,887 | ||||||||
| 262 | IFSC NIFTY 50 Index | June 2026 | 12,429,683 | 61,205 | ||||||||
| 106 | Live Cattle Futures(i) | August 2026 | 10,135,720 | 236,476 | ||||||||
| 303 | MSCI Singapore | June 2026 | 10,945,357 | (90,326 | ) | |||||||
| 11 | NY Harbor ULSD Futures(i) | June 2026 | 1,611,733 | 128 | ||||||||
| 392 | OMX Stockholm 30 Index | June 2026 | 13,316,408 | (357,231 | ) | |||||||
| 3 | S&P/TSX 60 Index Futures | June 2026 | 880,383 | (23,237 | ) | |||||||
| 15 | Silver(i) | July 2026 | 5,690,625 | 127,716 | ||||||||
| 679 | Soybean Oil(i) | July 2026 | 31,663,128 | (4,108,179 | ) | |||||||
| 88 | SPI 200 Futures | June 2026 | 13,835,941 | (65,239 | ) | |||||||
| 21 | Swiss Market New Index Futures | June 2026 | 3,639,929 | (197,044 | ) | |||||||
| 11 | U.S. Treasury Note 2 Yr. (CBT) | September 2026 | 2,272,187 | (2,681 | ) | |||||||
| 4 | U.S. Treasury Note 5 Yr. (CBT) | September 2026 | 428,844 | (531 | ) | |||||||
| 4 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2026 | 448,313 | (1,523 | ) | |||||||
| 206 | WCE Canola Futures(i) | July 2026 | 2,273,897 | (121,715 | ) | |||||||
| 237 | Wheat(i) | July 2026 | 7,234,425 | 45,262 | ||||||||
|
|
|
|
|
|||||||||
| $ | 300,719,236 | $ | (13,022,601 | ) | ||||||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Written Options
| Description |
Exercise |
Expiration Date |
Number of Contracts |
Notional Amount |
Value ($) | |||||||||||||||||
| Equity Options – Calls |
||||||||||||||||||||||
| International Paper Co.(b) |
42.50 | 06/18/26 | (285 | ) | USD | (953,895 | ) | (21,375 | ) | |||||||||||||
| Lamb Weston Holdings, Inc.(b) |
62.50 | 06/18/26 | (92 | ) | USD | (397,256 | ) | (2,760 | ) | |||||||||||||
| Lamb Weston Holdings, Inc.(b) |
55.00 | 06/18/26 | (102 | ) | USD | (440,436 | ) | (1,020 | ) | |||||||||||||
| Meta Platforms, Inc.(b) |
620.00 | 06/18/26 | (16 | ) | USD | (1,012,016 | ) | (41,216 | ) | |||||||||||||
| Netflix, Inc.(b) |
95.00 | 06/18/26 | (77 | ) | USD | (662,354 | ) | (3,234 | ) | |||||||||||||
| TFI International, Inc.(b) |
85.00 | 07/17/26 | (69 | ) | USD | (1,467,492 | ) | (496,110 | ) | |||||||||||||
| Avantor, Inc.(b) |
9.00 | 08/21/26 | (510 | ) | USD | (465,120 | ) | (66,300 | ) | |||||||||||||
| Avantor, Inc.(b) |
8.00 | 08/21/26 | (557 | ) | USD | (507,984 | ) | (114,185 | ) | |||||||||||||
| Cognex Corp.(b) |
35.00 | 08/21/26 | (154 | ) | USD | (1,014,090 | ) | (502,040 | ) | |||||||||||||
| Gitlab, Inc.(b) |
25.00 | 08/21/26 | (212 | ) | USD | (658,260 | ) | (162,392 | ) | |||||||||||||
| LKQ Corp.(b) |
32.50 | 08/21/26 | (439 | ) | USD | (1,190,568 | ) | (21,950 | ) | |||||||||||||
| Air Products & Chemicals, Inc.(b) |
280.00 | 09/18/26 | (31 | ) | USD | (863,722 | ) | (56,420 | ) | |||||||||||||
| Becton Dickinson & Co.(b) |
200.00 | 09/18/26 | (40 | ) | USD | (588,480 | ) | (54,000 | ) | |||||||||||||
| Blackstone, Inc.(b) |
115.00 | 09/18/26 | (70 | ) | USD | (818,790 | ) | (81,550 | ) | |||||||||||||
| Charter Communications, Inc.(b) |
220.00 | 09/18/26 | (14 | ) | USD | (201,670 | ) | (5,880 | ) | |||||||||||||
| Cognizant Technology Solutions Corp.(b) |
62.50 | 09/18/26 | (176 | ) | USD | (981,288 | ) | (58,080 | ) | |||||||||||||
| Comcast Corp.(b) |
29.00 | 09/18/26 | (330 | ) | USD | (820,710 | ) | (21,450 | ) | |||||||||||||
| Comcast Corp.(b) |
31.00 | 09/18/26 | (94 | ) | USD | (233,778 | ) | (3,478 | ) | |||||||||||||
| Fluor Corp.(b) |
42.50 | 09/18/26 | (265 | ) | USD | (1,212,640 | ) | (214,650 | ) | |||||||||||||
| Fluor Corp.(b) |
47.50 | 09/18/26 | (62 | ) | USD | (283,712 | ) | (30,504 | ) | |||||||||||||
| iShares iBoxx USD Investment Grade Corporate Bond ETF(b) |
109.00 | 09/18/26 | (571 | ) | USD | (6,244,456 | ) | (139,895 | ) | |||||||||||||
| Keurig Dr. Pepper, Inc.(b) |
28.00 | 09/18/26 | (395 | ) | USD | (1,186,185 | ) | (138,250 | ) | |||||||||||||
| Kimberly-Clark Corp.(b) |
100.00 | 09/18/26 | (57 | ) | USD | (556,320 | ) | (27,930 | ) | |||||||||||||
| Kimberly-Clark Corp.(b) |
105.00 | 09/18/26 | (55 | ) | USD | (536,800 | ) | (17,600 | ) | |||||||||||||
| KKR & Co., Inc.(b) |
95.00 | 09/18/26 | (86 | ) | USD | (825,084 | ) | (85,570 | ) | |||||||||||||
| Kraft Heinz Co.(b) |
25.00 | 09/18/26 | (204 | ) | USD | (489,804 | ) | (17,952 | ) | |||||||||||||
| Meta Platforms, Inc.(b) |
630.00 | 09/18/26 | (8 | ) | USD | (506,008 | ) | (44,520 | ) | |||||||||||||
| Netflix, Inc.(b) |
89.00 | 09/18/26 | (48 | ) | USD | (412,896 | ) | (30,000 | ) | |||||||||||||
| Netflix, Inc.(b) |
84.00 | 09/18/26 | (36 | ) | USD | (309,672 | ) | (32,580 | ) | |||||||||||||
| Penn Entertainment, Inc.(b) |
15.00 | 09/18/26 | (531 | ) | USD | (999,873 | ) | (292,050 | ) | |||||||||||||
| Penn Entertainment, Inc.(b) |
12.00 | 09/18/26 | (404 | ) | USD | (760,732 | ) | (327,240 | ) | |||||||||||||
| Target Corp.(b) |
105.00 | 09/18/26 | (104 | ) | USD | (1,321,528 | ) | (270,920 | ) | |||||||||||||
| Brookfield Asset Management Ltd.(b) |
45.00 | 10/16/26 | (179 | ) | USD | (1,193,572 | ) | (125,300 | ) | |||||||||||||
| Jacobs Solutions, Inc.(b) |
135.00 | 10/16/26 | (64 | ) | USD | (767,104 | ) | (38,400 | ) | |||||||||||||
| Solventum Corp.(b) |
70.00 | 10/16/26 | (52 | ) | USD | (389,740 | ) | (53,040 | ) | |||||||||||||
| Eagle Materials, Inc.(b) |
180.00 | 11/20/26 | (35 | ) | USD | (774,130 | ) | (184,450 | ) | |||||||||||||
| Cooper Cos., Inc.(b) |
60.00 | 12/18/26 | (175 | ) | USD | (1,071,175 | ) | (176,750 | ) | |||||||||||||
| Gitlab, Inc.(b) |
22.50 | 12/18/26 | (165 | ) | USD | (512,325 | ) | (183,150 | ) | |||||||||||||
| Middleby Corp.(b) |
145.00 | 12/18/26 | (68 | ) | USD | (1,054,068 | ) | (178,840 | ) | |||||||||||||
| Qiagen NV(b) |
40.00 | 12/18/26 | (286 | ) | USD | (905,047 | ) | (108,680 | ) | |||||||||||||
| Union Pacific Corp.(b) |
230.00 | 12/18/26 | (40 | ) | USD | (1,050,560 | ) | (184,000 | ) | |||||||||||||
| Albertsons Cos., Inc.(b) |
17.00 | 01/15/27 | (673 | ) | USD | (1,050,553 | ) | (80,760 | ) | |||||||||||||
| Boston Scientific Corp.(b) |
65.00 | 01/15/27 | (150 | ) | USD | (724,650 | ) | (38,400 | ) | |||||||||||||
| Charter Communications, Inc.(b) |
150.00 | 01/15/27 | (44 | ) | USD | (633,820 | ) | (134,200 | ) | |||||||||||||
| Rocket Cos., Inc.(b) |
14.20 | 01/15/27 | (669 | ) | USD | (970,719 | ) | (216,087 | ) | |||||||||||||
| Synopsys, Inc.(b) |
400.00 | 01/15/27 | (19 | ) | USD | (903,678 | ) | (227,886 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||
| Total Equity Options – Calls |
|
(5,313,044 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Index Options – Puts |
| |||||||||||||||||||||
| S&P 500 Index |
7,165.00 | 06/03/26 | (22 | ) | USD | (16,676,132 | ) | (1,210 | ) | |||||||||||||
| S&P 500 Index |
7,190.00 | 06/03/26 | (19 | ) | USD | (14,402,114 | ) | (1,330 | ) | |||||||||||||
| S&P 500 Index |
7,160.00 | 06/03/26 | (22 | ) | USD | (16,676,132 | ) | (1,430 | ) | |||||||||||||
| S&P 500 Index |
7,170.00 | 06/03/26 | (21 | ) | USD | (15,918,126 | ) | (1,260 | ) | |||||||||||||
| S&P 500 Index |
7,185.00 | 06/03/26 | (19 | ) | USD | (14,402,114 | ) | (1,330 | ) | |||||||||||||
| S&P 500 Index |
7,175.00 | 06/03/26 | (20 | ) | USD | (15,160,120 | ) | (1,200 | ) | |||||||||||||
| S&P 500 Index |
7,180.00 | 06/03/26 | (20 | ) | USD | (15,160,120 | ) | (1,400 | ) | |||||||||||||
| E-mini Russell 2000 Index |
2,790.00 | 06/05/26 | (62 | ) | USD | (18,130,660 | ) | (18,290 | ) | |||||||||||||
| E-mini Russell 2000 Index |
2,795.00 | 06/05/26 | (59 | ) | USD | (44,722,354 | ) | (18,408 | ) | |||||||||||||
| S&P 500 Index |
7,125.00 | 06/05/26 | (10 | ) | USD | (7,580,060 | ) | (1,350 | ) | |||||||||||||
| S&P 500 Index |
7,305.00 | 06/05/26 | (6 | ) | USD | (4,548,036 | ) | (2,148 | ) | |||||||||||||
| S&P 500 Index |
7,290.00 | 06/05/26 | (6 | ) | USD | (4,548,036 | ) | (2,040 | ) | |||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Written Options — continued
| Description |
Exercise |
Expiration Date |
Number of Contracts |
Notional Amount |
Value ($) | |||||||||||||||||
| S&P 500 Index |
7,300.00 | 06/05/26 | (6 | ) | USD | (4,548,036 | ) | (2,100 | ) | |||||||||||||
| S&P 500 Index |
7,310.00 | 06/05/26 | (6 | ) | USD | (4,548,036 | ) | (2,262 | ) | |||||||||||||
| S&P 500 Index |
7,295.00 | 06/05/26 | (6 | ) | USD | (4,548,036 | ) | (2,070 | ) | |||||||||||||
| S&P 500 Index |
7,320.00 | 06/05/26 | (5 | ) | USD | (3,790,030 | ) | (2,000 | ) | |||||||||||||
| S&P 500 Index |
7,315.00 | 06/05/26 | (5 | ) | USD | (3,790,030 | ) | (1,910 | ) | |||||||||||||
| S&P 500 Index |
7,285.00 | 06/05/26 | (6 | ) | USD | (4,548,036 | ) | (1,842 | ) | |||||||||||||
| S&P 500 Index |
7,175.00 | 06/12/26 | (10 | ) | USD | (7,580,060 | ) | (6,080 | ) | |||||||||||||
| S&P 500 Index |
7,235.00 | 06/18/26 | (10 | ) | USD | (7,580,060 | ) | (16,500 | ) | |||||||||||||
| S&P 500 Index |
7,400.00 | 06/26/26 | (9 | ) | USD | (6,822,054 | ) | (42,300 | ) | |||||||||||||
| S&P 500 Index |
7,410.00 | 06/30/26 | (10 | ) | USD | (7,580,060 | ) | (54,700 | ) | |||||||||||||
| S&P 500 Index |
7,475.00 | 07/10/26 | (10 | ) | USD | (7,580,060 | ) | (86,500 | ) | |||||||||||||
| S&P 500 Index |
7,585.00 | 07/17/26 | (9 | ) | USD | (6,822,054 | ) | (121,230 | ) | |||||||||||||
|
|
|
|||||||||||||||||||||
| Total Index Options – Puts | (390,890 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| |
TOTAL WRITTEN OPTIONS (Premiums $5,480,667) |
$ | (5,703,934 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||||||||
| ITRAXX.EUR.42 |
EUR | 60,000,000 | 1.00% | 0.36% | N/A | 12/20/2029 | Quarterly | (1,121,255 | ) | (1,529,010 | ) | (407,755 | ) | |||||||||||||||||||||||||
| ITRAXX.XO.44 |
EUR | 8,800,000 | 5.00% | 2.23% | N/A | 12/20/2030 | Quarterly | (832,757 | ) | (1,144,595 | ) | (311,838 | ) | |||||||||||||||||||||||||
| CDX.NA.IG.46 |
USD | 88,562,000 | 1.00% | 0.90% | N/A | 06/20/2036 | Quarterly | 141,001 | (683,345 | ) | (824,346 | ) | ||||||||||||||||||||||||||
| ITRAXX.EUR.45 |
EUR | 75,532,000 | 1.00% | 0.94% | N/A | 06/20/2036 | Quarterly | 590,938 | (465,259 | ) | (1,056,197 | ) | ||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.46 |
USD | 10,144,530 | 5.00% | 3.02% | 10,144,530 USD | 06/20/2031 | Quarterly | 757,201 | 846,064 | 88,863 | ||||||||||||||||||||||||||||
| CDX.NA.IG.46 |
USD | 214,622,000 | 1.00% | 0.51% | 214,622,000 USD | 06/20/2031 | Quarterly | 4,083,981 | 4,830,283 | 746,302 | ||||||||||||||||||||||||||||
| ITRAXX.EUR.45 |
EUR | 178,417,000 | 1.00% | 0.53% | 178,417,000 EUR | 06/20/2031 | Quarterly | 3,672,752 | 4,634,094 | 961,342 | ||||||||||||||||||||||||||||
| ITRAXX.XO.45 |
EUR | 11,846,000 | 5.00% | 2.59% | 11,846,000 EUR | 06/20/2031 | Quarterly | 1,335,258 | 1,441,767 | 106,509 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| $ | 8,627,119 | $ | 7,929,999 | $ | (697,120 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
OTC Credit Default Swaps
| Reference Entity |
Counter- |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||||||||
| ITRAXX.EUR.44 |
BOA | EUR | 2,150,000 | 1.00% | 5.97% | N/A | 12/20/2030 | Quarterly | 513,733 | 490,556 | (23,177 | ) | ||||||||||||||||||||||||||
| ITRAXX.EUR.44 |
BOA | EUR | 4,690,000 | 1.00% | 1.44% | N/A | 12/20/2030 | Quarterly | 121,782 | 103,982 | (17,800 | ) | ||||||||||||||||||||||||||
| CMBX.NA.BBB-.18 |
CGMI | USD | 13,000,000 | 3.00% | 5.93% | N/A | 12/17/2057 | Monthly | 1,145,626 | 1,047,963 | (97,663 | ) | ||||||||||||||||||||||||||
| CMBX.NA.BBB-.18 |
GS | USD | 6,500,000 | 3.00% | 5.93% | N/A | 12/17/2057 | Monthly | 418,437 | 523,981 | 105,544 | |||||||||||||||||||||||||||
| CMBX.NA.BBB-.18 |
GS | USD | 10,000,000 | 3.00% | 5.93% | N/A | 12/17/2057 | Monthly | 775,950 | 806,125 | 30,175 | |||||||||||||||||||||||||||
| CMBX.NA.BBB-.18 |
MSCI | USD | 6,500,000 | 3.00% | 5.93% | N/A | 12/17/2057 | Monthly | 455,000 | 523,981 | 68,981 | |||||||||||||||||||||||||||
| CMBX.NA.A.15 |
CGMI | USD | 2,222,000 | 2.00% | 2.95% | N/A | 11/18/2064 | Monthly | 266,640 | 90,057 | (176,583 | ) | ||||||||||||||||||||||||||
| CMBX.NA.A.15 |
MSCI | USD | 2,222,500 | 2.00% | 2.95% | N/A | 11/18/2064 | Monthly | 134,224 | 90,077 | (44,147 | ) | ||||||||||||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts — continued
OTC Credit Default Swaps — continued
| Reference Entity |
Counter- |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.43 |
GS | USD | 3,750,000 | 5.00% | 0.75% | 3,750,000 USD | 12/20/2029 | Quarterly | 353,771 | 532,451 | 178,680 | |||||||||||||||||||||||||||||
| CDX.NA.HY.43 |
GS | USD | 3,750,000 | 5.00% | 1.89% | 3,750,000 USD | 12/20/2029 | Quarterly | (198,229 | ) | 384,953 | 583,182 | ||||||||||||||||||||||||||||
| ITRAXX.EUR.42 |
BOA | EUR | 100,000,000 | 1.00% | 0.17% | 100,000,000 EUR | 12/20/2029 | Quarterly | 3,480,791 | 3,313,463 | (167,328 | ) | ||||||||||||||||||||||||||||
| CDX.NA.HY.45 |
JPM | USD | 37,131,235 | 5.00% | 0.46% | 37,131,235 USD | 12/20/2030 | Quarterly | 6,982,530 | 6,843,213 | (139,317 | ) | ||||||||||||||||||||||||||||
| ITRAXX.EUR.44 |
BOA | EUR | 50,000,000 | 1.00% | 0.25% | 50,000,000 EUR | 12/20/2030 | Quarterly | 2,011,827 | 1,891,517 | (120,310 | ) | ||||||||||||||||||||||||||||
| ITRAXX.XO.44 |
BNP | EUR | 20,000,000 | 5.00% | 0.54% | 20,000,000 EUR | 12/20/2030 | Quarterly | 4,655,030 | 4,344,935 | (310,095 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.17 |
GS | USD | 5,000,000 | 3.00% | 5.88% | 5,000,000 USD | 12/15/2056 | Monthly | (639,062 | ) | (712,375 | ) | (73,313 | ) | ||||||||||||||||||||||||||
| CMBX.NA.BBB-.17 |
MSCI | USD | 4,560,000 | 3.00% | 5.88% | 4,560,000 USD | 12/15/2056 | Monthly | (605,625 | ) | (649,686 | ) | (44,061 | ) | ||||||||||||||||||||||||||
| CMBX.NA.AAA.10 |
GS | USD | 3,796,353 | 0.50% | 0.17% | 3,796,353 USD | 11/17/2059 | Monthly | 34,721 | 3,791 | (30,930 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.AAA.15 |
CGMI | USD | 4,438,227 | 0.50% | 0.46% | 4,438,227 USD | 11/18/2064 | Monthly | (165,593 | ) | 8,099 | 173,692 | ||||||||||||||||||||||||||||
| CMBX.NA.AAA.15 |
GS | USD | 1,727,364 | 0.50% | 0.46% | 1,727,364 USD | 11/18/2064 | Monthly | (26,581 | ) | 3,010 | 29,591 | ||||||||||||||||||||||||||||
| CMBX.NA.AAA.15 |
MSCI | USD | 4,438,227 | 0.50% | 0.46% | 4,438,227 USD | 11/18/2064 | Monthly | (64,111 | ) | 8,099 | 72,210 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | 19,650,861 | $ | 19,648,192 | $ | (2,669 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2026, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
Centrally Cleared Interest Rate Swaps
| Fund Pays |
Fund Receives | Notional |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 4.57% |
3 Month AUD BBSW | AUD | 247,600,000 | 06/17/2028 | Quarterly | 336,027 | (191,108 | ) | (527,135 | ) | ||||||||||||||||
|
CAD-CORRA-OIS-COMPOUND |
3.07% | CAD | 74,000,000 | 06/17/2028 | Annually | 183,225 | 409,475 | 226,250 | ||||||||||||||||||
|
CHF-SARON-OIS-COMPOUND |
0.21% | CHF | 115,500,000 | 06/17/2028 | Annually | 50,185 | 227,005 | 176,820 | ||||||||||||||||||
| 2.34% |
EUR-EuroSTR-COMPOUND | EUR | 56,900,000 | 06/17/2028 | Annually | 339,616 | 121,027 | (218,589 | ) | |||||||||||||||||
| 3.97% |
GBP-SONIA-COMPOUND | GBP | 54,777,000 | 06/17/2028 | Annually | 33,951 | 166,661 | 132,710 | ||||||||||||||||||
| NZD Bank Bill Rate |
3.60% | NZD | 53,400,000 | 06/17/2028 | Quarterly | (4,865 | ) | 39,875 | 44,740 | |||||||||||||||||
| SEK STIBOR |
2.77% | SEK | 407,200,000 | 06/17/2028 | Quarterly | 25,346 | 323,071 | 297,725 | ||||||||||||||||||
| 3.32% |
USD-SOFR-OIS COMPOUND | USD | 38,400,000 | 06/17/2028 | Annually | 276,403 | 405,307 | 128,904 | ||||||||||||||||||
| BRL-CDI |
13.00% | BRL | 35,811,804 | 01/02/2031 | At Maturity | (39,112 | ) | (276,458 | ) | (237,346 | ) | |||||||||||||||
|
MXN-TIIE ON-OIS COMPOUND |
8.26% | MXN | 227,000,000 | 06/11/2031 | Monthly | 105,939 | 226,349 | 120,410 | ||||||||||||||||||
| 5.10% |
CL-CLICP-BLOOMBERG | CLP | 3,200,000,000 | 06/17/2031 | Semi-Annually | (13,692 | ) | (25,601 | ) | (11,909 | ) | |||||||||||||||
| 1.62% |
CNY-CNREPOFIX=CFXS-Reuters | CNY | 69,000,000 | 06/17/2031 | Quarterly | 7,153 | (53,217 | ) | (60,370 | ) | ||||||||||||||||
|
COP-IBR-OIS-COMPOUND |
11.50% | COP | 25,100,000,000 | 06/17/2031 | Quarterly | (45,002 | ) | (43,232 | ) | 1,770 | ||||||||||||||||
| CZK-PRIBOR-PRBO |
4.44% | CZK | 234,500,000 | 06/17/2031 | Semi-Annually | 54,131 | 94,668 | 40,537 | ||||||||||||||||||
| 7.09% |
HUF-BUBOR-REUTERS | HUF | 3,321,800,000 | 06/17/2031 | Semi-Annually | (450,107 | ) | (971,178 | ) | (521,071 | ) | |||||||||||||||
| 3.74% |
ILS-SHIR-OIS COMPOUND | ILS | 30,100,000 | 06/17/2031 | Annually | (9,417 | ) | (216,503 | ) | (207,086 | ) | |||||||||||||||
| 6.52% |
INR-FBIL-MIBOR-OIS-COMPOUND | INR | 249,600,000 | 06/17/2031 | Semi-Annually | 18,032 | 10,821 | (7,211 | ) | |||||||||||||||||
|
KRW-CD-KSDA-BLOOMBERG |
3.62% | KRW | 15,900,000,000 | 06/17/2031 | Quarterly | (8,548 | ) | (142,555 | ) | (134,007 | ) | |||||||||||||||
|
MYR-KLIBOR-BNM |
3.57% | MYR | 9,500,000 | 06/17/2031 | Quarterly | 1,450 | (1,492 | ) | (2,942 | ) | ||||||||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts — continued
Centrally Cleared Interest Rate Swaps — continued
| Fund Pays |
Fund Receives | Notional |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||
| 4.61% |
PLN-WIBOR-WIBO | PLN | 4,100,000 | 06/17/2031 | Semi-Annually | (4,939 | ) | (9,708 | ) | (4,769 | ) | |||||||||||||||
| 1.92% |
SGD-SORA-COMPOUND | SGD | 11,400,000 | 06/17/2031 | Semi-Annually | (10,908 | ) | (16,130 | ) | (5,222 | ) | |||||||||||||||
| 1.63% |
THB-THOR | THB | 170,900,000 | 06/17/2031 | Quarterly | 8,914 | 41,937 | 33,023 | ||||||||||||||||||
| TWD-REUTERS-6165 |
4.52% | TWD | 195,100,000 | 06/17/2031 | Quarterly | 639,103 | 630,256 | (8,847 | ) | |||||||||||||||||
| ZAR-JIBAR-SAFEX |
7.67% | ZAR | 7,900,000 | 06/17/2031 | Quarterly | (1,206 | ) | 4,114 | 5,320 | |||||||||||||||||
| 6 Month AUD BBSW |
5.04% | AUD | 59,300,000 | 06/17/2036 | Semi-Annually | (153,783 | ) | 341,000 | 494,783 | |||||||||||||||||
| 6 Month AUD BBSW |
5.09% | AUD | 8,800,000 | 06/17/2036 | Semi-Annually | 28,728 | 75,784 | 47,056 | ||||||||||||||||||
| 3.35% |
CAD-CORRA-OIS-COMPOUND | CAD | 17,100,000 | 06/17/2036 | Annually | (11,060 | ) | (166,166 | ) | (155,106 | ) | |||||||||||||||
| 3.15% |
CAD-CORRA-OIS-COMPOUND | CAD | 15,000,000 | 06/17/2036 | Annually | 75,488 | 39,079 | (36,409 | ) | |||||||||||||||||
| 0.65% |
CHF-SARON-OIS-COMPOUND | CHF | 14,900,000 | 06/17/2036 | Annually | (49,523 | ) | (25,772 | ) | 23,751 | ||||||||||||||||
| 0.64% |
CHF-SARON-OIS-COMPOUND | CHF | 24,100,000 | 06/17/2036 | Annually | (39,506 | ) | (23,358 | ) | 16,148 | ||||||||||||||||
| EUR-EuroSTR-COMPOUND |
2.74% | EUR | 12,800,000 | 06/17/2036 | Annually | (205,084 | ) | (23,353 | ) | 181,731 | ||||||||||||||||
| 2.70% |
EUR-EuroSTR-COMPOUND | EUR | 12,500,000 | 06/17/2036 | Annually | 233,481 | 77,982 | (155,499 | ) | |||||||||||||||||
| GBP-SONIA-COMPOUND |
4.34% | GBP | 13,045,000 | 06/17/2036 | Annually | (3,755 | ) | (86,767 | ) | (83,012 | ) | |||||||||||||||
| GBP-SONIA-COMPOUND |
4.35% | GBP | 14,600,000 | 06/17/2036 | Annually | (71,191 | ) | (82,956 | ) | (11,765 | ) | |||||||||||||||
| 4.45% |
3 Month NZD Bank Bill Rate | NZD | 12,700,000 | 06/17/2036 | Quarterly | (16,365 | ) | (151,300 | ) | (134,935 | ) | |||||||||||||||
| NZD Bank Bill Rate |
4.45% | NZD | 20,800,000 | 06/17/2036 | Quarterly | (14,642 | ) | 244,710 | 259,352 | |||||||||||||||||
| 3.09% |
3 Month SEK STIBOR | SEK | 90,700,000 | 06/17/2036 | Quarterly | 11,130 | (167,528 | ) | (178,658 | ) | ||||||||||||||||
| 3.00% |
3 Month SEK STIBOR | SEK | 56,800,000 | 06/17/2036 | Quarterly | 4,599 | (57,514 | ) | (62,113 | ) | ||||||||||||||||
| USD-SOFR-OIS COMPOUND |
3.70% | USD | 9,200,000 | 06/17/2036 | Annually | (163,425 | ) | (259,438 | ) | (96,013 | ) | |||||||||||||||
| 3.70% |
USD-SOFR-OIS COMPOUND | USD | 13,200,000 | 06/17/2036 | Annually | 30,017 | 377,657 | 347,640 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 1,146,788 | $ | 865,444 | $ | (281,344 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| 0.15% |
SG US Strong Balance Sheet Hedged Index | SOCG | USD | 33,926,094 | 09/17/2026 | Quarterly | — | (4,024,117 | ) | (4,024,117 | ) | |||||||||||||||||
| 0.20% (i) |
BNP Paribas Cross Asset Trend Allocator Index | BNP | USD | 20,269,382 | 01/07/2027 | Quarterly | — | 1,071,025 | 1,071,025 | |||||||||||||||||||
| 0.20% (i) |
SGI CTA MF (Excess Return) | SOCG | USD | 19,561,077 | 01/07/2027 | Quarterly | — | 221,090 | 221,090 | |||||||||||||||||||
| 1 Day Overnight Federal Funds Effective Rate plus 0.33% |
MSCI Daily Total Return Net Value EAFE Index | UBSA | USD | 14,366,108 | 02/01/2027 | Monthly | — | 251,170 | 251,170 | |||||||||||||||||||
| MSCI Daily Trust Net Growth EAFE Index |
1 Day Overnight Federal Funds Effective Rate plus 0.34% | UBSA | USD | 14,073,219 | 02/01/2027 | Monthly | — | (533,910 | ) | (533,910 | ) | |||||||||||||||||
| 0.20% (i) |
BNP Paribas Cross Asset Trend Allocator Index | BNP | USD | 20,998,969 | 04/02/2027 | Quarterly | 116 | 908,062 | 907,946 | |||||||||||||||||||
| 0.20% (i) |
SGI CTA Index (Excess Return) | SOCG | USD | 20,999,517 | 04/02/2027 | Quarterly | 117 | 373,824 | 373,707 | |||||||||||||||||||
| Total Return on Equity Basket (k) |
1 Month Federal Funds Rate minus 0.40% | GS | USD | 6,903,241 | 06/26/2028 | Monthly | — | 163,626 | 163,626 | |||||||||||||||||||
| Total Return on Equity Basket (k) |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 5,322,134 | 06/18/2027 | Monthly | — | 2,025 | 2,025 | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.40% | GS | USD | 18,994,500 | 06/24/2028 | Monthly | — | 288,015 | 288,015 | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 17,380,769 | 06/18/2027 | Monthly | — | 163,368 | 163,368 | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 12,306,039 | 06/18/2027 | Monthly | — | (478,919 | ) | (478,919 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 233 | $ | (1,594,741 | ) | $ | (1,594,974 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
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, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (b) | All or a portion of this investment is held in connection with one or more holdings within the Fund. |
| (c) | All or a portion of this security is out on loan. |
| (d) | Securities are traded on separate exchanges for the same entity. |
| (e) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (f) | Investment valued using significant unobservable inputs. |
| (g) | 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. |
| (h) | Private placement security; restricted as to resale. |
| (i) | 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. |
| (j) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
| (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. |
| (l) | Periodic payments made/received are based on the total return of the referenced entity. The following table represents the individual long and/or short positions with in the custom equity basket swap as of May 31, 2026. |
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||
| Custom equity basket swap with GS as the counterparty: |
||||||||||||
| (1,480) | Aeroports de Paris SA | 1.1 | % | (198,304 | ) | |||||||
| (39,151) | Allefro.eu.SA | 2.0 | % | (374,855 | ) | |||||||
| (7,133) | Antofagasta PLC | 2.1 | % | (392,939 | ) | |||||||
| (1,000) | Asia Vital Components Co., Ltd. | 0.5 | % | (84,326 | ) | |||||||
| (9,800) | AXIA Energia SA | 0.5 | % | (101,855 | ) | |||||||
| (2,231) | Budimex SA | 2.3 | % | (429,673 | ) | |||||||
| (8,645) | Capitec Bank Holdings Ltd. | 12.8 | % | (2,383,120 | ) | |||||||
| (13,759) | CD Projekt SA | 4.7 | % | (881,388 | ) | |||||||
| (40,686) | Cellnex Telecom SA | 7.3 | % | (1,361,462 | ) | |||||||
| (39,132) | Clicks Group Ltd. | 3.0 | % | (566,019 | ) | |||||||
| (80,900) | Delta Electronics (Thailand) Public Co. Ltd. NVDR | 4.7 | % | (872,447 | ) | |||||||
| (4,000) | Delta Electronics, Inc. | 1.6 | % | (306,905 | ) | |||||||
| (488) | Doosan Co. Ltd. | 3.4 | % | (640,325 | ) | |||||||
| (3,529) | Ecopro Co. Ltd. | 1.7 | % | (326,128 | ) | |||||||
| (186) | eMemory Technology, Inc. | 0.1 | % | (20,079 | ) | |||||||
| (40,300) | Eneva SA | 1.1 | % | (204,753 | ) | |||||||
| (88) | Entain PLC | 0.0 | % | (630 | ) | |||||||
| (827) | Euronext NV | 0.7 | % | (134,395 | ) | |||||||
| (11,444) | Fresnillo PLC | 2.7 | % | (502,842 | ) | |||||||
| (12,641) | Getlink SE | 1.5 | % | (276,211 | ) | |||||||
| (5,000) | Global Unichip Corp. | 3.9 | % | (737,735 | ) | |||||||
| (3,085) | Grupo Aeroportuario del Pacífico | 0.4 | % | (72,483 | ) | |||||||
| (90) | HD Hyundai Electric Co. Ltd. | 0.3 | % | (63,030 | ) | |||||||
| (515) | Hermes International SCA | 5.1 | % | (962,395 | ) | |||||||
| (3,522) | HLB, Inc. | 0.6 | % | (118,612 | ) | |||||||
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||
| (12,000) | Hong Kong Exchange and Clearing Ltd. | 3.3 | % | (612,720 | ) | |||||||
| (2,302) | HYBE Co. Ltd. | 1.8 | % | (335,088 | ) | |||||||
| (10,354) | Hyundai Rotem Co. | 7.4 | % | (1,378,190 | ) | |||||||
| (14,000) | Kingdee International Software Group Co. Ltd. | 0.1 | % | (13,072 | ) | |||||||
| (87) | LIG Defense & Aerospace Co., Ltd. | 0.2 | % | (46,222 | ) | |||||||
| (1,796) | London Stock Exchange Group PLC | 1.2 | % | (217,315 | ) | |||||||
| (119) | LPP SA | 4.0 | % | (739,136 | ) | |||||||
| (832) | Phoenix Group Holdings PLC | 0.0 | % | (8,656 | ) | |||||||
| (13,733) | Public Power Corp. | 1.8 | % | (345,311 | ) | |||||||
| (1,596) | Samsung Biologics Co. Ltd. | 7.7 | % | (1,444,165 | ) | |||||||
| (9,704) | Samsung Heavy Industries Co. Ltd. | 1.0 | % | (180,163 | ) | |||||||
| 107,247 | Turk Hava Yollari AO | (3.7 | %) | 688,351 | ||||||||
| (55,000) | Unimicron Technology Corp. | 9.8 | % | (1,825,057 | ) | |||||||
| (4,258) | Yuhan Corp. | 1.3 | % | (240,096 | ) | |||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS | $ | (18,709,751 | ) | |||||||||
|
|
|
|||||||||||
| Custom equity basket swap with MORD as the counterparty (Notional Amount of USD 17,380,769): | ||||||||||||
| (42,163) | Aselsan Elektronik Sanayi ve Ticaret AS | 2.0 | % | (347,574 | ) | |||||||
| 940,300 | Astra International Tbk PT | (1.5 | %) | 263,392 | ||||||||
| (1,618) | Celltrion, Inc. | 1.2 | % | (206,923 | ) | |||||||
| (29,447) | Doosan Enerbility Co. Ltd. | 12.0 | % | (2,065,369 | ) | |||||||
| (1,511) | Ecopro Co. Ltd. | 0.8 | % | (139,637 | ) | |||||||
| (2,000) | eMemory Technology, Inc. | 1.3 | % | (215,902 | ) | |||||||
| (51,027) | Entain PLC | 2.1 | % | (365,136 | ) | |||||||
| (2,677) | Fresnillo PLC | 0.7 | % | (117,626 | ) | |||||||
| (396,441) | Haci Ömer Sabanci Holding AS | 4.5 | % | (781,488 | ) | |||||||
| (8,530) | HLB, Inc. | 1.7 | % | (287,268 | ) | |||||||
| (40,500) | Hong Kong Exchange and Clearing Ltd. | 12.0 | % | (2,067,929 | ) | |||||||
| (4,903) | HYBE Co. Ltd. | 4.2 | % | (713,700 | ) | |||||||
| (705) | Hyundai Rotem Co. | 0.5 | % | (93,840 | ) | |||||||
| 137,900 | Indofood Sukses Makmur Tbk | (0.3 | %) | 53,451 | ||||||||
| (53,653) | Informa PLC | 3.4 | % | (582,912 | ) | |||||||
| (163,500) | Innovent Biologics, Inc. | 10.1 | % | (1,736,099 | ) | |||||||
| (4,053) | InterContinental Hotels Group PLC | 3.6 | % | (621,532 | ) | |||||||
| (862,000) | Kingdee International Software Group Co. Ltd. | 4.7 | % | (804,876 | ) | |||||||
| (19,271) | Korea Aerospace Industries Ltd. | 12.5 | % | (2,154,851 | ) | |||||||
| (1,300) | London Stock Exchange Group PLC | 0.9 | % | (157,299 | ) | |||||||
| (159,438) | Salik Co. PJSC | 1.4 | % | (233,203 | ) | |||||||
| (1,207) | Samsung Biologics Co. Ltd. | 6.3 | % | (1,092,173 | ) | |||||||
| (136) | Samsung Electro-Mechanics | 1.1 | % | (192,248 | ) | |||||||
| (106,439) | Samsung Heavy Industries Co. Ltd. | 11.5 | % | (1,976,132 | ) | |||||||
| (2,336) | Severn Trent PLC | 0.5 | % | (93,145 | ) | |||||||
| 85,890 | Turk Hava Yollari AO | (3.2 | %) | 551,274 | ||||||||
| (112,700) | Xpeng, Inc., Class A | 5.3 | % | (916,696 | ) | |||||||
| (25,500) | Zhejiang Leapmotor Technology Co., Ltd. | 0.7 | % | (128,072 | ) | |||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS | $ | (17,223,513 | ) | |||||||||
|
|
|
|||||||||||
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||
| Custom equity basket swap with MORD as the counterparty (Notional Amount of USD 12,306,039): | ||||||||||||
| (4,726) | Aeroports de Paris SA | 5.0 | % | (633,232 | ) | |||||||
| (18,903) | Associated British Foods PLC | 3.6 | % | (462,581 | ) | |||||||
| (5,525) | Azrieli Group Ltd. | 7.2 | % | (912,899 | ) | |||||||
| (66,297) | Barratt Redrow PLC | 1.8 | % | (233,577 | ) | |||||||
| (39,267) | Bollore SE | 2.0 | % | (248,799 | ) | |||||||
| (19,165) | Cellnex Telecom SA | 5.1 | % | (641,312 | ) | |||||||
| (1,141) | Danone | 0.6 | % | (81,125 | ) | |||||||
| (3,021) | Dassault Aviation SA | 8.5 | % | (1,073,285 | ) | |||||||
| (6,065) | EssilorLuxottica SA | 9.7 | % | (1,225,855 | ) | |||||||
| (5,106) | Ferrovial SE | 2.8 | % | (349,244 | ) | |||||||
| (6,740) | Grifols SA | 0.5 | % | (72,963 | ) | |||||||
| (210) | Hermes International SCA | 3.1 | % | (392,433 | ) | |||||||
| (11,246) | Informa PLC | 1.0 | % | (122,182 | ) | |||||||
| (1,655) | InterContinental Hotels Group PLC | 2.0 | % | (253,796 | ) | |||||||
| 12,578 | Israel Discount Bank Ltd. | (1.1 | %) | 139,255 | ||||||||
| (52,763) | Land Securities Group PLC | 3.5 | % | (445,456 | ) | |||||||
| (1,076) | London Stock Exchange Group PLC | 1.0 | % | (130,195 | ) | |||||||
| (50,646) | Marks + Spencer Group PLC | 1.9 | % | (241,861 | ) | |||||||
| 2,460 | NICE Ltd. | (1.8 | %) | 222,123 | ||||||||
| (2,873) | Pernod Ricard SA | 1.7 | % | (211,647 | ) | |||||||
| (43,640) | Phoenix Group Holdings PLC | 3.6 | % | (454,042 | ) | |||||||
| (10,014) | Reckitt Benckiser Group PLC | 4.9 | % | (616,274 | ) | |||||||
| (21,744) | Renault SA | 5.9 | % | (743,700 | ) | |||||||
| (28,341) | Rentokil Initial PLC | 1.3 | % | (170,297 | ) | |||||||
| (53,970) | Rolls-Royce Holdings PLC | 7.7 | % | (971,018 | ) | |||||||
| (6,849) | Severn Trent PLC | 2.2 | % | (273,096 | ) | |||||||
| (297,722) | Telefonica SA | 10.7 | % | (1,362,046 | ) | |||||||
| (8,639) | United Utilities Group PLC | 1.2 | % | (156,140 | ) | |||||||
| (3,345) | Whitbread PLC | 0.8 | % | (105,038 | ) | |||||||
| (36,642) | Wise Group PLC | 3.6 | % | (459,036 | ) | |||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS | $ | (12,681,751 | ) | |||||||||
|
|
|
|||||||||||
The rates shown on variable rate notes are the current interest rates at May 31, 2026, 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.
BNM - Bank Negara Malaysia
CD - Certificate of Deposit
CDI - Certificado de Deposito Interbancario
CVR - Contingent Value Right
ETF - Exchange-Traded Fund
EuroSTR - Euro Short-Term Rate
FBIL - Financial Benchmarks India PVT. LTD.
IBR - Indicador Bancario de Referencia
JSC - Joint-Stock Company
KLIBOR - Kuala Lumpur Interbank Offered Rate
KSDA - Korean Securities Dealers Association
MIBOR - Mumbai Interbank Offer Rate
NVDR - Non-Voting Depositary Receipt
NZD Bank Bill Rate - Bank Bill Rate denominated in New Zealand Dollar.
OIS - Overnight Indexed Swaps
OMO - Open Market Operations
PJSC - Private Joint-Stock Company
PRIBOR - Prague Interbank Offered Rate
RBOB - Reformulated Blendstock for Oxygenate Blending
Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REIT - Real Estate Investment Trust
SAFEX - South African Futures Exchange
SARON - Swiss Average Rate Overnight
SDR - Swedish Depository Receipt
SEK STIBOR - Stockholm Interbank Offered Rate denominated in Swedish Krona.
SHIR - Shekel Overnight Interest Rate
SOFR - Secured Overnight Financing Rate
SONIA - Sterling Overnight Interbank Average Rate
SORA - Singapore Overnight Rate Average
TBA - To Be Announced - Delayed Delivery Security
THOR - Thai Overnight Repurchase Rate
TIIE - The Interbank Equilibrium Interest Rate denominated in Mexican Peso
WIBOR - Warsaw Interbank Offered Rate
ZAR JIBAR - Johannesburg Interbank Average Rate denominated in South African Rand.
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
BNP - BNP Paribas
BOA - Bank of America, N.A.
CGMI - Citigroup Global Markets Inc.
CITI - Citibank N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital
Services LLC
MSCI - Morgan Stanley & Co. International PLC
SOCG - Société Générale
SSB - State Street Bank and Trust Company
UBSA - UBS AG
GMO Alternative Allocation Fund
(A Series of GMO Trust)
Consolidated Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Currency Abbreviations:
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
CNY - China Yuan Renminbi
COP - Colombian Peso
CZK - Czech Republic Koruna
DOP - Dominican Republic Peso
EGP - Egyptian Pound
EUR - Euro
GBP - British Pound
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - South Korean Won
KZT - Kazakhstani Tenge
MXN - Mexican Peso
MYR - Malaysian Ringgit
NGN - Nigerian Naira
NOK - Norwegian Krone
NZD - New Zealand Dollar
PEN - Peruvian Sol
PHP - Philippines Peso
PLN - Polish Zloty
PYG - Paraguayan Guarani
RON - Romanian New Leu
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thai Baht
TRY - Turkish Lira
TWD - Taiwan New Dollar
UGX - Ugandan Shilling
USD - United States Dollar
UYU - Uruguay Peso
ZAR - South African Rand
GMO Benchmark-Free Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description | Value ($) |
||||||||
| INVESTMENT FUNDS — 100.0% |
| |||||||||
| United States — 100.0% | ||||||||||
| 17,221,150 | GMO Alternative Allocation Fund, | |||||||||
| Class VI (a) | 318,763,478 | |||||||||
| 894,423 | GMO Climate Change Fund, Class III (a) | 28,755,713 | ||||||||
| 1,464,482 | GMO High Yield Fund, Class VI (a) | 25,687,014 | ||||||||
| 125,161,151 | GMO Implementation Fund (a) | 2,175,300,808 | ||||||||
| 2,022,857 | GMO Opportunistic Income Fund, Class VI (a) | 49,054,290 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $2,097,971,267) |
2,597,561,303 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% | ||||||||||
| Money Market Funds — 0.1% | ||||||||||
| 3,327,753 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 3,327,753 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $3,327,753) |
3,327,753 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $2,101,299,020) |
2,600,889,056 | |||||||||
| Other Assets and Liabilities (net) — (0.1%) | (1,980,414 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $2,598,908,642 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | Affiliated company. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| COMMON STOCKS — 58.7% |
| |||||||||
| Australia — 1.3% | ||||||||||
| 47,594 | Accent Group Ltd. (a) | 19,857 | ||||||||
| 3,176 | Aristocrat Leisure Ltd. (b) | 114,115 | ||||||||
|
|
182,608 | Aurizon Holdings Ltd. | 549,548 | |||||||
| 175,867 | BHP Group Ltd. (a) (b) | 7,829,310 | ||||||||
| 30,252 | BlueScope Steel Ltd. (a) | 690,394 | ||||||||
| 4,066 | Credit Corp. Group Ltd. | 32,923 | ||||||||
| 4,600 | CSL Ltd. (a) | 319,475 | ||||||||
| 292,819 | Fortescue Ltd. (a) | 4,702,925 | ||||||||
| 95,164 | Grange Resources Ltd. * | 10,958 | ||||||||
| 70,335 | Harvey Norman Holdings Ltd. (a) (b) | 232,826 | ||||||||
| 88,743 | Helia Group Ltd. (a) | 307,809 | ||||||||
| 2,164 | Monadelphous Group Ltd. (a) | 48,130 | ||||||||
| 19,250 | NRW Holdings Ltd. | 105,360 | ||||||||
| 66,852 | Perenti Ltd. | 101,458 | ||||||||
| 51,623 | Perseus Mining Ltd. | 193,752 | ||||||||
| 26,383 | QBE Insurance Group Ltd. | 428,738 | ||||||||
| 82,659 | Ramelius Resources Ltd. | 192,931 | ||||||||
| 3,379 | Rio Tinto Ltd. | 451,923 | ||||||||
| 32,277 | Santos Ltd. (a) | 181,129 | ||||||||
| 10,215 | Suncorp Group Ltd. (a) | 127,390 | ||||||||
| 3,297 | Super Retail Group Ltd. (a) | 27,744 | ||||||||
| 15,216 | Woodside Energy Group Ltd. | 332,857 | ||||||||
|
|
|
|||||||||
| Total Australia | 17,001,552 | |||||||||
|
|
|
|||||||||
| Austria — 0.3% | ||||||||||
| 2,930 | EVN AG | 96,394 | ||||||||
| 11,268 | OMV AG (a) | 810,847 | ||||||||
| 28,024 | Raiffeisen Bank International AG | 1,608,660 | ||||||||
| 8,843 | UNIQA Insurance Group AG | 176,719 | ||||||||
| 4,853 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 357,916 | ||||||||
| 7,263 | voestalpine AG (a) | 409,881 | ||||||||
|
|
|
|||||||||
| Total Austria | 3,460,417 | |||||||||
|
|
|
|||||||||
| Belgium — 0.3% | ||||||||||
| 37,489 | Ageas SA | 2,904,713 | ||||||||
| 6,644 | Barco NV | 71,159 | ||||||||
| 4,449 | Bekaert SA | 214,285 | ||||||||
| 422 | Melexis NV | 39,874 | ||||||||
| 72,425 | Proximus SADP | 563,941 | ||||||||
| 16,875 | Umicore SA | 495,918 | ||||||||
|
|
|
|||||||||
| Total Belgium | 4,289,890 | |||||||||
|
|
|
|||||||||
| Brazil — 0.2% | ||||||||||
| 217,100 | Banco Bradesco SA | 667,067 | ||||||||
| 3,100 | Guararapes Confeccoes SA | 5,555 | ||||||||
| 26,300 | Pagseguro Digital Ltd. – Class A | 245,905 | ||||||||
| 116,800 | Vale SA Sponsored ADR | 1,898,000 | ||||||||
| 47,126 | Vibra Energia SA | 277,923 | ||||||||
|
|
|
|||||||||
| Total Brazil | 3,094,450 | |||||||||
|
|
|
|||||||||
| Shares | Description |
Value ($) |
||||||||
| Canada — 3.2% | ||||||||||
|
|
10,500 | Alimentation Couche-Tard, Inc. (b) | 593,222 | |||||||
| 8,400 | Bank of Montreal (b) | 1,364,387 | ||||||||
| 36,000 | Bank of Nova Scotia (b) (c) | 2,888,565 | ||||||||
| 18,342 | Bank of Nova Scotia (c) | 1,468,277 | ||||||||
| 2,700 | Barrick Mining Corp. (c) | 115,352 | ||||||||
| 991 | Barrick Mining Corp. (a) (c) | 42,167 | ||||||||
| 3,400 | Canadian Imperial Bank of Commerce (a) (b) | 371,136 | ||||||||
| 13,265 | Canadian Tire Corp. Ltd. – Class A (a) (b) | 1,702,084 | ||||||||
| 2,185 | Cenovus Energy, Inc. | 60,240 | ||||||||
| 34,106 | Centerra Gold, Inc. (c) | 602,653 | ||||||||
| 12,000 | Centerra Gold, Inc. (c) | 211,859 | ||||||||
| 20,600 | CGI, Inc. (a) (b) | 1,438,631 | ||||||||
| 7,600 | Cogeco Communications, Inc. (a) | 370,560 | ||||||||
| 2,356 | Cogeco, Inc. | 113,284 | ||||||||
| 44,200 | DPM Metals, Inc. (a) | 1,484,394 | ||||||||
| 2,900 | DREAM Unlimited Corp. – Class A (a) | 38,641 | ||||||||
| 7,400 | Empire Co. Ltd. – Class A (b) | 262,421 | ||||||||
| 500 | Fairfax Financial Holdings Ltd. (b) | 778,189 | ||||||||
| 3,800 | Finning International, Inc. (a) | 287,016 | ||||||||
| 5,200 | iA Financial Corp., Inc. | 648,298 | ||||||||
| 33,367 | IGM Financial, Inc. (a) | 1,901,361 | ||||||||
| 5,783 | Interfor Corp. * (a) | 45,974 | ||||||||
| 2,207 | International Petroleum Corp. * | 56,060 | ||||||||
| 5,000 | Linamar Corp. | 369,927 | ||||||||
| 54,257 | Magna International, Inc. (a) (c) | 3,513,683 | ||||||||
| 14,100 | Magna International, Inc. (c) | 913,818 | ||||||||
| 40,400 | Manulife Financial Corp. (a) (b) (c) | 1,545,202 | ||||||||
| 36,613 | Manulife Financial Corp. (b) (c) | 1,398,250 | ||||||||
| 2,500 | Mullen Group Ltd. (a) | 39,531 | ||||||||
| 7,775 | Nutrien Ltd. (c) | 532,976 | ||||||||
| 3,300 | Nutrien Ltd. (c) | 225,984 | ||||||||
| 42,600 | Open Text Corp. (a) (b) (c) | 1,012,895 | ||||||||
| 42,210 | Open Text Corp. (c) | 1,006,286 | ||||||||
| 49,900 | Parex Resources, Inc. (a) | 870,486 | ||||||||
| 47,824 | Power Corp. of Canada (a) (b) | 2,890,635 | ||||||||
| 2,600 | Precision Drilling Corp. * (a) | 232,306 | ||||||||
| 1,600 | Quebecor, Inc. – Class B (a) | 77,641 | ||||||||
| 1,700 | Rogers Communications, Inc. – Class B | 65,600 | ||||||||
| 3,100 | Russel Metals, Inc. | 140,401 | ||||||||
| 2,145 | Spin Master Corp. | 29,064 | ||||||||
| 30,700 | Sun Life Financial, Inc. (a) (b) (c) | 2,206,329 | ||||||||
| 4,900 | Sun Life Financial, Inc. (a) (c) | 351,820 | ||||||||
| 235 | Teekay Tankers Ltd. – Class A (a) | 16,532 | ||||||||
| 4,116 | Torex Gold Resources, Inc. | 188,745 | ||||||||
| 56,300 | Toronto-Dominion Bank (c) | 6,442,045 | ||||||||
| 5,044 | Toronto-Dominion Bank (b) (c) | 572,898 | ||||||||
| 1,119 | Wajax Corp. | 24,106 | ||||||||
|
|
|
|||||||||
| Total Canada | 41,511,931 | |||||||||
|
|
|
|||||||||
| China — 1.5% | ||||||||||
| 649,000 | 361 Degrees International Ltd. | 391,598 | ||||||||
| 7,000 | 3SBio, Inc. | 16,538 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| China — continued | ||||||||||
|
|
831,000 | AviChina Industry & Technology Co. Ltd. – Class H | 332,364 | |||||||
| 52,091 | Bank of Communications Co. Ltd. – Class H | 48,559 | ||||||||
| 44,500 | Beijing Enterprises Holdings Ltd. | 175,111 | ||||||||
| 746,000 | Bosideng International Holdings Ltd. | 404,826 | ||||||||
| 1,710,000 | China Communications Services Corp. Ltd. – Class H | 901,171 | ||||||||
| 179,500 | China Conch Venture Holdings Ltd. | 242,970 | ||||||||
| 50,000 | China Feihe Ltd. | 19,538 | ||||||||
| 106,000 | China Foods Ltd. | 47,916 | ||||||||
| 1,058,000 | China Greenfresh Group Co. Ltd. * (d) | — | ||||||||
| 107,000 | China Hongqiao Group Ltd. | 383,663 | ||||||||
| 806,000 | China Lesso Group Holdings Ltd. | 475,122 | ||||||||
| 20,000 | China Medical System Holdings Ltd. (a) | 26,969 | ||||||||
| 166,000 | China National Building Material Co. Ltd. – Class H | 112,365 | ||||||||
| 285,000 | China Nonferrous Mining Corp. Ltd. | 494,642 | ||||||||
| 470,000 | China Overseas Land & Investment Ltd. | 934,867 | ||||||||
| 962,000 | China Railway Group Ltd. – Class H | 430,346 | ||||||||
| 786,000 | China Reinsurance Group Corp. – Class H | 119,379 | ||||||||
| 124,500 | China Resources Pharmaceutical Group Ltd. | 74,180 | ||||||||
| 22,000 | China Shineway Pharmaceutical Group Ltd. | 23,520 | ||||||||
| 677,000 | China Taiping Insurance Holdings Co. Ltd. | 1,718,849 | ||||||||
| 510,000 | CITIC Ltd. | 855,391 | ||||||||
| 798,000 | Consun Pharmaceutical Group Ltd. | 1,446,816 | ||||||||
| 1,314,000 | CSPC Pharmaceutical Group Ltd. | 1,258,017 | ||||||||
| 148,200 | ENN Energy Holdings Ltd. | 1,039,073 | ||||||||
| 102,000 | Fufeng Group Ltd. (a) | 77,721 | ||||||||
| 2,500 | Hengan International Group Co. Ltd. (a) | 7,770 | ||||||||
| 1,490 | JD.com, Inc. ADR (a) | 42,957 | ||||||||
| 43,500 | Kingboard Holdings Ltd. | 365,582 | ||||||||
| 714,000 | Kunlun Energy Co. Ltd. | 652,514 | ||||||||
| 90,000 | Lenovo Group Ltd. | 275,810 | ||||||||
| 106,000 | Longfor Group Holdings Ltd. (a) | 106,022 | ||||||||
| 359,000 | Lonking Holdings Ltd. * | 133,799 | ||||||||
| 155,200 | Minth Group Ltd. | 749,768 | ||||||||
| 122,500 | Orient Overseas International Ltd. (a) | 2,128,740 | ||||||||
| 116,000 | PICC Property & Casualty Co. Ltd. – Class H | 215,294 | ||||||||
| 29,407 | Qfin Holdings, Inc. ADR | 472,865 | ||||||||
| 21,000 | Sany Heavy Equipment International Holdings Co. Ltd. | 20,643 | ||||||||
| 292,000 | Sino Biopharmaceutical Ltd. | 186,090 | ||||||||
| 567,000 | Sinopec Engineering Group Co. Ltd. – Class H | 399,606 | ||||||||
| 99,600 | Sinopharm Group Co. Ltd. – Class H | 214,858 | ||||||||
| 32,000 | Sinotruk Hong Kong Ltd. | 152,138 | ||||||||
| 130,000 | Skyworth Group Ltd. * | 93,884 | ||||||||
| 81,000 | Vipshop Holdings Ltd. ADR (b) | 1,151,820 | ||||||||
| 600 | ZTO Express Cayman, Inc. | 13,213 | ||||||||
|
|
|
|||||||||
| Total China | 19,434,884 | |||||||||
|
|
|
|||||||||
| Shares | Description |
Value ($) |
||||||||
| Colombia — 0.0% | ||||||||||
|
|
3,121 | Corp. Financiera Colombiana SA * | 12,817 | |||||||
|
|
|
|||||||||
| Denmark — 0.4% | ||||||||||
| 240 | AP Moller – Maersk AS – Class A (b) | 584,364 | ||||||||
| 829 | AP Moller – Maersk AS – Class B (b) | 2,058,378 | ||||||||
| 4,411 | Genmab AS * | 1,156,227 | ||||||||
| 8,541 | H Lundbeck AS | 57,689 | ||||||||
| 3,672 | Pandora AS (b) | 343,657 | ||||||||
| 13,121 | Rockwool AS – B Shares | 410,820 | ||||||||
| 6,891 | Scandinavian Tobacco Group AS | 75,899 | ||||||||
|
|
|
|||||||||
| Total Denmark | 4,687,034 | |||||||||
|
|
|
|||||||||
| Egypt — 0.0% | ||||||||||
| 33,728 | Orascom Construction PLC | 480,985 | ||||||||
|
|
|
|||||||||
| Finland — 0.3% | ||||||||||
| 210,393 | Nokia OYJ (b) | 3,090,206 | ||||||||
| 11,010 | Valmet OYJ | 298,337 | ||||||||
|
|
|
|||||||||
| Total Finland | 3,388,543 | |||||||||
|
|
|
|||||||||
| France — 1.8% | ||||||||||
| 641 | Amundi SA (a) | 62,494 | ||||||||
| 7,778 | Aperam SA | 462,564 | ||||||||
| 8,401 | ArcelorMittal SA | 578,345 | ||||||||
| 6,261 | AXA SA (b) | 288,716 | ||||||||
| 40,931 | BNP Paribas SA | 4,412,063 | ||||||||
| 8,959 | Capgemini SE * (b) | 1,064,372 | ||||||||
| 14,326 | Carrefour SA (b) | 267,657 | ||||||||
| 242 | Cie de Saint-Gobain SA (b) | 21,930 | ||||||||
| 5,524 | Coface SA | 96,081 | ||||||||
| 13,087 | Derichebourg SA (b) | 154,199 | ||||||||
| 4,765 | Eiffage SA | 689,626 | ||||||||
| 22,387 | Etablissements Maurel et Prom SA | 235,707 | ||||||||
| 8,295 | Ipsen SA | 1,515,241 | ||||||||
| 1,802 | IPSOS SA | 81,112 | ||||||||
| 2,602 | Metropole Television SA | 35,018 | ||||||||
| 790 | Publicis Groupe SA | 76,858 | ||||||||
| 6,239 | Quadient SA | 88,789 | ||||||||
| 16,907 | Rubis SCA | 698,340 | ||||||||
| 48,903 | Sanofi SA | 4,286,793 | ||||||||
| 703 | Societe BIC SA * (b) | 47,700 | ||||||||
| 1,971 | Societe Generale SA | 163,832 | ||||||||
| 21,156 | STMicroelectronics NV (c) | 1,466,322 | ||||||||
| 15,188 | STMicroelectronics NV (a) (c) | 1,041,853 | ||||||||
| 2,778 | Teleperformance SE (b) | 203,865 | ||||||||
| 4,042 | Television Francaise 1 SA | 32,214 | ||||||||
| 49,667 | TotalEnergies SE (b) | 4,357,922 | ||||||||
| 51,262 | Valeo SE | 789,435 | ||||||||
|
|
|
|||||||||
| Total France | 23,219,048 | |||||||||
|
|
|
|||||||||
| Germany — 1.2% | ||||||||||
| 1,533 | Allianz SE (Registered) (b) | 679,358 | ||||||||
| 28,974 | Bayer AG (Registered) | 1,232,170 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| Germany — continued | ||||||||||
|
|
10,172 | Daimler Truck Holding AG | 497,730 | |||||||
| 124,834 | Deutsche Bank AG (Registered) | 4,045,259 | ||||||||
| 53,967 | Deutsche Post AG (b) | 3,214,131 | ||||||||
| 42,784 | Deutsche Telekom AG (Registered) | 1,436,476 | ||||||||
| 141 | Draegerwerk AG & Co. KGaA | 11,985 | ||||||||
| 2,682 | DWS Group GmbH & Co. KGaA | 192,937 | ||||||||
| 19,136 | E.ON SE (b) | 406,229 | ||||||||
| 7,484 | Fresenius Medical Care AG | 324,334 | ||||||||
| 3,369 | Henkel AG & Co. KGaA (b) | 244,349 | ||||||||
| 2,247 | Kloeckner & Co. SE * | 29,815 | ||||||||
| 48,443 | Mercedes-Benz Group AG | 2,941,363 | ||||||||
| 2,662 | Merck KGaA | 405,407 | ||||||||
| 904 | RTL Group SA | 33,202 | ||||||||
| 2,121 | Traton SE * | 83,264 | ||||||||
|
|
|
|||||||||
| Total Germany | 15,778,009 | |||||||||
|
|
|
|||||||||
| Greece — 0.0% | ||||||||||
| 47 | Eurobank SA | 219 | ||||||||
| 1,173 | Motor Oil Hellas Corinth Refineries SA | 50,624 | ||||||||
| 501 | National Bank of Greece SA | 8,667 | ||||||||
|
|
|
|||||||||
| Total Greece | 59,510 | |||||||||
|
|
|
|||||||||
| Hong Kong — 1.1% | ||||||||||
| 98,500 | BOC Hong Kong Holdings Ltd. | 601,868 | ||||||||
| 50,000 | Chow Sang Sang Holdings International | |||||||||
| Ltd. | 69,748 | |||||||||
| 234,000 | CITIC Telecom International Holdings Ltd. | 80,029 | ||||||||
| 352,500 | CK Asset Holdings Ltd. (b) | 2,128,264 | ||||||||
| 608,500 | CK Hutchison Holdings Ltd. | 5,475,201 | ||||||||
| 18,000 | Dah Sing Financial Holdings Ltd. | 97,551 | ||||||||
| 66,000 | E-Commodities Holdings Ltd. | 5,305 | ||||||||
| 110,000 | First Pacific Co. Ltd. | 71,782 | ||||||||
| 104,000 | Giordano International Ltd. | 20,047 | ||||||||
| 24,000 | Henderson Land Development Co. Ltd. (a) (b) | 94,754 | ||||||||
| 178,000 | IGG, Inc. | 75,339 | ||||||||
| 13,000 | Johnson Electric Holdings Ltd. | 42,350 | ||||||||
| 9,000 | KLN Logistics Group Ltd. | 7,047 | ||||||||
| 47,800 | Luk Fook Holdings International Ltd. | 127,489 | ||||||||
| 201,000 | PAX Global Technology Ltd. | 89,170 | ||||||||
| 58,000 | Shun Tak Holdings Ltd. * | 4,297 | ||||||||
| 136,000 | SITC International Holdings Co. Ltd. | 601,764 | ||||||||
| 32,500 | SmarTone Telecommunications Holdings | |||||||||
| Ltd. | 19,704 | |||||||||
| 83,500 | Sun Hung Kai Properties Ltd. (b) | 1,402,360 | ||||||||
| 17,000 | Techtronic Industries Co. Ltd. (b) | 252,375 | ||||||||
| 22,500 | Texhong International Group Ltd. | 18,119 | ||||||||
| 34,000 | VSTECS Holdings Ltd. | 41,743 | ||||||||
| 28,600 | VTech Holdings Ltd. | 186,943 | ||||||||
| 2,196,500 | WH Group Ltd. | 2,534,840 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 14,048,089 | |||||||||
|
|
|
|||||||||
| Shares | Description |
Value ($) |
||||||||
| Hungary — 0.2% | ||||||||||
| 2,412 | Magyar Telekom Telecommunications PLC | 20,939 | ||||||||
|
|
34,226 | MOL Hungarian Oil & Gas PLC | 434,745 | |||||||
| 13,223 | OTP Bank Nyrt | 1,815,589 | ||||||||
| 14,141 | Richter Gedeon Nyrt | 598,612 | ||||||||
|
|
|
|||||||||
| Total Hungary | 2,869,885 | |||||||||
|
|
|
|||||||||
| India — 0.5% | ||||||||||
| 72,123 | Ashapura Minechem Ltd. | 562,432 | ||||||||
| 246,540 | Bharat Petroleum Corp. Ltd. | 775,602 | ||||||||
| 5,692 | Dhampur Bio Organics Ltd. | 6,407 | ||||||||
| 154,854 | Hindalco Industries Ltd. | 1,845,083 | ||||||||
| 89,755 | Hindustan Petroleum Corp. Ltd. | 371,927 | ||||||||
| 316,063 | Indian Oil Corp. Ltd. | 468,218 | ||||||||
| 2,573 | Muthoot Finance Ltd. | 89,367 | ||||||||
| 794,207 | NMDC Ltd. | 739,062 | ||||||||
| 475,583 | Oil & Natural Gas Corp. Ltd. | 1,330,912 | ||||||||
| 31,270 | Power Finance Corp. Ltd. | 141,786 | ||||||||
| 15,077 | Siyaram Silk Mills Ltd. | 91,022 | ||||||||
| 90,529 | Tata Motors Ltd. * | 363,789 | ||||||||
|
|
|
|||||||||
| Total India | 6,785,607 | |||||||||
|
|
|
|||||||||
| Indonesia — 0.2% | ||||||||||
| 1,760,600 | Aneka Tambang Tbk. PT | 286,588 | ||||||||
| 6,529,800 | Astra International Tbk. PT | 1,829,091 | ||||||||
| 213,600 | Indofood Sukses Makmur Tbk. PT | 82,793 | ||||||||
| 303,600 | Perusahaan Gas Negara Persero Tbk. PT | 31,022 | ||||||||
| 193,600 | Perusahaan Perkebunan London Sumatra | |||||||||
| Indonesia Tbk. PT | 13,993 | |||||||||
|
|
|
|||||||||
| Total Indonesia | 2,243,487 | |||||||||
|
|
|
|||||||||
| Ireland — 0.0% | ||||||||||
| 40,437 | AIB Group PLC | 475,858 | ||||||||
| 10,390 | Bank of Ireland Group PLC | 211,114 | ||||||||
| 7,850 | Origin Enterprises PLC | 41,451 | ||||||||
|
|
|
|||||||||
| Total Ireland | 728,423 | |||||||||
|
|
|
|||||||||
| Israel — 0.4% | ||||||||||
| 58,297 | Bank Hapoalim BM | 1,494,750 | ||||||||
| 13,091 | Bank Leumi Le-Israel BM | 331,216 | ||||||||
| 12,307 | Bezeq The Israeli Telecommunication Corp. Ltd. | 34,904 | ||||||||
| 523 | Delek Group Ltd. | 160,797 | ||||||||
| 56,514 | ICL Group Ltd. | 371,385 | ||||||||
| 64,403 | Israel Discount Bank Ltd. – Class A | 713,027 | ||||||||
| 5,558 | Mizrahi Tefahot Bank Ltd. | 425,873 | ||||||||
| 12,779 | Nice Ltd. Sponsored ADR * (b) | 1,184,102 | ||||||||
| 252 | Nice Ltd. * | 22,754 | ||||||||
| 81,196 | Oil Refineries Ltd. | 46,569 | ||||||||
| 19,189 | ZIM Integrated Shipping Services Ltd. | 450,750 | ||||||||
|
|
|
|||||||||
| Total Israel | 5,236,127 | |||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| Italy — 0.8% | ||||||||||
|
|
10,516 | Banca IFIS SpA (a) | 248,443 | |||||||
| 8,423 | Banco BPM SpA | 132,335 | ||||||||
| 64,652 | BPER Banca SpA (a) | 875,268 | ||||||||
| 11,322 | Buzzi SpA | 611,589 | ||||||||
| 9,917 | Credito Emiliano SpA | 178,008 | ||||||||
| 13,211 | d’Amico International Shipping SA | 108,120 | ||||||||
| 4,144 | Esprinet SpA | 33,607 | ||||||||
| 18,309 | Intesa Sanpaolo SpA (b) | 123,733 | ||||||||
| 48,085 | Iren SpA | 150,220 | ||||||||
| 10,284 | Italgas SpA (b) | 120,646 | ||||||||
| 1,819 | Leonardo SpA (b) | 115,516 | ||||||||
| 17,891 | MFE-MediaForEurope NV – Class A | 63,042 | ||||||||
| 225,754 | Stellantis NV * (a) | 1,801,590 | ||||||||
| 2,983,420 | Telecom Italia SpA * (a) | 2,534,414 | ||||||||
| 5,365 | Tenaris SA ADR | 326,889 | ||||||||
| 2,869 | Tenaris SA | 87,395 | ||||||||
| 128,229 | Unipol Assicurazioni SpA | 3,170,243 | ||||||||
|
|
|
|||||||||
| Total Italy | 10,681,058 | |||||||||
|
|
|
|||||||||
| Japan — 15.2% | ||||||||||
| 4,400 | ADEKA Corp. | 118,304 | ||||||||
| 65,300 | AGC, Inc. | 2,844,147 | ||||||||
| 3,600 | Ai Holdings Corp. | 63,493 | ||||||||
| 2,800 | Aica Kogyo Co. Ltd. | 60,607 | ||||||||
| 5,100 | Aichi Corp. | 44,720 | ||||||||
| 7,200 | Air Water, Inc. | 117,313 | ||||||||
| 2,600 | AOKI Holdings, Inc. (a) | 26,786 | ||||||||
| 1,600 | Arata Corp. | 25,978 | ||||||||
| 152,700 | Asahi Group Holdings Ltd. (b) | 1,457,158 | ||||||||
| 75,500 | Asahi Kasei Corp. | 846,890 | ||||||||
| 2,700 | Asahi Yukizai Corp. (a) | 112,924 | ||||||||
| 8,100 | Astellas Pharma, Inc. | 115,375 | ||||||||
| 8,800 | Axial Retailing, Inc. | 57,605 | ||||||||
| 3,600 | Bando Chemical Industries Ltd. | 50,622 | ||||||||
| 84,300 | Brother Industries Ltd. | 1,983,392 | ||||||||
| 1,800 | Buffalo, Inc. | 26,268 | ||||||||
| 12,100 | Bunka Shutter Co. Ltd. | 142,303 | ||||||||
| 20,300 | Canon Marketing Japan, Inc. (a) | 453,312 | ||||||||
| 6,500 | Canon, Inc. | 172,864 | ||||||||
| 1,400 | Central Glass Co. Ltd. | 36,023 | ||||||||
| 1,300 | Chiyoda Integre Co. Ltd. | 25,797 | ||||||||
| 75,400 | Chubu Electric Power Co., Inc. (b) | 1,384,358 | ||||||||
| 7,700 | Citizen Watch Co. Ltd. | 111,953 | ||||||||
| 3,900 | Cosmo Energy Holdings Co. Ltd. | 91,555 | ||||||||
| 2,700 | Create SD Holdings Co. Ltd. (a) | 54,361 | ||||||||
| 146,100 | Credit Saison Co. Ltd. | 3,756,212 | ||||||||
| 12,400 | Dai Nippon Printing Co. Ltd. (b) | 215,609 | ||||||||
| 1,100 | Dai Nippon Toryo Co. Ltd. | 8,893 | ||||||||
| 102,000 | Daicel Corp. | 852,922 | ||||||||
| 2,300 | Daido Steel Co. Ltd. | 30,047 | ||||||||
| 2,400 | Daiichi Jitsugyo Co. Ltd. | 46,921 | ||||||||
| 2,300 | Daikin Industries Ltd. | 331,121 | ||||||||
| Shares | Description |
Value ($) |
||||||||
| Japan — continued | ||||||||||
| 53,900 | Daito Trust Construction Co. Ltd. | 1,070,668 | ||||||||
|
|
57,100 | Daiwa House Industry Co. Ltd. (b) | 1,552,796 | |||||||
| 128,610 | Daiwabo Holdings Co. Ltd. | 2,762,033 | ||||||||
| 73,200 | Denka Co. Ltd. | 2,055,079 | ||||||||
| 57,500 | Denso Corp. | 684,101 | ||||||||
| 4,400 | Dowa Holdings Co. Ltd. | 284,684 | ||||||||
| 6,000 | DTS Corp. | 37,610 | ||||||||
| 4,500 | Ebara Corp. (a) | 160,012 | ||||||||
| 700 | Elecom Co. Ltd. | 7,474 | ||||||||
| 6,000 | Electric Power Development Co. Ltd. | 151,268 | ||||||||
| 52,000 | EXEO Group, Inc. | 927,216 | ||||||||
| 700 | Ferrotec Corp. (a) | 38,105 | ||||||||
| 39,100 | Fuji Corp. | 1,941,491 | ||||||||
| 6,200 | Fuji Electric Co. Ltd. | 601,701 | ||||||||
| 17,500 | Fuji Seal International, Inc. | 290,288 | ||||||||
| 163,200 | FUJIFILM Holdings Corp. | 3,392,837 | ||||||||
| 2,800 | Fujikura Ltd. | 83,441 | ||||||||
| 17,200 | Glory Ltd. | 440,477 | ||||||||
| 149,600 | H.U. Group Holdings, Inc. | 2,926,475 | ||||||||
| 4,000 | Hakuhodo DY Holdings, Inc. | 28,082 | ||||||||
| 3,600 | Hakuto Co. Ltd. (a) | 102,720 | ||||||||
| 18,600 | Hanwa Co. Ltd. | 221,097 | ||||||||
| 5,700 | Haseko Corp. | 97,002 | ||||||||
| 33,600 | Hitachi Construction Machinery Co. Ltd. | 1,094,405 | ||||||||
| 204,600 | Honda Motor Co. Ltd. | 1,838,530 | ||||||||
| 40,859 | Honda Motor Co. Ltd. Sponsored ADR | 1,102,784 | ||||||||
| 1,700 | Horiba Ltd. | 279,837 | ||||||||
| 16,100 | Hosiden Corp. | 274,626 | ||||||||
| 23,000 | IDOM, Inc. | 195,005 | ||||||||
| 3,900 | Inaba Denki Sangyo Co. Ltd. | 68,035 | ||||||||
| 36,800 | Inabata & Co. Ltd. | 883,790 | ||||||||
| 230,500 | Inpex Corp. | 5,183,134 | ||||||||
| 228,400 | Isuzu Motors Ltd. (a) | 3,355,554 | ||||||||
| 15,000 | Itochu Enex Co. Ltd. | 184,020 | ||||||||
| 52,700 | Iwatani Corp. | 666,888 | ||||||||
| 3,500 | Japan Lifeline Co. Ltd. | 29,158 | ||||||||
| 4,300 | Japan Petroleum Exploration Co. Ltd. | 48,326 | ||||||||
| 65,000 | Japan Post Holdings Co. Ltd. (b) | 842,999 | ||||||||
| 155,600 | Japan Post Insurance Co. Ltd. | 1,395,507 | ||||||||
| 64,800 | Jeol Ltd. (a) | 2,893,155 | ||||||||
| 39,600 | Kaga Electronics Co. Ltd. | 1,100,003 | ||||||||
| 11,100 | Kajima Corp. | 409,940 | ||||||||
| 2,700 | Kamei Corp. | 61,084 | ||||||||
| 25,500 | Kaneka Corp. | 882,977 | ||||||||
| 310,300 | Kanematsu Corp. | 4,200,594 | ||||||||
| 6,800 | Kansai Electric Power Co., Inc. (b) | 99,652 | ||||||||
| 7,100 | Kansai Paint Co. Ltd. (a) | 109,224 | ||||||||
| 31,500 | Kirin Holdings Co. Ltd. (b) | 536,098 | ||||||||
| 5,900 | Kitz Corp. | 82,789 | ||||||||
| 315,500 | Kobe Steel Ltd. | 3,925,155 | ||||||||
| 13,900 | Kohnan Shoji Co. Ltd. | 355,320 | ||||||||
| 67,000 | Komatsu Ltd. | 2,736,125 | ||||||||
| 7,400 | Komeri Co. Ltd. | 160,903 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| Japan — continued | ||||||||||
| 20,200 | Kraftia Corp. | 1,177,912 | ||||||||
|
|
96,100 | Kubota Corp. (a) | 1,707,454 | |||||||
| 118,300 | Kumiai Chemical Industry Co. Ltd. | 568,564 | ||||||||
| 78,400 | Kyocera Corp. | 1,714,219 | ||||||||
| 57,300 | Macnica Holdings, Inc. | 1,118,833 | ||||||||
| 29,400 | Marubeni Corp. | 961,039 | ||||||||
| 141,900 | Maruichi Steel Tube Ltd. | 1,608,136 | ||||||||
| 1,000 | Maruzen Showa Unyu Co. Ltd. | 48,143 | ||||||||
| 151,000 | Maxell Ltd. | 1,842,250 | ||||||||
| 46,300 | Mazda Motor Corp. (a) | 330,777 | ||||||||
| 1,000 | Medipal Holdings Corp. | 17,246 | ||||||||
| 13,800 | Megmilk Snow Brand Co. Ltd. | 302,332 | ||||||||
| 121,000 | Mitsubishi Electric Corp. (b) | 4,919,019 | ||||||||
| 2,200 | Mitsubishi Research Institute, Inc. | 62,606 | ||||||||
| 91,900 | Mitsui & Co. Ltd. (b) | 3,054,362 | ||||||||
| 2,400 | Mitsui DM Sugar Co. Ltd. | 48,920 | ||||||||
| 3,500 | Mitsui OSK Lines Ltd. (a) (b) | 120,301 | ||||||||
| 124,900 | Mizuno Corp. | 2,570,075 | ||||||||
| 96,100 | Morinaga & Co. Ltd. | 1,500,971 | ||||||||
| 2,700 | Morita Holdings Corp. | 41,705 | ||||||||
| 3,100 | Muninova Holdings, Inc. | 8,412 | ||||||||
| 30,900 | Murata Manufacturing Co. Ltd. | 1,946,226 | ||||||||
| 65,400 | Musashi Seimitsu Industry Co. Ltd. (a) | 3,881,481 | ||||||||
| 20,400 | Nagase & Co. Ltd. | 143,977 | ||||||||
| 42,200 | NEC Corp. (b) | 1,093,819 | ||||||||
| 33,100 | NGK Corp. | 1,310,984 | ||||||||
| 61,900 | NH Foods Ltd. | 2,367,823 | ||||||||
| 7,500 | Nichias Corp. | 166,090 | ||||||||
| 2,200 | Nichiha Corp. | 41,063 | ||||||||
| 2,400 | Nichireki Group Co. Ltd. | 30,250 | ||||||||
| 7,900 | Nippn Corp. | 131,951 | ||||||||
| 13,100 | Nippon Kayaku Co. Ltd. | 175,158 | ||||||||
| 8,100 | Nippon Light Metal Holdings Co. Ltd. | 161,156 | ||||||||
| 28,500 | Nippon Shinyaku Co. Ltd. | 750,984 | ||||||||
| 2,700 | Nippon Soda Co. Ltd. | 61,710 | ||||||||
| 90,800 | Nippon Yusen KK (a) (b) | 3,025,489 | ||||||||
| 654,600 | Nissan Motor Co. Ltd. * | 1,629,005 | ||||||||
| 5,900 | Nisshin Oillio Group Ltd. | 64,865 | ||||||||
| 19,100 | Niterra Co. Ltd. | 1,217,931 | ||||||||
| 9,800 | Nitto Denko Corp. | 183,650 | ||||||||
| 122,600 | Nojima Corp. | 1,104,613 | ||||||||
| 4,600 | Noritake Co. Ltd. | 113,452 | ||||||||
| 200 | Noritsu Koki Co. Ltd. | 2,667 | ||||||||
| 6,700 | NS United Kaiun Kaisha Ltd. | 328,765 | ||||||||
| 2,351,300 | NTT, Inc. | 2,206,056 | ||||||||
| 169,800 | Oisix ra daichi, Inc. (a) | 1,574,030 | ||||||||
| 50,600 | Okamura Corp. (b) | 734,181 | ||||||||
| 18,400 | Oki Electric Industry Co. Ltd. | 410,342 | ||||||||
| 88,200 | Olympus Corp. | 988,169 | ||||||||
| 90,600 | Ono Pharmaceutical Co. Ltd. | 1,359,470 | ||||||||
| 2,000 | Open House Group Co. Ltd. | 108,451 | ||||||||
| 79,300 | Optex Group Co. Ltd. | 2,118,992 | ||||||||
| 23,000 | ORIX Corp. | 896,979 | ||||||||
| Shares | Description |
Value ($) |
||||||||
| Japan — continued | ||||||||||
|
|
29,600 | Osaka Gas Co. Ltd. (b) | 994,697 | |||||||
| 300 | Otsuka Holdings Co. Ltd. | 22,041 | ||||||||
| 237,500 | Panasonic Holdings Corp. (b) | 5,487,193 | ||||||||
| 206,100 | Penta-Ocean Construction Co. Ltd. | 2,297,777 | ||||||||
| 357,700 | Persol Holdings Co. Ltd. (b) | 544,223 | ||||||||
| 1,800 | Prima Meat Packers Ltd. | 27,241 | ||||||||
| 3,900 | Raito Kogyo Co. Ltd. | 99,250 | ||||||||
| 71,700 | Renesas Electronics Corp. | 1,995,963 | ||||||||
| 19,100 | Ricoh Co. Ltd. | 174,720 | ||||||||
| 50,300 | Rohto Pharmaceutical Co. Ltd. | 751,159 | ||||||||
| 5,700 | Sakai Moving Service Co. Ltd. | 102,356 | ||||||||
| 30,700 | Sakata INX Corp. | 452,040 | ||||||||
| 20,700 | San-Ai Obbli Co. Ltd. | 275,962 | ||||||||
| 45,200 | Sankyo Co. Ltd. | 457,846 | ||||||||
| 41,400 | Sankyu, Inc. | 2,332,783 | ||||||||
| 3,000 | Sanwa Holdings Corp. | 68,415 | ||||||||
| 18,600 | SBI Holdings, Inc. | 340,285 | ||||||||
| 3,800 | SCREEN Holdings Co. Ltd. (a) | 265,076 | ||||||||
| 163,300 | Sega Sammy Holdings, Inc. | 2,368,030 | ||||||||
| 48,500 | Seiko Epson Corp. | 892,062 | ||||||||
| 126,000 | Sekisui Chemical Co. Ltd. | 1,811,963 | ||||||||
| 79,400 | Sekisui House Ltd. (b) | 1,667,040 | ||||||||
| 2,900 | Sekisui Jushi Corp. | 38,650 | ||||||||
| 8,000 | Shinagawa Refra Co. Ltd. | 96,348 | ||||||||
| 9,300 | Shinnihon Corp. | 132,010 | ||||||||
| 150,900 | Shionogi & Co. Ltd. | 2,838,101 | ||||||||
| 135,700 | Ship Healthcare Holdings, Inc. | 1,777,631 | ||||||||
| 700 | Sinanen Holdings Co. Ltd. | 33,379 | ||||||||
| 5,000 | Sinko Industries Ltd. | 38,493 | ||||||||
| 7,700 | SMS Co. Ltd. (b) | 96,605 | ||||||||
| 13,900 | Socionext, Inc. (a) | 229,647 | ||||||||
| 9,100 | SoftBank Group Corp. | 428,083 | ||||||||
| 34,600 | Sojitz Corp. | 1,171,308 | ||||||||
| 22,200 | Starts Corp., Inc. | 632,333 | ||||||||
| 151,300 | Subaru Corp. | 2,296,185 | ||||||||
| 98,800 | SUMCO Corp. | 2,478,279 | ||||||||
| 29,000 | Sumitomo Corp. | 1,278,824 | ||||||||
| 18,900 | Sumitomo Electric Industries Ltd. | 1,457,770 | ||||||||
| 183,000 | Sumitomo Forestry Co. Ltd. (a) | 1,499,741 | ||||||||
| 91,900 | Sumitomo Mitsui Financial Group, Inc. (a) | 3,351,857 | ||||||||
| 71,800 | Sumitomo Mitsui Trust Group, Inc. | 2,473,314 | ||||||||
| 4,000 | Sun Frontier Fudousan Co. Ltd. | 59,583 | ||||||||
| 2,300 | Sundrug Co. Ltd. | 52,355 | ||||||||
| 36,300 | Suntory Beverage & Food Ltd. | 980,532 | ||||||||
| 17,200 | Suzuki Motor Corp. | 213,006 | ||||||||
| 46,500 | Sysmex Corp. | 406,609 | ||||||||
| 88,000 | T&D Holdings, Inc. | 2,314,717 | ||||||||
| 19,700 | TDK Corp. | 510,276 | ||||||||
| 1,200 | Tokai Rika Co. Ltd. | 22,062 | ||||||||
| 900 | Tokyo Electron Ltd. | 301,837 | ||||||||
| 24,800 | Tokyo Gas Co. Ltd. (b) | 991,488 | ||||||||
| 48,700 | Tokyo Steel Manufacturing Co. Ltd. | 536,533 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| Japan — continued | ||||||||||
| 172,400 | Tosei Corp. | 1,738,955 | ||||||||
|
|
40,200 | Tosoh Corp. | 693,023 | |||||||
| 77,200 | TOTO Ltd. | 3,713,038 | ||||||||
| 83,000 | Toyo Tire Corp. | 1,973,746 | ||||||||
| 40,000 | Toyoda Gosei Co. Ltd. | 1,211,781 | ||||||||
| 8,700 | Toyota Boshoku Corp. | 124,919 | ||||||||
| 40,400 | Toyota Motor Corp. | 764,275 | ||||||||
| 70,900 | Toyota Tsusho Corp. | 3,089,048 | ||||||||
| 2,100 | TRE Holdings Corp. (a) (b) | 21,762 | ||||||||
| 7,200 | Tsubakimoto Chain Co. | 121,851 | ||||||||
| 5,300 | Tsugami Corp. | 209,827 | ||||||||
| 4,900 | Tsumura & Co. | 117,137 | ||||||||
| 86,000 | Umios Corp. | 682,894 | ||||||||
| 69,100 | Valqua Ltd. (a) | 3,553,524 | ||||||||
| 1,700 | WingArc1st, Inc. | 27,061 | ||||||||
| 36,500 | YAMABIKO Corp. | 894,769 | ||||||||
| 223,100 | Yamaha Corp. | 1,618,344 | ||||||||
| 55,600 | Yamaha Motor Co. Ltd. (a) | 457,545 | ||||||||
| 5,300 | Yamazen Corp. | 57,822 | ||||||||
| 4,600 | Yellow Hat Ltd. | 47,776 | ||||||||
| 1,300 | Yokogawa Electric Corp. | 40,805 | ||||||||
| 10,000 | Yokohama Rubber Co. Ltd. | 450,787 | ||||||||
| 8,600 | Yuasa Co. Ltd. | 305,998 | ||||||||
|
|
|
|||||||||
| Total Japan | 198,653,527 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.1% | ||||||||||
| 451,495 | A’ayan Leasing & Investment Co. KSCP | 402,712 | ||||||||
| 32,068 | Combined Group Contracting Co. SAK | 98,503 | ||||||||
| 10,173 | Mobile Telecommunications Co. KSCP | 19,633 | ||||||||
| 147 | National Bank of Kuwait SAKP | 404 | ||||||||
| 3,200 | National Mobile Telecommunications Co. KSCC | 19,602 | ||||||||
| 386,720 | Noor Financial Investment Co. KSC | 510,442 | ||||||||
|
|
|
|||||||||
| Total Kuwait | 1,051,296 | |||||||||
|
|
|
|||||||||
| Mexico — 0.2% | ||||||||||
| 156,872 | Cemex SAB de CV Sponsored ADR (a) | 2,053,454 | ||||||||
| 197,200 | Gentera SAB de CV | 487,512 | ||||||||
| 815 | Unifin Financiera SAB de CV * (d) | — | ||||||||
|
|
|
|||||||||
| Total Mexico | 2,540,966 | |||||||||
|
|
|
|||||||||
| Netherlands — 1.6% | ||||||||||
| 28,975 | ABN AMRO Bank NV | 1,151,505 | ||||||||
| 163,976 | Aegon Ltd. (a) | 1,390,859 | ||||||||
| 23,630 | Akzo Nobel NV | 1,793,401 | ||||||||
| 99 | ASM International NV | 103,298 | ||||||||
| 2,348 | ASML Holding NV (Registered) (a) (b) | 3,786,760 | ||||||||
| 2,456 | ASR Nederland NV (a) | 183,852 | ||||||||
| 12,025 | DSM-Firmenich AG | 1,010,476 | ||||||||
| 12,034 | EXOR NV | 937,167 | ||||||||
| 81,927 | ING Groep NV | 2,537,723 | ||||||||
| 2,012 | JDE Peet’s NV (e) | 74,722 | ||||||||
| Shares | Description |
Value ($) |
||||||||
| Netherlands — continued | ||||||||||
| 6,772 | Koninklijke Ahold Delhaize NV (b) | 285,353 | ||||||||
|
|
18,651 | Koninklijke BAM Groep NV | 241,577 | |||||||
| 126,939 | Koninklijke KPN NV | 661,231 | ||||||||
| 43,452 | NN Group NV | 3,627,211 | ||||||||
| 7,039 | Randstad NV (b) | 215,807 | ||||||||
| 32,165 | SBM Offshore NV (a) | 1,225,947 | ||||||||
| 52,694 | Signify NV (a) | 1,276,070 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 20,502,959 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 42,555 | Meridian Energy Ltd. (b) | 149,382 | ||||||||
|
|
|
|||||||||
| Norway — 0.7% | ||||||||||
| 93,792 | Aker Solutions ASA | 432,389 | ||||||||
| 3,644 | BW LPG Ltd. | 71,720 | ||||||||
| 20,804 | DOF Group ASA | 268,780 | ||||||||
| 43,392 | Elkem ASA * | 151,198 | ||||||||
| 108,138 | Equinor ASA | 3,909,146 | ||||||||
| 5,416 | Europris ASA | 54,205 | ||||||||
| 43,815 | Hoegh Autoliners ASA | 648,437 | ||||||||
| 19,029 | MPC Container Ships ASA | 49,854 | ||||||||
| 124,029 | Norsk Hydro ASA | 1,516,846 | ||||||||
| 21,440 | Odfjell Drilling Ltd. | 203,767 | ||||||||
| 57,360 | Orkla ASA | 604,514 | ||||||||
| 1,648 | Selvaag Bolig ASA | 6,198 | ||||||||
| 4,613 | Stolt-Nielsen Ltd. | 146,539 | ||||||||
| 40,191 | Wallenius Wilhelmsen ASA | 517,165 | ||||||||
| 13,790 | Yara International ASA | 748,640 | ||||||||
|
|
|
|||||||||
| Total Norway | 9,329,398 | |||||||||
|
|
|
|||||||||
| Philippines — 0.0% | ||||||||||
| 2,790 | GT Capital Holdings, Inc. | 21,731 | ||||||||
| 467,900 | LT Group, Inc. | 119,975 | ||||||||
| 583,080 | Megaworld Corp. | 19,680 | ||||||||
| 19,200 | Synergy Grid & Development Phils, Inc. | 9,300 | ||||||||
|
|
|
|||||||||
| Total Philippines | 170,686 | |||||||||
|
|
|
|||||||||
| Poland — 0.3% | ||||||||||
| 86,140 | ORLEN SA | 3,366,791 | ||||||||
| 93,044 | PGE Polska Grupa Energetyczna SA * | 271,119 | ||||||||
| 6,587 | Powszechny Zaklad Ubezpieczen SA | 116,975 | ||||||||
|
|
|
|||||||||
| Total Poland | 3,754,885 | |||||||||
|
|
|
|||||||||
| Portugal — 0.1% | ||||||||||
| 35,664 | EDP SA | 181,624 | ||||||||
| 27,609 | Navigator Co. SA (a) | 109,352 | ||||||||
| 42,197 | NOS SGPS SA | 259,211 | ||||||||
| 46,672 | REN – Redes Energeticas Nacionais SGPS SA | 192,694 | ||||||||
| 195,457 | Sonae SGPS SA | 434,070 | ||||||||
|
|
|
|||||||||
| Total Portugal | 1,176,951 | |||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| Russia — 0.0% | ||||||||||
| 160,792,062 | Federal Grid Co-Rosseti PJSC * (d) (f) | — | ||||||||
|
|
2,050,858 | Gazprom PJSC * (d) (f) | — | |||||||
| 455,400 | GMK Norilskiy Nickel PAO * (d) (f) | — | ||||||||
| 6,310,100 | Inter RAO UES PJSC * (d) (f) | — | ||||||||
| 19,776 | LSR Group PJSC * (d) (f) | — | ||||||||
| 1 | LSR Group PJSC GDR * (d) (f) | — | ||||||||
| 3,294,000 | Mosenergo PJSC * (d) (f) | — | ||||||||
| 7,890 | Novatek PJSC * (d) (f) | — | ||||||||
| 1,212,010 | Novolipetsk Steel PJSC * (d) (f) | — | ||||||||
| 3,466 | PhosAgro PJSC * (d) (f) | — | ||||||||
| 67 | PhosAgro PJSC GDR * (d) (f) | — | ||||||||
| 1 | Polyus PJSC GDR * (d) (f) | — | ||||||||
| 91,185 | Severstal PAO GDR (Registered) * (d) (f) | — | ||||||||
| 11,580 | SFI PJSC * (d) (f) | — | ||||||||
| 332,388 | Tatneft PJSC * (d) (f) | — | ||||||||
| 1,300,440 | Unipro PAO * (d) (f) | — | ||||||||
| 50,950 | United Co. RUSAL International PJSC * (d) (f) | — | ||||||||
|
|
|
|||||||||
| Total Russia | — | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 0.3% | ||||||||||
| 3,317 | Banque Saudi Fransi | 16,985 | ||||||||
| 5,854 | Etihad Etisalat Co. | 99,847 | ||||||||
| 89,423 | Riyad Bank | 480,774 | ||||||||
| 14,070 | SABIC Agri-Nutrients Co. | 513,645 | ||||||||
| 26,709 | Saudi Awwal Bank | 240,979 | ||||||||
| 182,592 | Saudi National Bank | 1,942,626 | ||||||||
| 53,085 | Saudi Telecom Co. | 620,780 | ||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 3,915,636 | |||||||||
|
|
|
|||||||||
| Singapore — 0.5% | ||||||||||
| 58,600 | Bumitama Agri Ltd. | 71,053 | ||||||||
| 46,900 | ComfortDelGro Corp. Ltd. (a) | 47,371 | ||||||||
| 35,500 | First Real Estate Investment Trust – (REIT) (a) | 6,401 | ||||||||
| 84,500 | First Resources Ltd. | 175,091 | ||||||||
| 320,400 | Golden Agri-Resources Ltd. | 69,017 | ||||||||
| 8,180 | Hafnia Ltd. | 63,147 | ||||||||
| 69,700 | Oversea-Chinese Banking Corp. Ltd. | 1,279,303 | ||||||||
| 7,800 | Sheng Siong Group Ltd. | 18,636 | ||||||||
| 74,700 | StarHub Ltd. (a) | 60,275 | ||||||||
| 11,300 | United Overseas Bank Ltd. | 332,921 | ||||||||
| 21,100 | UOL Group Ltd. | 167,835 | ||||||||
| 22,800 | Venture Corp. Ltd. | 321,564 | ||||||||
| 38,900 | Wilmar International Ltd. | 109,440 | ||||||||
| 219,000 | Yangzijiang Financial Holding Ltd. * | 41,150 | ||||||||
| 1,110,099 | Yangzijiang Shipbuilding Holdings Ltd. | 3,167,012 | ||||||||
| 98,000 | Yanlord Land Group Ltd. | 53,775 | ||||||||
|
|
|
|||||||||
| Total Singapore | 5,983,991 | |||||||||
|
|
|
|||||||||
| South Africa — 0.1% | ||||||||||
| 942,798 | Old Mutual Ltd. | 747,129 | ||||||||
|
|
|
|||||||||
| Shares | Description |
Value ($) |
||||||||
| South Korea — 3.3% | ||||||||||
| 10,584 | Doosan Bobcat, Inc. | 452,788 | ||||||||
|
|
4,172 | GS Holdings Corp. | 200,827 | |||||||
| 9,486 | Hana Financial Group, Inc. | 725,879 | ||||||||
| 10,859 | Hankook Tire & Technology Co. Ltd. | 481,276 | ||||||||
| 25,725 | HMM Co. Ltd. | 333,737 | ||||||||
| 13,499 | Hyundai Glovis Co. Ltd. | 2,174,682 | ||||||||
| 13,546 | Hyundai Mobis Co. Ltd. | 6,898,138 | ||||||||
| 48,336 | Kia Corp. | 5,422,340 | ||||||||
| 2,301 | Korea Electric Power Corp. | 59,774 | ||||||||
| 549 | Krafton, Inc. | 93,795 | ||||||||
| 4,491 | KT&G Corp. | 548,556 | ||||||||
| 7,599 | LG Corp. | 739,767 | ||||||||
| 32,927 | LG Electronics, Inc. | 6,419,925 | ||||||||
| 3,552 | POSCO Holdings, Inc. Sponsored ADR (a) | 251,837 | ||||||||
| 2,349 | ROKIT Healthcare, Inc. * | 85,419 | ||||||||
| 34,745 | Samsung E&A Co. Ltd. | 1,215,978 | ||||||||
| 41,015 | Samsung Electronics Co. Ltd. | 8,604,686 | ||||||||
| 26 | Samsung Electronics Co. Ltd. GDR (Registered) (b) | 137,927 | ||||||||
| 578 | Samsung SDS Co. Ltd. | 115,015 | ||||||||
| 18,923 | Shinhan Financial Group Co. Ltd. | 1,177,053 | ||||||||
| 2,559 | SK Hynix, Inc. | 3,984,382 | ||||||||
| 2,712 | SK Square Co. Ltd. | 2,248,840 | ||||||||
| 55,604 | Woori Financial Group, Inc. | 1,099,667 | ||||||||
|
|
|
|||||||||
| Total South Korea | 43,472,288 | |||||||||
|
|
|
|||||||||
| Spain — 1.6% | ||||||||||
| 31,946 | Acerinox SA (a) | 590,059 | ||||||||
| 16,744 | Atresmedia Corp. de Medios de Comunicacion SA (a) | 100,716 | ||||||||
| 309,223 | Banco Bilbao Vizcaya Argentaria SA | 7,222,415 | ||||||||
| 62,584 | Banco de Sabadell SA (a) | 211,601 | ||||||||
| 366,569 | Banco Santander SA | 4,584,254 | ||||||||
| 23,982 | CaixaBank SA (b) | 323,795 | ||||||||
| 3,561 | CIE Automotive SA | 122,175 | ||||||||
| 5,683 | Indra Sistemas SA (b) | 377,896 | ||||||||
| 373,474 | Mapfre SA (a) | 1,746,388 | ||||||||
| 29,927 | Prosegur Cia de Seguridad SA (b) | 92,115 | ||||||||
| 5,832 | Puig Brands SA – Class B (b) | 109,445 | ||||||||
| 162,363 | Repsol SA | 4,192,258 | ||||||||
| 271,857 | Unicaja Banco SA | 908,388 | ||||||||
|
|
|
|||||||||
| Total Spain | 20,581,505 | |||||||||
|
|
|
|||||||||
| Sweden — 0.7% | ||||||||||
| 11,030 | AcadeMedia AB (b) | 122,519 | ||||||||
| 25,035 | Boliden AB | 1,558,871 | ||||||||
| 22,148 | Essity AB – Class B (a) (b) | 621,182 | ||||||||
| 24,565 | Husqvarna AB – Class B (a) | 115,296 | ||||||||
| 6,434 | Industrivarden AB – A Shares | 364,897 | ||||||||
| 6,693 | Industrivarden AB – C Shares (a) | 365,974 | ||||||||
| 57,273 | Investor AB – B Shares (b) | 2,353,430 | ||||||||
| 17,313 | Skanska AB – B Shares | 468,402 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| Sweden — continued | ||||||||||
|
|
27,349 | SKF AB – B Shares (a) | 717,349 | |||||||
| 8,383 | SSAB AB – A Shares | 86,336 | ||||||||
| 20,650 | SSAB AB – B Shares | 212,357 | ||||||||
| 21,671 | Svenska Cellulosa AB SCA – Class B | 238,383 | ||||||||
| 112,414 | Telefonaktiebolaget LM Ericsson – B Shares | 1,465,901 | ||||||||
| 6,113 | Volvo AB – B Shares (b) | 215,216 | ||||||||
|
|
|
|||||||||
| Total Sweden | 8,906,113 | |||||||||
|
|
|
|||||||||
| Switzerland — 0.9% | ||||||||||
| 20,629 | ABB Ltd. (Registered) (b) | 2,205,804 | ||||||||
| 27,971 | Adecco Group AG (Registered) (a) (b) | 591,933 | ||||||||
| 393 | Bobst Group SA (Registered) | 21,423 | ||||||||
| 707 | Implenia AG (Registered) | 54,963 | ||||||||
| 3,507 | Logitech International SA (Registered) | 426,188 | ||||||||
| 4,632 | Mobilezone Holding AG (Registered) (a) | 88,501 | ||||||||
| 22,572 | Nestle SA (Registered) (b) | 2,290,245 | ||||||||
| 7,847 | Novartis AG (Registered) | 1,180,268 | ||||||||
| 5,695 | Novartis AG Sponsored ADR (a) | 855,218 | ||||||||
| 5,185 | Roche Holding AG | 2,181,589 | ||||||||
| 634 | Roche Holding AG – Class BR | 272,674 | ||||||||
| 2,051 | Sandoz Group AG ADR | 172,530 | ||||||||
| 65 | Sandoz Group AG | 5,466 | ||||||||
| 439 | Swatch Group AG – Class BR (b) | 121,531 | ||||||||
| 432 | Swisscom AG (Registered) | 369,767 | ||||||||
| 16,005 | UBS Group AG (Registered) (b) | 755,850 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 11,593,950 | |||||||||
|
|
|
|||||||||
| Taiwan — 3.4% | ||||||||||
| 319,000 | AcBel Polytech, Inc. | 604,280 | ||||||||
| 29,000 | ASE Technology Holding Co. Ltd. | 554,055 | ||||||||
| 54,000 | Asustek Computer, Inc. | 1,302,727 | ||||||||
| 19 | Bizlink Holding, Inc. | 1,234 | ||||||||
| 23,000 | ChipMOS Technologies, Inc. | 81,798 | ||||||||
| 473,000 | Compal Electronics, Inc. | 550,238 | ||||||||
| 687,200 | Evergreen Marine Corp. Taiwan Ltd. | 4,666,970 | ||||||||
| 305,000 | Hannstar Board Corp. | 823,929 | ||||||||
| 224,318 | Hon Hai Precision Industry Co. Ltd. | 2,053,361 | ||||||||
| 84,000 | KGI Financial Holding Co. Ltd. | 60,257 | ||||||||
| 67,000 | Lite-On Technology Corp. | 494,896 | ||||||||
| 12,000 | Longwell Co. | 131,699 | ||||||||
| 93,000 | Pegatron Corp. | 262,375 | ||||||||
| 1,614,000 | Pou Chen Corp. | 1,310,374 | ||||||||
| 212,000 | Powertech Technology, Inc. | 2,531,831 | ||||||||
| 92,000 | Realtek Semiconductor Corp. | 1,695,736 | ||||||||
| 260,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 19,262,172 | ||||||||
| 4,000 | TCI Co. Ltd. | 15,228 | ||||||||
| 76,000 | Tripod Technology Corp. | 1,252,691 | ||||||||
| 892,000 | United Microelectronics Corp. | 4,015,738 | ||||||||
| 148,000 | Wan Hai Lines Ltd. | 387,227 | ||||||||
| 5,000 | Wistron Corp. | 25,031 | ||||||||
| 67,000 | WPG Holdings Ltd. | 251,922 | ||||||||
| Shares | Description |
Value ($) |
||||||||
| Taiwan — continued | ||||||||||
|
|
60,000 | Yageo Corp. | 1,395,960 | |||||||
| 265,000 | Yang Ming Marine Transport Corp. | 445,604 | ||||||||
| 142,000 | Yuanta Financial Holding Co. Ltd. | 269,916 | ||||||||
| 68,000 | YungShin Global Holding Corp. | 121,239 | ||||||||
| 3,000 | Zhen Ding Technology Holding Ltd. | 48,963 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 44,617,451 | |||||||||
|
|
|
|||||||||
| Thailand — 1.0% | ||||||||||
| 719,200 | 3BB Internet Infrastructure Fund – Class F | 142,250 | ||||||||
| 314,700 | AP Thailand PCL NVDR | 70,568 | ||||||||
| 374,300 | Digital Telecommunications Infrastructure Fund – Class F | 114,470 | ||||||||
| 29,200 | GFPT PCL NVDR | 7,673 | ||||||||
| 460,500 | Kasikornbank PCL NVDR | 2,842,527 | ||||||||
| 3,856,400 | Krung Thai Bank PCL NVDR | 4,115,333 | ||||||||
| 168,700 | Mega Lifesciences PCL NVDR | 186,383 | ||||||||
| 756,800 | PTT Exploration & Production PCL NVDR | 3,293,370 | ||||||||
| 1,319,300 | PTT PCL NVDR | 1,469,792 | ||||||||
| 207,200 | Regional Container Lines PCL NVDR | 200,518 | ||||||||
| 181,200 | SCB X PCL NVDR | 748,472 | ||||||||
| 406,900 | Thai Oil PCL NVDR | 577,993 | ||||||||
| 89,300 | TOA Paint Thailand PCL NVDR | 33,528 | ||||||||
|
|
|
|||||||||
| Total Thailand | 13,802,877 | |||||||||
|
|
|
|||||||||
| Turkey — 0.1% | ||||||||||
| 94,418 | Anadolu Efes Biracilik Ve Malt Sanayii AS | 39,456 | ||||||||
| 45,274 | BIM Birlesik Magazalar AS | 363,655 | ||||||||
| 25,561 | Migros Ticaret AS | 362,650 | ||||||||
| 25,275 | Sekerbank Turk AS | 7,158 | ||||||||
| 110,617 | Turk Hava Yollari AO | 709,981 | ||||||||
|
|
|
|||||||||
| Total Turkey | 1,482,900 | |||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.1% | ||||||||||
| 1,436 | Emaar Development PJSC | 5,691 | ||||||||
| 104,700 | Emirates NBD Bank PJSC | 792,923 | ||||||||
| 58,851 | First Abu Dhabi Bank PJSC | 271,189 | ||||||||
|
|
|
|||||||||
| Total United Arab Emirates | 1,069,803 | |||||||||
|
|
|
|||||||||
| United Kingdom — 2.5% | ||||||||||
| 93,651 | 3i Group PLC | 2,844,162 | ||||||||
| 54,388 | Aberdeen Group PLC | 181,265 | ||||||||
| 19,229 | Associated British Foods PLC (a) (b) | 470,558 | ||||||||
| 16,837 | Barratt Redrow PLC (a) | 59,320 | ||||||||
| 1,775 | Berkeley Group Holdings PLC * | 81,802 | ||||||||
| 14,194 | British American Tobacco PLC Sponsored ADR (a) | 877,047 | ||||||||
| 1,694,201 | BT Group PLC | 4,750,989 | ||||||||
| 8,362 | DCC PLC | 674,609 | ||||||||
| 25,504 | Drax Group PLC | 270,989 | ||||||||
| 23,265 | Evraz PLC * (d) (f) | — | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| United Kingdom — continued | ||||||||||
| 21,033 | Ferrexpo PLC * (e) | 8,237 | ||||||||
|
|
1,604 | Galliford Try Holdings PLC | 11,217 | |||||||
| 9,600 | Global Ship Lease, Inc. – Class A | 349,728 | ||||||||
| 121,061 | GSK PLC Sponsored ADR (a) | 6,118,423 | ||||||||
| 19,945 | GSK PLC | 504,342 | ||||||||
| 35,910 | HSBC Holdings PLC (b) | 674,326 | ||||||||
| 16,556 | Imperial Brands PLC (b) | 600,348 | ||||||||
| 17,373 | International Personal Finance PLC | 58,055 | ||||||||
| 202,384 | ITV PLC | 221,215 | ||||||||
| 678,691 | JD Sports Fashion PLC (b) | 768,364 | ||||||||
| 54,830 | Jupiter Fund Management PLC | 118,080 | ||||||||
| 6,333 | Keller Group PLC | 202,561 | ||||||||
| 277,623 | Kingfisher PLC (b) | 1,071,947 | ||||||||
| 4,859 | Lion Finance Group PLC | 725,024 | ||||||||
| 110,435 | Man Group PLC | 407,589 | ||||||||
| 6,754 | Morgan Advanced Materials PLC | 20,796 | ||||||||
| 4,300 | Morgan Sindall Group PLC | 263,656 | ||||||||
| 38,215 | NatWest Group PLC | 307,353 | ||||||||
| 47,422 | OSB Group PLC | 328,791 | ||||||||
| 20,286 | Paragon Banking Group PLC | 208,425 | ||||||||
| 5,458 | Plus500 Ltd. | 324,138 | ||||||||
| 41,696 | Rio Tinto PLC Sponsored ADR (a) | 4,436,037 | ||||||||
| 2,887 | Rio Tinto PLC (b) | 306,632 | ||||||||
| 5,395 | Shell PLC ADR (b) | 453,827 | ||||||||
| 2,147 | TBC Bank Group PLC | 129,895 | ||||||||
| 2,230 | Unilever PLC Sponsored ADR (b) | 125,883 | ||||||||
| 14,605 | Vesuvius PLC | 91,590 | ||||||||
| 228,681 | Vodafone Group PLC Sponsored ADR | 3,421,068 | ||||||||
| 129,011 | Vodafone Group PLC | 193,868 | ||||||||
| 35,451 | Zigup PLC | 223,955 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 32,886,111 | |||||||||
|
|
|
|||||||||
| United States — 12.1% | ||||||||||
| 1,300 | A.O. Smith Corp. (a) | 73,736 | ||||||||
| 1,127 | Abercrombie & Fitch Co. – Class A * | 87,027 | ||||||||
| 2,837 | Academy Sports & Outdoors, Inc. | 149,794 | ||||||||
| 5,085 | Accenture PLC – Class A (a) (b) | 951,251 | ||||||||
| 6,068 | Adobe, Inc. * (a) (b) | 1,572,886 | ||||||||
| 3,156 | Aflac, Inc. (a) | 354,798 | ||||||||
| 11,372 | Albertsons Cos., Inc. – Class A (a) | 177,517 | ||||||||
| 10,637 | Allstate Corp. (a) | 2,192,179 | ||||||||
| 76 | Alphabet, Inc. – Class A (a) | 28,906 | ||||||||
| 1,555 | Amazon.com, Inc. * (a) | 420,845 | ||||||||
| 1,724 | American Express Co. (a) | 545,594 | ||||||||
| 3,881 | American International Group, Inc. (a) | 288,087 | ||||||||
| 273 | Ameriprise Financial, Inc. | 121,679 | ||||||||
| 12,474 | APA Corp. (a) | 454,428 | ||||||||
| 7,101 | Arch Capital Group Ltd. * (a) | 634,403 | ||||||||
| 4,472 | Archer-Daniels-Midland Co. (b) | 356,776 | ||||||||
| 203 | Arrow Electronics, Inc. * (a) | 43,570 | ||||||||
| 43,926 | AT&T, Inc. (a) | 1,089,365 | ||||||||
| 2,100 | Atlassian Corp. – Class A * (a) | 225,981 | ||||||||
| Shares | Description |
Value ($) |
||||||||
| United States — continued | ||||||||||
| 1,336 | Autoliv, Inc. (a) | 169,832 | ||||||||
| 465 | AutoNation, Inc. * (a) | 87,290 | ||||||||
| 4,458 | Avnet, Inc. (a) | 387,534 | ||||||||
| 56,682 | Bank of America Corp. (a) (b) | 2,924,791 | ||||||||
| 3,980 | Bath & Body Works, Inc. (a) | 79,680 | ||||||||
| 448 | Becton Dickinson & Co. | 65,910 | ||||||||
| 428 | Berkshire Hathaway, Inc. – Class B * | 203,077 | ||||||||
| 25,995 | Best Buy Co., Inc. (b) | 2,026,310 | ||||||||
| 5,478 | Block, Inc. * | 414,794 | ||||||||
| 5,472 | Blue Owl Capital Corp. (a) | 61,615 | ||||||||
| 846 | Booz Allen Hamilton Holding Corp. (a) | 66,986 | ||||||||
| 868 | BorgWarner, Inc. (a) | 62,340 | ||||||||
| 1,555 | Bread Financial Holdings, Inc. | 138,504 | ||||||||
| 19,208 | Bristol-Myers Squibb Co. | 1,098,313 | ||||||||
| 3,560 | Brown-Forman Corp. – Class B (a) | 91,563 | ||||||||
| 17,833 | Builders FirstSource, Inc. * (a) | 1,359,945 | ||||||||
| 11,533 | Capital One Financial Corp. (b) | 2,167,397 | ||||||||
| 1,430 | Carrier Global Corp. (a) | 91,334 | ||||||||
| 584 | CBRE Group, Inc. – Class A * (b) | 73,023 | ||||||||
| 1,645 | CDW Corp. | 206,365 | ||||||||
| 2,682 | Chevron Corp. | 489,358 | ||||||||
| 1,434 | Chubb Ltd. (a) (b) | 447,021 | ||||||||
| 8,786 | Cigna Group (a) | 2,437,236 | ||||||||
| 3,620 | Cisco Systems, Inc. (a) | 435,920 | ||||||||
| 23,246 | Citigroup, Inc. (a) (b) | 2,926,671 | ||||||||
| 107,034 | CNH Industrial NV (a) | 1,092,817 | ||||||||
| 33,418 | Cognizant Technology Solutions Corp. – Class A (a) (b) | 1,863,221 | ||||||||
| 2,531 | Colgate-Palmolive Co. (a) | 228,119 | ||||||||
| 81,150 | Comcast Corp. – Class A (a) | 2,018,201 | ||||||||
| 1,640 | Commercial Metals Co. (a) | 124,722 | ||||||||
| 4,767 | ConocoPhillips (a) | 543,343 | ||||||||
| 28,979 | Corebridge Financial, Inc. (a) | 782,433 | ||||||||
| 680 | Covista, Inc. * (a) | 80,104 | ||||||||
| 1,063 | CRH PLC (a) | 115,644 | ||||||||
| 2,185 | Crocs, Inc. * (a) | 259,294 | ||||||||
| 29,955 | CVS Health Corp. (a) | 2,725,306 | ||||||||
| 6,004 | Deckers Outdoor Corp. * (a) (b) | 683,555 | ||||||||
| 5,800 | Dell Technologies, Inc. – Class C (a) | 2,441,278 | ||||||||
| 28,882 | Delta Air Lines, Inc. (a) | 2,382,187 | ||||||||
| 6,600 | Devon Energy Corp. (a) | 293,634 | ||||||||
| 1,104 | Dollar General Corp. (b) | 122,113 | ||||||||
| 13,103 | DR Horton, Inc. (a) | 1,927,320 | ||||||||
| 5,288 | Dropbox, Inc. – Class A * (a) | 142,141 | ||||||||
| 4,055 | DXC Technology Co. * (a) | 40,185 | ||||||||
| 937 | Eastman Chemical Co. (a) | 71,090 | ||||||||
| 20,042 | eBay, Inc. (a) | 2,189,989 | ||||||||
| 7,722 | Edison International (b) | 540,077 | ||||||||
| 4,862 | Elevance Health, Inc. (a) | 1,911,690 | ||||||||
| 1,304 | Enova International, Inc. * (a) | 210,609 | ||||||||
| 9,153 | EOG Resources, Inc. (a) | 1,220,827 | ||||||||
| 3,708 | Everest Group Ltd. | 1,201,503 | ||||||||
| 707 | Expand Energy Corp. (a) | 65,737 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| United States — continued | ||||||||||
|
|
369 | Expedia Group, Inc. (a) | 83,317 | |||||||
| 11,698 | Exxon Mobil Corp. (a) | 1,699,252 | ||||||||
| 783 | Federated Hermes, Inc. (a) | 43,895 | ||||||||
| 815 | FedEx Corp. (b) | 335,576 | ||||||||
| 3,140 | Fifth Third Bancorp (a) | 156,780 | ||||||||
| 621 | First Solar, Inc. * | 190,517 | ||||||||
| 1,087 | Fiserv, Inc. * | 61,481 | ||||||||
| 171,547 | Ford Motor Co. (a) | 2,991,780 | ||||||||
| 4,145 | Fortune Brands Innovations, Inc. (a) | 161,406 | ||||||||
| 2,774 | Fox Corp. – Class A (a) | 177,314 | ||||||||
| 9,029 | Fox Corp. – Class B (a) | 518,174 | ||||||||
| 4,740 | Franklin Resources, Inc. (a) | 147,035 | ||||||||
| 4,745 | Gap, Inc. (b) | 100,357 | ||||||||
| 955 | Gartner, Inc. * (b) | 154,901 | ||||||||
| 22,751 | GE HealthCare Technologies, Inc. (a) | 1,418,297 | ||||||||
| 6,395 | Gen Digital, Inc. (a) | 164,927 | ||||||||
| 42,830 | General Mills, Inc. (a) | 1,448,082 | ||||||||
| 30,121 | General Motors Co. (a) | 2,507,272 | ||||||||
| 2,552 | Genpact Ltd. (b) | 84,088 | ||||||||
| 850 | Gilead Sciences, Inc. (a) | 114,266 | ||||||||
| 3,292 | Global Payments, Inc. (a) | 248,579 | ||||||||
| 293 | Group 1 Automotive, Inc. (a) | 92,688 | ||||||||
| 11,270 | H&R Block, Inc. (a) (b) | 433,782 | ||||||||
| 5,852 | Halliburton Co. (a) | 227,350 | ||||||||
| 6,355 | Hartford Insurance Group, Inc. (a) | 807,911 | ||||||||
| 74,221 | Hewlett Packard Enterprise Co. (a) | 3,194,472 | ||||||||
| 83,107 | HP, Inc. (a) | 2,247,213 | ||||||||
| 2,467 | Humana, Inc. (a) | 753,471 | ||||||||
| 14,768 | Huntington Bancshares, Inc. (a) | 241,605 | ||||||||
| 21,043 | Incyte Corp. * (a) | 2,035,700 | ||||||||
| 1,065 | Ingredion, Inc. (a) | 108,034 | ||||||||
| 3,890 | International Business Machines Corp. (a) | 1,158,442 | ||||||||
| 297 | Intuit, Inc. (b) | 98,464 | ||||||||
| 4,202 | Janus Henderson Group PLC | 217,285 | ||||||||
| 5,942 | Johnson & Johnson (a) | 1,338,911 | ||||||||
| 3,743 | JPMorgan Chase & Co. (b) | 1,120,317 | ||||||||
| 4,561 | KB Home (a) | 222,850 | ||||||||
| 13,118 | Kenvue, Inc. (b) | 226,679 | ||||||||
| 6,050 | Keurig Dr. Pepper, Inc. (a) | 181,682 | ||||||||
| 2,965 | Kimberly-Clark Corp. (b) | 289,384 | ||||||||
| 1,840 | Kinder Morgan, Inc. (a) | 57,187 | ||||||||
| 64,660 | Kraft Heinz Co. (a) | 1,552,487 | ||||||||
| 6,123 | Kroger Co. (b) | 380,544 | ||||||||
| 531 | Lear Corp. (a) | 75,997 | ||||||||
| 766 | Leidos Holdings, Inc. (a) | 97,895 | ||||||||
| 17,359 | Lennar Corp. – Class A (a) | 1,558,491 | ||||||||
| 6,353 | LKQ Corp. (a) | 172,293 | ||||||||
| 10,665 | Lululemon Athletica, Inc. * (a) | 1,399,035 | ||||||||
| 7,288 | LyondellBasell Industries NV – Class A | 485,745 | ||||||||
| 1,408 | M&T Bank Corp. (a) | 304,283 | ||||||||
| 346 | M/I Homes, Inc. * (a) | 45,541 | ||||||||
| 17,742 | Macy’s, Inc. (a) | 386,066 | ||||||||
| 640 | Marathon Petroleum Corp. (a) | 159,213 | ||||||||
| Shares | Description |
Value ($) |
||||||||
| United States — continued | ||||||||||
|
|
16,764 | Match Group, Inc. | 605,683 | |||||||
| 10,643 | Mattel, Inc. * (a) | 159,006 | ||||||||
| 22,896 | Merck & Co., Inc. (a) | 2,718,213 | ||||||||
| 1,950 | Meritage Homes Corp. | 127,218 | ||||||||
| 7,762 | Meta Platforms, Inc. – Class A (b) | 4,909,543 | ||||||||
| 3,958 | MetLife, Inc. (a) (b) | 327,287 | ||||||||
| 10,068 | MGIC Investment Corp. (a) | 253,915 | ||||||||
| 9,913 | Microsoft Corp. (b) | 4,463,229 | ||||||||
| 5,567 | Mondelez International, Inc. – Class A (b) | 340,533 | ||||||||
| 3,064 | Mosaic Co. | 73,230 | ||||||||
| 2,614 | NetApp, Inc. | 455,594 | ||||||||
| 2,597 | Neurocrine Biosciences, Inc. * | 411,105 | ||||||||
| 50 | NewMarket Corp. (a) | 38,679 | ||||||||
| 2,051 | NIKE, Inc. – Class B (a) | 94,818 | ||||||||
| 1,658 | Northrop Grumman Corp. (a) | 934,581 | ||||||||
| 10,692 | Nucor Corp. (a) | 2,673,000 | ||||||||
| 408 | NXP Semiconductors NV (a) | 131,111 | ||||||||
| 16,923 | Omnicom Group, Inc. (a) | 1,230,471 | ||||||||
| 347 | Oshkosh Corp. | 45,110 | ||||||||
| 1,244 | Paycom Software, Inc. (a) | 173,749 | ||||||||
| 46,559 | PayPal Holdings, Inc. (a) | 2,083,515 | ||||||||
| 4,222 | PepsiCo, Inc. (a) (b) | 608,770 | ||||||||
| 2,808 | Perdoceo Education Corp. (b) | 90,923 | ||||||||
| 106,366 | Pfizer, Inc. | 2,784,662 | ||||||||
| 422 | Phillips 66 | 74,221 | ||||||||
| 74,796 | Pinterest, Inc. – Class A * (a) | 1,499,660 | ||||||||
| 2,888 | PNC Financial Services Group, Inc. (a) | 638,595 | ||||||||
| 1,499 | PPG Industries, Inc. (a) | 169,357 | ||||||||
| 7,072 | Procter & Gamble Co. (a) | 1,015,256 | ||||||||
| 4,573 | Progressive Corp. (a) (b) | 870,699 | ||||||||
| 1,494 | Prudential Financial, Inc. (a) | 150,356 | ||||||||
| 14,096 | PulteGroup, Inc. (a) | 1,665,865 | ||||||||
| 2,112 | PVH Corp. (a) | 197,007 | ||||||||
| 16,640 | QUALCOMM, Inc. (a) | 4,176,973 | ||||||||
| 9,356 | Radian Group, Inc. | 319,507 | ||||||||
| 3,872 | Regeneron Pharmaceuticals, Inc. (a) | 2,380,428 | ||||||||
| 19,312 | Regions Financial Corp. (a) | 540,736 | ||||||||
| 603 | ResMed, Inc. (a) | 114,914 | ||||||||
| 639 | Roper Technologies, Inc. (a) | 208,014 | ||||||||
| 1,528 | Signet Jewelers Ltd. (a) | 133,532 | ||||||||
| 2,442 | Skyworks Solutions, Inc. | 190,110 | ||||||||
| 5,315 | SLM Corp. (a) | 117,568 | ||||||||
| 155 | Snap-on, Inc. (a) | 57,538 | ||||||||
| 20,355 | Solventum Corp. * (a) | 1,525,607 | ||||||||
| 8,415 | State Street Corp. (a) | 1,309,711 | ||||||||
| 3,398 | Steel Dynamics, Inc. (a) | 883,990 | ||||||||
| 38,237 | Super Micro Computer, Inc. * (a) | 1,762,343 | ||||||||
| 25,399 | Synchrony Financial | 1,814,505 | ||||||||
| 427 | Sysco Corp. (b) | 32,371 | ||||||||
| 18,535 | T. Rowe Price Group, Inc. (a) | 1,937,464 | ||||||||
| 17,501 | Target Corp. (a) (b) | 2,223,852 | ||||||||
| 1,026 | Terex Corp. (a) | 59,693 | ||||||||
| 17,202 | Textron, Inc. (a) | 1,578,456 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| United States — continued | ||||||||||
|
|
807 | Timken Co. (a) | 103,280 | |||||||
| 334 | Toll Brothers, Inc. (a) | 46,272 | ||||||||
| 22,799 | Trade Desk, Inc. – Class A * (a) | 491,546 | ||||||||
| 1,721 | Travelers Cos., Inc. (b) | 502,343 | ||||||||
| 7,293 | Truist Financial Corp. (a) | 351,596 | ||||||||
| 37,929 | U.S. Bancorp (a) | 2,080,406 | ||||||||
| 14,469 | United Airlines Holdings, Inc. * (a) (b) | 1,661,041 | ||||||||
| 23,077 | United Parcel Service, Inc. – Class B (a) | 2,462,085 | ||||||||
| 3,596 | UnitedHealth Group, Inc. (a) | 1,367,595 | ||||||||
| 5,406 | Universal Health Services, Inc. – Class B (a) | 789,871 | ||||||||
| 660 | Unum Group | 54,932 | ||||||||
| 63,527 | Verizon Communications, Inc. (a) | 3,037,226 | ||||||||
| 6,449 | VICI Properties, Inc. – (REIT) (a) (b) | 181,991 | ||||||||
| 1,794 | Vontier Corp. (a) | 50,914 | ||||||||
| 5,173 | Wells Fargo & Co. (a) | 401,114 | ||||||||
| 23,716 | Western Union Co. (a) | 192,811 | ||||||||
| 2,322 | YETI Holdings, Inc. * (a) | 111,386 | ||||||||
| 3,276 | Zebra Technologies Corp. – Class A * | 798,132 | ||||||||
| 18,085 | Zoom Communications, Inc. * (a) (b) | 1,837,255 | ||||||||
| 9,443 | ZoomInfo Technologies, Inc. * | 31,445 | ||||||||
|
|
|
|||||||||
| Total United States | 157,972,597 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.2% | ||||||||||
| 60,060 | An Binh CJSB * | 35,609 | ||||||||
| 4,700 | Binh Minh Plastics JSC | 24,542 | ||||||||
| 5,800 | Gelex Electric Equipment JSC | 22,528 | ||||||||
| 34,100 | IDICO Corp. JSC | 56,199 | ||||||||
| 112,100 | PetroVietNam Ca Mau Fertilizer JSC | 169,800 | ||||||||
| 37,700 | Petrovietnam Fertilizer & Chemicals JSC | 37,130 | ||||||||
| 10,100 | PetroVietnam Gas JSC | 33,572 | ||||||||
| 34,800 | PetroVietnam Oil Corp. | 19,971 | ||||||||
| 48,300 | Phu Nhuan Jewelry JSC | 120,954 | ||||||||
| 134,700 | Quang Ngai Sugar JSC | 243,680 | ||||||||
| 901,000 | Saigon – Hanoi Commercial Joint Stock Bank | 472,864 | ||||||||
| 116,200 | Saigon Beer Alcohol Beverage Corp. | 207,436 | ||||||||
| 408,400 | Vietnam Dairy Products JSC | 918,999 | ||||||||
| 94,400 | Vietnam Engine & Agricultural Machinery Corp. | 124,853 | ||||||||
| 42,000 | Vietnam Prosperity JSC Bank | 43,264 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 2,531,401 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $651,807,781) |
765,905,548 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (g) — 0.9% | ||||||||||
| Brazil — 0.4% | ||||||||||
| 8,900 | Banco Bradesco SA ADR | 31,061 | ||||||||
| 213,300 | Bradespar SA | 983,086 | ||||||||
| 742,403 | Cia Energetica de Minas Gerais | 1,583,542 | ||||||||
| 1,763 | Cyrela Brazil Realty SA Empreendimentos e Participacoes * | 7,161 | ||||||||
| Shares | Description |
Value ($) |
||||||||
| Brazil — continued | ||||||||||
|
|
43,600 | Gerdau SA | 196,801 | |||||||
| 50,695 | Gerdau SA Sponsored ADR | 228,127 | ||||||||
| 9,700 | Itausa SA | 24,843 | ||||||||
| 97,600 | Petroleo Brasileiro SA – Petrobras | |||||||||
| Sponsored ADR (b) | 1,636,752 | |||||||||
|
|
|
|||||||||
| Total Brazil | 4,691,373 | |||||||||
|
|
|
|||||||||
| Germany — 0.3% | ||||||||||
| 3,099 | Bayerische Motoren Werke AG | 269,369 | ||||||||
| 205 | Draegerwerk AG & Co. KGaA | 21,914 | ||||||||
| 7,249 | Henkel AG & Co. KGaA (b) | 562,663 | ||||||||
| 25,522 | Volkswagen AG * | 2,723,186 | ||||||||
|
|
|
|||||||||
| Total Germany | 3,577,132 | |||||||||
|
|
|
|||||||||
| Italy — 0.0% | ||||||||||
| 1,049 | Danieli & C Officine Meccaniche SpA | 61,087 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 56,000 | Nizhnekamskneftekhim PJSC * (d) (f) | — | ||||||||
|
|
|
|||||||||
| South Korea — 0.2% | ||||||||||
| 22,872 | Samsung Electronics Co. Ltd. | 3,060,125 | ||||||||
| 51 | Samsung Electronics Co. Ltd. GDR (Registered) | 174,010 | ||||||||
|
|
|
|||||||||
| Total South Korea | 3,234,135 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $10,000,282) |
11,563,727 | |||||||||
|
|
|
|||||||||
| RIGHTS/WARRANTS — 0.0% | ||||||||||
| Canada — 0.0% | ||||||||||
| 7,900 | Resolute Forest Products, Inc. * (e) | 11,850 | ||||||||
|
|
|
|||||||||
| United States — 0.0% | ||||||||||
| 90,581 | Walgreens Boots Alliance, Inc. CVR * (e) | 45,293 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $56,698) |
57,143 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 21.8% | ||||||||||
| Japan — 0.0% | ||||||||||
| 1,510,500 | Carlyle ARE Partners II, L.P. (d) (h) | 853,110 | ||||||||
|
|
|
|||||||||
| United States — 21.8% | ||||||||||
| 8,906,094 | GMO Alternative Allocation Fund, Class VI (i) | 164,851,797 | ||||||||
| 418,696 | GMO Climate Change Fund, Class III (i) | 13,461,074 | ||||||||
| 714,036 | GMO High Yield Fund, Class VI (i) | 12,524,192 | ||||||||
| 956,814 | GMO Opportunistic Income Fund, Class VI (i) | 23,202,730 | ||||||||
| 1,377,111 | GMO Resources Fund, Class VI (i) | 39,275,201 | ||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares / Par Value† |
Description |
Value ($) |
||||||||
| United States — continued | ||||||||||
|
|
6,192,033 | GMO U.S. Treasury Fund, Class VI (i) (j) | 31,022,088 | |||||||
|
|
|
|||||||||
| Total United States | 284,337,082 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $271,784,689) |
285,190,192 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 17.3% | ||||||||||
| Dominican Republic — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| DOP |
37,000,000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 744,914 | |||||||
|
|
|
|||||||||
| Malaysia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| MYR |
3,900,000 | Malaysia Government Bonds, 3.90%, due 11/30/26 |
988,067 | |||||||
|
|
|
|||||||||
| Paraguay — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
| PYG |
860,000,000 | Paraguay Government International Bonds, 144A, 8.50%, due 04/04/38 | 134,476 | |||||||
|
|
|
|||||||||
| Uganda — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
| UGX |
520,000,000 | Republic of Uganda Government Bonds, 15.80%, due 06/23/39 | 138,199 | |||||||
|
|
|
|||||||||
| United States — 17.1% | ||||||||||
| U.S. Government — 17.1% | ||||||||||
| 55,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 07/31/27 (b) | 55,053,423 | ||||||||
| 53,800,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.82%, due 10/31/27 | 53,892,473 | ||||||||
| 114,825,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 (b) | 114,843,296 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 223,789,192 | |||||||||
|
|
|
|||||||||
| Total United States | 223,789,192 | |||||||||
|
|
|
|||||||||
| Uruguay — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
| UYU |
9,000,000 | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 248,736 | |||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $225,880,929) |
226,043,584 | |||||||||
|
|
|
|||||||||
| Shares / Par Value† |
Description |
Value ($) |
||||||||
| SHORT-TERM INVESTMENTS — 16.1% | ||||||||||
| Money Market Funds — 0.7% | ||||||||||
| 8,713,550 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (k) | 8,713,550 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 15.3% | ||||||||||
| 200,000,000 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/29/26, maturing on 06/01/26 with a maturity value of $200,060,167 and an effective yield of 3.61%, collateralized by a U.S. Treasury Note with maturity date 10/31/27 and a market value of $204,167,102. | 200,000,000 | ||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| EGP |
44,000,000 | Egypt Treasury Bills, Zero Coupon, due 10/20/26 | 772,873 | |||||||
| NGN |
1,099,999,999 | Nigeria OMO Bills, Zero Coupon, due 07/07/26 | 786,071 | |||||||
|
|
|
|||||||||
| Total Sovereign and Sovereign Agency Issuers | 1,558,944 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $210,301,992) |
210,272,494 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 114.8% (Cost $1,369,832,371) |
1,499,032,688 | |||||||||
|
|
|
|||||||||
| SECURITIES SOLD SHORT — (12.7)% | ||||||||||
| Common Stocks — (12.6)% | ||||||||||
| Australia — (0.4)% | ||||||||||
| (123,123 | ) | Lottery Corp. Ltd. | (478,278 | ) | ||||||
| (89,191 | ) | Lynas Rare Earths Ltd. * | (1,226,241 | ) | ||||||
| (12,862 | ) | Pro Medicus Ltd. | (1,222,723 | ) | ||||||
| (247,845 | ) | Sigma Healthcare Ltd. | (522,835 | ) | ||||||
| (12,727 | ) | WiseTech Global Ltd. | (330,869 | ) | ||||||
| (24,176 | ) | Xero Ltd. * | (1,313,689 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (5,094,635 | ) | ||||||||
|
|
|
|||||||||
| Belgium — (0.0)% | ||||||||||
| (35 | ) | Lotus Bakeries NV | (448,555 | ) | ||||||
|
|
|
|||||||||
| Brazil — (0.1)% | ||||||||||
| (91,318 | ) | NU Holdings Ltd. – Class A * | (1,199,005 | ) | ||||||
|
|
|
|||||||||
| Canada — (0.8)% | ||||||||||
| (25,600 | ) | AltaGas Ltd. | (996,221 | ) | ||||||
| (17,723 | ) | Brookfield Renewable Corp. | (708,566 | ) | ||||||
| (7,926 | ) | Cameco Corp. | (893,260 | ) | ||||||
| (1,600 | ) | Dollarama, Inc. | (204,606 | ) | ||||||
| (2,600 | ) | Element Fleet Management Corp. | (51,806 | ) | ||||||
| (15,045 | ) | Enbridge, Inc. | (823,563 | ) | ||||||
| (3,453 | ) | Franco-Nevada Corp. | (796,607 | ) | ||||||
| (15,087 | ) | GFL Environmental, Inc. | (506,018 | ) | ||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description |
Value ($) |
||||||||
| Canada — continued | ||||||||||
|
|
(38,700 | ) | Keyera Corp. | (1,605,377 | ) | |||||
| (15,409 | ) | Pan American Silver Corp. | (878,159 | ) | ||||||
| (20,068 | ) | Pembina Pipeline Corp. | (934,165 | ) | ||||||
| (6,741 | ) | RB Global, Inc. | (716,905 | ) | ||||||
| (11,403 | ) | Restaurant Brands International, Inc. | (851,804 | ) | ||||||
| (1,588 | ) | TC Energy Corp. | (105,793 | ) | ||||||
| (4,680 | ) | Wheaton Precious Metals Corp. | (620,568 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (10,693,418 | ) | ||||||||
|
|
|
|||||||||
| Chile — (0.1)% | ||||||||||
| (12,416 | ) | Latam Airlines Group SA ADR | (666,491 | ) | ||||||
|
|
|
|||||||||
| China — (0.1)% | ||||||||||
| (147,601 | ) | NIO, Inc. ADR* | (826,566 | ) | ||||||
| (18,647 | ) | XPeng, Inc. ADR* | (306,743 | ) | ||||||
|
|
|
|||||||||
| Total China | (1,133,309 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (0.2)% | ||||||||||
| (21,070 | ) | Coloplast AS – Class B | (1,293,471 | ) | ||||||
| (2,863 | ) | Novonesis Novozymes B – Class B | (166,335 | ) | ||||||
| (7,033 | ) | Orsted AS * | (179,240 | ) | ||||||
| (50,038 | ) | Tryg AS | (1,176,138 | ) | ||||||
|
|
|
|||||||||
| Total Denmark | (2,815,184 | ) | ||||||||
|
|
|
|||||||||
| France — (0.2)% | ||||||||||
| (6,145 | ) | Aeroports de Paris SA | (823,363 | ) | ||||||
| (46,810 | ) | Getlink SE | (1,022,815 | ) | ||||||
| (562 | ) | Hermes International SCA | (1,050,225 | ) | ||||||
|
|
|
|||||||||
| Total France | (2,896,403 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.5)% | ||||||||||
| (33,111 | ) | Delivery Hero SE * | (1,418,412 | ) | ||||||
| (11,821 | ) | Hensoldt AG | (1,227,254 | ) | ||||||
| (1,532 | ) | HOCHTIEF AG | (866,136 | ) | ||||||
| (1,000 | ) | MTU Aero Engines AG | (364,836 | ) | ||||||
| (211 | ) | Rational AG | (161,447 | ) | ||||||
| (11 | ) | Rheinmetall AG | (16,561 | ) | ||||||
| (790 | ) | RWE AG | (50,205 | ) | ||||||
| (5,007 | ) | Siemens Energy AG | (947,895 | ) | ||||||
| (8,597 | ) | Talanx AG | (1,028,341 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (6,081,087 | ) | ||||||||
|
|
|
|||||||||
| Israel — (0.0)% | ||||||||||
| (665 | ) | Wix.com Ltd. * | (37,280 | ) | ||||||
|
|
|
|||||||||
| Italy — (0.3)% | ||||||||||
| (5,555 | ) | Ferrari NV (c) | (1,908,759 | ) | ||||||
| (280 | ) | Ferrari NV (c) | (95,264 | ) | ||||||
| (56,536 | ) | FinecoBank Banca Fineco SpA | (1,379,431 | ) | ||||||
| (341 | ) | Prysmian SpA | (58,743 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (3,442,197 | ) | ||||||||
|
|
|
|||||||||
| Shares | Description |
Value ($) |
||||||||
| Japan — (1.1)% | ||||||||||
| (3,700 | ) | Advantest Corp. | (604,933 | ) | ||||||
| (141,800 | ) | Aeon Co. Ltd. | (1,241,132 | ) | ||||||
| (1,900 | ) | Asics Corp. | (57,718 | ) | ||||||
| (3,200 | ) | Disco Corp. | (1,305,711 | ) | ||||||
| (1,500 | ) | Fast Retailing Co. Ltd. | (777,354 | ) | ||||||
| (15,800 | ) | Fujikura Ltd. | (470,848 | ) | ||||||
| (3,700 | ) | Ibiden Co. Ltd. | (531,942 | ) | ||||||
| (42,500 | ) | IHI Corp. | (738,495 | ) | ||||||
| (86,500 | ) | Japan Exchange Group, Inc. | (1,056,706 | ) | ||||||
| (22,000 | ) | Mitsubishi Heavy Industries Ltd. | (520,053 | ) | ||||||
| (27,300 | ) | MonotaRO Co. Ltd. | (322,660 | ) | ||||||
| (115,900 | ) | Oriental Land Co. Ltd. | (1,666,716 | ) | ||||||
| (229,300 | ) | Rakuten Group, Inc. * | (1,071,865 | ) | ||||||
| (4,000 | ) | Ryohin Keikaku Co. Ltd. | (97,696 | ) | ||||||
| (131,300 | ) | Sanrio Co. Ltd. | (706,025 | ) | ||||||
| (2,200 | ) | Seibu Holdings, Inc. | (38,983 | ) | ||||||
| (32,700 | ) | Shiseido Co. Ltd. | (576,538 | ) | ||||||
| (1,420,100 | ) | SoftBank Corp. | (1,918,647 | ) | ||||||
| (5,800 | ) | Zensho Holdings Co. Ltd. | (293,339 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (13,997,361 | ) | ||||||||
|
|
|
|||||||||
| Mexico — (0.0)% | ||||||||||
| (601 | ) | Grupo Aeroportuario del Pacifico SAB de CV ADR | (142,016 | ) | ||||||
|
|
|
|||||||||
| Netherlands — (0.3)% | ||||||||||
| (5,630 | ) | BE Semiconductor Industries NV | (1,864,125 | ) | ||||||
| (84,250 | ) | CVC Capital Partners PLC | (1,346,682 | ) | ||||||
| (3,696 | ) | Nebius Group NV * | (854,109 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (4,064,916 | ) | ||||||||
|
|
|
|||||||||
| Norway — (0.2)% | ||||||||||
| (41,268 | ) | Kongsberg Gruppen ASA | (1,478,267 | ) | ||||||
| (14,979 | ) | Salmar ASA | (930,583 | ) | ||||||
|
|
|
|||||||||
| Total Norway | (2,408,850 | ) | ||||||||
|
|
|
|||||||||
| Peru — (0.1)% | ||||||||||
| (8,380 | ) | Southern Copper Corp. | (1,603,088 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.0)% | ||||||||||
| (147,347 | ) | Grab Holdings Ltd. – Class A * | (521,608 | ) | ||||||
|
|
|
|||||||||
| Spain — (0.2)% | ||||||||||
| (36,934 | ) | Cellnex Telecom SA * | (1,235,910 | ) | ||||||
| (23,680 | ) | Ferrovial NV | (1,619,680 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (2,855,590 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.2)% | ||||||||||
| (45,650 | ) | EQT AB | (1,570,098 | ) | ||||||
| (1,709 | ) | Spotify Technology SA * | (850,535 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (2,420,633 | ) | ||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| Switzerland — (0.1)% | ||||||||||
| (17,063 | ) | Avolta AG | (1,072,213 | ) | ||||||
| (20 | ) | Chocoladefabriken Lindt & Spruengli AG | (238,288 | ) | ||||||
| (41 | ) | Partners Group Holding AG | (43,258 | ) | ||||||
| (467 | ) | VAT Group AG | (364,627 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (1,718,386 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (0.6)% | ||||||||||
| (10,402 | ) | Antofagasta PLC | (573,019 | ) | ||||||
| (37,884 | ) | Entain PLC | (271,088 | ) | ||||||
| (105,568 | ) | Informa PLC | (1,146,942 | ) | ||||||
| (11,355 | ) | InterContinental Hotels Group PLC | (1,741,303 | ) | ||||||
| (8,755 | ) | London Stock Exchange Group PLC | (1,059,349 | ) | ||||||
| (9,638 | ) | Rolls-Royce Holdings PLC | (173,405 | ) | ||||||
| (28,844 | ) | Severn Trent PLC | (1,150,123 | ) | ||||||
| (95,687 | ) | Standard Life PLC | (995,554 | ) | ||||||
| (79,530 | ) | Wise Group PLC – Class A * | (996,319 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (8,107,102 | ) | ||||||||
|
|
|
|||||||||
| United States — (7.1)% | ||||||||||
| (6,561 | ) | AbbVie, Inc. | (1,428,461 | ) | ||||||
| (31,980 | ) | Affirm Holdings, Inc. * | (2,355,327 | ) | ||||||
| (374 | ) | Air Products & Chemicals, Inc. | (104,204 | ) | ||||||
| (4,628 | ) | Alnylam Pharmaceuticals, Inc. * | (1,397,563 | ) | ||||||
| (1,543 | ) | Analog Devices, Inc. | (638,571 | ) | ||||||
| (3,497 | ) | AppLovin Corp. – Class A * | (2,143,976 | ) | ||||||
| (2,023 | ) | Arthur J Gallagher & Co. | (406,846 | ) | ||||||
| (13,320 | ) | AST SpaceMobile, Inc. * | (1,510,621 | ) | ||||||
| (4,093 | ) | Axon Enterprise, Inc. * | (1,836,611 | ) | ||||||
| (3,146 | ) | Bloom Energy Corp. – Class A * | (896,610 | ) | ||||||
| (7,490 | ) | Boeing Co. * | (1,731,313 | ) | ||||||
| (4,928 | ) | Burlington Stores, Inc. * | (1,595,834 | ) | ||||||
| (22,055 | ) | Carvana Co. * | (1,610,015 | ) | ||||||
| (1,658 | ) | Ciena Corp. * | (962,021 | ) | ||||||
| (6,488 | ) | Cintas Corp. | (1,111,135 | ) | ||||||
| (6,841 | ) | Cloudflare, Inc. – Class A * | (1,654,291 | ) | ||||||
| (1,144 | ) | Coherent Corp. * | (413,522 | ) | ||||||
| (6,537 | ) | CoreWeave, Inc. – Class A * | (715,998 | ) | ||||||
| (5,331 | ) | Corning, Inc. | (965,764 | ) | ||||||
| (55 | ) | Costco Wholesale Corp. | (52,598 | ) | ||||||
| (8,638 | ) | Credo Technology Group Holding Ltd. * | (2,038,827 | ) | ||||||
| (9,110 | ) | DoorDash, Inc. – Class A * | (1,451,132 | ) | ||||||
| (87,980 | ) | DraftKings, Inc. – Class A * | (2,154,630 | ) | ||||||
| (4,770 | ) | Ecolab, Inc. | (1,221,120 | ) | ||||||
| (1,209 | ) | Fair Isaac Corp. * | (1,511,963 | ) | ||||||
| (40,579 | ) | Fidelity National Information Services, Inc. | (1,744,491 | ) | ||||||
| (4,008 | ) | FTAI Aviation Ltd. | (1,043,443 | ) | ||||||
| (170 | ) | GE Vernova, Inc. | (164,614 | ) | ||||||
| (10,028 | ) | Hyatt Hotels Corp. – Class A | (1,818,678 | ) | ||||||
| (9,650 | ) | Insmed, Inc. * | (1,031,682 | ) | ||||||
| (70 | ) | Insulet Corp. * | (10,146 | ) | ||||||
| Shares | Description |
Value ($) |
||||||||
| United States — continued | ||||||||||
| (35,224 | ) | IonQ, Inc. * | (2,538,594 | ) | ||||||
|
|
(16,131 | ) | IREN Ltd. * | (1,024,964 | ) | |||||
| (668 | ) | Johnson Controls International PLC | (89,552 | ) | ||||||
| (22,281 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (2,022,892 | ) | ||||||
| (3,294 | ) | Linde PLC | (1,639,391 | ) | ||||||
| (10,078 | ) | Live Nation Entertainment, Inc. * | (1,697,236 | ) | ||||||
| (652 | ) | Lumentum Holdings, Inc. * | (557,434 | ) | ||||||
| (129 | ) | Marriott International, Inc. – Class A | (48,452 | ) | ||||||
| (3,191 | ) | Marvell Technology, Inc. | (654,155 | ) | ||||||
| (1,740 | ) | McKesson Corp. | (1,291,846 | ) | ||||||
| (6,059 | ) | MongoDB, Inc. * | (2,033,097 | ) | ||||||
| (124 | ) | Motorola Solutions, Inc. | (50,007 | ) | ||||||
| (2,879 | ) | MSCI, Inc. | (1,817,743 | ) | ||||||
| (7,813 | ) | Natera, Inc. * | (1,745,190 | ) | ||||||
| (665 | ) | NiSource, Inc. | (30,736 | ) | ||||||
| (24,453 | ) | Oklo, Inc. * | (1,635,417 | ) | ||||||
| (26,009 | ) | Okta, Inc. * | (3,206,129 | ) | ||||||
| (18,575 | ) | ONEOK, Inc. | (1,559,185 | ) | ||||||
| (1,623 | ) | O’Reilly Automotive, Inc. * | (141,006 | ) | ||||||
| (25,052 | ) | Otis Worldwide Corp. | (1,774,684 | ) | ||||||
| (9,975 | ) | Palantir Technologies, Inc. – Class A * | (1,561,486 | ) | ||||||
| (2,019 | ) | Palo Alto Networks, Inc. * | (568,732 | ) | ||||||
| (94,670 | ) | Rivian Automotive, Inc. – Class A * | (1,543,121 | ) | ||||||
| (42,186 | ) | ROBLOX Corp. – Class A * | (1,989,070 | ) | ||||||
| (60,148 | ) | Rocket Cos., Inc. – Class A * | (872,747 | ) | ||||||
| (13,662 | ) | Rocket Lab Corp. * | (1,960,224 | ) | ||||||
| (27,203 | ) | Rollins, Inc. | (1,294,863 | ) | ||||||
| (41,071 | ) | Samsara, Inc. – Class A * | (1,437,074 | ) | ||||||
| (1,205 | ) | Seagate Technology Holdings PLC | (1,060,159 | ) | ||||||
| (7,590 | ) | Snowflake, Inc. * | (1,939,624 | ) | ||||||
| (93,700 | ) | SoFi Technologies, Inc. * | (1,707,214 | ) | ||||||
| (13,278 | ) | Starbucks Corp. | (1,316,646 | ) | ||||||
| (791 | ) | STERIS PLC | (168,269 | ) | ||||||
| (343 | ) | Take-Two Interactive Software, Inc. * | (76,887 | ) | ||||||
| (3,944 | ) | Tesla, Inc. * | (1,718,756 | ) | ||||||
| (3,677 | ) | Texas Pacific Land Corp. | (1,445,061 | ) | ||||||
| (597 | ) | TransDigm Group, Inc. | (751,217 | ) | ||||||
| (715 | ) | Twilio, Inc. – Class A * | (136,308 | ) | ||||||
| (424 | ) | Tyler Technologies, Inc. * | (132,776 | ) | ||||||
| (3,044 | ) | Vistra Corp. | (487,740 | ) | ||||||
| (4,579 | ) | Watsco, Inc. | (1,680,951 | ) | ||||||
| (1,997 | ) | Western Digital Corp. | (1,060,826 | ) | ||||||
| (22,289 | ) | Williams Cos., Inc. | (1,591,212 | ) | ||||||
| (20,645 | ) | Zillow Group, Inc. – Class C * | (722,575 | ) | ||||||
| (12,361 | ) | Zscaler, Inc. * | (1,727,203 | ) | ||||||
|
|
|
|||||||||
| Total United States | (92,230,458 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $127,874,961) |
(164,577,572 | ) | ||||||||
|
|
|
|||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares | Description |
Value ($) |
||||||||
| PREFERRED STOCKS (g) — (0.1)% | ||||||||||
| Germany — (0.1)% | ||||||||||
| (4,171 | ) | Sartorius AG | (1,188,893 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $1,323,273) |
(1,188,893 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $129,198,234) |
(165,766,465 | ) | ||||||||
|
|
|
|||||||||
| Other Assets and Liabilities (net) — (2.1)% | (27,413,106 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $ 1,305,853,117 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date | Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2026 |
||||||||
| Carlyle ARE Partners II, L.P. | 03/24/26 | $ | 950,568 | 0.0% | $ | 853,110 | ||||||
| Evraz PLC | 10/25/21 | 197,469 | 0.0% | — | ||||||||
| Federal Grid Co-Rosseti PJSC | 08/12/19 | 462,175 | 0.0% | — | ||||||||
| Gazprom PJSC | 08/10/20 | 7,398,324 | 0.0% | — | ||||||||
| GMK Norilskiy Nickel PAO | 06/11/20 | 1,319,027 | 0.0% | — | ||||||||
| Inter RAO UES PJSC | 06/05/20 | 453,917 | 0.0% | — | ||||||||
| LSR Group PJSC | 08/12/19 | 175,128 | 0.0% | — | ||||||||
| LSR Group PJSC GDR | 05/06/21 | 2 | 0.0% | — | ||||||||
| Mosenergo PJSC | 11/22/21 | 96,796 | 0.0% | — | ||||||||
| Nizhnekamskneftekhim PJSC | 03/24/20 | 55,853 | 0.0% | — | ||||||||
| Novatek PJSC | 10/21/21 | 198,983 | 0.0% | — | ||||||||
| Novolipetsk Steel PJSC | 11/07/19 | 3,077,372 | 0.0% | — | ||||||||
| PhosAgro PJSC | 12/03/20 | 212,444 | 0.0% | — | ||||||||
| PhosAgro PJSC GDR | 12/03/20 | 1,365 | 0.0% | — | ||||||||
| Polyus PJSC GDR | 02/24/23 | 0 | 0.0% | — | ||||||||
| Severstal PAO GDR (Registered) | 03/16/20 | 1,679,360 | 0.0% | — | ||||||||
| SFI PJSC | 03/16/20 | 68,731 | 0.0% | — | ||||||||
| Tatneft PJSC | 03/16/20 | 2,263,701 | 0.0% | — | ||||||||
| Unipro PAO | 01/13/21 | 50,836 | 0.0% | — | ||||||||
| United Co. RUSAL International PJSC | 11/12/21 | 51,608 | 0.0% | — | ||||||||
|
|
|
|||||||||||
| $ | 853,110 | |||||||||||
|
|
|
|||||||||||
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 07/15/2026 | SSB | MXN | 8,300,000 | USD | 479,425 | 2,416 | ||||||||||||||||
| 07/01/2026 | MSCI | PHP | 14,400,000 | USD | 240,646 | 6,955 | ||||||||||||||||
| 08/10/2026 | MSCI | USD | 3,668,695 | COP | 13,949,000,000 | 52,205 | ||||||||||||||||
| 07/15/2026 | DB | USD | 749,163 | CZK | 15,600,000 | 446 | ||||||||||||||||
| 08/31/2026 | JPM | USD | 4,729,023 | EUR | 4,049,000 | 11,405 | ||||||||||||||||
| 08/19/2026 | DB | USD | 773,164 | HUF | 240,400,000 | 16,391 | ||||||||||||||||
| 07/15/2026 | SSB | USD | 2,477,540 | MXN | 43,600,000 | 28,194 | ||||||||||||||||
| 06/30/2026 | CITI | USD | 577,334 | PEN | 2,000,000 | 7,800 | ||||||||||||||||
| 06/30/2026 | MSCI | USD | 2,688,613 | PEN | 9,500,000 | 90,772 | ||||||||||||||||
| 07/29/2026 | BCLY | USD | 463,639 | TRY | 22,700,000 | 4,326 | ||||||||||||||||
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 06/30/2026 | CITI | USD | 61,143 | ZAR | 1,000,000 | 386 | ||||||||||||||||
| 06/30/2026 | MSCI | USD | 3,436,653 | ZAR | 57,300,000 | 88,976 | ||||||||||||||||
| 08/10/2026 | GS | COP | 406,900,000 | USD | 107,781 | (759 | ) | |||||||||||||||
| 07/02/2026 | JPM | USD | 3,801,757 | BRL | 19,300,000 | (3,778 | ) | |||||||||||||||
| 08/05/2026 | CITI | USD | 1,206,389 | IDR | 21,019,400,000 | (32,684 | ) | |||||||||||||||
| 08/05/2026 | GS | USD | 71,992 | IDR | 1,247,700,000 | (2,321 | ) | |||||||||||||||
| 07/01/2026 | CITI | USD | 974,691 | PHP | 59,500,000 | (9,095 | ) | |||||||||||||||
| 07/21/2026 | CITI | USD | 756,382 | THB | 24,000,000 | (16,190 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | 245,445 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 742 | U.S. Treasury Note 10 Yr. (CBT) | September 2026 | 81,492,469 | 169,977 | ||||||||
| 1,718 | U.S. Treasury Note 2 Yr. (CBT) | September 2026 | 354,874,375 | 799,275 | ||||||||
| 1,325 | U.S. Treasury Note 5 Yr. (CBT) | September 2026 | 142,054,493 | 171,839 | ||||||||
| 482 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2026 | 54,021,656 | 210,239 | ||||||||
| 47 | U.S. Ultra Bond (CBT) | September 2026 | 5,377,094 | 86,587 | ||||||||
|
|
|
|
|
|||||||||
| $ | 637,820,087 | $ | 1,437,917 | |||||||||
|
|
|
|
|
|||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Sales | ||||||||||||
| 23 | MSCI Emerging Market | June 2026 | 2,010,775 | (21,739 | ) | |||||||
| 217 | TOPIX Index | June 2026 | 53,889,704 | (5,321,336 | ) | |||||||
|
|
|
|
|
|||||||||
| $ | 55,900,479 | $ | (5,343,075 | ) | ||||||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||||||||
| Buy Protection^: |
||||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.S46 |
USD | 11,385,000 | 5.00% | 3.02% | N/A | 06/20/2031 | Quarterly | (455,400 | ) | (949,521 | ) | (494,121 | ) | |||||||||||||||||||||||||
| ITRAXX.EUR.45 |
EUR | 261,700,000 | 1.00% | 0.53% | N/A | 06/20/2031 | Quarterly | (4,649,050 | ) | (6,797,236 | ) | (2,148,186 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| $ | (5,104,450 | ) | $ | (7,746,757 | ) | $ | (2,642,307 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2026, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (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 Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts — Continued
OTC Total Return Swaps
| Fund Pays |
Fund Receives |
Counterparty |
Notional |
Expiration Date |
Periodic |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.40% | GS | USD | 12,023,587 | 06/24/2026 | Monthly | — | 162,786 | 162,786 | |||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.40% | MORD | USD | 10,333,514 | 06/18/2027 | Monthly | — | 306,843 | 306,843 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | — | $ | 469,629 | $ | 469,629 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (c) | Securities are traded on separate exchanges for the same entity. |
| (d) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (e) | Investment valued using significant unobservable inputs. |
| (f) | The security is restricted as to resale. |
| (g) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (h) | Private placement security; restricted as to resale. |
| (i) | Affiliated company. |
| (j) | All or a portion of this security is purchased with collateral from securities loaned. |
| (k) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
| (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. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
GMO Benchmark-Free Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Portfolio Abbreviations:
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
ADR - American Depositary Receipt
CVR - Contingent Value Right
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
NVDR - Non-Voting Depositary Receipt
OMO - Open Market Operations
PJSC - Private Joint-Stock Company
Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REIT - Real Estate Investment Trust
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
CITI - Citibank N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
Currency Abbreviations:
BRL - Brazilian Real
COP - Colombian Peso
CZK - Czech Republic Koruna
DOP - Dominican Republic Peso
EGP - Egyptian Pound
EUR - Euro
HUF - Hungarian Forint
IDR - Indonesian Rupiah
MXN - Mexican Peso
MYR - Malaysian Ringgit
NGN - Nigerian Naira
PEN - Peruvian Sol
PHP - Philippines Peso
PYG - Paraguayan Guarani
THB - Thai Baht
TRY - Turkish Lira
UGX - Ugandan Shilling
USD - United States Dollar
UYU - Uruguay Peso
ZAR - South African Rand
GMO Global Asset Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| INVESTMENT FUNDS — 99.9% |
| |||||||||
| United States — 99.9% | ||||||||||
| 5,531,168 | GMO Alternative Allocation Fund, Class VI (a) | 102,381,921 | ||||||||
| 4,969,172 | GMO Asset Allocation Bond Fund, Class VI (a) | 88,948,177 | ||||||||
| 209,977 | GMO Climate Change Fund, Class III (a) | 6,750,749 | ||||||||
| 407,285 | GMO Domestic Resilience ETF (a) | 12,318,457 | ||||||||
| 261,493 | GMO Emerging Country Debt Fund, Class VI (a) | 6,367,354 | ||||||||
| 1,020,446 | GMO Emerging Markets ex-China Fund, Class VI (a) | 21,592,644 | ||||||||
| 1,213,222 | GMO Emerging Markets Fund, Class VI (a) | 48,977,780 | ||||||||
| 2,501,516 | GMO International Equity Fund, Class IV (a) | 100,260,773 | ||||||||
| 2,401,766 | GMO International Opportunistic Value Fund, Class IV (a) | 44,913,019 | ||||||||
| 1,336,816 | GMO-Usonian Japan Value Creation Fund, Class VI (a) | 41,227,401 | ||||||||
| 791,629 | GMO Opportunistic Income Fund, Class VI (a) | 19,197,011 | ||||||||
| 539,242 | GMO Quality Fund, Class VI (a) | 20,027,424 | ||||||||
| 216,925 | GMO Resources Fund, Class VI (a) | 6,186,711 | ||||||||
| 485,115 | GMO Small Cap Quality Fund, Class VI (a) | 12,569,336 | ||||||||
| 2,919,422 | GMO U.S. Equity Fund, Class VI (a) | 48,199,656 | ||||||||
| 1,858,026 | GMO U.S. Opportunistic Value Fund, Class VI (a) | 44,592,625 | ||||||||
| 488,305 | GMO U.S. Small Cap Value Fund, Class VI (a) | 13,042,619 | ||||||||
| 3,478,081 | GMO U.S. Treasury Fund, Class VI (a) | 17,425,187 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $553,115,858) |
654,978,844 | |||||||||
|
|
|
|||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 0.2% | ||||||||||
| U.S. Government — 0.2% | ||||||||||
| 1,100,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 (b) | 1,100,175 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $1,099,782) |
1,100,175 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
| Money Market Funds — 0.3% | ||||||||||
| 1,858,723 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (c) | 1,858,723 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $1,858,723) |
1,858,723 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.4% (Cost $556,074,363) |
657,937,742 | |||||||||
| Other Assets and Liabilities (net) — (0.4%) | (2,630,087 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $655,307,655 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Sales | ||||||||||||
| 83 | TOPIX Index | June 2026 | $ | 20,612,191 | $ | (1,980,878 | ) | |||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | Affiliated company. |
| (b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (c) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
ETF - Exchange-Traded Fund
GMO Global Developed Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| INVESTMENT FUNDS — 99.4% |
| |||||||||
| United States — 99.4% | ||||||||||
| 34,007 | GMO Climate Change Fund, Class III (a) | 1,093,311 | ||||||||
| 73,066 | GMO Domestic Resilience ETF (a) | 2,209,903 | ||||||||
| 114,191 | GMO Emerging Markets ex-China Fund, Class VI (a) | 2,416,291 | ||||||||
| 709,243 | GMO International Equity Fund, Class IV (a) | 28,426,461 | ||||||||
| 600,961 | GMO International Opportunistic Value Fund, Class IV (a) | 11,237,975 | ||||||||
| 211,712 | GMO-Usonian Japan Value Creation Fund, Class VI (a) | 6,529,186 | ||||||||
| 420,928 | GMO Quality Fund, Class VI (a) | 15,633,249 | ||||||||
| 70,744 | GMO Resources Fund, Class VI (a) | 2,017,611 | ||||||||
| 151,427 | GMO Small Cap Quality Fund, Class VI (a) | 3,923,483 | ||||||||
| 796,672 | GMO U.S. Equity Fund, Class VI (a) | 13,153,054 | ||||||||
| 633,992 | GMO U.S. Opportunistic Value Fund, Class VI (a) | 15,215,801 | ||||||||
| 111,997 | GMO U.S. Small Cap Value Fund, Class VI (a) | 2,991,453 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $75,678,483) |
104,847,778 | |||||||||
|
|
|
|||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 0.4% |
| |||||||||
| U.S. Government — 0.4% | ||||||||||
| 450,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 (b) | 450,072 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $449,987) |
450,072 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
| Money Market Funds — 0.3% | ||||||||||
| 290,635 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (c) | 290,635 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $290,635) |
290,635 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.1% (Cost $76,419,105) |
105,588,485 | |||||||||
| Other Assets and Liabilities (net) — (0.1%) | (92,472 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $105,496,013 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 8 | S&P 500 E-Mini | June 2026 | $ | 3,038,300 | $ | 369,799 | ||||||
|
|
|
|
|
|||||||||
| Sales | ||||||||||||
| 12 | TOPIX Index | June 2026 | $ | 2,980,076 | $ | (237,284 | ) | |||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | Affiliated company. |
| (b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (c) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
ETF - Exchange-Traded Fund
GMO Global Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| INVESTMENT FUNDS — 99.3% |
| |||||||||
| United States — 99.3% | ||||||||||
| 199,576 | GMO Climate Change Fund, Class III (a) | 6,416,362 | ||||||||
| 389,195 | GMO Domestic Resilience ETF (a) | 11,771,320 | ||||||||
| 934,520 | GMO Emerging Markets ex-China Fund, Class VI (a) | 19,774,458 | ||||||||
| 1,734,181 | GMO Emerging Markets Fund, Class VI (a) | 70,008,894 | ||||||||
| 3,741,268 | GMO International Equity Fund, Class IV (a) | 149,950,011 | ||||||||
| 3,689,934 | GMO International Opportunistic Value Fund, Class IV (a) | 69,001,767 | ||||||||
| 1,241,283 | GMO-Usonian Japan Value Creation Fund, Class VI (a) | 38,281,162 | ||||||||
| 2,046,243 | GMO Quality Fund, Class VI (a) | 75,997,490 | ||||||||
| 431,720 | GMO Resources Fund, Class VI (a) | 12,312,651 | ||||||||
| 966,311 | GMO Small Cap Quality Fund, Class VI (a) | 25,037,124 | ||||||||
| 3,113,581 | GMO U.S. Equity Fund, Class VI (a) | 51,405,219 | ||||||||
| 3,408,757 | GMO U.S. Opportunistic Value Fund, Class VI (a) | 81,810,166 | ||||||||
| 695,996 | GMO U.S. Small Cap Value Fund, Class VI (a) | 18,590,047 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $458,377,201) |
630,356,671 | |||||||||
|
|
|
|||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| DEBT OBLIGATIONS — 0.4% |
| |||||||||
| U.S. Government — 0.4% | ||||||||||
| 2,700,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 (b) | 2,700,430 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $2,699,926) |
2,700,430 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.3% | ||||||||||
| Money Market Funds — 0.3% | ||||||||||
| 2,013,410 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (c) | 2,013,410 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $2,013,410) |
2,013,410 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $463,090,537) |
635,070,511 | |||||||||
| Other Assets and Liabilities (net) — (0.0%) | (11,201 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $635,059,310 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 50 | S&P 500 E-Mini | June 2026 | $ | 18,989,375 | $ | 1,628,374 | ||||||
|
|
|
|
|
|||||||||
| Sales | ||||||||||||
| 76 | TOPIX Index | June 2026 | $ | 18,873,813 | $ | (1,504,944 | ) | |||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | Affiliated company. |
| (b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (c) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
ETF - Exchange-Traded Fund
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| COMMON STOCKS — 73.3% | ||||||||||
| Argentina — 0.2% | ||||||||||
| 42,700 | Vista Energy SAB de CV ADR * | 3,168,340 | ||||||||
| 40,866 | YPF SA Sponsored ADR * | 2,166,307 | ||||||||
|
|
|
|||||||||
| Total Argentina | 5,334,647 | |||||||||
|
|
|
|||||||||
| Australia — 1.6% | ||||||||||
| 105,406 | Accent Group Ltd. (a) | 43,977 | ||||||||
| 6,784 | Aristocrat Leisure Ltd. (b) | 243,752 | ||||||||
| 393,726 | Aurizon Holdings Ltd. | 1,184,896 | ||||||||
| 401,150 | BHP Group Ltd. (a) | 17,858,539 | ||||||||
| 65,447 | BlueScope Steel Ltd. | 1,493,595 | ||||||||
| 6,592 | Credit Corp. Group Ltd. | 53,377 | ||||||||
| 9,827 | CSL Ltd. (a) | 682,496 | ||||||||
| 618,197 | Fortescue Ltd. | 9,928,776 | ||||||||
| 350,881 | Grange Resources Ltd. * | 40,402 | ||||||||
| 152,178 | Harvey Norman Holdings Ltd. (b) | 503,746 | ||||||||
| 192,023 | Helia Group Ltd. | 666,039 | ||||||||
| 9,606 | Monadelphous Group Ltd. | 213,651 | ||||||||
| 47,744 | NRW Holdings Ltd. | 261,316 | ||||||||
| 44,026 | Paladin Energy Ltd. * (a) | 360,319 | ||||||||
| 122,235 | Perenti Ltd. | 185,510 | ||||||||
| 99,294 | Perseus Mining Ltd. | 372,671 | ||||||||
| 56,189 | QBE Insurance Group Ltd. | 913,102 | ||||||||
| 195,527 | Ramelius Resources Ltd. | 456,371 | ||||||||
| 6,418 | Rio Tinto Ltd. | 858,372 | ||||||||
| 103,181 | Santos Ltd. (a) | 579,021 | ||||||||
| 69,907 | Southern Cross Media Group Ltd. (a) | 30,960 | ||||||||
| 21,542 | Suncorp Group Ltd. (a) | 268,647 | ||||||||
| 21,896 | Super Retail Group Ltd. (a) | 184,253 | ||||||||
| 32,593 | Woodside Energy Group Ltd. (a) | 712,986 | ||||||||
|
|
|
|||||||||
| Total Australia | 38,096,774 | |||||||||
|
|
|
|||||||||
| Austria — 0.3% | ||||||||||
| 6,194 | EVN AG | 203,776 | ||||||||
| 24,136 | OMV AG (a) | 1,736,831 | ||||||||
| 59,318 | Raiffeisen Bank International AG | 3,405,027 | ||||||||
| 18,603 | UNIQA Insurance Group AG | 371,763 | ||||||||
| 10,534 | Vienna Insurance Group AG Wiener Versicherung Gruppe (a) | 776,898 | ||||||||
| 14,941 | voestalpine AG (a) | 843,183 | ||||||||
|
|
|
|||||||||
| Total Austria | 7,337,478 | |||||||||
|
|
|
|||||||||
| Belgium — 0.4% | ||||||||||
| 79,170 | Ageas SA | 6,134,228 | ||||||||
| 8,313 | Barco NV | 89,035 | ||||||||
| 10,272 | Bekaert SA (a) | 494,749 | ||||||||
| 7,054 | Econocom Group SA NV | 12,692 | ||||||||
| 1,487 | Melexis NV (a) | 140,504 | ||||||||
| 152,692 | Proximus SADP | 1,188,944 | ||||||||
| 35,177 | Umicore SA | 1,033,773 | ||||||||
|
|
|
|||||||||
| Total Belgium | 9,093,925 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Brazil — 0.4% | ||||||||||
| 222,200 | Banco Bradesco SA | 682,737 | ||||||||
| 378,869 | Klabin SA | 1,251,994 | ||||||||
| 56,900 | Pagseguro Digital Ltd. – Class A | 532,015 | ||||||||
| 29,400 | PRIO SA * | 362,798 | ||||||||
| 117,126 | Sao Martinho SA | 394,247 | ||||||||
| 117,500 | SLC Agricola SA | 361,033 | ||||||||
| 107,200 | Suzano SA | 890,615 | ||||||||
| 240,600 | Vale SA Sponsored ADR | 3,909,750 | ||||||||
| 24,100 | Vale SA | 395,667 | ||||||||
| 92,833 | Vibra Energia SA | 547,478 | ||||||||
|
|
|
|||||||||
| Total Brazil | 9,328,334 | |||||||||
|
|
|
|||||||||
| Canada — 4.1% | ||||||||||
| 23,100 | Alimentation Couche-Tard, Inc. (b) | 1,305,088 | ||||||||
| 58,000 | Anaergia, Inc. * (a) | 122,845 | ||||||||
| 17,900 | Bank of Montreal (a) (b) | 2,907,443 | ||||||||
| 78,300 | Bank of Nova Scotia (c) | 6,282,629 | ||||||||
| 37,167 | Bank of Nova Scotia (a) (b) (c) | 2,975,218 | ||||||||
| 6,320 | Barrick Mining Corp. | 268,916 | ||||||||
| 101,400 | Baytex Energy Corp. | 495,846 | ||||||||
| 6,600 | Canadian Imperial Bank of Commerce (b) | 720,440 | ||||||||
| 26,900 | Canadian Tire Corp. Ltd. – Class A (b) | 3,451,645 | ||||||||
| 126,100 | Capstone Copper Corp. * | 1,372,909 | ||||||||
| 19,612 | Cenovus Energy, Inc. (a) | 540,703 | ||||||||
| 78,473 | Centerra Gold, Inc. (c) | 1,386,618 | ||||||||
| 19,200 | Centerra Gold, Inc. (c) | 338,975 | ||||||||
| 44,000 | CGI, Inc. (a) (b) | 3,072,803 | ||||||||
| 15,800 | Cogeco Communications, Inc. | 770,374 | ||||||||
| 4,787 | Cogeco, Inc. | 230,175 | ||||||||
| 94,780 | DPM Metals, Inc. | 3,183,052 | ||||||||
| 13,000 | Empire Co. Ltd. – Class A | 461,009 | ||||||||
| 9,500 | Enerflex Ltd. | 237,595 | ||||||||
| 1,000 | Fairfax Financial Holdings Ltd. (b) | 1,556,378 | ||||||||
| 7,800 | Finning International, Inc. | 589,137 | ||||||||
| 47,600 | First Quantum Minerals Ltd. * (a) | 1,465,306 | ||||||||
| 11,100 | iA Financial Corp., Inc. | 1,383,867 | ||||||||
| 69,942 | IGM Financial, Inc. | 3,985,525 | ||||||||
| 10,963 | Interfor Corp. * | 87,154 | ||||||||
| 4,500 | International Petroleum Corp. * | 114,304 | ||||||||
| 98,800 | Ivanhoe Mines Ltd. – Class A * (a) | 875,021 | ||||||||
| 110,972 | Largo, Inc. * (a) | 104,641 | ||||||||
| 11,800 | Linamar Corp. | 873,028 | ||||||||
| 116,566 | Magna International, Inc. (a) (c) | 7,548,814 | ||||||||
| 30,000 | Magna International, Inc. (c) | 1,944,293 | ||||||||
| 111,500 | Manulife Financial Corp. (a) (b) (c) | 4,264,603 | ||||||||
| 56,708 | Manulife Financial Corp. (b) (c) | 2,165,679 | ||||||||
| 5,200 | Mullen Group Ltd. (a) | 82,225 | ||||||||
| 134,100 | NexGen Energy Ltd. * (a) | 1,547,551 | ||||||||
| 16,610 | Nutrien Ltd. (c) | 1,138,615 | ||||||||
| 7,200 | Nutrien Ltd. (c) | 493,056 | ||||||||
| 90,500 | Open Text Corp. (a) (c) | 2,151,808 | ||||||||
| 89,236 | Open Text Corp. (a) (c) | 2,127,386 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Canada — continued | ||||||||||
| 132,100 | Parex Resources, Inc. (a) | 2,304,432 | ||||||||
| 99,356 | Power Corp. of Canada (a) (b) | 6,005,393 | ||||||||
| 6,700 | Precision Drilling Corp. * | 598,633 | ||||||||
| 2,300 | Quebecor, Inc. – Class B (a) | 111,609 | ||||||||
| 3,000 | Rogers Communications, Inc. – Class B | 115,765 | ||||||||
| 14,100 | Rogers Sugar, Inc. | 68,626 | ||||||||
| 7,100 | Russel Metals, Inc. | 321,564 | ||||||||
| 64,900 | Sun Life Financial, Inc. (b) (c) | 4,664,195 | ||||||||
| 9,308 | Sun Life Financial, Inc. (a) (c) | 668,314 | ||||||||
| 7,500 | Suncor Energy, Inc. (a) | 468,774 | ||||||||
| 50,900 | Tamarack Valley Energy Ltd. | 471,101 | ||||||||
| 584 | Teekay Tankers Ltd. – Class A | 41,084 | ||||||||
| 8,588 | Torex Gold Resources, Inc. | 393,815 | ||||||||
| 118,800 | Toronto-Dominion Bank (c) | 13,593,515 | ||||||||
| 12,431 | Toronto-Dominion Bank (b) (c) | 1,411,913 | ||||||||
| 2,643 | Wajax Corp. | 56,938 | ||||||||
| 46,400 | Whitecap Resources, Inc. (a) | 533,113 | ||||||||
|
|
|
|||||||||
| Total Canada | 96,451,458 | |||||||||
|
|
|
|||||||||
| China — 1.8% | ||||||||||
| 1,380,000 | 361 Degrees International Ltd. (a) | 832,674 | ||||||||
| 1,776,000 | AviChina Industry & Technology Co. Ltd. – Class H | 710,322 | ||||||||
| 108,871 | Bank of Communications Co. Ltd. – Class H | 101,489 | ||||||||
| 91,000 | Beijing Enterprises Holdings Ltd. | 358,093 | ||||||||
| 1,556,000 | Bosideng International Holdings Ltd. | 844,383 | ||||||||
| 3,772,000 | China Communications Services Corp. Ltd. – Class H | 1,987,847 | ||||||||
| 353,000 | China Conch Venture Holdings Ltd. | 477,819 | ||||||||
| 119,000 | China Feihe Ltd. (a) | 46,501 | ||||||||
| 178,000 | China Foods Ltd. | 80,462 | ||||||||
| 3,659,000 | China Greenfresh Group Co. Ltd. * (d) | — | ||||||||
| 238,500 | China Hongqiao Group Ltd. | 855,174 | ||||||||
| 1,800,000 | China Lesso Group Holdings Ltd. | 1,061,066 | ||||||||
| 79,000 | China Medical System Holdings Ltd. | 106,526 | ||||||||
| 348,000 | China National Building Material Co. Ltd. – Class H | 235,561 | ||||||||
| 595,000 | China Nonferrous Mining Corp. Ltd. | 1,032,675 | ||||||||
| 996,000 | China Overseas Land & Investment Ltd. | 1,981,123 | ||||||||
| 1,923,000 | China Railway Group Ltd. – Class H | 860,244 | ||||||||
| 1,264,000 | China Reinsurance Group Corp. – Class H | 191,979 | ||||||||
| 213,500 | China Resources Pharmaceutical Group Ltd. | 127,208 | ||||||||
| 44,000 | China Shineway Pharmaceutical Group Ltd. | 47,039 | ||||||||
| 1,456,800 | China Taiping Insurance Holdings Co. Ltd. | 3,698,698 | ||||||||
| 1,080,158 | CITIC Ltd. | 1,811,681 | ||||||||
| 1,612,000 | Consun Pharmaceutical Group Ltd. | 2,922,641 | ||||||||
| 2,822,000 | CSPC Pharmaceutical Group Ltd. | 2,701,768 | ||||||||
| 327,700 | ENN Energy Holdings Ltd. | 2,297,600 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| China — continued | ||||||||||
| 212,000 | Fufeng Group Ltd. (a) | 161,539 | ||||||||
| 90,100 | Henan Shenhuo Coal Industry & Electricity Power Co. Ltd. – Class A | 387,367 | ||||||||
| 3,184 | JD.com, Inc. ADR (a) | 91,795 | ||||||||
| 91,000 | Kingboard Holdings Ltd. | 764,780 | ||||||||
| 1,498,000 | Kunlun Energy Co. Ltd. | 1,369,000 | ||||||||
| 178,000 | Lenovo Group Ltd. | 545,492 | ||||||||
| 239,000 | Longfor Group Holdings Ltd. (a) | 239,049 | ||||||||
| 747,000 | Lonking Holdings Ltd. * | 278,405 | ||||||||
| 316,000 | Minth Group Ltd. | 1,526,590 | ||||||||
| 212,000 | MMG Ltd. * | 238,972 | ||||||||
| 263,000 | Orient Overseas International Ltd. (a) (b) | 4,570,274 | ||||||||
| 252,000 | PICC Property & Casualty Co. Ltd. – Class H | 467,708 | ||||||||
| 62,796 | Qfin Holdings, Inc. ADR | 1,009,760 | ||||||||
| 28,000 | Sany Heavy Equipment International Holdings Co. Ltd. | 27,525 | ||||||||
| 522,000 | Sino Biopharmaceutical Ltd. | 332,668 | ||||||||
| 1,178,500 | Sinopec Engineering Group Co. Ltd. – Class H | 830,574 | ||||||||
| 218,400 | Sinopharm Group Co. Ltd. – Class H | 471,134 | ||||||||
| 55,500 | Sinotruk Hong Kong Ltd. | 263,864 | ||||||||
| 772,000 | Skyworth Group Ltd. * | 557,525 | ||||||||
| 167,900 | Vipshop Holdings Ltd. ADR (b) | 2,387,538 | ||||||||
| 60,500 | Western Mining Co. Ltd. – Class A | 273,551 | ||||||||
| 164,000 | Yankuang Energy Group Co. Ltd. – Class H (a) | 305,400 | ||||||||
|
|
|
|||||||||
| Total China | 42,471,083 | |||||||||
|
|
|
|||||||||
| Colombia — 0.0% | ||||||||||
| 1,197 | Corp. Financiera Colombiana SA * | 4,916 | ||||||||
|
|
|
|||||||||
| Denmark — 0.5% | ||||||||||
| 464 | AP Moller - Maersk AS – Class A (b) | 1,129,770 | ||||||||
| 1,812 | AP Moller - Maersk AS – Class B (b) | 4,499,133 | ||||||||
| 9,433 | Genmab AS * | 2,472,612 | ||||||||
| 35,952 | H Lundbeck AS | 242,834 | ||||||||
| 7,844 | Pandora AS | 734,109 | ||||||||
| 28,030 | Rockwool AS – B Shares | 877,622 | ||||||||
| 7,847 | Scandinavian Tobacco Group AS | 86,428 | ||||||||
| 26,648 | Vestas Wind Systems AS (b) | 747,685 | ||||||||
|
|
|
|||||||||
| Total Denmark | 10,790,193 | |||||||||
|
|
|
|||||||||
| Egypt — 0.0% | ||||||||||
| 64,353 | Orascom Construction PLC | 917,719 | ||||||||
|
|
|
|||||||||
| Finland — 0.5% | ||||||||||
| 13,082 | Kemira OYJ | 271,840 | ||||||||
| 49,409 | Neste OYJ | 1,624,568 | ||||||||
| 533,226 | Nokia OYJ | 7,831,905 | ||||||||
| 2,141 | Sanoma OYJ | 23,130 | ||||||||
| 26,781 | Valmet OYJ | 725,684 | ||||||||
|
|
|
|||||||||
| Total Finland | 10,477,127 | |||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| France — 2.1% | ||||||||||
| 120 | Amundi SA (a) | 11,699 | ||||||||
| 16,096 | Aperam SA | 957,243 | ||||||||
| 17,948 | ArcelorMittal SA | 1,235,583 | ||||||||
| 13,411 | AXA SA (b) | 618,426 | ||||||||
| 85,614 | BNP Paribas SA | 9,228,564 | ||||||||
| 19,151 | Capgemini SE * (b) | 2,275,231 | ||||||||
| 30,592 | Carrefour SA | 571,560 | ||||||||
| 57 | Cie de Saint-Gobain SA (b) | 5,165 | ||||||||
| 12,940 | Coface SA | 225,069 | ||||||||
| 28,318 | Derichebourg SA (b) | 333,660 | ||||||||
| 9,472 | Eiffage SA | 1,370,857 | ||||||||
| 48,005 | Etablissements Maurel et Prom SA | 505,433 | ||||||||
| 17,929 | Ipsen SA | 3,275,075 | ||||||||
| 2,021 | IPSOS SA | 90,970 | ||||||||
| 1,650 | Mersen SA | 80,148 | ||||||||
| 4,694 | Metropole Television SA | 63,172 | ||||||||
| 1,685 | Publicis Groupe SA | 163,932 | ||||||||
| 14,281 | Quadient SA | 203,237 | ||||||||
| 35,514 | Rubis SCA | 1,466,898 | ||||||||
| 105,160 | Sanofi SA | 9,218,232 | ||||||||
| 1,026 | Societe BIC SA * (b) | 69,616 | ||||||||
| 4,009 | Societe Generale SA | 333,233 | ||||||||
| 45,765 | STMicroelectronics NV (c) | 3,171,972 | ||||||||
| 31,351 | STMicroelectronics NV (c) | 2,150,589 | ||||||||
| 3,931 | Teleperformance SE (b) | 288,478 | ||||||||
| 14,160 | Television Francaise 1 SA | 112,853 | ||||||||
| 102,729 | TotalEnergies SE (c) | 9,013,731 | ||||||||
| 1,951 | TotalEnergies SE (c) | 171,571 | ||||||||
| 113,526 | Valeo SE | 1,748,301 | ||||||||
| 18,168 | Veolia Environnement SA (b) | 733,001 | ||||||||
|
|
|
|||||||||
| Total France | 49,693,499 | |||||||||
|
|
|
|||||||||
| Germany — 1.5% | ||||||||||
| 3,285 | Allianz SE (Registered) (b) | 1,455,767 | ||||||||
| 61,898 | Bayer AG (Registered) | 2,632,320 | ||||||||
| 21,781 | Daimler Truck Holding AG | 1,065,775 | ||||||||
| 267,726 | Deutsche Bank AG (Registered) | 8,675,689 | ||||||||
| 113,093 | Deutsche Post AG (b) | 6,735,519 | ||||||||
| 91,644 | Deutsche Telekom AG (Registered) (b) | 3,076,954 | ||||||||
| 278 | Draegerwerk AG & Co. KGaA | 23,630 | ||||||||
| 5,560 | DWS Group GmbH & Co. KGaA | 399,973 | ||||||||
| 41,512 | E.ON SE (b) | 881,238 | ||||||||
| 16,031 | Fresenius Medical Care AG | 694,736 | ||||||||
| 5,589 | Henkel AG & Co. KGaA (b) | 405,362 | ||||||||
| 5,952 | Kloeckner & Co. SE * | 78,977 | ||||||||
| 103,646 | Mercedes-Benz Group AG | 6,293,179 | ||||||||
| 5,944 | Merck KGaA | 905,236 | ||||||||
| 2,366 | RTL Group SA | 86,899 | ||||||||
| 4,542 | Traton SE * | 178,305 | ||||||||
| 792 | Wuestenrot & Wuerttembergische AG | 13,595 | ||||||||
|
|
|
|||||||||
| Total Germany | 33,603,154 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Greece — 0.0% | ||||||||||
| 103 | Eurobank SA | 480 | ||||||||
| 2,045 | Motor Oil Hellas Corinth Refineries SA | 88,257 | ||||||||
|
|
|
|||||||||
| Total Greece | 88,737 | |||||||||
|
|
|
|||||||||
| Hong Kong — 1.3% | ||||||||||
| 197,000 | BOC Hong Kong Holdings Ltd. | 1,203,736 | ||||||||
| 114,000 | Chow Sang Sang Holdings International Ltd. | 159,025 | ||||||||
| 833,000 | CITIC Telecom International Holdings Ltd. | 284,891 | ||||||||
| 774,500 | CK Asset Holdings Ltd. | 4,676,142 | ||||||||
| 1,328,000 | CK Hutchison Holdings Ltd. | 11,949,166 | ||||||||
| 74,000 | Dah Sing Banking Group Ltd. | 127,058 | ||||||||
| 44,000 | Dah Sing Financial Holdings Ltd. | 238,458 | ||||||||
| 382,000 | E-Commodities Holdings Ltd. | 30,703 | ||||||||
| 284,000 | First Pacific Co. Ltd. | 185,328 | ||||||||
| 200,000 | Giordano International Ltd. | 38,552 | ||||||||
| 47,000 | Henderson Land Development Co. Ltd. (a) | 185,560 | ||||||||
| 458,000 | IGG, Inc. | 193,851 | ||||||||
| 24,500 | Johnson Electric Holdings Ltd. | 79,813 | ||||||||
| 24,000 | KLN Logistics Group Ltd. | 18,793 | ||||||||
| 79,000 | Luk Fook Holdings International Ltd. | 210,704 | ||||||||
| 443,000 | Pacific Basin Shipping Ltd. | 178,137 | ||||||||
| 428,000 | PAX Global Technology Ltd. | 189,875 | ||||||||
| 306,000 | SITC International Holdings Co. Ltd. | 1,353,968 | ||||||||
| 39,500 | SmarTone Telecommunications Holdings Ltd. | 23,948 | ||||||||
| 166,000 | Sun Hung Kai Properties Ltd. (b) | 2,787,925 | ||||||||
| 40,000 | Techtronic Industries Co. Ltd. (b) | 593,823 | ||||||||
| 105,500 | Texhong International Group Ltd. | 84,957 | ||||||||
| 2,772,000 | United Energy Group Ltd. | 163,096 | ||||||||
| 86,000 | VSTECS Holdings Ltd. | 105,585 | ||||||||
| 74,200 | VTech Holdings Ltd. | 485,005 | ||||||||
| 4,669,000 | WH Group Ltd. | 5,388,193 | ||||||||
|
|
|
|||||||||
| Total Hong Kong | 30,936,292 | |||||||||
|
|
|
|||||||||
| Hungary — 0.3% | ||||||||||
| 36,561 | Magyar Telekom Telecommunications PLC | 317,394 | ||||||||
| 69,119 | MOL Hungarian Oil & Gas PLC | 877,963 | ||||||||
| 28,118 | OTP Bank Nyrt | 3,860,752 | ||||||||
| 28,474 | Richter Gedeon Nyrt | 1,205,350 | ||||||||
|
|
|
|||||||||
| Total Hungary | 6,261,459 | |||||||||
|
|
|
|||||||||
| India — 0.6% | ||||||||||
| 165,606 | Ashapura Minechem Ltd. | 1,291,434 | ||||||||
| 522,267 | Bharat Petroleum Corp. Ltd. | 1,643,026 | ||||||||
| 13,297 | Dhampur Bio Organics Ltd. | 14,968 | ||||||||
| 330,612 | Hindalco Industries Ltd. | 3,939,238 | ||||||||
| 195,073 | Hindustan Petroleum Corp. Ltd. | 808,345 | ||||||||
| 681,765 | Indian Oil Corp. Ltd. | 1,009,971 | ||||||||
| 4,789 | Muthoot Finance Ltd. | 166,335 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| India — continued | ||||||||||
| 1,669,074 | NMDC Ltd. | 1,553,182 | ||||||||
| 1,018,265 | Oil & Natural Gas Corp. Ltd. | 2,849,599 | ||||||||
| 70,055 | Power Finance Corp. Ltd. | 317,646 | ||||||||
| 28,227 | Siyaram Silk Mills Ltd. | 170,410 | ||||||||
| 195,684 | Tata Motors Ltd. * | 786,351 | ||||||||
|
|
|
|||||||||
| Total India | 14,550,505 | |||||||||
|
|
|
|||||||||
| Indonesia — 0.2% | ||||||||||
| 3,632,000 | Aneka Tambang Tbk. PT | 591,212 | ||||||||
| 14,186,600 | Astra International Tbk. PT | 3,973,871 | ||||||||
| 450,400 | Indofood Sukses Makmur Tbk. PT | 174,580 | ||||||||
| 174,400 | Perusahaan Gas Negara Persero Tbk. PT | 17,820 | ||||||||
| 341,200 | Perusahaan Perkebunan London Sumatra Indonesia Tbk. PT | 24,661 | ||||||||
|
|
|
|||||||||
| Total Indonesia | 4,782,144 | |||||||||
|
|
|
|||||||||
| Ireland — 0.1% | ||||||||||
| 74,484 | AIB Group PLC | 876,520 | ||||||||
| 22,257 | Bank of Ireland Group PLC | 452,239 | ||||||||
| 16,726 | Origin Enterprises PLC | 88,319 | ||||||||
|
|
|
|||||||||
| Total Ireland | 1,417,078 | |||||||||
|
|
|
|||||||||
| Israel — 0.5% | ||||||||||
| 122,925 | Bank Hapoalim BM | 3,151,829 | ||||||||
| 26,622 | Bank Leumi Le-Israel BM | 673,564 | ||||||||
| 19,335 | Bezeq The Israeli Telecommunication Corp. Ltd. | 54,836 | ||||||||
| 1,139 | Delek Group Ltd. | 350,188 | ||||||||
| 120,792 | ICL Group Ltd. | 793,791 | ||||||||
| 134,527 | Israel Discount Bank Ltd. – Class A | 1,489,394 | ||||||||
| 11,706 | Mizrahi Tefahot Bank Ltd. | 896,954 | ||||||||
| 26,933 | Nice Ltd. Sponsored ADR * (a) | 2,495,612 | ||||||||
| 577 | Nice Ltd. * | 52,099 | ||||||||
| 272,772 | Oil Refineries Ltd. | 156,445 | ||||||||
| 39,600 | ZIM Integrated Shipping Services Ltd. | 930,204 | ||||||||
|
|
|
|||||||||
| Total Israel | 11,044,916 | |||||||||
|
|
|
|||||||||
| Italy — 1.0% | ||||||||||
| 13,609 | Arnoldo Mondadori Editore SpA | 33,094 | ||||||||
| 24,781 | Banca IFIS SpA (a) | 585,456 | ||||||||
| 23,435 | Banco BPM SpA (a) | 368,191 | ||||||||
| 136,886 | BPER Banca SpA (a) | 1,853,182 | ||||||||
| 23,686 | Buzzi SpA (a) | 1,279,465 | ||||||||
| 25,026 | Credito Emiliano SpA | 449,211 | ||||||||
| 24,190 | d’Amico International Shipping SA | 197,973 | ||||||||
| 10,553 | Esprinet SpA (a) | 85,582 | ||||||||
| 37,413 | Intesa Sanpaolo SpA (b) | 252,839 | ||||||||
| 91,568 | Iren SpA | 286,062 | ||||||||
| 18,969 | Italgas SpA (b) | 222,534 | ||||||||
| 3,893 | Leonardo SpA (b) | 247,225 | ||||||||
| 38,506 | MFE-MediaForEurope NV – Class A | 135,683 | ||||||||
| 24,676 | OVS SpA | 161,042 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Italy — continued | ||||||||||
| 54,011 | Saipem SpA (a) | 259,553 | ||||||||
| 482,643 | Stellantis NV * (a) | 3,851,648 | ||||||||
| 6,360,914 | Telecom Italia SpA* | 5,403,593 | ||||||||
| 11,935 | Tenaris SA | 363,563 | ||||||||
| 10,602 | Tenaris SA ADR | 645,980 | ||||||||
| 271,811 | Unipol Assicurazioni SpA | 6,720,064 | ||||||||
|
|
|
|||||||||
| Total Italy | 23,401,940 | |||||||||
|
|
|
|||||||||
| Japan — 18.2% | ||||||||||
| 8,400 | ADEKA Corp. | 225,853 | ||||||||
| 140,500 | AGC, Inc. | 6,119,489 | ||||||||
| 7,600 | Ai Holdings Corp. | 134,042 | ||||||||
| 5,600 | Aica Kogyo Co. Ltd. | 121,214 | ||||||||
| 12,000 | Aichi Corp. | 105,224 | ||||||||
| 1,500 | Alfresa Holdings Corp. | 21,035 | ||||||||
| 4,300 | AOKI Holdings, Inc. | 44,300 | ||||||||
| 5,700 | Aoyama Trading Co. Ltd. | 24,837 | ||||||||
| 8,100 | Arata Corp. | 131,516 | ||||||||
| 2,400 | Artience Co. Ltd. | 62,981 | ||||||||
| 306,700 | Asahi Group Holdings Ltd. | 2,926,722 | ||||||||
| 158,100 | Asahi Kasei Corp. | 1,773,421 | ||||||||
| 8,700 | Asahi Yukizai Corp. (a) | 363,867 | ||||||||
| 17,400 | Astellas Pharma, Inc. | 247,843 | ||||||||
| 21,400 | Axial Retailing, Inc. | 140,084 | ||||||||
| 8,000 | Bando Chemical Industries Ltd. | 112,493 | ||||||||
| 181,400 | Brother Industries Ltd. | 4,267,940 | ||||||||
| 3,200 | Buffalo, Inc. | 46,699 | ||||||||
| 35,100 | Bunka Shutter Co. Ltd. | 412,797 | ||||||||
| 32,400 | Canon Marketing Japan, Inc. | 723,512 | ||||||||
| 14,300 | Canon, Inc. | 380,300 | ||||||||
| 3,700 | Central Glass Co. Ltd. | 95,203 | ||||||||
| 2,900 | Chiyoda Integre Co. Ltd. | 57,548 | ||||||||
| 152,900 | Chubu Electric Power Co., Inc. (b) | 2,807,272 | ||||||||
| 16,200 | Citizen Watch Co. Ltd. | 235,537 | ||||||||
| 7,800 | Cosmo Energy Holdings Co. Ltd. | 183,109 | ||||||||
| 6,800 | Create SD Holdings Co. Ltd. (a) | 136,910 | ||||||||
| 303,400 | Credit Saison Co. Ltd. | 7,800,374 | ||||||||
| 25,900 | Dai Nippon Printing Co. Ltd. (b) | 450,344 | ||||||||
| 12,300 | Dai Nippon Toryo Co. Ltd. | 99,439 | ||||||||
| 216,100 | Daicel Corp. | 1,807,024 | ||||||||
| 14,300 | Daido Steel Co. Ltd. | 186,814 | ||||||||
| 5,300 | Daiichi Jitsugyo Co. Ltd. | 103,617 | ||||||||
| 5,100 | Daikin Industries Ltd. | 734,225 | ||||||||
| 112,800 | Daito Trust Construction Co. Ltd. | 2,240,656 | ||||||||
| 125,700 | Daiwa House Industry Co. Ltd. | 3,418,327 | ||||||||
| 274,000 | Daiwabo Holdings Co. Ltd. | 5,884,435 | ||||||||
| 168,700 | Denka Co. Ltd. | 4,736,227 | ||||||||
| 123,200 | Denso Corp. | 1,465,761 | ||||||||
| 8,800 | Dowa Holdings Co. Ltd. | 569,369 | ||||||||
| 8,400 | Ebara Corp. (a) | 298,690 | ||||||||
| 2,000 | Elecom Co. Ltd. | 21,353 | ||||||||
| 13,900 | Electric Power Development Co. Ltd. | 350,437 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 110,800 | EXEO Group, Inc. | 1,975,684 | ||||||||
| 400 | Ferrotec Corp. (a) | 21,774 | ||||||||
| 84,500 | Fuji Corp. | 4,195,806 | ||||||||
| 12,200 | Fuji Electric Co. Ltd. | 1,183,993 | ||||||||
| 38,100 | Fuji Seal International, Inc. | 632,000 | ||||||||
| 343,100 | FUJIFILM Holdings Corp. (a) | 7,132,858 | ||||||||
| 6,000 | Fujikura Ltd. | 178,803 | ||||||||
| 1,900 | G-7 Holdings, Inc. | 16,434 | ||||||||
| 33,100 | Glory Ltd. | 847,661 | ||||||||
| 315,300 | H.U. Group Holdings, Inc. | 6,167,897 | ||||||||
| 6,300 | Hakuhodo DY Holdings, Inc. | 44,229 | ||||||||
| 9,300 | Hakuto Co. Ltd. (a) | 265,359 | ||||||||
| 1,800 | Halows Co. Ltd. | 43,220 | ||||||||
| 37,400 | Hanwa Co. Ltd. | 444,572 | ||||||||
| 10,100 | Haseko Corp. | 171,881 | ||||||||
| 71,900 | Hitachi Construction Machinery Co. Ltd. | 2,341,895 | ||||||||
| 452,300 | Honda Motor Co. Ltd. | 4,064,356 | ||||||||
| 82,587 | Honda Motor Co. Ltd. Sponsored ADR | 2,229,023 | ||||||||
| 3,000 | Horiba Ltd. | 493,830 | ||||||||
| 34,900 | Hosiden Corp. | 595,307 | ||||||||
| 23,300 | IDOM, Inc. | 197,548 | ||||||||
| 9,900 | Inaba Denki Sangyo Co. Ltd. | 172,705 | ||||||||
| 77,000 | Inabata & Co. Ltd. | 1,849,235 | ||||||||
| 496,300 | Inpex Corp. (a) | 11,160,040 | ||||||||
| 523,700 | Isuzu Motors Ltd. (a) | 7,693,975 | ||||||||
| 31,800 | Itochu Enex Co. Ltd. | 390,122 | ||||||||
| 114,300 | Iwatani Corp. | 1,446,400 | ||||||||
| 13,200 | Japan Lifeline Co. Ltd. | 109,969 | ||||||||
| 26,700 | Japan Petroleum Exploration Co. Ltd. | 300,071 | ||||||||
| 130,600 | Japan Post Holdings Co. Ltd. | 1,693,779 | ||||||||
| 334,800 | Japan Post Insurance Co. Ltd. | 3,002,671 | ||||||||
| 136,600 | Jeol Ltd. | 6,098,843 | ||||||||
| 85,000 | Kaga Electronics Co. Ltd. | 2,361,118 | ||||||||
| 22,800 | Kajima Corp. | 842,038 | ||||||||
| 7,600 | Kamei Corp. | 171,939 | ||||||||
| 53,900 | Kaneka Corp. | 1,866,370 | ||||||||
| 647,700 | Kanematsu Corp. | 8,768,047 | ||||||||
| 12,000 | Kansai Electric Power Co., Inc. (b) | 175,857 | ||||||||
| 9,800 | Kansai Paint Co. Ltd. (a) | 150,760 | ||||||||
| 3,000 | KH Neochem Co. Ltd. | 52,242 | ||||||||
| 77,500 | Kirin Holdings Co. Ltd. (b) | 1,318,972 | ||||||||
| 20,100 | Kitz Corp. | 282,043 | ||||||||
| 657,900 | Kobe Steel Ltd. | 8,184,974 | ||||||||
| 39,900 | Kohnan Shoji Co. Ltd. | 1,019,948 | ||||||||
| 143,100 | Komatsu Ltd. (a) | 5,843,874 | ||||||||
| 7,345 | Komeri Co. Ltd. | 159,708 | ||||||||
| 5,000 | Konishi Co. Ltd. | 43,113 | ||||||||
| 42,600 | Kraftia Corp. | 2,484,111 | ||||||||
| 198,800 | Kubota Corp. (a) | 3,532,174 | ||||||||
| 271,000 | Kumiai Chemical Industry Co. Ltd. (a) | 1,302,459 | ||||||||
| 1,000 | KYB Corp. | 25,391 | ||||||||
| 165,900 | Kyocera Corp. | 3,627,409 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 100 | Life Corp. | 1,547 | ||||||||
| 121,900 | Macnica Holdings, Inc. | 2,380,204 | ||||||||
| 62,100 | Marubeni Corp. | 2,029,949 | ||||||||
| 298,300 | Maruichi Steel Tube Ltd. | 3,380,598 | ||||||||
| 4,900 | Maruzen Showa Unyu Co. Ltd. | 235,899 | ||||||||
| 307,900 | Maxell Ltd. | 3,756,482 | ||||||||
| 27,100 | Mazda Motor Corp. (a) | 193,608 | ||||||||
| 2,500 | Medipal Holdings Corp. | 43,115 | ||||||||
| 26,600 | Megmilk Snow Brand Co. Ltd. | 582,756 | ||||||||
| 255,500 | Mitsubishi Electric Corp. (b) | 10,386,855 | ||||||||
| 7,700 | Mitsubishi Materials Corp. | 249,418 | ||||||||
| 3,500 | Mitsubishi Research Institute, Inc. | 99,601 | ||||||||
| 193,000 | Mitsui & Co. Ltd. (b) | 6,414,492 | ||||||||
| 7,500 | Mitsui OSK Lines Ltd. (a) (b) | 257,789 | ||||||||
| 263,500 | Mizuno Corp. | 5,422,055 | ||||||||
| 203,600 | Morinaga & Co. Ltd. | 3,179,998 | ||||||||
| 11,000 | Morita Holdings Corp. | 169,909 | ||||||||
| 62,500 | Murata Manufacturing Co. Ltd. | 3,936,541 | ||||||||
| 137,800 | Musashi Seimitsu Industry Co. Ltd. (a) | 8,178,411 | ||||||||
| 41,000 | Nagase & Co. Ltd. | 289,365 | ||||||||
| 88,900 | NEC Corp. (b) | 2,304,278 | ||||||||
| 68,700 | NGK Corp. | 2,720,985 | ||||||||
| 130,500 | NH Foods Ltd. | 4,991,937 | ||||||||
| 12,000 | Nichias Corp. | 265,744 | ||||||||
| 6,600 | Nichiha Corp. | 123,189 | ||||||||
| 6,100 | Nichireki Group Co. Ltd. | 76,885 | ||||||||
| 22,400 | Nippn Corp. | 374,141 | ||||||||
| 29,500 | Nippon Kayaku Co. Ltd. | 394,441 | ||||||||
| 15,300 | Nippon Light Metal Holdings Co. Ltd. | 304,405 | ||||||||
| 60,900 | Nippon Shinyaku Co. Ltd. | 1,604,735 | ||||||||
| 195,400 | Nippon Yusen KK (a) (b) | 6,510,799 | ||||||||
| 700 | Nishio Holdings Co. Ltd. | 16,868 | ||||||||
| 1,401,000 | Nissan Motor Co. Ltd. * | 3,486,459 | ||||||||
| 26,200 | Nisshin Oillio Group Ltd. | 288,043 | ||||||||
| 40,400 | Niterra Co. Ltd. (a) | 2,576,148 | ||||||||
| 1,600 | Nitta Corp. | 58,897 | ||||||||
| 18,800 | Nitto Denko Corp. (a) | 352,309 | ||||||||
| 326,100 | Nojima Corp. | 2,938,126 | ||||||||
| 8,200 | Noritake Co. Ltd. | 202,240 | ||||||||
| 900 | Noritsu Koki Co. Ltd. | 12,003 | ||||||||
| 16,100 | NS United Kaiun Kaisha Ltd. (a) | 790,017 | ||||||||
| 5,095,700 | NTT, Inc. (b) | 4,780,929 | ||||||||
| 356,600 | Oisix ra daichi, Inc. | 3,305,649 | ||||||||
| 109,900 | Okamura Corp. (b) | 1,594,596 | ||||||||
| 35,300 | Oki Electric Industry Co. Ltd. | 787,233 | ||||||||
| 189,300 | Olympus Corp. (a) | 2,120,867 | ||||||||
| 197,400 | Ono Pharmaceutical Co. Ltd. | 2,962,024 | ||||||||
| 3,100 | Open House Group Co. Ltd. | 168,098 | ||||||||
| 167,100 | Optex Group Co. Ltd. | 4,465,113 | ||||||||
| 47,600 | ORIX Corp. | 1,856,357 | ||||||||
| 61,700 | Osaka Gas Co. Ltd. (b) | 2,073,406 | ||||||||
| 1,100 | Otsuka Holdings Co. Ltd. | 80,817 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 500 | PALTAC Corp. | 20,802 | ||||||||
| 509,600 | Panasonic Holdings Corp. (b) | 11,773,783 | ||||||||
| 439,900 | Penta-Ocean Construction Co. Ltd. | 4,904,376 | ||||||||
| 705,100 | Persol Holdings Co. Ltd. (b) | 1,072,774 | ||||||||
| 7,600 | Raito Kogyo Co. Ltd. | 193,410 | ||||||||
| 159,600 | Renesas Electronics Corp. | 4,442,897 | ||||||||
| 40,200 | Ricoh Co. Ltd. | 367,736 | ||||||||
| 109,800 | Rohto Pharmaceutical Co. Ltd. | 1,639,706 | ||||||||
| 400 | RS Technologies Co. Ltd. | 18,666 | ||||||||
| 20,700 | Sakai Moving Service Co. Ltd. | 371,715 | ||||||||
| 80,700 | Sakata INX Corp. | 1,188,263 | ||||||||
| 52,200 | San-Ai Obbli Co. Ltd. | 695,904 | ||||||||
| 97,000 | Sankyo Co. Ltd. | 982,545 | ||||||||
| 91,200 | Sankyu, Inc. | 5,138,883 | ||||||||
| 5,200 | Sanwa Holdings Corp. | 118,586 | ||||||||
| 30,600 | SBI Holdings, Inc. | 559,824 | ||||||||
| 7,400 | SCREEN Holdings Co. Ltd. (a) | 516,201 | ||||||||
| 344,100 | Sega Sammy Holdings, Inc. | 4,989,829 | ||||||||
| 101,400 | Seiko Epson Corp. (a) | 1,865,054 | ||||||||
| 262,200 | Sekisui Chemical Co. Ltd. | 3,770,609 | ||||||||
| 166,700 | Sekisui House Ltd. | 3,499,944 | ||||||||
| 5,000 | Sekisui Jushi Corp. | 66,638 | ||||||||
| 4,000 | Shibuya Corp. | 97,447 | ||||||||
| 42,700 | Shinagawa Refra Co. Ltd. | 514,257 | ||||||||
| 5,900 | Shin-Etsu Polymer Co. Ltd. | 83,965 | ||||||||
| 45,600 | Shinnihon Corp. | 647,273 | ||||||||
| 316,500 | Shionogi & Co. Ltd. (a) | 5,952,676 | ||||||||
| 285,900 | Ship Healthcare Holdings, Inc. | 3,745,208 | ||||||||
| 4,000 | Showa Sangyo Co. Ltd. | 79,866 | ||||||||
| 1,600 | Sinanen Holdings Co. Ltd. | 76,295 | ||||||||
| 13,800 | SMS Co. Ltd. (b) | 173,136 | ||||||||
| 21,200 | Socionext, Inc. (a) | 350,253 | ||||||||
| 19,500 | SoftBank Group Corp. (b) | 917,320 | ||||||||
| 72,900 | Sojitz Corp. | 2,467,872 | ||||||||
| 48,100 | Starts Corp., Inc. | 1,370,054 | ||||||||
| 314,600 | Subaru Corp. | 4,774,486 | ||||||||
| 221,700 | SUMCO Corp. | 5,561,077 | ||||||||
| 61,400 | Sumitomo Corp. | 2,707,579 | ||||||||
| 39,900 | Sumitomo Electric Industries Ltd. | 3,077,514 | ||||||||
| 372,000 | Sumitomo Forestry Co. Ltd. (a) | 3,048,655 | ||||||||
| 194,800 | Sumitomo Mitsui Financial Group, Inc. (a) | 7,104,915 | ||||||||
| 148,500 | Sumitomo Mitsui Trust Group, Inc. | 5,115,420 | ||||||||
| 4,000 | Sundrug Co. Ltd. | 91,052 | ||||||||
| 77,800 | Suntory Beverage & Food Ltd. (a) | 2,101,527 | ||||||||
| 30,400 | Suzuki Motor Corp. | 376,475 | ||||||||
| 99,900 | Sysmex Corp. | 873,554 | ||||||||
| 181,000 | T&D Holdings, Inc. (a) | 4,760,953 | ||||||||
| 3,400 | Takasago International Corp. | 23,954 | ||||||||
| 39,200 | TDK Corp. | 1,015,371 | ||||||||
| 4,300 | Tokai Rika Co. Ltd. | 79,054 | ||||||||
| 1,000 | Token Corp. | 80,293 | ||||||||
| 1,600 | Tokyo Electron Ltd. | 536,599 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Japan — continued | ||||||||||
| 52,700 | Tokyo Gas Co. Ltd. (b) | 2,106,911 | ||||||||
| 106,800 | Tokyo Steel Manufacturing Co. Ltd. | 1,176,627 | ||||||||
| 354,600 | Tosei Corp. | 3,576,761 | ||||||||
| 70,600 | Tosoh Corp. | 1,217,100 | ||||||||
| 162,600 | TOTO Ltd. (a) | 7,820,466 | ||||||||
| 4,600 | Towa Pharmaceutical Co. Ltd. | 113,964 | ||||||||
| 178,600 | Toyo Tire Corp. | 4,247,122 | ||||||||
| 82,500 | Toyoda Gosei Co. Ltd. | 2,499,298 | ||||||||
| 15,800 | Toyota Boshoku Corp. | 226,864 | ||||||||
| 86,500 | Toyota Motor Corp. | 1,636,381 | ||||||||
| 153,000 | Toyota Tsusho Corp. (a) (b) | 6,666,069 | ||||||||
| 1,200 | Transcosmos, Inc. (b) | 29,316 | ||||||||
| 6,500 | TRE Holdings Corp. (a) (b) | 67,358 | ||||||||
| 15,100 | Tsubakimoto Chain Co. | 255,549 | ||||||||
| 3,800 | Tsuburaya Fields Holdings, Inc. | 33,008 | ||||||||
| 10,300 | Tsugami Corp. | 407,776 | ||||||||
| 10,400 | Tsumura & Co. | 248,617 | ||||||||
| 176,400 | Umios Corp. | 1,400,726 | ||||||||
| 5,500 | Unipres Corp. | 44,741 | ||||||||
| 142,400 | Valqua Ltd. (a) | 7,323,036 | ||||||||
| 3,000 | Warabeya Nichiyo Holdings Co. Ltd. | 50,092 | ||||||||
| 4,700 | WingArc1st, Inc. | 74,816 | ||||||||
| 80,200 | YAMABIKO Corp. | 1,966,040 | ||||||||
| 470,200 | Yamaha Corp. | 3,410,781 | ||||||||
| 122,300 | Yamaha Motor Co. Ltd. (a) | 1,006,433 | ||||||||
| 23,300 | Yamazen Corp. | 254,199 | ||||||||
| 9,900 | Yellow Hat Ltd. | 102,821 | ||||||||
| 1,600 | Yokogawa Bridge Holdings Corp. | 28,239 | ||||||||
| 2,500 | Yokogawa Electric Corp. | 78,472 | ||||||||
| 20,700 | Yokohama Rubber Co. Ltd. | 933,130 | ||||||||
| 19,800 | Yuasa Co. Ltd. | 704,507 | ||||||||
|
|
|
|||||||||
| Total Japan | 422,929,122 | |||||||||
|
|
|
|||||||||
| Kuwait — 0.1% | ||||||||||
| 946,737 | A’ayan Leasing & Investment Co. KSCP | 844,444 | ||||||||
| 64,027 | Combined Group Contracting Co. SAK | 196,670 | ||||||||
| 11,971 | Mobile Telecommunications Co. KSCP | 23,104 | ||||||||
| 9,435 | National Mobile Telecommunications Co. KSCC | 57,797 | ||||||||
| 832,579 | Noor Financial Investment Co. KSC | 1,098,942 | ||||||||
|
|
|
|||||||||
| Total Kuwait | 2,220,957 | |||||||||
|
|
|
|||||||||
| Mexico — 0.2% | ||||||||||
| 329,721 | Cemex SAB de CV Sponsored ADR | 4,316,048 | ||||||||
| 369,087 | Gentera SAB de CV | 912,445 | ||||||||
| 19,685 | Unifin Financiera SAB de CV * (d) | — | ||||||||
|
|
|
|||||||||
| Total Mexico | 5,228,493 | |||||||||
|
|
|
|||||||||
| Netherlands — 1.9% | ||||||||||
| 59,379 | ABN AMRO Bank NV | 2,359,800 | ||||||||
| 347,824 | Aegon Ltd. (a) | 2,950,274 | ||||||||
| 49,751 | Akzo Nobel NV | 3,775,856 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Netherlands — continued | ||||||||||
| 254 | ASM International NV | 265,027 | ||||||||
| 4,867 | ASML Holding NV (Registered) (a) | 7,849,303 | ||||||||
| 4,763 | ASR Nederland NV (a) | 356,550 | ||||||||
| 9,661 | Brunel International NV (a) | 80,651 | ||||||||
| 26,249 | DSM-Firmenich AG | 2,205,738 | ||||||||
| 24,974 | EXOR NV | 1,944,889 | ||||||||
| 171,595 | ING Groep NV | 5,315,227 | ||||||||
| 4,378 | JDE Peet’s NV (e) | 162,591 | ||||||||
| 16,502 | Koninklijke Ahold Delhaize NV (b) | 695,347 | ||||||||
| 36,491 | Koninklijke BAM Groep NV | 472,649 | ||||||||
| 258,122 | Koninklijke KPN NV (a) | 1,344,570 | ||||||||
| 93,906 | NN Group NV | 7,838,923 | ||||||||
| 15,038 | Randstad NV (b) | 461,046 | ||||||||
| 72,837 | SBM Offshore NV | 2,776,132 | ||||||||
| 115,103 | Signify NV (a) | 2,787,405 | ||||||||
|
|
|
|||||||||
| Total Netherlands | 43,641,978 | |||||||||
|
|
|
|||||||||
| New Zealand — 0.0% | ||||||||||
| 106,452 | Meridian Energy Ltd. (a) | 373,683 | ||||||||
|
|
|
|||||||||
| Norway — 1.0% | ||||||||||
| 11,391 | Aker BP ASA | 409,798 | ||||||||
| 232,169 | Aker Solutions ASA | 1,070,318 | ||||||||
| 34,597 | Austevoll Seafood ASA | 332,030 | ||||||||
| 12,849 | Bakkafrost P | 636,186 | ||||||||
| 3,767 | Bluenord ASA | 213,157 | ||||||||
| 4,703 | BW LPG Ltd. | 92,563 | ||||||||
| 23,216 | Cadeler AS * | 149,621 | ||||||||
| 64,581 | DOF Group ASA | 834,362 | ||||||||
| 166,743 | Elkem ASA * | 581,012 | ||||||||
| 228,251 | Equinor ASA | 8,251,184 | ||||||||
| 12,809 | Europris ASA | 128,197 | ||||||||
| 90,051 | Hoegh Autoliners ASA | 1,332,703 | ||||||||
| 55,164 | MPC Container Ships ASA | 144,523 | ||||||||
| 259,972 | Norsk Hydro ASA | 3,179,397 | ||||||||
| 46,539 | Odfjell Drilling Ltd. | 442,310 | ||||||||
| 128,899 | Orkla ASA | 1,358,459 | ||||||||
| 10,505 | Stolt-Nielsen Ltd. | 333,708 | ||||||||
| 10,230 | TGS ASA | 167,099 | ||||||||
| 56,005 | Var Energi ASA | 275,727 | ||||||||
| 90,140 | Wallenius Wilhelmsen ASA | 1,159,892 | ||||||||
| 28,909 | Yara International ASA | 1,569,430 | ||||||||
|
|
|
|||||||||
| Total Norway | 22,661,676 | |||||||||
|
|
|
|||||||||
| Pakistan — 0.0% | ||||||||||
| 192,017 | Oil & Gas Development Co. Ltd. | 228,039 | ||||||||
|
|
|
|||||||||
| Philippines — 0.0% | ||||||||||
| 6,620 | GT Capital Holdings, Inc. | 51,562 | ||||||||
| 1,379,100 | LT Group, Inc. | 353,616 | ||||||||
| 1,469,024 | Megaworld Corp. | 49,582 | ||||||||
| 32,700 | Robinsons Retail Holdings, Inc. | 24,524 | ||||||||
|
|
|
|||||||||
| Total Philippines | 479,284 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Poland — 0.3% | ||||||||||
| 182,717 | ORLEN SA | 7,141,514 | ||||||||
| 184,913 | PGE Polska Grupa Energetyczna SA * | 538,814 | ||||||||
| 13,993 | Powszechny Zaklad Ubezpieczen SA | 248,493 | ||||||||
|
|
|
|||||||||
| Total Poland | 7,928,821 | |||||||||
|
|
|
|||||||||
| Portugal — 0.1% | ||||||||||
| 69,960 | EDP SA | 356,282 | ||||||||
| 72,074 | Navigator Co. SA (a) | 285,466 | ||||||||
| 91,650 | NOS SGPS SA | 562,996 | ||||||||
| 118,455 | REN - Redes Energeticas Nacionais SGPS SA | 489,063 | ||||||||
| 441,351 | Sonae SGPS SA | 980,150 | ||||||||
|
|
|
|||||||||
| Total Portugal | 2,673,957 | |||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 376,870,000 | Federal Grid Co-Rosseti PJSC * (d) (f) | — | ||||||||
| 4,924,596 | Gazprom PJSC * (d) (f) | — | ||||||||
| 1,279,700 | GMK Norilskiy Nickel PAO * (d) (f) | — | ||||||||
| 18,204,300 | Inter RAO UES PJSC * (d) (f) | — | ||||||||
| 88,304 | LSR Group PJSC * (d) (f) | — | ||||||||
| 4 | LSR Group PJSC GDR * (d) (f) | — | ||||||||
| 7,545,000 | Mosenergo PJSC * (d) (f) | — | ||||||||
| 31,180 | Novatek PJSC * (d) (f) | — | ||||||||
| 3,493,400 | Novolipetsk Steel PJSC * (d) (f) | — | ||||||||
| 6,115 | PhosAgro PJSC * (d) (f) | — | ||||||||
| 118 | PhosAgro PJSC GDR * (d) (f) | — | ||||||||
| 1 | Polyus PJSC GDR * (d) (f) | — | ||||||||
| 261,549 | Severstal PAO GDR (Registered) * (d) (f) | — | ||||||||
| 29,090 | SFI PJSC * (d) (f) | — | ||||||||
| 986,916 | Tatneft PJSC * (d) (f) | — | ||||||||
| 725,480 | Unipro PAO * (d) (f) | — | ||||||||
| 55,470 | United Co. RUSAL International PJSC * (d) (f) | — | ||||||||
| 1 | VTB Bank PJSC * (d) (f) | — | ||||||||
|
|
|
|||||||||
| Total Russia | — | |||||||||
|
|
|
|||||||||
| Saudi Arabia — 0.4% | ||||||||||
| 3,821 | Banque Saudi Fransi | 19,566 | ||||||||
| 12,324 | Etihad Etisalat Co. | 210,200 | ||||||||
| 183,650 | Riyad Bank | 987,375 | ||||||||
| 33,295 | SABIC Agri-Nutrients Co. | 1,215,480 | ||||||||
| 57,938 | Saudi Awwal Bank | 522,740 | ||||||||
| 386,025 | Saudi National Bank | 4,106,984 | ||||||||
| 112,910 | Saudi Telecom Co. | 1,320,378 | ||||||||
|
|
|
|||||||||
| Total Saudi Arabia | 8,382,723 | |||||||||
|
|
|
|||||||||
| Singapore — 0.6% | ||||||||||
| 92,400 | Bumitama Agri Ltd. | 112,036 | ||||||||
| 74,000 | ComfortDelGro Corp. Ltd. (a) | 74,743 | ||||||||
| 122,400 | First Real Estate Investment Trust – (REIT) (a) | 22,070 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Singapore — continued | ||||||||||
| 188,800 | First Resources Ltd. | 391,208 | ||||||||
| 767,400 | Golden Agri-Resources Ltd. | 165,304 | ||||||||
| 17,514 | Hafnia Ltd. | 135,202 | ||||||||
| 158,100 | Oversea-Chinese Banking Corp. Ltd. | 2,901,834 | ||||||||
| 55,900 | Sheng Siong Group Ltd. | 133,562 | ||||||||
| 106,800 | StarHub Ltd. (a) | 86,177 | ||||||||
| 24,800 | United Overseas Bank Ltd. | 730,660 | ||||||||
| 37,400 | UOL Group Ltd. | 297,489 | ||||||||
| 48,700 | Venture Corp. Ltd. | 686,848 | ||||||||
| 75,500 | Wilmar International Ltd. | 212,409 | ||||||||
| 431,700 | Yangzijiang Financial Holding Ltd. * | 81,117 | ||||||||
| 2,434,177 | Yangzijiang Shipbuilding Holdings Ltd. | 6,944,487 | ||||||||
|
|
|
|||||||||
| Total Singapore | 12,975,146 | |||||||||
|
|
|
|||||||||
| South Africa — 0.1% | ||||||||||
| 25,533 | Exxaro Resources Ltd. | 341,065 | ||||||||
| 2,056,021 | Old Mutual Ltd. | 1,629,312 | ||||||||
| 46,776 | Sibanye Stillwater Ltd. | 139,878 | ||||||||
| 2,594 | Valterra Platinum Ltd. | 214,197 | ||||||||
|
|
|
|||||||||
| Total South Africa | 2,324,452 | |||||||||
|
|
|
|||||||||
| South Korea — 4.0% | ||||||||||
| 5,533 | CS Wind Corp. | 174,495 | ||||||||
| 19,992 | Doosan Bobcat, Inc. | 855,266 | ||||||||
| 8,469 | GS Holdings Corp. | 407,671 | ||||||||
| 19,861 | Hana Financial Group, Inc. | 1,519,786 | ||||||||
| 23,202 | Hankook Tire & Technology Co. Ltd. | 1,028,324 | ||||||||
| 53,911 | HMM Co. Ltd. | 699,401 | ||||||||
| 28,918 | Hyundai Glovis Co. Ltd. | 4,658,675 | ||||||||
| 28,846 | Hyundai Mobis Co. Ltd. | 14,689,480 | ||||||||
| 102,889 | Kia Corp. | 11,542,105 | ||||||||
| 3,826 | Korea Electric Power Corp. | 99,390 | ||||||||
| 812 | Krafton, Inc. | 138,728 | ||||||||
| 9,673 | KT&G Corp. | 1,181,515 | ||||||||
| 15,315 | LG Corp. | 1,490,924 | ||||||||
| 70,141 | LG Electronics, Inc. | 13,675,705 | ||||||||
| 7,908 | POSCO Holdings, Inc. Sponsored ADR (a) | 560,677 | ||||||||
| 5,302 | ROKIT Healthcare, Inc. * | 192,802 | ||||||||
| 75,115 | Samsung E&A Co. Ltd. | 2,628,814 | ||||||||
| 88,309 | Samsung Electronics Co. Ltd. | 18,526,666 | ||||||||
| 246 | Samsung Electronics Co. Ltd. GDR (Registered) | 1,305,000 | ||||||||
| 1,277 | Samsung SDS Co. Ltd. | 254,108 | ||||||||
| 40,424 | Shinhan Financial Group Co. Ltd. | 2,514,464 | ||||||||
| 5,440 | SK Hynix, Inc. | 8,470,120 | ||||||||
| 5,836 | SK Square Co. Ltd. | 4,839,318 | ||||||||
| 117,687 | Woori Financial Group, Inc. | 2,327,466 | ||||||||
|
|
|
|||||||||
| Total South Korea | 93,780,900 | |||||||||
|
|
|
|||||||||
| Spain — 1.9% | ||||||||||
| 71,359 | Acerinox SA | 1,318,038 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Spain — continued | ||||||||||
| 32,149 | Atresmedia Corp. de Medios de Comunicacion SA (a) | 193,378 | ||||||||
| 663,706 | Banco Bilbao Vizcaya Argentaria SA | 15,501,953 | ||||||||
| 134,691 | Banco de Sabadell SA (a) | 455,399 | ||||||||
| 776,379 | Banco Santander SA | 9,709,272 | ||||||||
| 58,685 | CaixaBank SA | 792,339 | ||||||||
| 8,599 | CIE Automotive SA | 295,026 | ||||||||
| 1,514 | Faes Farma SA | 8,215 | ||||||||
| 9,668 | Iberdrola SA (b) | 219,481 | ||||||||
| 10,966 | Indra Sistemas SA (b) | 729,195 | ||||||||
| 815,397 | Mapfre SA (a) | 3,812,848 | ||||||||
| 47,480 | Prosegur Cia de Seguridad SA (b) | 146,143 | ||||||||
| 12,298 | Puig Brands SA – Class B | 230,788 | ||||||||
| 346,247 | Repsol SA | 8,940,194 | ||||||||
| 579,860 | Unicaja Banco SA | 1,937,555 | ||||||||
|
|
|
|||||||||
| Total Spain | 44,289,824 | |||||||||
|
|
|
|||||||||
| Sweden — 0.8% | ||||||||||
| 31,547 | AcadeMedia AB (b) | 350,419 | ||||||||
| 52,927 | Boliden AB | 3,295,641 | ||||||||
| 47,422 | Essity AB – Class B (a) | 1,330,039 | ||||||||
| 54,347 | Husqvarna AB – Class B (a) | 255,079 | ||||||||
| 13,518 | Industrivarden AB – A Shares | 766,658 | ||||||||
| 13,934 | Industrivarden AB – C Shares (a) | 761,913 | ||||||||
| 123,285 | Investor AB – B Shares (b) | 5,065,958 | ||||||||
| 15,590 | Peab AB – Class B | 153,222 | ||||||||
| 35,323 | Skanska AB – B Shares | 955,662 | ||||||||
| 59,467 | SKF AB – B Shares (a) | 1,559,786 | ||||||||
| 57,257 | SSAB AB – B Shares | 588,809 | ||||||||
| 45,353 | Svenska Cellulosa AB SCA – Class B | 498,886 | ||||||||
| 229,322 | Telefonaktiebolaget LM Ericsson – B Shares | 2,990,404 | ||||||||
| 13,092 | Volvo AB – B Shares (b) | 460,920 | ||||||||
|
|
|
|||||||||
| Total Sweden | 19,033,396 | |||||||||
|
|
|
|||||||||
| Switzerland — 1.1% | ||||||||||
| 43,046 | ABB Ltd. (Registered) (b) | 4,602,794 | ||||||||
| 58,681 | Adecco Group AG (Registered) (b) | 1,241,830 | ||||||||
| 1,156 | Implenia AG (Registered) | 89,869 | ||||||||
| 7,492 | Logitech International SA (Registered) | 910,465 | ||||||||
| 9,446 | Mobilezone Holding AG (Registered) | 180,479 | ||||||||
| 48,349 | Nestle SA (Registered) (b) | 4,905,682 | ||||||||
| 15,993 | Novartis AG (Registered) | 2,405,508 | ||||||||
| 12,525 | Novartis AG Sponsored ADR (a) | 1,880,879 | ||||||||
| 10,520 | Roche Holding AG | 4,426,291 | ||||||||
| 1,655 | Roche Holding AG – Class BR | 711,792 | ||||||||
| 5,505 | Sandoz Group AG ADR | 463,081 | ||||||||
| 938 | Swatch Group AG – Class BR | 259,671 | ||||||||
| 947 | Swisscom AG (Registered) (b) | 810,577 | ||||||||
| 34,276 | UBS Group AG (Registered) (b) | 1,618,713 | ||||||||
|
|
|
|||||||||
| Total Switzerland | 24,507,631 | |||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Taiwan — 4.1% | ||||||||||
| 664,000 | AcBel Polytech, Inc. | 1,257,811 | ||||||||
| 59,000 | ASE Technology Holding Co. Ltd. | 1,127,215 | ||||||||
| 115,000 | Asustek Computer, Inc. | 2,774,325 | ||||||||
| 48,000 | ChipMOS Technologies, Inc. | 170,709 | ||||||||
| 1,018,000 | Compal Electronics, Inc. | 1,184,234 | ||||||||
| 1,500,000 | Evergreen Marine Corp. Taiwan Ltd. | 10,186,925 | ||||||||
| 654,000 | Hannstar Board Corp. | 1,766,720 | ||||||||
| 513,406 | Hon Hai Precision Industry Co. Ltd. | 4,699,614 | ||||||||
| 175,000 | KGI Financial Holding Co. Ltd. | 125,535 | ||||||||
| 142,000 | Lite-On Technology Corp. | 1,048,883 | ||||||||
| 20,000 | Longwell Co. | 219,499 | ||||||||
| 214,000 | Pegatron Corp. | 603,746 | ||||||||
| 3,468,566 | Pou Chen Corp. | 2,816,059 | ||||||||
| 446,000 | Powertech Technology, Inc. | 5,326,399 | ||||||||
| 195,000 | Realtek Semiconductor Corp. | 3,594,223 | ||||||||
| 553,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 40,969,157 | ||||||||
| 1,000 | TCI Co. Ltd. | 3,807 | ||||||||
| 147,000 | Tripod Technology Corp. | 2,422,969 | ||||||||
| 1,920,000 | United Microelectronics Corp. | 8,643,741 | ||||||||
| 308,000 | Wan Hai Lines Ltd. | 805,851 | ||||||||
| 7,000 | Wistron Corp. | 35,043 | ||||||||
| 135,000 | WPG Holdings Ltd. | 507,605 | ||||||||
| 128,000 | Yageo Corp. | 2,978,049 | ||||||||
| 618,000 | Yang Ming Marine Transport Corp. | 1,039,181 | ||||||||
| 305,000 | Yuanta Financial Holding Co. Ltd. | 579,750 | ||||||||
| 112,000 | YungShin Global Holding Corp. | 199,687 | ||||||||
| 4,000 | Zhen Ding Technology Holding Ltd. | 65,284 | ||||||||
|
|
|
|||||||||
| Total Taiwan | 95,152,021 | |||||||||
|
|
|
|||||||||
| Thailand — 1.3% | ||||||||||
| 1,527,100 | 3BB Internet Infrastructure Fund – Class F | 302,043 | ||||||||
| 674,600 | AP Thailand PCL NVDR | 151,271 | ||||||||
| 1,226,900 | Banpu PCL NVDR | 215,378 | ||||||||
| 830,500 | Digital Telecommunications Infrastructure Fund – Class F | 253,987 | ||||||||
| 59,400 | GFPT PCL NVDR | 15,608 | ||||||||
| 966,500 | Kasikornbank PCL NVDR | 5,965,913 | ||||||||
| 8,194,000 | Krung Thai Bank PCL NVDR | 8,744,176 | ||||||||
| 382,600 | Mega Lifesciences PCL NVDR | 422,705 | ||||||||
| 1,582,400 | PTT Exploration & Production PCL NVDR | 6,886,137 | ||||||||
| 2,748,800 | PTT PCL NVDR | 3,062,354 | ||||||||
| 438,600 | Regional Container Lines PCL NVDR | 424,457 | ||||||||
| 374,000 | SCB X PCL NVDR | 1,544,859 | ||||||||
| 850,600 | Thai Oil PCL NVDR | 1,208,259 | ||||||||
| 46,900 | Thai Vegetable Oil PCL NVDR | 35,966 | ||||||||
| 240,900 | TOA Paint Thailand PCL NVDR | 90,446 | ||||||||
|
|
|
|||||||||
| Total Thailand | 29,323,559 | |||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| Turkey — 0.1% | ||||||||||
| 182,181 | Anadolu Efes Biracilik Ve Malt Sanayii AS | 76,131 | ||||||||
| 93,060 | BIM Birlesik Magazalar AS | 747,488 | ||||||||
| 53,317 | Migros Ticaret AS | 756,441 | ||||||||
| 236,741 | Turk Hava Yollari AO | 1,519,492 | ||||||||
|
|
|
|||||||||
| Total Turkey | 3,099,552 | |||||||||
|
|
|
|||||||||
| Ukraine — 0.0% | ||||||||||
| 36,516 | Kernel Holding SA * | 194,102 | ||||||||
|
|
|
|||||||||
| United Arab Emirates — 0.1% | ||||||||||
| 230,415 | Emirates NBD Bank PJSC | 1,744,998 | ||||||||
| 120,444 | First Abu Dhabi Bank PJSC | 555,013 | ||||||||
|
|
|
|||||||||
| Total United Arab Emirates | 2,300,011 | |||||||||
|
|
|
|||||||||
| United Kingdom — 3.6% | ||||||||||
| 200,530 | 3i Group PLC | 6,090,056 | ||||||||
| 141,026 | Aberdeen Group PLC | 470,012 | ||||||||
| 32,447 | Anglo American PLC | 1,736,477 | ||||||||
| 41,172 | Associated British Foods PLC (a) (b) | 1,007,532 | ||||||||
| 35,970 | Barratt Redrow PLC (a) | 126,729 | ||||||||
| 3,391 | Berkeley Group Holdings PLC * | 156,277 | ||||||||
| 396,138 | BP PLC (b) | 2,798,107 | ||||||||
| 30,213 | British American Tobacco PLC Sponsored ADR (a) | 1,866,861 | ||||||||
| 3,698,773 | BT Group PLC | 10,372,341 | ||||||||
| 17,905 | DCC PLC | 1,444,496 | ||||||||
| 51,704 | Drax Group PLC | 549,372 | ||||||||
| 30,601 | Evraz PLC * (d) (f) | — | ||||||||
| 45,792 | Ferrexpo PLC * (e) | 17,934 | ||||||||
| 219,925 | Glencore PLC * | 1,672,616 | ||||||||
| 18,700 | Global Ship Lease, Inc. – Class A | 681,241 | ||||||||
| 227,316 | GSK PLC Sponsored ADR | 11,488,551 | ||||||||
| 104,467 | GSK PLC | 2,641,617 | ||||||||
| 12,278 | Halfords Group PLC | 28,713 | ||||||||
| 667,655 | Harbour Energy PLC | 2,364,105 | ||||||||
| 72,327 | HSBC Holdings PLC (b) | 1,358,173 | ||||||||
| 32,988 | Imperial Brands PLC (b) | 1,196,199 | ||||||||
| 27,836 | International Personal Finance PLC | 93,019 | ||||||||
| 413,488 | ITV PLC | 451,961 | ||||||||
| 1,375,708 | JD Sports Fashion PLC (a) (b) | 1,557,475 | ||||||||
| 119,004 | Jupiter Fund Management PLC | 256,284 | ||||||||
| 14,213 | Keller Group PLC | 454,602 | ||||||||
| 587,918 | Kingfisher PLC | 2,270,046 | ||||||||
| 68,000 | Lifezone Metals Ltd. * | 357,000 | ||||||||
| 12,776 | Lion Finance Group PLC | 1,906,340 | ||||||||
| 230,478 | Man Group PLC | 850,640 | ||||||||
| 14,277 | Morgan Sindall Group PLC | 875,400 | ||||||||
| 81,718 | NatWest Group PLC | 657,236 | ||||||||
| 102,347 | OSB Group PLC | 709,602 | ||||||||
| 34,541 | Paragon Banking Group PLC | 354,885 | ||||||||
| 11,664 | Plus500 Ltd. | 692,698 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United Kingdom — continued | ||||||||||
| 91,618 | Rio Tinto PLC Sponsored ADR (a) | 9,747,239 | ||||||||
| 15,526 | Rio Tinto PLC | 1,649,038 | ||||||||
| 49,103 | Shell PLC (b) | 2,074,864 | ||||||||
| 11,525 | Shell PLC ADR (b) | 969,483 | ||||||||
| 5,359 | TBC Bank Group PLC | 324,224 | ||||||||
| 4,763 | Unilever PLC Sponsored ADR (b) | 268,871 | ||||||||
| 42,219 | Vesuvius PLC | 264,761 | ||||||||
| 494,243 | Vodafone Group PLC Sponsored ADR (b) | 7,393,875 | ||||||||
| 287,560 | Vodafone Group PLC (b) | 432,123 | ||||||||
| 80,576 | Zigup PLC | 509,024 | ||||||||
|
|
|
|||||||||
| Total United Kingdom | 83,188,099 | |||||||||
|
|
|
|||||||||
| United States — 15.8% | ||||||||||
| 2,407 | A.O. Smith Corp. (a) | 136,525 | ||||||||
| 2,225 | Abercrombie & Fitch Co. – Class A * (a) | 171,815 | ||||||||
| 7,780 | Academy Sports & Outdoors, Inc. | 410,783 | ||||||||
| 10,863 | Accenture PLC – Class A (a) (b) | 2,032,141 | ||||||||
| 12,988 | Adobe, Inc. * (b) | 3,366,620 | ||||||||
| 3,100 | Advanced Drainage Systems, Inc. (a) | 431,396 | ||||||||
| 23,298 | Aemetis, Inc. * | 59,410 | ||||||||
| 5,946 | Aflac, Inc. (a) | 668,449 | ||||||||
| 10,000 | AGCO Corp. (a) | 1,122,800 | ||||||||
| 15,800 | Albemarle Corp. (a) | 2,787,436 | ||||||||
| 23,880 | Albertsons Cos., Inc. – Class A (a) | 372,767 | ||||||||
| 6,200 | Alcoa Corp. (a) | 481,368 | ||||||||
| 22,942 | Allstate Corp. (a) | 4,728,117 | ||||||||
| 159 | Alphabet, Inc. – Class A (a) | 60,474 | ||||||||
| 3,323 | Amazon.com, Inc. * (a) | 899,337 | ||||||||
| 33,993 | Ameresco, Inc. – Class A * | 1,223,068 | ||||||||
| 3,570 | American Express Co. (a) | 1,129,798 | ||||||||
| 8,056 | American International Group, Inc. (a) | 597,997 | ||||||||
| 571 | Ameriprise Financial, Inc. | 254,500 | ||||||||
| 38,140 | APA Corp. (a) | 1,389,440 | ||||||||
| 14,633 | Arch Capital Group Ltd. * (a) | 1,307,312 | ||||||||
| 9,658 | Archer-Daniels-Midland Co. (b) | 770,515 | ||||||||
| 203,090 | Array Technologies, Inc. * (a) | 1,844,057 | ||||||||
| 417 | Arrow Electronics, Inc. * (a) | 89,501 | ||||||||
| 91,649 | AT&T, Inc. (a) | 2,272,895 | ||||||||
| 4,448 | Atlassian Corp. – Class A * (a) | 478,649 | ||||||||
| 2,817 | Autoliv, Inc. (a) | 358,097 | ||||||||
| 1,005 | AutoNation, Inc. * | 188,659 | ||||||||
| 9,312 | Avnet, Inc. (a) | 809,492 | ||||||||
| 120,228 | Bank of America Corp. (a) (b) | 6,203,765 | ||||||||
| 7,962 | Bath & Body Works, Inc. (a) | 159,399 | ||||||||
| 884 | Becton Dickinson & Co. | 130,054 | ||||||||
| 894 | Berkshire Hathaway, Inc. – Class B * | 424,185 | ||||||||
| 55,633 | Best Buy Co., Inc. (b) | 4,336,592 | ||||||||
| 11,385 | Block, Inc. * | 862,072 | ||||||||
| 12,458 | Blue Owl Capital Corp. (a) | 140,277 | ||||||||
| 1,828 | Booz Allen Hamilton Holding Corp. (a) | 144,741 | ||||||||
| 1,814 | BorgWarner, Inc. (a) | 130,281 | ||||||||
| 3,358 | Bread Financial Holdings, Inc. | 299,097 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 40,556 | Bristol-Myers Squibb Co. | 2,318,992 | ||||||||
| 7,389 | Brown-Forman Corp. – Class B (a) | 190,045 | ||||||||
| 38,096 | Builders FirstSource, Inc. * (a) | 2,905,201 | ||||||||
| 35,400 | California Resources Corp. (a) | 2,098,866 | ||||||||
| 24,286 | Capital One Financial Corp. (a) (b) | 4,564,068 | ||||||||
| 2,986 | Carrier Global Corp. (a) | 190,716 | ||||||||
| 1,210 | CBRE Group, Inc. – Class A * (b) | 151,298 | ||||||||
| 3,376 | CDW Corp. | 423,519 | ||||||||
| 5,672 | Chevron Corp. | 1,034,913 | ||||||||
| 1,300 | Chord Energy Corp. (a) | 171,431 | ||||||||
| 2,980 | Chubb Ltd. (b) | 928,955 | ||||||||
| 18,970 | Cigna Group (a) | 5,262,278 | ||||||||
| 7,824 | Cisco Systems, Inc. (a) | 942,166 | ||||||||
| 49,843 | Citigroup, Inc. (a) (b) | 6,275,234 | ||||||||
| 149,841 | Clean Energy Fuels Corp. * (a) | 305,676 | ||||||||
| 262,046 | CNH Industrial NV (a) | 2,675,490 | ||||||||
| 70,985 | Cognizant Technology Solutions Corp. – Class A (a) (b) | 3,957,769 | ||||||||
| 5,411 | Colgate-Palmolive Co. (a) | 487,693 | ||||||||
| 172,001 | Comcast Corp. – Class A (a) (b) | 4,277,665 | ||||||||
| 3,506 | Commercial Metals Co. (a) | 266,631 | ||||||||
| 28,065 | ConocoPhillips (a) | 3,198,849 | ||||||||
| 61,908 | Corebridge Financial, Inc. (a) | 1,671,516 | ||||||||
| 9,300 | Corteva, Inc. (a) | 728,004 | ||||||||
| 1,368 | Covista, Inc. * (a) | 161,150 | ||||||||
| 14,700 | Crescent Energy Co. – Class A (a) | 169,932 | ||||||||
| 2,295 | CRH PLC (a) | 249,673 | ||||||||
| 5,132 | Crocs, Inc. * (a) | 609,014 | ||||||||
| 63,306 | CVS Health Corp. (a) | 5,759,580 | ||||||||
| 52,900 | Darling Ingredients, Inc. * (a) | 3,126,390 | ||||||||
| 12,756 | Deckers Outdoor Corp. * (a) | 1,452,271 | ||||||||
| 640 | Deere & Co. (a) | 346,995 | ||||||||
| 13,166 | Dell Technologies, Inc. – Class C (a) | 5,541,701 | ||||||||
| 61,956 | Delta Air Lines, Inc. (a) | 5,110,131 | ||||||||
| 15,658 | Devon Energy Corp. (a) | 696,624 | ||||||||
| 2,446 | Dollar General Corp. | 270,552 | ||||||||
| 28,103 | DR Horton, Inc. (a) | 4,133,670 | ||||||||
| 11,319 | Dropbox, Inc. – Class A * (a) | 304,255 | ||||||||
| 8,208 | DXC Technology Co. * (a) | 81,341 | ||||||||
| 2,047 | Eastman Chemical Co. (a) | 155,306 | ||||||||
| 42,447 | eBay, Inc. (a) (b) | 4,638,184 | ||||||||
| 15,999 | Edison International (b) | 1,118,970 | ||||||||
| 10,340 | Elevance Health, Inc. | 4,065,585 | ||||||||
| 2,873 | Enova International, Inc. * (a) | 464,018 | ||||||||
| 19,355 | EOG Resources, Inc. (a) | 2,581,570 | ||||||||
| 14,900 | EQT Corp. (a) | 818,457 | ||||||||
| 7,845 | Everest Group Ltd. (a) | 2,542,015 | ||||||||
| 9,922 | Expand Energy Corp. (a) | 922,455 | ||||||||
| 789 | Expedia Group, Inc. (a) | 178,148 | ||||||||
| 24,775 | Exxon Mobil Corp. (a) | 3,598,817 | ||||||||
| 1,590 | Federated Hermes, Inc. (a) | 89,135 | ||||||||
| 1,731 | FedEx Corp. (a) (b) | 712,739 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 6,558 | Fifth Third Bancorp (a) | 327,441 | ||||||||
| 2,926 | First Solar, Inc. * | 897,668 | ||||||||
| 2,321 | Fiserv, Inc. * | 131,276 | ||||||||
| 366,526 | Ford Motor Co. (a) | 6,392,213 | ||||||||
| 8,887 | Fortune Brands Innovations, Inc. (a) | 346,060 | ||||||||
| 5,213 | Fox Corp. – Class A (a) | 333,215 | ||||||||
| 17,740 | Fox Corp. – Class B | 1,018,099 | ||||||||
| 10,236 | Franklin Resources, Inc. (a) | 317,521 | ||||||||
| 13,500 | Freeport-McMoRan, Inc. (a) | 887,085 | ||||||||
| 9,534 | Gap, Inc. (b) | 201,644 | ||||||||
| 2,206 | Gartner, Inc. * | 357,813 | ||||||||
| 48,603 | GE HealthCare Technologies, Inc. (a) | 3,029,911 | ||||||||
| 10,566 | Gen Digital, Inc. (a) | 272,497 | ||||||||
| 91,610 | General Mills, Inc. (a) | 3,097,334 | ||||||||
| 65,460 | General Motors Co. (a) | 5,448,890 | ||||||||
| 5,423 | Genpact Ltd. (b) | 178,688 | ||||||||
| 1,837 | Gilead Sciences, Inc. (a) | 246,948 | ||||||||
| 6,886 | Global Payments, Inc. (a) | 519,962 | ||||||||
| 75,814 | Green Plains, Inc. * (a) | 1,188,005 | ||||||||
| 626 | Group 1 Automotive, Inc. (a) | 198,029 | ||||||||
| 4,600 | Gulfport Energy Corp. * | 775,514 | ||||||||
| 24,534 | H&R Block, Inc. (b) | 944,314 | ||||||||
| 17,347 | Halliburton Co. (a) | 673,931 | ||||||||
| 14,128 | Hartford Insurance Group, Inc. (a) | 1,796,093 | ||||||||
| 156,973 | Hewlett Packard Enterprise Co. (a) | 6,756,118 | ||||||||
| 178,858 | HP, Inc. (a) | 4,836,320 | ||||||||
| 5,239 | Humana, Inc. (a) | 1,600,095 | ||||||||
| 31,631 | Huntington Bancshares, Inc. (a) | 517,483 | ||||||||
| 45,037 | Incyte Corp. * (a) | 4,356,879 | ||||||||
| 2,214 | Ingredion, Inc. (a) | 224,588 | ||||||||
| 8,146 | International Business Machines Corp. (a) | 2,425,879 | ||||||||
| 636 | Intuit, Inc. (b) | 210,853 | ||||||||
| 7,896 | Janus Henderson Group PLC | 408,302 | ||||||||
| 12,530 | Johnson & Johnson (a) | 2,823,385 | ||||||||
| 7,958 | JPMorgan Chase & Co. (b) | 2,381,909 | ||||||||
| 9,098 | KB Home (a) | 444,528 | ||||||||
| 30,917 | Kenvue, Inc. (b) | 534,246 | ||||||||
| 12,905 | Keurig Dr. Pepper, Inc. (a) | 387,537 | ||||||||
| 5,769 | Kimberly-Clark Corp. (b) | 563,054 | ||||||||
| 3,695 | Kinder Morgan, Inc. (a) | 114,841 | ||||||||
| 528,058 | Kosmos Energy Ltd. * (a) | 1,478,562 | ||||||||
| 138,392 | Kraft Heinz Co. (a) | 3,322,792 | ||||||||
| 12,884 | Kroger Co. (a) (b) | 800,741 | ||||||||
| 1,127 | Lear Corp. | 161,296 | ||||||||
| 1,600 | Leidos Holdings, Inc. (a) | 204,480 | ||||||||
| 37,087 | Lennar Corp. – Class A (a) | 3,329,671 | ||||||||
| 12,825 | LKQ Corp. (a) | 347,814 | ||||||||
| 22,784 | Lululemon Athletica, Inc. * (a) | 2,988,805 | ||||||||
| 15,568 | LyondellBasell Industries NV – Class A | 1,037,607 | ||||||||
| 2,970 | M&T Bank Corp. (a) | 641,847 | ||||||||
| 805 | M/I Homes, Inc. * (a) | 105,954 | ||||||||
| 36,928 | Macy’s, Inc. (a) | 803,553 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 1,383 | Marathon Petroleum Corp. | 344,049 | ||||||||
| 2,800 | Matador Resources Co. (a) | 150,080 | ||||||||
| 34,877 | Match Group, Inc. | 1,260,106 | ||||||||
| 21,262 | Mattel, Inc. * (a) | 317,654 | ||||||||
| 48,705 | Merck & Co., Inc. (a) | 5,782,258 | ||||||||
| 4,199 | Meritage Homes Corp. | 273,943 | ||||||||
| 16,443 | Meta Platforms, Inc. – Class A (b) | 10,400,362 | ||||||||
| 8,578 | MetLife, Inc. (a) (b) | 709,315 | ||||||||
| 18,613 | MGIC Investment Corp. | 469,420 | ||||||||
| 20,707 | Microsoft Corp. (b) | 9,323,120 | ||||||||
| 11,654 | Mondelez International, Inc. – Class A (b) | 712,875 | ||||||||
| 6,617 | Mosaic Co. | 158,146 | ||||||||
| 5,514 | NetApp, Inc. | 961,035 | ||||||||
| 5,517 | Neurocrine Biosciences, Inc. * | 873,341 | ||||||||
| 190 | NewMarket Corp. (a) | 146,980 | ||||||||
| 4,200 | Nextpower, Inc. – Class A * (a) | 656,880 | ||||||||
| 4,389 | NIKE, Inc. – Class B (a) | 202,903 | ||||||||
| 3,900 | Noble Corp. PLC (a) | 181,272 | ||||||||
| 3,395 | Northrop Grumman Corp. (a) | 1,913,694 | ||||||||
| 9,000 | NOV, Inc. (a) | 179,640 | ||||||||
| 22,605 | Nucor Corp. (a) | 5,651,250 | ||||||||
| 870 | NXP Semiconductors NV (a) | 279,575 | ||||||||
| 36,152 | Omnicom Group, Inc. (a) | 2,628,612 | ||||||||
| 807 | Oshkosh Corp. | 104,910 | ||||||||
| 4,300 | Ovintiv, Inc. (a) | 240,972 | ||||||||
| 2,451 | Paycom Software, Inc. (a) | 342,331 | ||||||||
| 100,277 | PayPal Holdings, Inc. (a) | 4,487,396 | ||||||||
| 8,600 | Peabody Energy Corp. (a) | 232,630 | ||||||||
| 8,849 | PepsiCo, Inc. (a) (b) | 1,275,937 | ||||||||
| 6,714 | Perdoceo Education Corp. (b) | 217,399 | ||||||||
| 20,600 | Permian Resources Corp. – Class A (a) | 396,138 | ||||||||
| 224,403 | Pfizer, Inc. | 5,874,871 | ||||||||
| 891 | Phillips 66 | 156,709 | ||||||||
| 159,788 | Pinterest, Inc. – Class A * (a) | 3,203,749 | ||||||||
| 6,130 | PNC Financial Services Group, Inc. (a) (b) | 1,355,466 | ||||||||
| 3,213 | PPG Industries, Inc. (a) | 363,005 | ||||||||
| 15,191 | Procter & Gamble Co. (a) | 2,180,820 | ||||||||
| 9,578 | Progressive Corp. (a) (b) | 1,823,651 | ||||||||
| 3,075 | Prudential Financial, Inc. (a) | 309,468 | ||||||||
| 30,469 | PulteGroup, Inc. (a) | 3,600,826 | ||||||||
| 4,149 | PVH Corp. (a) | 387,019 | ||||||||
| 35,183 | QUALCOMM, Inc. (a) | 8,831,637 | ||||||||
| 19,999 | Radian Group, Inc. | 682,966 | ||||||||
| 8,236 | Regeneron Pharmaceuticals, Inc. (a) | 5,063,328 | ||||||||
| 41,379 | Regions Financial Corp. (a) | 1,158,612 | ||||||||
| 1,259 | ResMed, Inc. (a) | 239,928 | ||||||||
| 1,416 | Roper Technologies, Inc. (a) | 460,951 | ||||||||
| 3,790 | Signet Jewelers Ltd. (a) | 331,208 | ||||||||
| 5,125 | Skyworks Solutions, Inc. | 398,981 | ||||||||
| 13,204 | SLM Corp. (a) | 292,072 | ||||||||
| 25,500 | SM Energy Co. (a) | 783,105 | ||||||||
| 323 | Snap-on, Inc. (a) | 119,901 | ||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| 18,843 | SolarEdge Technologies, Inc. * (a) | 1,438,663 | ||||||||
| 43,456 | Solventum Corp. * (a) | 3,257,027 | ||||||||
| 17,979 | State Street Corp. (a) | 2,798,252 | ||||||||
| 7,259 | Steel Dynamics, Inc. (a) | 1,888,429 | ||||||||
| 134,201 | Sunrun, Inc. * (a) | 2,243,841 | ||||||||
| 79,526 | Super Micro Computer, Inc. * (a) | 3,665,353 | ||||||||
| 54,049 | Synchrony Financial (a) | 3,861,261 | ||||||||
| 1,161 | Sysco Corp. (b) | 88,015 | ||||||||
| 39,006 | T. Rowe Price Group, Inc. (a) | 4,077,297 | ||||||||
| 37,419 | Target Corp. (b) | 4,754,832 | ||||||||
| 2,143 | Terex Corp. (a) | 124,680 | ||||||||
| 36,090 | Textron, Inc. (a) | 3,311,618 | ||||||||
| 1,803 | Timken Co. (a) | 230,748 | ||||||||
| 633 | Toll Brothers, Inc. (a) | 87,696 | ||||||||
| 48,560 | Trade Desk, Inc. – Class A * (a) | 1,046,954 | ||||||||
| 3,627 | Travelers Cos., Inc. (b) | 1,058,685 | ||||||||
| 160,204 | TRU Taj LLC/TRU Taj Finance, Inc. * (d) | — | ||||||||
| 15,337 | Truist Financial Corp. (a) | 739,397 | ||||||||
| 80,695 | U.S. Bancorp (a) | 4,426,121 | ||||||||
| 30,901 | United Airlines Holdings, Inc. * (a) (b) | 3,547,435 | ||||||||
| 49,362 | United Parcel Service, Inc. – Class B (a) | 5,266,432 | ||||||||
| 7,583 | UnitedHealth Group, Inc. (a) | 2,883,891 | ||||||||
| 11,549 | Universal Health Services, Inc. – Class B (a) | 1,687,424 | ||||||||
| 1,331 | Unum Group | 110,779 | ||||||||
| 580 | Valmont Industries, Inc. (a) | 301,490 | ||||||||
| 134,027 | Verizon Communications, Inc. (a) (b) | 6,407,831 | ||||||||
| 13,380 | VICI Properties, Inc. – (REIT) (b) | 377,584 | ||||||||
| 3,811 | Vontier Corp. (a) | 108,156 | ||||||||
| 2,600 | Weatherford International PLC (a) | 269,464 | ||||||||
| 10,806 | Wells Fargo & Co. (a) | 837,897 | ||||||||
| 50,697 | Western Union Co. (a) | 412,167 | ||||||||
| 13,000 | Weyerhaeuser Co. – (REIT) (a) | 318,630 | ||||||||
| 4,932 | YETI Holdings, Inc. * (a) | 236,588 | ||||||||
| 6,893 | Zebra Technologies Corp. – Class A * | 1,679,342 | ||||||||
| 38,385 | Zoom Communications, Inc. * (a) (b) | 3,899,532 | ||||||||
| 18,038 | ZoomInfo Technologies, Inc. * | 60,067 | ||||||||
|
|
|
|||||||||
| Total United States | 367,584,898 | |||||||||
|
|
|
|||||||||
| Vietnam — 0.2% | ||||||||||
| 171,860 | An Binh CJSB * | 101,893 | ||||||||
| 8,800 | Binh Minh Plastics JSC | 45,952 | ||||||||
| 12,400 | Gelex Electric Equipment JSC | 48,164 | ||||||||
| 3,045 | Gelex Group JSC | 3,717 | ||||||||
| 73,600 | IDICO Corp. JSC | 121,297 | ||||||||
| 1,062 | Masan Consumer Corp. | 5,441 | ||||||||
| 229,800 | PetroVietNam Ca Mau Fertilizer JSC | 348,083 | ||||||||
| 77,400 | Petrovietnam Fertilizer & Chemicals JSC | 76,229 | ||||||||
| 19,700 | PetroVietnam Gas JSC | 65,482 | ||||||||
| 82,200 | PetroVietnam Oil Corp. | 47,173 | ||||||||
| 102,000 | Phu Nhuan Jewelry JSC | 255,430 | ||||||||
| 263,700 | Quang Ngai Sugar JSC | 477,049 | ||||||||
| Shares |
Description | Value ($) | ||||||||
| Vietnam — continued | ||||||||||
| 1,993,840 | Saigon - Hanoi Commercial Joint Stock Bank | 1,046,409 | ||||||||
| 251,300 | Saigon Beer Alcohol Beverage Corp. | 448,612 | ||||||||
| 868,100 | Vietnam Dairy Products JSC | 1,953,436 | ||||||||
| 181,000 | Vietnam Engine & Agricultural Machinery Corp. | 239,389 | ||||||||
| 105,100 | Vietnam Prosperity JSC Bank | 108,264 | ||||||||
|
|
|
|||||||||
| Total Vietnam | 5,392,020 | |||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (COST $1,499,913,215) |
1,705,977,722 | |||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (g) — 1.3% | ||||||||||
| Brazil — 0.6% | ||||||||||
| 216,000 | Banco Bradesco SA ADR | 753,840 | ||||||||
| 918,300 | Bradespar SA | 4,232,384 | ||||||||
| 1,562,750 | Cia Energetica de Minas Gerais | 3,333,338 | ||||||||
| 95,400 | Gerdau SA | 430,615 | ||||||||
| 101,898 | Gerdau SA Sponsored ADR | 458,541 | ||||||||
| 22,000 | Itausa SA | 56,346 | ||||||||
| 280,600 | Petroleo Brasileiro SA - Petrobras | 2,336,224 | ||||||||
| 202,200 | Petroleo Brasileiro SA - Petrobras Sponsored ADR | 3,390,894 | ||||||||
|
|
|
|||||||||
| Total Brazil | 14,992,182 | |||||||||
|
|
|
|||||||||
| Chile — 0.1% | ||||||||||
| 28,200 | Sociedad Quimica y Minera de Chile SA Sponsored ADR | 2,421,534 | ||||||||
|
|
|
|||||||||
| Germany — 0.3% | ||||||||||
| 7,468 | Bayerische Motoren Werke AG | 649,127 | ||||||||
| 15,503 | Henkel AG & Co. KGaA (b) | 1,203,334 | ||||||||
| 54,066 | Volkswagen AG * | 5,768,819 | ||||||||
|
|
|
|||||||||
| Total Germany | 7,621,280 | |||||||||
|
|
|
|||||||||
| Italy — 0.0% | ||||||||||
| 2,006 | Danieli & C Officine Meccaniche SpA | 116,816 | ||||||||
|
|
|
|||||||||
| Russia — 0.0% | ||||||||||
| 79,750 | Nizhnekamskneftekhim PJSC * (d) (f) | — | ||||||||
| 12,313 | Tatneft PJSC * (d) (f) | — | ||||||||
|
|
|
|||||||||
| Total Russia | — | |||||||||
|
|
|
|||||||||
| South Korea — 0.3% | ||||||||||
| 42,039 | Samsung Electronics Co. Ltd. | 5,624,545 | ||||||||
| 114 | Samsung Electronics Co. Ltd. GDR (Registered) | 388,964 | ||||||||
|
|
|
|||||||||
| Total South Korea | 6,013,509 | |||||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (COST $29,993,215) |
31,165,321 | |||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares / Par Value† |
Description | Value ($) | ||||||||
| RIGHTS/WARRANTS — 0.0% |
| |||||||||
| Canada — 0.0% | ||||||||||
| 724,783 | Resolute Forest Products, Inc. * (e) | 1,087,174 | ||||||||
|
|
|
|||||||||
| United States — 0.0% | ||||||||||
| 197,320 | Walgreens Boots Alliance, Inc. CVR * (e) | 98,660 | ||||||||
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS (COST $1,127,212) |
1,185,834 | |||||||||
|
|
|
|||||||||
| INVESTMENT FUNDS — 3.8% | ||||||||||
| Japan — 0.1% | ||||||||||
| 2,544,000 | Carlyle ARE Partners II, L.P. (d) (h) | 1,436,823 | ||||||||
|
|
|
|||||||||
| United States — 3.7% | ||||||||||
| 17,211,076 | GMO U.S. Treasury Fund, Class VI (i) (j) | 86,227,493 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $87,830,312) |
87,664,316 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 21.7% | ||||||||||
| Dominican Republic — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| DOP |
80,000,000 | Dominican Republic International Bonds, Reg S, 13.63%, due 02/03/33 | 1,610,626 | |||||||
|
|
|
|||||||||
| Kazakhstan — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
| KZT |
147,000,000 | Development Bank of Kazakhstan JSC, 144A, 16.95%, due 05/08/29 | 295,715 | |||||||
|
|
|
|||||||||
| Malaysia — 0.1% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.1% | ||||||||||
| MYR |
8,300,000 | Malaysia Government Bonds, 3.90%, due 11/30/26 | 2,102,810 | |||||||
|
|
|
|||||||||
| Paraguay — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
| PYG |
1,930,000,000 | Paraguay Government International Bonds, 144A, 8.50%, due 04/04/38 | 301,788 | |||||||
|
|
|
|||||||||
| Uganda — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
| UGX |
1,180,000,000 | Republic of Uganda Government Bonds, 15.80%, due 06/23/39 | 313,605 | |||||||
|
|
|
|||||||||
| United States — 21.5% | ||||||||||
| U.S. Government — 21.5% | ||||||||||
| 100,000,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 07/31/27 (b) | 100,097,133 | ||||||||
| Par Value† / Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| U.S. Government — continued | ||||||||||
| 152,900,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.82%, due 10/31/27 | 153,162,809 | ||||||||
| 246,995,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 (b) | 247,034,356 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 500,294,298 | |||||||||
|
|
|
|||||||||
| Total United States | 500,294,298 | |||||||||
|
|
|
|||||||||
| Uruguay — 0.0% | ||||||||||
| Sovereign and Sovereign Agency Issuers — 0.0% | ||||||||||
| UYU |
19,000,000 | Uruguay Government International Bonds, 9.75%, due 07/20/33 | 525,109 | |||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $505,117,949) |
505,443,951 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 18.5% | ||||||||||
| Money Market Funds — 0.7% | ||||||||||
| 16,764,312 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (k) | 16,764,312 | ||||||||
|
|
|
|||||||||
| Repurchase Agreements — 17.6% | ||||||||||
| 210,000,000 | Nomura Securities International, Inc. Repurchase Agreement, dated 05/29/26, maturing on 06/01/26 with a maturity value of $210,063,175 and an effective yield of 3.61%, collateralized by a U.S. Treasury Note with maturity date 10/31/27 and a market value of $214,375,457. | 210,000,000 | ||||||||
| 200,004,329 | Daiwa Capital Markets America, Inc. Repurchase Agreement, dated 05/29/26, maturing on 06/01/26 with a maturity value of $200,064,664 and an effective yield of 3.62%, collateralized by a U.S. Treasury Note with maturity date 06/15/28 and a market value of $204,116,259. | 200,004,329 | ||||||||
|
|
|
|||||||||
| Total Repurchase Agreements | 410,004,329 | |||||||||
|
|
|
|||||||||
| Sovereign and Sovereign Agency Issuers — 0.2% | ||||||||||
| EGP |
94,000,000 | Egypt Treasury Bills, Zero Coupon, due 10/20/26 | 1,651,138 | |||||||
| NGN |
2,359,999,999 | Nigeria OMO Bills, Zero Coupon, due 07/07/26 | 1,686,480 | |||||||
|
|
|
|||||||||
| Total Sovereign and Sovereign Agency Issuers | 3,337,618 | |||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $430,168,893) |
430,106,259 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 118.6% (Cost $2,554,150,796) |
2,761,543,403 | |||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| SECURITIES SOLD SHORT — (15.2)% | ||||||||||
| Common Stocks — (15.1)% | ||||||||||
| Australia — (0.5)% | ||||||||||
| (258,589 | ) | Lottery Corp. Ltd. | (1,004,503 | ) | ||||||
| (190,411 | ) | Lynas Rare Earths Ltd. * | (2,617,863 | ) | ||||||
| (27,502 | ) | Pro Medicus Ltd. | (2,614,471 | ) | ||||||
| (328 | ) | REA Group Ltd. | (35,088 | ) | ||||||
| (546,641 | ) | Sigma Healthcare Ltd. | (1,153,151 | ) | ||||||
| (28,175 | ) | WiseTech Global Ltd. | (732,477 | ) | ||||||
| (51,948 | ) | Xero Ltd. * | (2,822,780 | ) | ||||||
|
|
|
|||||||||
| Total Australia | (10,980,333 | ) | ||||||||
|
|
|
|||||||||
| Belgium — (0.0)% | ||||||||||
| (71 | ) | Lotus Bakeries NV | (909,925 | ) | ||||||
|
|
|
|||||||||
| Brazil — (0.1)% | ||||||||||
| (194,951 | ) | NU Holdings Ltd. – Class A * | (2,559,707 | ) | ||||||
|
|
|
|||||||||
| Canada — (1.0)% | ||||||||||
| (54,100 | ) | AltaGas Ltd. | (2,105,295 | ) | ||||||
| (37,832 | ) | Brookfield Renewable Corp. | (1,512,523 | ) | ||||||
| (16,941 | ) | Cameco Corp. | (1,909,251 | ) | ||||||
| (2,600 | ) | Dollarama, Inc. | (332,485 | ) | ||||||
| (6,000 | ) | Element Fleet Management Corp. | (119,552 | ) | ||||||
| (34,251 | ) | Enbridge, Inc. | (1,874,900 | ) | ||||||
| (7,373 | ) | Franco-Nevada Corp. | (1,700,951 | ) | ||||||
| (33,633 | ) | GFL Environmental, Inc. | (1,128,051 | ) | ||||||
| (82,500 | ) | Keyera Corp. | (3,422,315 | ) | ||||||
| (32,935 | ) | Pan American Silver Corp. | (1,876,966 | ) | ||||||
| (44,258 | ) | Pembina Pipeline Corp. | (2,060,210 | ) | ||||||
| (13,820 | ) | RB Global, Inc. | (1,469,757 | ) | ||||||
| (25,228 | ) | Restaurant Brands International, Inc. | (1,884,531 | ) | ||||||
| (1,666 | ) | TC Energy Corp. | (110,989 | ) | ||||||
| (9,775 | ) | Wheaton Precious Metals Corp. | (1,296,165 | ) | ||||||
|
|
|
|||||||||
| Total Canada | (22,803,941 | ) | ||||||||
|
|
|
|||||||||
| Chile — (0.1)% | ||||||||||
| (27,471 | ) | Latam Airlines Group SA ADR | (1,474,643 | ) | ||||||
|
|
|
|||||||||
| China — (0.1)% | ||||||||||
| (306,427 | ) | NIO, Inc. ADR * | (1,715,991 | ) | ||||||
| (48,194 | ) | XPeng, Inc. ADR * | (792,791 | ) | ||||||
|
|
|
|||||||||
| Total China | (2,508,782 | ) | ||||||||
|
|
|
|||||||||
| Denmark — (0.3)% | ||||||||||
| (44,978 | ) | Coloplast AS – Class B | (2,761,166 | ) | ||||||
| (6,111 | ) | Novonesis Novozymes B – Class B | (355,038 | ) | ||||||
| (15,014 | ) | Orsted AS * | (382,640 | ) | ||||||
| (106,812 | ) | Tryg AS | (2,510,604 | ) | ||||||
|
|
|
|||||||||
| Total Denmark | (6,009,448 | ) | ||||||||
|
|
|
|||||||||
| Shares |
Description | Value ($) | ||||||||
| France — (0.3)% | ||||||||||
| (13,120 | ) | Aeroports de Paris SA | (1,757,937 | ) | ||||||
| (100,458 | ) | Getlink SE | (2,195,044 | ) | ||||||
| (1,080 | ) | Hermes International SCA | (2,018,226 | ) | ||||||
|
|
|
|||||||||
| Total France | (5,971,207 | ) | ||||||||
|
|
|
|||||||||
| Germany — (0.5)% | ||||||||||
| (68,547 | ) | Delivery Hero SE * | (2,936,422 | ) | ||||||
| (25,236 | ) | Hensoldt AG | (2,619,997 | ) | ||||||
| (3,276 | ) | HOCHTIEF AG | (1,852,129 | ) | ||||||
| (2,134 | ) | MTU Aero Engines AG | (778,561 | ) | ||||||
| (454 | ) | Rational AG | (347,377 | ) | ||||||
| (531 | ) | RWE AG | (33,746 | ) | ||||||
| (10,877 | ) | Siemens Energy AG | (2,059,168 | ) | ||||||
| (18,382 | ) | Talanx AG | (2,198,785 | ) | ||||||
|
|
|
|||||||||
| Total Germany | (12,826,185 | ) | ||||||||
|
|
|
|||||||||
| Israel — (0.0)% | ||||||||||
| (1,422 | ) | Wix.com Ltd. * | (79,717 | ) | ||||||
|
|
|
|||||||||
| Italy — (0.3)% | ||||||||||
| (12,003 | ) | Ferrari NV (c) | (4,124,361 | ) | ||||||
| (689 | ) | Ferrari NV (c) | (234,419 | ) | ||||||
| (120,682 | ) | FinecoBank Banca Fineco SpA | (2,944,540 | ) | ||||||
| (728 | ) | Prysmian SpA | (125,410 | ) | ||||||
|
|
|
|||||||||
| Total Italy | (7,428,730 | ) | ||||||||
|
|
|
|||||||||
| Japan — (1.3)% | ||||||||||
| (8,400 | ) | Advantest Corp. | (1,373,361 | ) | ||||||
| (302,600 | ) | Aeon Co. Ltd. | (2,648,565 | ) | ||||||
| (7,100 | ) | Asics Corp. | (215,684 | ) | ||||||
| (6,700 | ) | Disco Corp. | (2,733,833 | ) | ||||||
| (3,300 | ) | Fast Retailing Co. Ltd. | (1,710,180 | ) | ||||||
| (33,700 | ) | Fujikura Ltd. | (1,004,277 | ) | ||||||
| (8,100 | ) | Ibiden Co. Ltd. | (1,164,522 | ) | ||||||
| (90,800 | ) | IHI Corp. | (1,577,774 | ) | ||||||
| (184,600 | ) | Japan Exchange Group, Inc. | (2,255,120 | ) | ||||||
| (100 | ) | Kobe Bussan Co. Ltd. | (1,701 | ) | ||||||
| (400 | ) | Lasertec Corp. | (101,138 | ) | ||||||
| (46,700 | ) | Mitsubishi Heavy Industries Ltd. | (1,103,930 | ) | ||||||
| (58,900 | ) | MonotaRO Co. Ltd. | (696,141 | ) | ||||||
| (249,500 | ) | Oriental Land Co. Ltd. | (3,587,970 | ) | ||||||
| (498,500 | ) | Rakuten Group, Inc. * | (2,330,242 | ) | ||||||
| (7,100 | ) | Ryohin Keikaku Co. Ltd. | (173,409 | ) | ||||||
| (289,700 | ) | Sanrio Co. Ltd. | (1,557,773 | ) | ||||||
| (5,100 | ) | Seibu Holdings, Inc. | (90,370 | ) | ||||||
| (69,700 | ) | Shiseido Co. Ltd. | (1,228,889 | ) | ||||||
| (2,973,800 | ) | SoftBank Corp. | (4,017,795 | ) | ||||||
| (11,900 | ) | Zensho Holdings Co. Ltd. | (601,851 | ) | ||||||
|
|
|
|||||||||
| Total Japan | (30,174,525 | ) | ||||||||
|
|
|
|||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| Mexico — (0.0)% | ||||||||||
| (1,320 | ) | Grupo Aeroportuario del Pacifico SAB de CV ADR | (311,916 | ) | ||||||
|
|
|
|||||||||
| Netherlands — (0.4)% | ||||||||||
| (12,018 | ) | BE Semiconductor Industries NV | (3,979,229 | ) | ||||||
| (179,843 | ) | CVC Capital Partners PLC | (2,874,675 | ) | ||||||
| (7,890 | ) | Nebius Group NV * | (1,823,300 | ) | ||||||
|
|
|
|||||||||
| Total Netherlands | (8,677,204 | ) | ||||||||
|
|
|
|||||||||
| Norway — (0.2)% | ||||||||||
| (88,093 | ) | Kongsberg Gruppen ASA | (3,155,590 | ) | ||||||
| (31,977 | ) | Salmar ASA | (1,986,599 | ) | ||||||
|
|
|
|||||||||
| Total Norway | (5,142,189 | ) | ||||||||
|
|
|
|||||||||
| Peru — (0.1)% | ||||||||||
| (17,910 | ) | Southern Copper Corp. | (3,426,246 | ) | ||||||
|
|
|
|||||||||
| Singapore — (0.0)% | ||||||||||
| (314,531 | ) | Grab Holdings Ltd. – Class A * | (1,113,440 | ) | ||||||
|
|
|
|||||||||
| Spain — (0.3)% | ||||||||||
| (73,741 | ) | Cellnex Telecom SA * | (2,467,570 | ) | ||||||
| (51,653 | ) | Ferrovial NV | (3,532,995 | ) | ||||||
|
|
|
|||||||||
| Total Spain | (6,000,565 | ) | ||||||||
|
|
|
|||||||||
| Sweden — (0.2)% | ||||||||||
| (94,520 | ) | EQT AB | (3,250,947 | ) | ||||||
| (3,652 | ) | Spotify Technology SA * | (1,817,527 | ) | ||||||
|
|
|
|||||||||
| Total Sweden | (5,068,474 | ) | ||||||||
|
|
|
|||||||||
| Switzerland — (0.2)% | ||||||||||
| (34,117 | ) | Avolta AG | (2,143,860 | ) | ||||||
| (46 | ) | Chocoladefabriken Lindt & Spruengli AG | (548,062 | ) | ||||||
| (87 | ) | Partners Group Holding AG | (91,791 | ) | ||||||
| (996 | ) | VAT Group AG | (777,664 | ) | ||||||
|
|
|
|||||||||
| Total Switzerland | (3,561,377 | ) | ||||||||
|
|
|
|||||||||
| United Kingdom — (0.7)% | ||||||||||
| (21,826 | ) | Antofagasta PLC | (1,202,338 | ) | ||||||
| (83,212 | ) | Entain PLC | (595,444 | ) | ||||||
| (236,054 | ) | Informa PLC | (2,564,605 | ) | ||||||
| (24,767 | ) | InterContinental Hotels Group PLC | (3,798,049 | ) | ||||||
| (18,443 | ) | London Stock Exchange Group PLC | (2,231,590 | ) | ||||||
| (20,728 | ) | Rolls-Royce Holdings PLC | (372,934 | ) | ||||||
| (59,494 | ) | Severn Trent PLC | (2,372,259 | ) | ||||||
| (204,525 | ) | Standard Life PLC | (2,127,934 | ) | ||||||
| (174,363 | ) | Wise Group PLC – Class A * | (2,184,347 | ) | ||||||
|
|
|
|||||||||
| Total United Kingdom | (17,449,500 | ) | ||||||||
|
|
|
|||||||||
| United States — (8.5)% | ||||||||||
| (14,431 | ) | AbbVie, Inc. | (3,141,917 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (68,265 | ) | Affirm Holdings, Inc. * | (5,027,717 | ) | ||||||
| (671 | ) | Air Products & Chemicals, Inc. | (186,954 | ) | ||||||
| (9,878 | ) | Alnylam Pharmaceuticals, Inc. * | (2,982,958 | ) | ||||||
| (3,294 | ) | Analog Devices, Inc. | (1,363,222 | ) | ||||||
| (7,465 | ) | AppLovin Corp. – Class A * | (4,576,717 | ) | ||||||
| (4,319 | ) | Arthur J Gallagher & Co. | (868,594 | ) | ||||||
| (28,434 | ) | AST SpaceMobile, Inc. * | (3,224,700 | ) | ||||||
| (8,737 | ) | Axon Enterprise, Inc. * | (3,920,467 | ) | ||||||
| (6,716 | ) | Bloom Energy Corp. – Class A * | (1,914,060 | ) | ||||||
| (16,015 | ) | Boeing Co. * | (3,701,867 | ) | ||||||
| (10,521 | ) | Burlington Stores, Inc. * | (3,407,015 | ) | ||||||
| (47,075 | ) | Carvana Co. * | (3,436,475 | ) | ||||||
| (3,546 | ) | Ciena Corp. * | (2,057,496 | ) | ||||||
| (13,849 | ) | Cintas Corp. | (2,371,780 | ) | ||||||
| (14,603 | ) | Cloudflare, Inc. – Class A * | (3,531,298 | ) | ||||||
| (2,443 | ) | Coherent Corp. * | (883,071 | ) | ||||||
| (13,955 | ) | CoreWeave, Inc. – Class A * | (1,528,491 | ) | ||||||
| (10,578 | ) | Corning, Inc. | (1,916,311 | ) | ||||||
| (117 | ) | Costco Wholesale Corp. | (111,889 | ) | ||||||
| (18,439 | ) | Credo Technology Group Holding Ltd. * | (4,352,157 | ) | ||||||
| (19,678 | ) | DoorDash, Inc. – Class A * | (3,134,509 | ) | ||||||
| (187,824 | ) | DraftKings, Inc. – Class A * | (4,599,810 | ) | ||||||
| (10,182 | ) | Ecolab, Inc. | (2,606,592 | ) | ||||||
| (2,580 | ) | Fair Isaac Corp. * | (3,226,522 | ) | ||||||
| (86,764 | ) | Fidelity National Information Services, Inc. | (3,729,984 | ) | ||||||
| (8,556 | ) | FTAI Aviation Ltd. | (2,227,469 | ) | ||||||
| (362 | ) | GE Vernova, Inc. | (350,532 | ) | ||||||
| (20,900 | ) | Hyatt Hotels Corp. – Class A | (3,790,424 | ) | ||||||
| (20,599 | ) | Insmed, Inc. * | (2,202,239 | ) | ||||||
| (668 | ) | Insulet Corp. * | (96,820 | ) | ||||||
| (75,321 | ) | IonQ, Inc. * | (5,428,385 | ) | ||||||
| (34,434 | ) | IREN Ltd. * | (2,187,936 | ) | ||||||
| (1,783 | ) | Johnson Controls International PLC | (239,029 | ) | ||||||
| (47,567 | ) | Liberty Media Corp.-Liberty Formula One – Class C * | (4,318,608 | ) | ||||||
| (7,031 | ) | Linde PLC | (3,499,258 | ) | ||||||
| (21,515 | ) | Live Nation Entertainment, Inc. * | (3,623,341 | ) | ||||||
| (1,396 | ) | Lumentum Holdings, Inc. * | (1,193,524 | ) | ||||||
| (432 | ) | Marriott International, Inc. – Class A | (162,259 | ) | ||||||
| (6,811 | ) | Marvell Technology, Inc. | (1,396,255 | ) | ||||||
| (3,713 | ) | McKesson Corp. | (2,756,680 | ) | ||||||
| (12,956 | ) | MongoDB, Inc. * | (4,347,386 | ) | ||||||
| (626 | ) | Motorola Solutions, Inc. | (252,453 | ) | ||||||
| (6,189 | ) | MSCI, Inc. | (3,907,611 | ) | ||||||
| (16,706 | ) | Natera, Inc. * | (3,731,619 | ) | ||||||
| (1,917 | ) | NiSource, Inc. | (88,604 | ) | ||||||
| (52,198 | ) | Oklo, Inc. * | (3,491,002 | ) | ||||||
| (54,690 | ) | Okta, Inc. * | (6,741,636 | ) | ||||||
| (39,650 | ) | ONEOK, Inc. | (3,328,221 | ) | ||||||
| (3,514 | ) | O’Reilly Automotive, Inc. * | (305,296 | ) | ||||||
| (51,988 | ) | Otis Worldwide Corp. | (3,682,830 | ) | ||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (21,329 | ) | Palantir Technologies, Inc. – Class A * | (3,338,842 | ) | ||||||
| (4,310 | ) | Palo Alto Networks, Inc. * | (1,214,084 | ) | ||||||
| (210,743 | ) | Rivian Automotive, Inc. – Class A * | (3,435,111 | ) | ||||||
| (90,052 | ) | ROBLOX Corp. – Class A * | (4,245,952 | ) | ||||||
| (128,394 | ) | Rocket Cos., Inc. – Class A * | (1,862,997 | ) | ||||||
| (29,202 | ) | Rocket Lab Corp. * | (4,189,903 | ) | ||||||
| (58,164 | ) | Rollins, Inc. | (2,768,606 | ) | ||||||
| (84,612 | ) | Samsara, Inc. – Class A * | (2,960,574 | ) | ||||||
| (2,572 | ) | Seagate Technology Holdings PLC | (2,262,846 | ) | ||||||
| (16,183 | ) | Snowflake, Inc. * | (4,135,566 | ) | ||||||
| (200,346 | ) | SoFi Technologies, Inc. * | (3,650,304 | ) | ||||||
| (28,344 | ) | Starbucks Corp. | (2,810,591 | ) | ||||||
| (1,688 | ) | STERIS PLC | (359,088 | ) | ||||||
| (782 | ) | Take-Two Interactive Software, Inc. * | (175,293 | ) | ||||||
| (8,433 | ) | Tesla, Inc. * | (3,675,017 | ) | ||||||
| (7,850 | ) | Texas Pacific Land Corp. | (3,085,050 | ) | ||||||
| (1,337 | ) | TransDigm Group, Inc. | (1,682,374 | ) | ||||||
| (1,925 | ) | Twilio, Inc. – Class A * | (366,982 | ) | ||||||
| (1,034 | ) | Tyler Technologies, Inc. * | (323,797 | ) | ||||||
| (6,349 | ) | Vistra Corp. | (1,017,300 | ) | ||||||
| (9,795 | ) | Watsco, Inc. | (3,595,745 | ) | ||||||
| (4,262 | ) | Western Digital Corp. | (2,264,017 | ) | ||||||
| Shares |
Description | Value ($) | ||||||||
| United States — continued | ||||||||||
| (46,891 | ) | Williams Cos., Inc. | (3,347,549 | ) | ||||||
| (44,070 | ) | Zillow Group, Inc. – Class C * | (1,542,450 | ) | ||||||
| (26,429 | ) | Zscaler, Inc. * | (3,692,924 | ) | ||||||
|
|
|
|||||||||
| Total United States | (197,154,952 | ) | ||||||||
|
|
|
|||||||||
| TOTAL COMMON STOCKS (PROCEEDS $271,248,998) |
(351,633,006 | ) | ||||||||
|
|
|
|||||||||
| PREFERRED STOCKS (g) — (0.1)% | ||||||||||
| Germany — (0.1)% | ||||||||||
| (8,816 | ) | Sartorius AG | (2,512,893 | ) | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS (PROCEEDS $2,553,424) |
(2,512,893 | ) | ||||||||
|
|
|
|||||||||
| TOTAL SECURITIES SOLD SHORT (PROCEEDS $273,802,422) | (354,145,899 | ) | ||||||||
| Other Assets and Liabilities (net) — (3.4)% | (78,861,625 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $2,328,535,879 | |||||||||
|
|
|
|||||||||
Additional information on each restricted security is as follows:
| Issuer Description |
Acquisition Date |
Acquisition Cost |
Value as a Percentage of Fund’s Net Assets |
Value as of May 31, 2026 |
||||||||
| Carlyle ARE Partners II, L.P. | 03/24/26 | $ | 1,600,957 | 0.1% | $ | 1,436,823 | ||||||
| Evraz PLC | 10/21/21 | 259,269 | 0.0% | — | ||||||||
| Federal Grid Co-Rosseti PJSC | 10/08/19 | 1,057,715 | 0.0% | — | ||||||||
| Gazprom PJSC | 08/10/20 | 17,682,067 | 0.0% | — | ||||||||
| GMK Norilskiy Nickel PAO | 02/11/20 | 4,352,696 | 0.0% | — | ||||||||
| Inter RAO UES PJSC | 01/13/20 | 1,798,790 | 0.0% | — | ||||||||
| LSR Group PJSC | 11/30/18 | 882,290 | 0.0% | — | ||||||||
| LSR Group PJSC GDR | 09/07/20 | 8 | 0.0% | — | ||||||||
| Mosenergo PJSC | 11/19/21 | 224,074 | 0.0% | — | ||||||||
| Nizhnekamskneftekhim PJSC | 03/24/20 | 79,541 | 0.0% | — | ||||||||
| Novatek PJSC | 10/21/21 | 776,536 | 0.0% | — | ||||||||
| Novolipetsk Steel PJSC | 02/13/18 | 9,617,214 | 0.0% | — | ||||||||
| PhosAgro PJSC | 08/15/22 | 434,931 | 0.0% | — | ||||||||
| PhosAgro PJSC GDR | 10/15/21 | 2,792 | 0.0% | — | ||||||||
| Polyus PJSC GDR | 02/24/23 | 0 | 0.0% | — | ||||||||
| Severstal PAO GDR (Registered) | 10/23/17 | 5,003,828 | 0.0% | — | ||||||||
| SFI PJSC | 09/11/18 | 318,293 | 0.0% | — | ||||||||
| Tatneft PJSC | 11/02/18 | 8,698,468 | 0.0% | — | ||||||||
| Tatneft PJSC | 12/15/21 | 71,966 | 0.0% | — | ||||||||
| Unipro PAO | 12/18/19 | 32,903 | 0.0% | — | ||||||||
| United Co. RUSAL International PJSC | 11/12/21 | 56,186 | 0.0% | — | ||||||||
| VTB Bank PJSC | 01/09/20 | 1 | 0.0% | — | ||||||||
|
|
|
|||||||||||
| $ | 1,436,823 | |||||||||||
|
|
|
|||||||||||
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Forward Currency Contracts
| Settlement |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 07/15/2026 | SSB | MXN | 17,500,000 | USD | 1,010,835 | 5,093 | ||||||||||||||||
| 07/01/2026 | MSCI | PHP | 30,600,000 | USD | 511,372 | 14,780 | ||||||||||||||||
| 08/10/2026 | MSCI | USD | 7,807,647 | COP | 29,686,000,000 | 111,101 | ||||||||||||||||
| 07/15/2026 | DB | USD | 1,599,174 | CZK | 33,300,000 | 953 | ||||||||||||||||
| 08/31/2026 | JPM | USD | 10,081,731 | EUR | 8,632,000 | 24,314 | ||||||||||||||||
| 08/19/2026 | DB | USD | 1,645,065 | HUF | 511,500,000 | 34,876 | ||||||||||||||||
| 07/15/2026 | SSB | USD | 5,267,614 | MXN | 92,700,000 | 59,944 | ||||||||||||||||
| 06/30/2026 | CITI | USD | 1,270,134 | PEN | 4,400,000 | 17,160 | ||||||||||||||||
| 06/30/2026 | MSCI | USD | 5,688,540 | PEN | 20,100,000 | 192,055 | ||||||||||||||||
| 07/29/2026 | BCLY | USD | 986,510 | TRY | 48,300,000 | 9,204 | ||||||||||||||||
| 06/30/2026 | CITI | USD | 134,515 | ZAR | 2,200,000 | 850 | ||||||||||||||||
| 06/30/2026 | MSCI | USD | 7,317,132 | ZAR | 122,000,000 | 189,443 | ||||||||||||||||
| 08/10/2026 | GS | COP | 864,700,000 | USD | 229,045 | (1,614 | ) | |||||||||||||||
| 07/02/2026 | JPM | USD | 8,076,271 | BRL | 41,000,000 | (8,026 | ) | |||||||||||||||
| 08/05/2026 | CITI | USD | 2,567,472 | IDR | 44,734,100,000 | (69,558 | ) | |||||||||||||||
| 08/05/2026 | GS | USD | 153,267 | IDR | 2,656,300,000 | (4,941 | ) | |||||||||||||||
| 07/01/2026 | CITI | USD | 2,075,518 | PHP | 126,700,000 | (19,367 | ) | |||||||||||||||
| 07/21/2026 | CITI | USD | 1,607,312 | THB | 51,000,000 | (34,404 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| $ | 521,863 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 1,705 | U.S. Treasury Note 10 Yr. (CBT) | September 2026 | 187,256,953 | 390,581 | ||||||||
| 3,755 | U.S. Treasury Note 2 Yr. (CBT) | September 2026 | 775,642,188 | 1,746,961 | ||||||||
| 3,061 | U.S. Treasury Note 5 Yr. (CBT) | September 2026 | 328,172,681 | 396,981 | ||||||||
| 1,097 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2026 | 122,949,703 | 478,490 | ||||||||
| 108 | U.S. Ultra Bond (CBT) | September 2026 | 12,355,875 | 198,966 | ||||||||
|
|
|
|
|
|||||||||
| $ | 1,426,377,400 | $ | 3,211,979 | |||||||||
|
|
|
|
|
|||||||||
| Sales | ||||||||||||
| 472 | TOPIX Index | June 2026 | $ | 117,216,314 | $ | (11,330,892 | ) | |||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||||||
| Buy Protection^: |
||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.S46 |
USD | 24,750,000 | 5.00% | 3.02 | % | N/A | 06/20/2031 | Quarterly | (990,000 | ) | (2,064,175 | ) | (1,074,175 | ) | ||||||||||||||||||||||
| ITRAXX.EUR.45 |
EUR | 558,000,000 | 1.00% | 0.53 | % | N/A | 06/20/2031 | Quarterly | (9,912,763 | ) | (14,493,151 | ) | (4,580,388 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | (10,902,763 | ) | $ | (16,557,326 | ) | $ | (5,654,563 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2026, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (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)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts — Continued
OTC Total Return Swaps
| Fund Pays |
Fund Receives | Counterparty |
Notional Amount |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||
| Total Return on Equity Basket (l) |
1 Month Federal Funds Rate minus 0.40% |
MORD | USD | 22,803,277 | 06/18/2027 | Monthly | — | 469,176 | 469,176 | |||||||||||||||||||||||
| Total Return on Equity Basket (m) |
1 Month Federal Funds Rate minus 0.40% |
GS | USD | 26,677,180 | 06/24/2026 | Monthly | — | 336,223 | 336,223 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | — | $ | 805,399 | $ | 805,399 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| * | Non-income producing security. |
| (a) | All or a portion of this security is out on loan. |
| (b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on securities sold short, OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (c) | Securities are traded on separate exchanges for the same entity. |
| (d) | Investment valued at fair value using methods determined in good faith by the Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs. |
| (e) | Investment valued using significant unobservable inputs. |
| (f) | The security is restricted as to resale. |
| (g) | Preferred dividend rates are disclosed to the extent that a stated rate exists. |
| (h) | Private placement security; restricted as to resale. |
| (i) | Affiliated company. |
| (j) | All or a portion of this security is purchased with collateral from securities loaned. |
| (k) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
| (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. |
| (m) | Periodic payments made/received are based on the total return of the referenced entity. The following table represents the individual long and/or short positions with in the custom equity basket swap as of May 31, 2026. |
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||
| Custom equity basket swap with GS as the counterparty: | ||||||||||||
| (1,901) | Aeroports de Paris SA | 1.0 | % | (254,713 | ) | |||||||
| (54,644) | Allefro.eu.SA | 2.0 | % | (523,194 | ) | |||||||
| (4,278) | Antofagasta PLC | 0.9 | % | (235,664 | ) | |||||||
| (2,000) | Asia Vital Components Co., Ltd. | 0.6 | % | (168,653 | ) | |||||||
| (13,600) | AXIA Energia SA | 0.6 | % | (141,350 | ) | |||||||
| (3,336) | Budimex SA | 2.4 | % | (642,487 | ) | |||||||
| (12,067) | Capitec Bank Holdings Ltd. | 12.6 | % | (3,326,444 | ) | |||||||
| (19,964) | CD Projekt SA | 4.9 | % | (1,278,874 | ) | |||||||
| (58,137) | Cellnex Telecom SA | 7.4 | % | (1,945,418 | ) | |||||||
| (325) | Celltrion, Inc. | 0.2 | % | (41,564 | ) | |||||||
| Shares | Description | % of Equity Basket |
Value ($) | |||||||||
| (52,321) | Clicks Group Ltd. | 2.9 | % | (756,790 | ) | |||||||
| (112,900) | Delta Electronics (Thailand) Public Co. Ltd. NVDR | 4.6 | % | (1,217,543 | ) | |||||||
| (6,000) | Delta Electronics, Inc. | 1.7 | % | (460,358 | ) | |||||||
| (681) | Doosan Co. Ltd. | 3.4 | % | (893,568 | ) | |||||||
| (4,826) | Ecopro Co. Ltd. | 1.7 | % | (445,988 | ) | |||||||
| (3,778) | eMemory Technology, Inc. | 1.5 | % | (407,840 | ) | |||||||
| (56,400) | Eneva SA | 1.1 | % | (286,553 | ) | |||||||
| (45,847) | Entain PLC | 1.2 | % | (328,069 | ) | |||||||
| (1,198) | Euronext NV | 0.7 | % | (194,687 | ) | |||||||
| (15,108) | Fresnillo PLC | 2.5 | % | (663,835 | ) | |||||||
| (16,232) | Getlink SE | 1.3 | % | (354,675 | ) | |||||||
| (7,000) | Global Unichip Corp. | 3.9 | % | (1,032,829 | ) | |||||||
| (4,130) | Grupo Aeroportuario del Pacífico | 0.4 | % | (97,036 | ) | |||||||
| (177) | HD Hyundai Electric Co. Ltd. | 0.5 | % | (123,959 | ) | |||||||
| (718) | Hermes International SCA | 5.1 | % | (1,341,746 | ) | |||||||
| (2,015) | HLB, Inc. | 0.3 | % | (67,860 | ) | |||||||
| (16,100) | Hong Kong Exchange and Clearing Ltd. | 3.1 | % | (822,065 | ) | |||||||
| (3,318) | HYBE Co. Ltd. | 1.8 | % | (482,981 | ) | |||||||
| (11,419) | Hyundai Rotem Co. | 5.8 | % | (1,519,949 | ) | |||||||
| (10,140) | Informa PLC | 0.4 | % | (110,166 | ) | |||||||
| (5,659) | InterContinental Hotels Group PLC | 3.3 | % | (867,814 | ) | |||||||
| (130,000) | Kingdee International Software Group Co. Ltd. | 0.5 | % | (121,385 | ) | |||||||
| (2,331) | London Stock Exchange Group PLC | 1.1 | % | (282,049 | ) | |||||||
| (161) | LPP SA | 3.8 | % | (1,000,007 | ) | |||||||
| (20,761) | Public Power Corp. | 2.0 | % | (522,027 | ) | |||||||
| (1,343) | Samsung Biologics Co. Ltd. | 4.6 | % | (1,215,234 | ) | |||||||
| (1,375) | Sunbelt Rentals Holdings, Inc. | 0.4 | % | (107,766 | ) | |||||||
| 78,537 | Turk Hava Yollari AO | (1.9 | %) | 504,080 | ||||||||
| (77,000) | Unimicron Technology Corp. | 9.7 | % | (2,555,079 | ) | |||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS | $ | (26,334,139 | ) | |||||||||
|
|
|
|||||||||||
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
GMO Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Portfolio Abbreviations:
144A - Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors.
ADR - American Depositary Receipt
CVR - Contingent Value Right
GDR - Global Depositary Receipt
JSC - Joint-Stock Company
NVDR - Non-Voting Depositary Receipt
OMO - Open Market Operations
PJSC - Private Joint-Stock Company
Reg S - Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
REIT - Real Estate Investment Trust
Counterparty Abbreviations:
BCLY - Barclays Bank PLC
CITI - Citibank N.A.
DB - Deutsche Bank AG
GS - Goldman Sachs International
JPM - JPMorgan Chase Bank, N.A.
MORD - Morgan Stanley Capital Services LLC
MSCI - Morgan Stanley & Co. International PLC
SSB - State Street Bank and Trust Company
Currency Abbreviations:
BRL - Brazilian Real
COP - Colombian Peso
CZK - Czech Republic Koruna
DOP - Dominican Republic Peso
EGP - Egyptian Pound
EUR - Euro
HUF - Hungarian Forint
IDR - Indonesian Rupiah
KZT - Kazakhstani Tenge
MXN - Mexican Peso
MYR - Malaysian Ringgit
NGN - Nigerian Naira
PEN - Peruvian Sol
PHP - Philippines Peso
PYG - Paraguayan Guarani
THB - Thai Baht
TRY - Turkish Lira
UGX - Ugandan Shilling
USD - United States Dollar
UYU - Uruguay Peso
ZAR - South African Rand
GMO International Developed Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Shares |
Description |
Value ($) |
||||||||
| INVESTMENT FUNDS — 99.9% |
| |||||||||
| United States — 99.9% | ||||||||||
| 3,895,675 | GMO International Equity Fund, Class IV (a) | 156,138,658 | ||||||||
| 2,703,221 | GMO International Opportunistic Value Fund, Class IV (a) | 50,550,239 | ||||||||
| 521,521 | GMO-Usonian Japan Value Creation Fund, Class VI (a) | 16,083,692 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $151,034,000) |
222,772,589 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
| Money Market Funds — 0.1% |
| |||||||||
| 237,263 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 237,263 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $237,263) |
237,263 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $151,271,263) |
223,009,852 | |||||||||
| Other Assets and Liabilities (net) — (0.0%) | (20,525 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $222,989,327 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | Affiliated company. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
GMO International Equity Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares / Par Value† |
Description |
Value ($) |
||||||||
| INVESTMENT FUNDS — 99.5% |
| |||||||||
| United States — 99.5% | ||||||||||
| 2,894,942 | GMO Emerging Markets Fund, Class VI (a) | 116,868,792 | ||||||||
| 4,274,243 | GMO International Equity Fund, Class IV (a) | 171,311,656 | ||||||||
| 3,609,302 | GMO International Opportunistic Value Fund, Class IV (a) | 67,493,948 | ||||||||
| 892,863 | GMO-Usonian Japan Value Creation Fund, Class VI (a) | 27,535,888 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $263,508,197) |
383,210,284 | |||||||||
|
|
|
|||||||||
| DEBT OBLIGATIONS — 0.2% |
| |||||||||
| U.S. Government — 0.2% |
| |||||||||
| 900,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.10%, 3.73%, due 01/31/28 (b) | 900,143 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $899,976) |
900,143 | |||||||||
|
|
|
|||||||||
| Shares |
Description |
Value ($) |
||||||||
| SHORT-TERM INVESTMENTS — 0.3% |
| |||||||||
| Money Market Funds — 0.3% |
| |||||||||
| 963,343 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (c) | 963,343 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $963,343) |
963,343 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $265,371,516) |
385,073,770 | |||||||||
| Other Assets and Liabilities (net) — 0.0% | 152,547 | |||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $385,226,317 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 26 | S&P/TSX 60 Index Futures | June 2026 | $ | 7,629,986 | $ | 490,491 | ||||||
|
|
|
|
|
|||||||||
| Sales | ||||||||||||
| 32 | TOPIX Index | June 2026 | $ | 7,946,869 | $ | (625,148 | ) | |||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | Affiliated company. |
| (b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (c) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
GMO MAC Implementation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Par Value† |
Description |
Value ($) |
||||||||
|
|
DEBT OBLIGATIONS — 117.0% |
| ||||||||
| United States — 117.0% | ||||||||||
| U.S. Government — 90.1% | ||||||||||
| 75,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 04/30/27 | 75,071 | ||||||||
| 13,972,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 07/31/27 (a) | 13,985,572 | ||||||||
| 5,903,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.19%, 3.82%, due 10/31/27 (a) | 5,913,146 | ||||||||
|
|
|
|||||||||
| Total U.S. Government | 19,973,789 | |||||||||
|
|
|
|||||||||
| U.S. Government Agency — 26.9% | ||||||||||
| 2,000,000 | Uniform Mortgage-Backed Security, TBA, 2.50%, due 06/01/56 | 1,673,204 | ||||||||
| 4,200,000 | Uniform Mortgage-Backed Security, TBA, 6.00%, due 06/01/56 | 4,288,495 | ||||||||
|
|
|
|||||||||
| Total U.S. Government Agency | 5,961,699 | |||||||||
|
|
|
|||||||||
| Total United States | 25,935,488 | |||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $25,918,086) |
25,935,488 | |||||||||
|
|
|
|||||||||
| Shares |
Description |
Value ($) |
||||||||
| SHORT-TERM INVESTMENTS — 3.1% |
| |||||||||
| Money Market Funds — 3.1% |
| |||||||||
| 687,065 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 687,065 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $687,065) |
687,065 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 120.1% (Cost $26,605,151) |
26,622,553 | |||||||||
| Other Assets and Liabilities (net) — (20.1)% | (4,455,280 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $22,167,273 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Forward Currency Contracts
| Settlement Date |
Counter- party |
Currency Sold |
Currency Purchased |
Net Unrealized Appreciation (Depreciation) ($) |
||||||||||||||||||
| 08/31/2026 | JPM | EUR | 404,650 | USD | 472,610 | $ | (1,734 | ) | ||||||||||||||
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Buys | ||||||||||||
| 147 | U.S. Treasury Note 10 Yr. (CBT) | September 2026 | 16,144,734 | 33,675 | ||||||||
| 218 | U.S. Treasury Note 2 Yr. (CBT) | September 2026 | 45,030,625 | 101,421 | ||||||||
| 181 | U.S. Treasury Note 5 Yr. (CBT) | September 2026 | 19,405,180 | 23,474 | ||||||||
| 93 | U.S. Treasury Ultra 10 Yr. (CBT) | September 2026 | 10,423,266 | 40,565 | ||||||||
|
|
|
|
|
|||||||||
| $ | 91,003,805 | $ | 199,135 | |||||||||
|
|
|
|
|
|||||||||
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Sales | ||||||||||||
| 2 | U.S. Ultra Bond (CBT) | September 2026 | $ | 228,813 | $ | (3,753 | ) | |||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
GMO MAC Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
Swap Contracts
Centrally Cleared Credit Default Swaps
| Reference Entity |
Notional |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
|||||||||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||||||||
| CDX.EM.S45 |
USD | 9,602,000 | 1.00% | 1.50% | N/A | 06/20/2031 | Quarterly | 415,766 | 213,212 | (202,554 | ) | |||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.46 |
USD | 4,485,690 | 5.00% | 3.02% | 4,485,690 USD | 06/20/2031 | Quarterly | 338,583 | 374,111 | 35,528 | ||||||||||||||||||||||||||||
| ITRAXX.XO.45 |
EUR | 4,374,000 | 5.00% | 2.59% | 4,374,000 EUR | 06/20/2031 | Quarterly | 494,146 | 532,356 | 38,210 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
| $ | 1,248,495 | $ | 1,119,679 | $ | (128,816 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||
OTC Credit Default Swaps
| Reference Entity |
Counter- party |
Notional Amount |
Annual Premium |
Implied Credit Spread (1) |
Maximum Potential Amount of Future Payments by the Fund Under the Contract (2) |
Expiration Date |
Periodic Payment Frequency |
Premiums Paid/ (Received) ($) |
Value ($) | Net Unrealized Appreciation/ (Depreciation) ($) |
||||||||||||||||||||||||||||||
| Buy Protection^: |
| |||||||||||||||||||||||||||||||||||||||
| CMBX.NA.BBB-.18 |
CGMI | USD | 1,000,000 | 3.00% | 5.93% | N/A | 12/17/2057 | Monthly | 88,438 | 80,613 | (7,825 | ) | ||||||||||||||||||||||||||||
| CMBX.NA.BBB-.18 |
CGMI | USD | 1,500,000 | 3.00% | 5.93% | N/A | 12/17/2057 | Monthly | 128,907 | 120,919 | (7,988 | ) | ||||||||||||||||||||||||||||
| Sell Protection^: |
| |||||||||||||||||||||||||||||||||||||||
| CDX.NA.HY.45 |
JPM | USD | 6,845,201 | 5.00% | 0.46% | 1,293,784 USD | 12/20/2030 | Quarterly | 1,287,240 | 1,261,536 | (25,704 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| $ | 1,504,585 | $ | 1,463,068 | $ | (41,517 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
| ^ | Buy Protection - Fund pays a premium and buys credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| Sell Protection - Fund receives a premium and sells credit protection. If a credit event occurs the Fund will, depending on the terms of the particular swap contract, either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (1) | As of May 31, 2026, implied credit spreads in absolute terms, calculated using a model, and utilized in determining the market value of credit default swap contracts on the reference security, serve as an indicator of the current status of the payment/performance risk and reflect the likelihood or risk of default for the reference entity. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection. Wider (i.e. higher) credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the contract. |
| (2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
GMO MAC Implementation Fund
(A Series of GMO Trust)
Schedule of Investments — (Continued)
May 31, 2026 (Unaudited)
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, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
TBA - To Be Announced - Delayed Delivery Security
Counterparty Abbreviations:
CGMI - Citigroup Global Markets Inc.
JPM - JPMorgan Chase Bank, N.A.
Currency Abbreviations:
EUR - Euro
USD - United States Dollar
GMO Multi-Asset Credit Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
|
Shares |
Description |
Value ($) |
||||||||
| INVESTMENT FUNDS — 99.0% |
| |||||||||
| United States — 99.0% | ||||||||||
| 1,014,040 | GMO Emerging Country Debt Fund, Class VI (a) | 24,691,881 | ||||||||
| 1,449,024 | GMO High Yield Fund, Class VI (a) | 25,415,876 | ||||||||
| 2,146,314 | GMO MAC Implementation Fund (a) | 22,171,428 | ||||||||
| 3,768,805 | GMO Opportunistic Income Fund, Class VI (a) | 91,393,517 | ||||||||
| 750,879 | GMO Systematic Investment Grade Credit ETF (a) | 19,092,826 | ||||||||
| 864,294 | GMO U.S. Treasury Fund, Class VI (a) | 4,330,111 | ||||||||
| 289,384 | GMO Ultra-Short Income ETF (a) | 14,482,222 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $201,794,725) |
201,577,861 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 1.0% |
| |||||||||
| Money Market Funds — 1.0% |
| |||||||||
| 1,980,578 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (b) | 1,980,578 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $1,980,578) |
1,980,578 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $203,775,303) |
203,558,439 | |||||||||
| Other Assets and Liabilities (net) — (0.0%) | (3,618 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $203,554,821 | |||||||||
|
|
|
|||||||||
Notes to Schedule of Investments:
| (a) | Affiliated company. |
| (b) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
Portfolio Abbreviations:
ETF - Exchange-Traded Fund
GMO Strategic Opportunities Allocation Fund
(A Series of GMO Trust)
Schedule of Investments
(showing percentage of total net assets)
May 31, 2026 (Unaudited)
| Shares |
Description |
Value ($) |
||||||||
| INVESTMENT FUNDS — 99.8% |
| |||||||||
| United States — 99.8% | ||||||||||
| 727,363 | GMO Alternative Allocation Fund, Class VI (a) | 13,463,495 | ||||||||
| 373,904 | GMO Asset Allocation Bond Fund, Class VI (a) | 6,692,879 | ||||||||
| 29,213 | GMO Climate Change Fund, Class III (a) | 939,181 | ||||||||
| 57,490 | GMO Domestic Resilience ETF (a) | 1,738,802 | ||||||||
| 32,491 | GMO Emerging Country Debt Fund, Class VI (a) | 791,146 | ||||||||
| 93,119 | GMO Emerging Markets ex-China Fund, Class VI (a) | 1,970,404 | ||||||||
| 132,954 | GMO Emerging Markets Fund, Class VI (a) | 5,367,357 | ||||||||
| 330,140 | GMO International Equity Fund, Class IV (a) | 13,232,001 | ||||||||
| 318,580 | GMO International Opportunistic Value Fund, Class IV (a) | 5,957,452 | ||||||||
| 175,801 | GMO-Usonian Japan Value Creation Fund, Class VI (a) | 5,421,690 | ||||||||
| 71,819 | GMO Quality Fund, Class VI (a) | 2,667,359 | ||||||||
| 33,574 | GMO Resources Fund, Class VI (a) | 957,539 | ||||||||
| 61,761 | GMO Small Cap Quality Fund, Class VI (a) | 1,600,231 | ||||||||
| 328,994 | GMO U.S. Equity Fund, Class VI (a) | 5,431,692 | ||||||||
| 247,218 | GMO U.S. Opportunistic Value Fund, Class VI (a) | 5,933,221 | ||||||||
| 425,895 | GMO U.S. Treasury Fund, Class VI (a) | 2,133,734 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS (COST $57,814,037) |
74,298,183 | |||||||||
|
|
|
|||||||||
| Par Value† / Shares |
Description |
Value ($) |
||||||||
| DEBT OBLIGATIONS — 0.1% | ||||||||||
| United States — 0.1% | ||||||||||
| U.S. Government — 0.1% | ||||||||||
| 100,000 | U.S. Treasury Floating Rate Notes, Variable Rate, 3 mo. Treasury money market yield + 0.16%, 3.79%, due 07/31/27 (b) | 100,097 | ||||||||
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS (COST $100,000) |
100,097 | |||||||||
|
|
|
|||||||||
| SHORT-TERM INVESTMENTS — 0.1% |
| |||||||||
| Money Market Funds — 0.1% |
| |||||||||
| 93,568 | State Street Institutional Treasury Money Market Fund – Premier Class, 3.57% (c) | 93,568 | ||||||||
|
|
|
|||||||||
| TOTAL SHORT-TERM INVESTMENTS (COST $93,568) |
93,568 | |||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS — 100.0% (Cost $58,007,605) |
74,491,848 | |||||||||
| Other Assets and Liabilities (net) — 0.0% | (6,726 | ) | ||||||||
|
|
|
|||||||||
| TOTAL NET ASSETS — 100.0% | $74,485,122 | |||||||||
|
|
|
|||||||||
A summary of outstanding financial instruments at May 31, 2026 is as follows:
Futures Contracts
| Number of Contracts + |
Type |
Expiration Date |
Notional Amount ($) |
Value/Net Unrealized Appreciation (Depreciation) ($) |
||||||||
| Sales | ||||||||||||
| 11 | TOPIX Index | June 2026 | $ | 2,731,736 | $ | (267,880 | ) | |||||
|
|
|
|
|
|||||||||
| + | Buys - Fund is long the futures contract. |
| Sales - Fund is short the futures contract. |
As of May 31, 2026, for the above contracts and/or agreements, the Fund had sufficient cash and/or securities to cover commitments or collateral requirements, if any, of the relevant broker or exchange.
Notes to Schedule of Investments:
| † | Denominated in U.S. Dollar, unless otherwise indicated. |
| (a) | Affiliated company. |
| (b) | All or a portion of this security has been pledged to cover margin requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, written options, repurchase agreements and/or reverse repurchase agreements, if any. |
| (c) | The rate disclosed is the 7 day net yield as of May 31, 2026. |
The rates shown on variable rate notes are the current interest rates at May 31, 2026, which are subject to change based on the terms of the security.
Portfolio Abbreviations:
ETF - Exchange-Traded Fund
Organization
Each of Alternative Allocation Fund, Benchmark-Free Allocation Fund, Benchmark-Free Fund, Global Asset Allocation Fund, Global Developed Equity Allocation Fund, Global Equity Allocation Fund, Implementation Fund, International Developed Equity Allocation Fund, International Equity Allocation Fund, MAC Implementation Fund, Multi-Asset Credit 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. Alternative Allocation Fund may also invest in GMO Alternative Allocation SPC Ltd. (each a “wholly-owned subsidiary”). As a result, the Funds are exposed to all of the risks of the underlying funds in which they invest. Several of the underlying funds themselves invest a substantial portion of their assets in other GMO Funds. The financial statements of the underlying funds should be read in conjunction with the Funds’ financial statements. The financial statements are available without charge on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov or on GMO’s website at www.gmo.com.
Each Fund has elected to be treated or intends to elect to be treated and intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund intends to distribute its net investment income, if any, and its net realized short-term and long-term capital gains, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, each Fund makes no provision for U.S. federal income or excise taxes.
Please see the Funds’ Prospectus, available on www.gmo.com, for information regarding specific risks for each Fund.
Basis of presentation
The preparation of the Schedule of Investments in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the Schedule of Investments during the reporting period. GMO believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the Schedule of Investments may differ from the value a Fund ultimately realizes upon the sale of those securities.
Basis of presentation and principles of consolidation: Alternative Allocation Fund
Alternative Allocation Fund includes the accounts of its wholly-owned subsidiary and the accompanying Schedule of Investments has been consolidated for those accounts. The Consolidated Schedule of Investments include all of the assets and liabilities of the wholly-owned subsidiary. Alternative Allocation Fund is herein referred to as “Consolidated Alternative Allocation Fund”.
Portfolio valuation
Shares of the underlying funds and other open-end registered investment companies are valued at their most recent net asset value. Direct investments held by the Funds and underlying funds are valued as follows: Exchange-traded securities (other than exchange-traded options) for which market quotations are readily available are valued at (i) the last sale price or (ii) official closing price or (iii) most recent quoted price published by the exchange (if no reported last sale or official closing price) or (iv) the quoted price provided by a pricing source (in the event GMO deems the private market to be a more reliable indicator of market value than the exchange). Exchange-traded options are valued at the last sale price, provided that price is between the closing bid and ask prices. If the last sale price is not within that range, then they will be valued at the closing bid price for long positions and the closing ask price for short positions. Cleared derivatives are valued using the closing price quoted (which may be based on a model) by the relevant clearing house. If an updated quote for a cleared derivative is not available when a Fund calculates its net asset value, the derivative will generally be valued using an industry standard model, which may differ from the model used by the relevant clearing house. Over-the-counter (“OTC”) derivatives are valued at the price generally determined by an industry standard model. Unlisted non-fixed income securities for which market quotations are readily available are generally valued at the most recent quoted price.
The foregoing valuation methodologies are modified for equities that trade in non-U.S. securities markets that close before the close of the New York Stock Exchange (“NYSE”) due to time zone differences, including equities that underlie futures, options and other derivatives (to the extent the market for those derivatives closes prior to the close of the NYSE). In those cases, prices will generally be adjusted, to the extent practicable and available, based on inputs from an independent pricing service approved by the Trustees that are intended to reflect changes in valuation through the NYSE close. These securities listed on foreign exchanges (including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE)) are classified as Level 2 (levels defined below) and are described in the disclosures of the underlying funds.
Typically, the Funds and the underlying funds value fixed income securities at the most recent price supplied by a pricing source determined by GMO. GMO evaluates pricing sources on an ongoing basis and may change a pricing source at any time. GMO
monitors erratic or unusual movements (including unusual inactivity) in the prices supplied for a security and has discretion to override a price supplied by a source (e.g., by taking a price supplied by another source) when it believes that the price supplied is not reliable. Alternative pricing sources are often but not always available for securities held by the Funds and the underlying funds.
“Quoted price” typically means the bid price for securities held long and the ask price for securities sold short. If a market quotation for a security does not involve a bid or an ask, the “quoted price” may be the price provided by a market participant or other third-party pricing source in accordance with the market practice for that security. If an updated quoted price for a security is not available when a Fund calculates its net asset value, the Fund will generally use the last quoted price so long as GMO believes that the last quoted price continues to represent that security’s fair value.
In the case of derivatives, prices determined by a model may reflect an estimate of the average of bid and ask prices, regardless of whether a Fund has a long position or a short position.
If quotations are not readily available or circumstances make an existing valuation methodology or procedure unreliable, derivatives and other securities are valued at fair value as determined in good faith by the Trustees or persons acting at their direction pursuant to procedures approved by the Trustees. Because of the uncertainty inherent in fair value pricing, the price determined for a particular security may be materially different from the value realized upon its sale. The Funds and/or the underlying funds classify such securities as Level 3 (levels defined below). For the period ended May 31, 2026, 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 and exchange-traded funds (even if their investments are valued using Level 2 or Level 3 inputs).
Level 2 – Valuations determined using other significant direct or indirect observable inputs.
The types of assets and liabilities categorized in Level 2 generally include certain U.S. government agency securities, mortgage-backed securities, asset-backed securities, certain sovereign debt obligations, and corporate bonds valued using vendor prices or broker quotes; cleared derivatives and certain OTC derivatives such as swaps, options, swaptions, and forward currency contracts valued using industry standard models; certain restricted securities valued at the most recent available market or quoted price; certain securities that are valued at the local price; certain debt obligations, such as collateralized loan obligations, that have yet to begin trading that are valued at cost; and certain foreign equity securities that are adjusted based on inputs from an independent pricing service approved by the Trustees, including the value of equity securities that underlie futures, options and other derivatives (to the extent the market for such instruments closes prior to the close of the NYSE) to reflect estimated valuation changes through the NYSE close.
Level 3 – Valuations based primarily on inputs that are unobservable and significant.
The types of assets and liabilities categorized in Level 3 generally include, but are not limited to, certain debt securities (such as asset-backed, mortgage-backed, loans and sovereign debt) and derivatives even though they may be valued using broker quotes; certain debt securities and derivatives adjusted by a specified discount for liquidity or other considerations; securities whose trading has been suspended or that have been de-listed from their current primary trading exchange valued at the most recent available market or quoted price; securities in default or bankruptcy proceedings for which there is no current market quotation valued at the most recent available market or quoted price; potential litigation recoveries and interests related to bankruptcy proceedings; certain equity securities valued off the last traded price with a discount for liquidity; certain equity securities that are valued based on the last traded exchange price adjusted for the movement in a relevant index; certain securities that are valued using a price from a comparable security related to the same issuer; investment funds whose valuations are based on quarterly net asset value statements; 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 May 31, 2026:
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 26,849,860 | $ | — | $ | 26,849,860 | ||||||||
| Austria |
— | 3,092,966 | — | 3,092,966 | ||||||||||||
| Belgium |
— | 3,532,779 | — | 3,532,779 | ||||||||||||
| Canada |
55,894,908 | — | — | 55,894,908 | ||||||||||||
| China |
748,799 | 4,821,798 | — | 5,570,597 | ||||||||||||
| Denmark |
— | 8,902,496 | — | 8,902,496 | ||||||||||||
| Finland |
— | 7,163,682 | — | 7,163,682 | ||||||||||||
| France |
— | 18,278,069 | — | 18,278,069 | ||||||||||||
| Germany |
1,046,474 | 18,761,977 | — | 19,808,451 | ||||||||||||
| Hong Kong |
— | 11,196,418 | — | 11,196,418 | ||||||||||||
| Indonesia |
— | 314,261 | — | 314,261 | ||||||||||||
| Ireland |
— | 352,111 | — | 352,111 | ||||||||||||
| Israel |
1,801,496 | 921,542 | — | 2,723,038 | ||||||||||||
| Italy |
— | 14,492,962 | — | 14,492,962 | ||||||||||||
| Japan |
— | 48,551,384 | — | 48,551,384 | ||||||||||||
| Mexico |
858,481 | — | — | 858,481 | ||||||||||||
| Netherlands |
— | 17,048,686 | — | 17,048,686 | ||||||||||||
| New Zealand |
— | 231,338 | — | 231,338 | ||||||||||||
| Norway |
— | 3,949,540 | — | 3,949,540 | ||||||||||||
| Poland |
— | 3,571,227 | — | 3,571,227 | ||||||||||||
| Portugal |
— | 1,557,886 | — | 1,557,886 | ||||||||||||
| Singapore |
— | 5,069,360 | — | 5,069,360 | ||||||||||||
| South Korea |
392,795 | 20,523,971 | — | 20,916,766 | ||||||||||||
| Spain |
— | 11,996,662 | — | 11,996,662 | ||||||||||||
| Sweden |
— | 11,665,555 | — | 11,665,555 | ||||||||||||
| Switzerland |
— | 7,674,484 | — | 7,674,484 | ||||||||||||
| Taiwan |
— | 15,744,421 | — | 15,744,421 | ||||||||||||
| Thailand |
— | 4,392,258 | — | 4,392,258 | ||||||||||||
| Turkey |
— | 831,231 | — | 831,231 | ||||||||||||
| United Kingdom |
5,234,652 | 60,645,313 | — | 65,879,965 | ||||||||||||
| United States |
809,314,660 | — | — | 809,314,660 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
875,292,265 | 332,134,237 | — | 1,207,426,502 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
233,429 | 260,652 | — | 494,081 | ||||||||||||
| Germany |
— | 2,768,335 | — | 2,768,335 | ||||||||||||
| South Korea |
— | 338,765 | — | 338,765 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
233,429 | 3,367,752 | — | 3,601,181 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Canada |
— | — | 264,384 | 264,384 | ||||||||||||
| United States |
— | — | 740,530 | 740,530 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 1,004,914 | 1,004,914 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| Japan |
— | — | 1,840,921 | 1,840,921 | ||||||||||||
| United States |
— | — | 12,320,107 | 12,320,107 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
— | — | 14,161,028 | 14,161,028 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| Dominican Republic |
— | 2,013,282 | — | 2,013,282 | ||||||||||||
| Kazakhstan |
— | 376,787 | — | 376,787 | ||||||||||||
| Malaysia |
— | 2,584,176 | — | 2,584,176 | ||||||||||||
| Paraguay |
— | 259,569 | — | 259,569 | ||||||||||||
| Uganda |
— | 268,424 | — | 268,424 | ||||||||||||
| United States |
171,656,818 | 19,683,894 | — | 191,340,712 | ||||||||||||
| Uruguay |
— | 694,239 | — | 694,239 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
171,656,818 | 25,880,371 | — | 197,537,189 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Short-Term Investments |
$ | 13,757,503 | $ | 154,287,826 | $ | — | $ | 168,045,329 | ||||||||
| Purchased Options |
85,385 | — | — | 85,385 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
1,061,025,400 | 515,670,186 | 15,165,942 | 1,591,861,528 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 3,345,560 | — | 3,345,560 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
1,059,862 | 2,998,077 | — | 4,057,939 | ||||||||||||
| Interest Rate Risk |
333,957 | — | — | 333,957 | ||||||||||||
| Physical Commodity Contract Risk |
2,070,783 | — | — | 2,070,783 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 32,762,461 | — | 32,762,461 | ||||||||||||
| Equity Risk |
— | 3,442,205 | — | 3,442,205 | ||||||||||||
| Interest Rate Risk |
— | 3,856,778 | — | 3,856,778 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,064,490,002 | $ | 562,075,267 | $ | 15,165,942 | $ | 1,641,731,211 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (19,265,369 | ) | $ | — | $ | (19,265,369 | ) | ||||||
| Belgium |
— | (3,566,453 | ) | — | (3,566,453 | ) | ||||||||||
| Brazil |
(1,889,328 | ) | — | — | (1,889,328 | ) | ||||||||||
| Canada |
(19,310,249 | ) | — | — | (19,310,249 | ) | ||||||||||
| Chile |
(1,088,362 | ) | — | — | (1,088,362 | ) | ||||||||||
| China |
(1,746,735 | ) | (760,633 | ) | — | (2,507,368 | ) | |||||||||
| Denmark |
— | (8,920,427 | ) | — | (8,920,427 | ) | ||||||||||
| Finland |
— | (3,171,199 | ) | — | (3,171,199 | ) | ||||||||||
| France |
— | (5,782,473 | ) | — | (5,782,473 | ) | ||||||||||
| Germany |
— | (20,883,294 | ) | — | (20,883,294 | ) | ||||||||||
| Hong Kong |
— | (5,287,349 | ) | — | (5,287,349 | ) | ||||||||||
| Israel |
(1,743,058 | ) | — | — | (1,743,058 | ) | ||||||||||
| Italy |
— | (10,299,906 | ) | — | (10,299,906 | ) | ||||||||||
| Japan |
— | (50,660,133 | ) | — | (50,660,133 | ) | ||||||||||
| Mexico |
(220,468 | ) | — | — | (220,468 | ) | ||||||||||
| Netherlands |
(2,105,461 | ) | (23,761,134 | ) | — | (25,866,595 | ) | |||||||||
| New Zealand |
— | (1,613,824 | ) | — | (1,613,824 | ) | ||||||||||
| Norway |
— | (5,251,111 | ) | — | (5,251,111 | ) | ||||||||||
| Peru |
(2,365,120 | ) | — | — | (2,365,120 | ) | ||||||||||
| Portugal |
— | (1,521,526 | ) | — | (1,521,526 | ) | ||||||||||
| Singapore |
(2,650,272 | ) | (3,940,982 | ) | — | (6,591,254 | ) | |||||||||
| Spain |
(3,687,803 | ) | (11,276,962 | ) | — | (14,964,765 | ) | |||||||||
| Sweden |
(1,349,708 | ) | (9,842,355 | ) | — | (11,192,063 | ) | |||||||||
| Switzerland |
— | (12,432,131 | ) | — | (12,432,131 | ) | ||||||||||
| United Kingdom |
(14,816,897 | ) | (19,605,571 | ) | — | (34,422,468 | ) | |||||||||
| United States |
(497,697,448 | ) | (909,843 | ) | — | (498,607,291 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(550,670,909 | ) | (218,752,675 | ) | — | (769,423,584 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (2,982,518 | ) | — | (2,982,518 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (2,982,518 | ) | — | (2,982,518 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Portugal |
— | (13,620 | ) | — | (13,620 | ) | ||||||||||
| United States |
(5,558 | ) | — | — | (5,558 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
(5,558 | ) | (13,620 | ) | — | (19,178 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
— | (11,745,901 | ) | — | (11,745,901 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
— | (11,745,901 | ) | — | (11,745,901 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (3,441,296 | ) | — | (3,441,296 | ) | ||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Consolidated Alternative Allocation Fund (continued) | ||||||||||||||||
| Liability Valuation Inputs (continued) | ||||||||||||||||
| Derivatives^ (continued) |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | (9,562,689 | ) | $ | (1,896,259 | ) | $ | — | $ | (11,458,948 | ) | |||||
| Interest Rate Risk |
(326,783 | ) | — | — | (326,783 | ) | ||||||||||
| Physical Commodity Contract Risk |
(6,048,636 | ) | — | — | (6,048,636 | ) | ||||||||||
| Written Options |
||||||||||||||||
| Equity Risk |
(5,564,039 | ) | — | — | (5,564,039 | ) | ||||||||||
| Interest Rate Risk |
(139,895 | ) | — | — | (139,895 | ) | ||||||||||
| Swap Contacts |
||||||||||||||||
| Credit Risk |
— | (5,184,270 | ) | — | (5,184,270 | ) | ||||||||||
| Equity Risk |
— | (5,036,946 | ) | — | (5,036,946 | ) | ||||||||||
| Interest Rate Risk |
— | (2,991,334 | ) | — | (2,991,334 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (572,318,509 | ) | $ | (252,044,819 | ) | $ | — | $ | (824,363,328 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Benchmark-Free Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investment Funds |
$ | 2,597,561,303 | $ | — | $ | — | $ | 2,597,561,303 | ||||||||
| Short-Term Investments |
3,327,753 | — | — | 3,327,753 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
2,600,889,056 | — | — | 2,600,889,056 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 2,600,889,056 | $ | — | $ | — | $ | 2,600,889,056 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Benchmark-Free Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | 17,001,552 | $ | — | $ | 17,001,552 | ||||||||
| Austria |
— | 3,460,417 | — | 3,460,417 | ||||||||||||
| Belgium |
— | 4,289,890 | — | 4,289,890 | ||||||||||||
| Brazil |
2,143,905 | 950,545 | — | 3,094,450 | ||||||||||||
| Canada |
41,455,871 | 56,060 | — | 41,511,931 | ||||||||||||
| China |
1,667,642 | 17,767,242 | 0 | § | 19,434,884 | |||||||||||
| Colombia |
12,817 | — | — | 12,817 | ||||||||||||
| Denmark |
— | 4,687,034 | — | 4,687,034 | ||||||||||||
| Egypt |
— | 480,985 | — | 480,985 | ||||||||||||
| Finland |
— | 3,388,543 | — | 3,388,543 | ||||||||||||
| France |
1,466,322 | 21,752,726 | — | 23,219,048 | ||||||||||||
| Germany |
— | 15,778,009 | — | 15,778,009 | ||||||||||||
| Greece |
— | 59,510 | — | 59,510 | ||||||||||||
| Hong Kong |
— | 14,048,089 | — | 14,048,089 | ||||||||||||
| Hungary |
— | 2,869,885 | — | 2,869,885 | ||||||||||||
| India |
— | 6,785,607 | — | 6,785,607 | ||||||||||||
| Indonesia |
— | 2,243,487 | — | 2,243,487 | ||||||||||||
| Ireland |
— | 728,423 | — | 728,423 | ||||||||||||
| Israel |
1,634,852 | 3,601,275 | — | 5,236,127 | ||||||||||||
| Italy |
326,889 | 10,354,169 | — | 10,681,058 | ||||||||||||
| Japan |
1,102,784 | 197,550,743 | — | 198,653,527 | ||||||||||||
| Kuwait |
— | 1,051,296 | — | 1,051,296 | ||||||||||||
| Mexico |
2,540,966 | — | 0 | § | 2,540,966 | |||||||||||
| Netherlands |
3,786,760 | 16,641,477 | 74,722 | 20,502,959 | ||||||||||||
| New Zealand |
— | 149,382 | — | 149,382 | ||||||||||||
| Norway |
— | 9,329,398 | — | 9,329,398 | ||||||||||||
| Philippines |
— | 170,686 | — | 170,686 | ||||||||||||
| Poland |
— | 3,754,885 | — | 3,754,885 | ||||||||||||
| Portugal |
— | 1,176,951 | — | 1,176,951 | ||||||||||||
| Russia |
— | — | 0 | § | 0 | § | ||||||||||
| Saudi Arabia |
— | 3,915,636 | — | 3,915,636 | ||||||||||||
| Singapore |
— | 5,983,991 | — | 5,983,991 | ||||||||||||
| South Africa |
— | 747,129 | — | 747,129 | ||||||||||||
| South Korea |
251,837 | 43,220,451 | — | 43,472,288 | ||||||||||||
| Spain |
— | 20,581,505 | — | 20,581,505 | ||||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Benchmark-Free Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Sweden |
$ | — | $ | 8,906,113 | $ | — | $ | 8,906,113 | ||||||||
| Switzerland |
1,027,748 | 10,566,202 | — | 11,593,950 | ||||||||||||
| Taiwan |
— | 44,617,451 | — | 44,617,451 | ||||||||||||
| Thailand |
— | 13,802,877 | — | 13,802,877 | ||||||||||||
| Turkey |
— | 1,482,900 | — | 1,482,900 | ||||||||||||
| United Arab Emirates |
— | 1,069,803 | — | 1,069,803 | ||||||||||||
| United Kingdom |
15,782,013 | 17,095,861 | 8,237 | 32,886,111 | ||||||||||||
| United States |
157,972,597 | — | — | 157,972,597 | ||||||||||||
| Vietnam |
— | 2,531,401 | — | 2,531,401 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
231,173,003 | 534,649,586 | 82,959 | 765,905,548 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
1,895,940 | 2,795,433 | — | 4,691,373 | ||||||||||||
| Germany |
— | 3,577,132 | — | 3,577,132 | ||||||||||||
| Italy |
— | 61,087 | — | 61,087 | ||||||||||||
| Russia |
— | — | 0 | § | 0 | § | ||||||||||
| South Korea |
— | 3,234,135 | — | 3,234,135 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
1,895,940 | 9,667,787 | 0 | § | 11,563,727 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Canada |
— | — | 11,850 | 11,850 | ||||||||||||
| United States |
— | — | 45,293 | 45,293 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 57,143 | 57,143 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| Japan |
— | — | 853,110 | 853,110 | ||||||||||||
| United States |
284,337,082 | — | — | 284,337,082 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
284,337,082 | — | 853,110 | 285,190,192 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| Dominican Republic |
— | 744,914 | — | 744,914 | ||||||||||||
| Malaysia |
— | 988,067 | — | 988,067 | ||||||||||||
| Paraguay |
— | 134,476 | — | 134,476 | ||||||||||||
| Uganda |
— | 138,199 | — | 138,199 | ||||||||||||
| United States |
223,789,192 | — | — | 223,789,192 | ||||||||||||
| Uruguay |
— | 248,736 | — | 248,736 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
223,789,192 | 2,254,392 | — | 226,043,584 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
8,713,550 | 201,558,944 | — | 210,272,494 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
749,908,767 | 748,130,709 | 993,212 | 1,499,032,688 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
| |||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 310,272 | — | 310,272 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
1,437,917 | — | — | 1,437,917 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 469,629 | — | 469,629 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 751,346,684 | $ | 748,910,610 | $ | 993,212 | $ | 1,501,250,506 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (5,094,635 | ) | $ | — | $ | (5,094,635 | ) | ||||||
| Belgium |
— | (448,555 | ) | — | (448,555 | ) | ||||||||||
| Brazil |
(1,199,005 | ) | — | — | (1,199,005 | ) | ||||||||||
| Canada |
(10,693,418 | ) | — | — | (10,693,418 | ) | ||||||||||
| Chile |
(666,491 | ) | — | — | (666,491 | ) | ||||||||||
| China |
(1,133,309 | ) | — | — | (1,133,309 | ) | ||||||||||
| Denmark |
— | (2,815,184 | ) | — | (2,815,184 | ) | ||||||||||
| France |
— | (2,896,403 | ) | — | (2,896,403 | ) | ||||||||||
| Germany |
— | (6,081,087 | ) | — | (6,081,087 | ) | ||||||||||
| Israel |
(37,280 | ) | — | — | (37,280 | ) | ||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Benchmark-Free Fund (continued) | ||||||||||||||||
| Liability Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Italy |
$ | (95,264 | ) | $ | (3,346,933 | ) | $ | — | $ | (3,442,197 | ) | |||||
| Japan |
— | (13,997,361 | ) | — | (13,997,361 | ) | ||||||||||
| Mexico |
(142,016 | ) | — | — | (142,016 | ) | ||||||||||
| Netherlands |
(854,109 | ) | (3,210,807 | ) | — | (4,064,916 | ) | |||||||||
| Norway |
— | (2,408,850 | ) | — | (2,408,850 | ) | ||||||||||
| Peru |
(1,603,088 | ) | — | — | (1,603,088 | ) | ||||||||||
| Singapore |
(521,608 | ) | — | — | (521,608 | ) | ||||||||||
| Spain |
— | (2,855,590 | ) | — | (2,855,590 | ) | ||||||||||
| Sweden |
(850,535 | ) | (1,570,098 | ) | — | (2,420,633 | ) | |||||||||
| Switzerland |
— | (1,718,386 | ) | — | (1,718,386 | ) | ||||||||||
| United Kingdom |
— | (8,107,102 | ) | — | (8,107,102 | ) | ||||||||||
| United States |
(92,230,458 | ) | — | — | (92,230,458 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(110,026,581 | ) | (54,550,991 | ) | — | (164,577,572 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (1,188,893 | ) | — | (1,188,893 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (1,188,893 | ) | — | (1,188,893 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
| |||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (64,827 | ) | — | (64,827 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
(21,739 | ) | (5,321,336 | ) | — | (5,343,075 | ) | |||||||||
| Swap Contacts |
||||||||||||||||
| Credit Risk |
— | (7,746,757 | ) | — | (7,746,757 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (110,048,320 | ) | $ | (68,872,804 | ) | $ | — | $ | (178,921,124 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Asset Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
$ | 1,100,175 | $ | — | $ | — | $ | 1,100,175 | ||||||||
| Investment Funds |
654,978,844 | — | — | 654,978,844 | ||||||||||||
| Short-Term Investments |
1,858,723 | — | — | 1,858,723 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
657,937,742 | — | — | 657,937,742 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 657,937,742 | $ | — | $ | — | $ | 657,937,742 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
| |||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | — | $ | (1,980,878 | ) | $ | — | $ | (1,980,878 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (1,980,878 | ) | $ | — | $ | (1,980,878 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Developed Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
$ | 450,072 | $ | — | $ | — | $ | 450,072 | ||||||||
| Investment Funds |
104,847,778 | — | — | 104,847,778 | ||||||||||||
| Short-Term Investments |
290,635 | — | — | 290,635 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
105,588,485 | — | — | 105,588,485 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
| |||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
369,799 | — | — | 369,799 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 105,958,284 | $ | — | $ | — | $ | 105,958,284 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Global Developed Equity Allocation Fund (continued) | ||||||||||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
| |||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | — | $ | (237,284 | ) | $ | — | $ | (237,284 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (237,284 | ) | $ | — | $ | (237,284 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Global Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
$ | 2,700,430 | $ | — | $ | — | $ | 2,700,430 | ||||||||
| Investment Funds |
630,356,671 | — | — | 630,356,671 | ||||||||||||
| Short-Term Investments |
2,013,410 | — | — | 2,013,410 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
635,070,511 | — | — | 635,070,511 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
| |||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
1,628,374 | — | — | 1,628,374 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 636,698,885 | $ | — | $ | — | $ | 636,698,885 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
| |||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | — | $ | (1,504,944 | ) | $ | — | $ | (1,504,944 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (1,504,944 | ) | $ | — | $ | (1,504,944 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Implementation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Argentina |
$ | 5,334,647 | $ | — | $ | — | $ | 5,334,647 | ||||||||
| Australia |
— | 38,096,774 | — | 38,096,774 | ||||||||||||
| Austria |
— | 7,337,478 | — | 7,337,478 | ||||||||||||
| Belgium |
— | 9,093,925 | — | 9,093,925 | ||||||||||||
| Brazil |
4,441,765 | 4,886,569 | — | 9,328,334 | ||||||||||||
| Canada |
96,337,154 | 114,304 | — | 96,451,458 | ||||||||||||
| China |
3,489,093 | 38,981,990 | 0 | § | 42,471,083 | |||||||||||
| Colombia |
4,916 | — | — | 4,916 | ||||||||||||
| Denmark |
— | 10,790,193 | — | 10,790,193 | ||||||||||||
| Egypt |
— | 917,719 | — | 917,719 | ||||||||||||
| Finland |
— | 10,477,127 | — | 10,477,127 | ||||||||||||
| France |
3,171,972 | 46,521,527 | — | 49,693,499 | ||||||||||||
| Germany |
— | 33,603,154 | — | 33,603,154 | ||||||||||||
| Greece |
— | 88,737 | — | 88,737 | ||||||||||||
| Hong Kong |
— | 30,936,292 | — | 30,936,292 | ||||||||||||
| Hungary |
— | 6,261,459 | — | 6,261,459 | ||||||||||||
| India |
— | 14,550,505 | — | 14,550,505 | ||||||||||||
| Indonesia |
— | 4,782,144 | — | 4,782,144 | ||||||||||||
| Ireland |
— | 1,417,078 | — | 1,417,078 | ||||||||||||
| Israel |
3,425,816 | 7,619,100 | — | 11,044,916 | ||||||||||||
| Italy |
645,980 | 22,755,960 | — | 23,401,940 | ||||||||||||
| Japan |
2,229,023 | 420,700,099 | — | 422,929,122 | ||||||||||||
| Kuwait |
— | 2,220,957 | — | 2,220,957 | ||||||||||||
| Mexico |
5,228,493 | — | 0 | § | 5,228,493 | |||||||||||
| Netherlands |
7,849,303 | 35,630,084 | 162,591 | 43,641,978 | ||||||||||||
| New Zealand |
— | 373,683 | — | 373,683 | ||||||||||||
| Norway |
— | 22,661,676 | — | 22,661,676 | ||||||||||||
| Pakistan |
— | 228,039 | — | 228,039 | ||||||||||||
| Philippines |
— | 479,284 | — | 479,284 | ||||||||||||
| Poland |
— | 7,928,821 | — | 7,928,821 | ||||||||||||
| Portugal |
— | 2,673,957 | — | 2,673,957 | ||||||||||||
| Russia |
— | — | 0 | § | 0 | § | ||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Implementation Fund (continued) | ||||||||||||||||
| Asset Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Saudi Arabia |
$ | — | $ | 8,382,723 | $ | — | $ | 8,382,723 | ||||||||
| Singapore |
— | 12,975,146 | — | 12,975,146 | ||||||||||||
| South Africa |
— | 2,324,452 | — | 2,324,452 | ||||||||||||
| South Korea |
560,677 | 93,220,223 | — | 93,780,900 | ||||||||||||
| Spain |
— | 44,289,824 | — | 44,289,824 | ||||||||||||
| Sweden |
— | 19,033,396 | — | 19,033,396 | ||||||||||||
| Switzerland |
2,343,960 | 22,163,671 | — | 24,507,631 | ||||||||||||
| Taiwan |
— | 95,152,021 | — | 95,152,021 | ||||||||||||
| Thailand |
— | 29,323,559 | — | 29,323,559 | ||||||||||||
| Turkey |
— | 3,099,552 | — | 3,099,552 | ||||||||||||
| Ukraine |
— | 194,102 | — | 194,102 | ||||||||||||
| United Arab Emirates |
— | 2,300,011 | — | 2,300,011 | ||||||||||||
| United Kingdom |
32,773,121 | 50,397,044 | 17,934 | 83,188,099 | ||||||||||||
| United States |
367,584,898 | — | 0 | § | 367,584,898 | |||||||||||
| Vietnam |
— | 5,392,020 | — | 5,392,020 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
535,420,818 | 1,170,376,379 | 180,525 | 1,705,977,722 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Brazil |
4,603,275 | 10,388,907 | — | 14,992,182 | ||||||||||||
| Chile |
2,421,534 | — | — | 2,421,534 | ||||||||||||
| Germany |
— | 7,621,280 | — | 7,621,280 | ||||||||||||
| Italy |
— | 116,816 | — | 116,816 | ||||||||||||
| Russia |
— | — | 0 | § | 0 | § | ||||||||||
| South Korea |
— | 6,013,509 | — | 6,013,509 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
7,024,809 | 24,140,512 | 0 | § | 31,165,321 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Rights/Warrants |
||||||||||||||||
| Canada |
— | — | 1,087,174 | 1,087,174 | ||||||||||||
| United States |
— | — | 98,660 | 98,660 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL RIGHTS/WARRANTS |
— | — | 1,185,834 | 1,185,834 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Investment Funds |
||||||||||||||||
| Japan |
— | — | 1,436,823 | 1,436,823 | ||||||||||||
| United States |
86,227,493 | — | — | 86,227,493 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
86,227,493 | — | 1,436,823 | 87,664,316 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| Dominican Republic |
— | 1,610,626 | — | 1,610,626 | ||||||||||||
| Kazakhstan |
— | 295,715 | — | 295,715 | ||||||||||||
| Malaysia |
— | 2,102,810 | — | 2,102,810 | ||||||||||||
| Paraguay |
— | 301,788 | — | 301,788 | ||||||||||||
| Uganda |
— | 313,605 | — | 313,605 | ||||||||||||
| United States |
500,294,298 | — | — | 500,294,298 | ||||||||||||
| Uruguay |
— | 525,109 | — | 525,109 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
500,294,298 | 5,149,653 | — | 505,443,951 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
16,764,312 | 413,341,947 | — | 430,106,259 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
1,145,731,730 | 1,613,008,491 | 2,803,182 | 2,761,543,403 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | 659,773 | — | 659,773 | ||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
3,211,979 | — | — | 3,211,979 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Equity Risk |
— | 805,399 | — | 805,399 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,148,943,709 | $ | 1,614,473,663 | $ | 2,803,182 | $ | 2,766,220,554 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Common Stocks |
||||||||||||||||
| Australia |
$ | — | $ | (10,980,333 | ) | $ | — | $ | (10,980,333 | ) | ||||||
| Belgium |
— | (909,925 | ) | — | (909,925 | ) | ||||||||||
| Brazil |
(2,559,707 | ) | — | — | (2,559,707 | ) | ||||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Implementation Fund (continued) | ||||||||||||||||
| Liability Valuation Inputs (continued) | ||||||||||||||||
| Common Stocks (continued) |
||||||||||||||||
| Canada |
$ | (22,803,941 | ) | $ | — | $ | — | $ | (22,803,941 | ) | ||||||
| Chile |
(1,474,643 | ) | — | — | (1,474,643 | ) | ||||||||||
| China |
(2,508,782 | ) | — | — | (2,508,782 | ) | ||||||||||
| Denmark |
— | (6,009,448 | ) | — | (6,009,448 | ) | ||||||||||
| France |
— | (5,971,207 | ) | — | (5,971,207 | ) | ||||||||||
| Germany |
— | (12,826,185 | ) | — | (12,826,185 | ) | ||||||||||
| Israel |
(79,717 | ) | — | — | (79,717 | ) | ||||||||||
| Italy |
(234,419 | ) | (7,194,311 | ) | — | (7,428,730 | ) | |||||||||
| Japan |
— | (30,174,525 | ) | — | (30,174,525 | ) | ||||||||||
| Mexico |
(311,916 | ) | — | — | (311,916 | ) | ||||||||||
| Netherlands |
(1,823,300 | ) | (6,853,904 | ) | — | (8,677,204 | ) | |||||||||
| Norway |
— | (5,142,189 | ) | — | (5,142,189 | ) | ||||||||||
| Peru |
(3,426,246 | ) | — | — | (3,426,246 | ) | ||||||||||
| Singapore |
(1,113,440 | ) | — | — | (1,113,440 | ) | ||||||||||
| Spain |
— | (6,000,565 | ) | — | (6,000,565 | ) | ||||||||||
| Sweden |
(1,817,527 | ) | (3,250,947 | ) | — | (5,068,474 | ) | |||||||||
| Switzerland |
— | (3,561,377 | ) | — | (3,561,377 | ) | ||||||||||
| United Kingdom |
— | (17,449,500 | ) | — | (17,449,500 | ) | ||||||||||
| United States |
(197,154,952 | ) | — | — | (197,154,952 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL COMMON STOCKS |
(235,308,590 | ) | (116,324,416 | ) | — | (351,633,006 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Germany |
— | (2,512,893 | ) | — | (2,512,893 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL PREFERRED STOCKS |
— | (2,512,893 | ) | — | (2,512,893 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
— | (137,910 | ) | — | (137,910 | ) | ||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
— | (11,330,892 | ) | — | (11,330,892 | ) | ||||||||||
| Swap Contacts |
||||||||||||||||
| Credit Risk |
— | (16,557,326 | ) | — | (16,557,326 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (235,308,590 | ) | $ | (146,863,437 | ) | $ | — | $ | (382,172,027 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Developed Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investment Funds |
$ | 222,772,589 | $ | — | $ | — | $ | 222,772,589 | ||||||||
| Short-Term Investments |
237,263 | — | — | 237,263 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
223,009,852 | — | — | 223,009,852 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 223,009,852 | $ | — | $ | — | $ | 223,009,852 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| International Equity Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
$ | 900,143 | $ | — | $ | — | $ | 900,143 | ||||||||
| Investment Funds |
383,210,284 | — | — | 383,210,284 | ||||||||||||
| Short-Term Investments |
963,343 | — | — | 963,343 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
385,073,770 | — | — | 385,073,770 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
490,491 | — | — | 490,491 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 385,564,261 | $ | — | $ | — | $ | 385,564,261 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | — | $ | (625,148 | ) | $ | — | $ | (625,148 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (625,148 | ) | $ | — | $ | (625,148 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| MAC Implementation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Debt Obligations |
||||||||||||||||
| U.S. Government |
$ | 19,973,789 | $ | — | $ | — | $ | 19,973,789 | ||||||||
| U.S. Government Agency |
— | 5,961,699 | — | 5,961,699 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
19,973,789 | 5,961,699 | — | 25,935,488 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
687,065 | — | — | 687,065 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
20,660,854 | 5,961,699 | — | 26,622,553 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
199,135 | — | — | 199,135 | ||||||||||||
| Swap Contracts |
||||||||||||||||
| Credit Risk |
— | 2,582,747 | — | 2,582,747 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 20,859,989 | $ | 8,544,446 | $ | — | $ | 29,404,435 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Forward Currency Contracts |
||||||||||||||||
| Foreign Currency Risk |
$ | — | $ | (1,734 | ) | $ | — | $ | (1,734 | ) | ||||||
| Futures Contracts |
||||||||||||||||
| Interest Rate Risk |
(3,753 | ) | — | — | (3,753 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (3,753 | ) | $ | (1,734 | ) | $ | — | $ | (5,487 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Multi-Asset Credit Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investment Funds |
$ | 201,577,861 | $ | — | $ | — | $ | 201,577,861 | ||||||||
| Short-Term Investments |
1,980,578 | — | — | 1,980,578 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
203,558,439 | — | — | 203,558,439 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 203,558,439 | $ | — | $ | — | $ | 203,558,439 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Strategic Opportunities Allocation Fund | ||||||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investment Funds |
||||||||||||||||
| United States |
$ | 74,298,183 | $ | — | $ | — | $ | 74,298,183 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL INVESTMENT FUNDS |
74,298,183 | — | — | 74,298,183 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Debt Obligations |
||||||||||||||||
| United States |
100,097 | — | — | 100,097 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| TOTAL DEBT OBLIGATIONS |
100,097 | — | — | 100,097 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
93,568 | — | — | 93,568 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
74,491,848 | — | — | 74,491,848 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 74,491,848 | $ | — | $ | — | $ | 74,491,848 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Derivatives^ |
||||||||||||||||
| Futures Contracts |
||||||||||||||||
| Equity Risk |
$ | — | $ | (267,880 | ) | $ | — | $ | (267,880 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | (267,880 | ) | $ | — | $ | (267,880 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
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. |
| § | Represents the interest in securities that were determined to have a value of zero at May 31, 2026. |
The underlying funds held at period end are classified above as Level 1. Certain underlying funds invest in securities and/or derivatives which may have been fair valued using methods determined in good faith by or at the direction of the Trustees or which may have been valued using significant unobservable inputs. For a summary of the levels assigned to the underlying funds’ direct
securities and derivatives, if any, please refer to the underlying funds’ financial statements which are available on the SEC’s website at www.sec.gov or on GMO’s website at www.gmo.com.
As of May 31, 2026, Alternative Allocation Fund’s Level 3 holdings include investments valued using unadjusted prices supplied by a third-party pricing source (e.g., broker quotes, vendors).
The following is a reconciliation of securities and derivatives, if any, for Funds in which significant unobservable inputs (Level 3) were used in determining value:
| Balances as of February 28, 2026 |
Purchases | Sales | Accrued Discounts/ Premiums |
Total Realized Gain/ (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Transfer into Level 3 |
Transfer out of Level 3 |
Balances as of May 31, 2026 |
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of May 31, 2026 |
|||||||||||||||||||||||||||||||
| Consolidated Alternative Allocation Fund | ||||||||||||||||||||||||||||||||||||||||
| Common Stocks | ||||||||||||||||||||||||||||||||||||||||
| Israel |
$ | 1,658,925 | $ | — | $ | (1,658,925 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
| Rights/Warrants | ||||||||||||||||||||||||||||||||||||||||
| Canada |
264,384 | — | — | — | — | — | — | — | 264,384 | — | ||||||||||||||||||||||||||||||
| United States |
738,602 | 1,928 | — | — | — | — | — | — | 740,530 | — | ||||||||||||||||||||||||||||||
| Investment Funds | ||||||||||||||||||||||||||||||||||||||||
| Japan |
— | 2,051,226 | — | — | — | (210,305 | ) | — | — | 1,840,921 | (210,305 | ) | ||||||||||||||||||||||||||||
| United States |
12,812,912 | — | — | — | — | (492,805 | ) | — | — | 12,320,107 | (492,805 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Investments |
$ | 15,474,823 | $ | 2,053,154 | $ | (1,658,925 | ) | $ | — | $ | — | $ | (703,110 | ) | $ | — | $ | — | $ | 15,165,942 | $ | (703,110 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
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 May 31, 2026.
Quantitative information about Level 3 Fair Value Measurements*
| Investment Type | Total Fair Value ($) |
Valuation Methodology |
Unobservable Inputs | Range (Weighted Average) | ||||||
| Consolidated Alternative Allocation Fund | ||||||||||
|
Investment Funds |
1,840,921 | Fair Value | Net asset value statement | (N/A) | ||||||
| * | The table does not include Level 3 securities or derivatives that are valued by pricing vendors or brokers. As of May 31, 2026, the value of these securities and/or derivatives for Consolidated Alternative Allocation Fund was $13,325,021. 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 May 31, 2026 is set forth below:
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Benchmark-Free Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Alternative Allocation Fund, Class VI |
$ | 335,180,576 | $ | 6,050,000 | $ | 12,865,000 | $ | — | $ | — | $ | 986,614 | $ | (10,588,712 | ) | $ | 318,763,478 | |||||||||||||||
| GMO Climate Change Fund, Class III |
25,401,625 | — | — | — | — | — | 3,354,088 | 28,755,713 | ||||||||||||||||||||||||
| GMO High Yield Fund, Class VI |
25,394,118 | — | — | — | — | — | 292,896 | 25,687,014 | ||||||||||||||||||||||||
| GMO Implementation Fund |
2,146,596,608 | 4,515,000 | 24,145,000 | — | — | 5,242,080 | 43,092,120 | 2,175,300,808 | ||||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
51,709,256 | 804,350 | 2,700,000 | 804,350 | — | 798 | (760,114 | ) | 49,054,290 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 2,584,282,183 | $ | 11,369,350 | $ | 39,710,000 | $ | 804,350 | $ | — | $ | 6,229,492 | $ | 35,390,278 | $ | 2,597,561,303 | ||||||||||||||||
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|
|
|
|
|
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|
|
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|
|
|
|
|||||||||||||||||
| Benchmark-Free Fund | ||||||||||||||||||||||||||||||||
| GMO Alternative Allocation Fund, Class VI |
$ | 163,831,085 | $ | 5,770,000 | $ | — | $ | — | $ | — | $ | — | $ | (4,749,288 | ) | $ | 164,851,797 | |||||||||||||||
| GMO Climate Change Fund, Class III |
13,348,240 | — | 1,550,001 | — | — | 417,020 | 1,245,815 | 13,461,074 | ||||||||||||||||||||||||
| GMO High Yield Fund, Class VI |
12,381,385 | — | — | — | — | — | 142,807 | 12,524,192 | ||||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
23,556,751 | — | — | 379,090 | — | — | (354,021 | ) | 23,202,730 | |||||||||||||||||||||||
| GMO Resources Fund, Class VI |
39,653,495 | — | 3,785,000 | — | — | 474,646 | 2,932,060 | 39,275,201 | ||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
135,562 | 66,879,105 | 35,979,659 | — | ** | — | (12,273 | ) | (647 | ) | 31,022,088 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 252,906,518 | $ | 72,649,105 | $ | 41,314,660 | $ | 379,090 | $ | — | $ | 879,393 | $ | (783,274 | ) | $ | 284,337,082 | |||||||||||||||
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|
|
|
|
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|
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|
|
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|
|
|
|||||||||||||||||
| Global Asset Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Alternative Allocation Fund, Class VI |
$ | 89,432,129 | $ | 15,705,000 | $ | — | $ | — | $ | — | $ | — | $ | (2,755,208 | ) | $ | 102,381,921 | |||||||||||||||
| GMO Asset Allocation Bond Fund, Class VI |
81,219,648 | 13,965,000 | — | — | — | — | (6,236,471 | ) | 88,948,177 | |||||||||||||||||||||||
| GMO Climate Change Fund, Class III |
4,822,362 | 1,055,000 | — | — | — | — | 873,387 | 6,750,749 | ||||||||||||||||||||||||
| GMO Domestic Resilience ETF |
11,616,304 | 462,409 | — | 14,866 | — | — | 239,744 | 12,318,457 | ||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
4,899,224 | 1,320,000 | — | — | — | — | 148,130 | 6,367,354 | ||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
18,907,370 | — | 1,835,000 | — | — | 604,482 | 3,915,792 | 21,592,644 | ||||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
36,055,458 | 8,360,000 | 4,400,000 | — | — | 616,180 | 8,346,142 | 48,977,780 | ||||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
87,697,483 | 8,040,000 | — | — | — | — | 4,523,290 | 100,260,773 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
41,435,931 | 3,015,000 | — | — | — | — | 462,088 | 44,913,019 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
37,234,732 | 2,105,000 | — | — | — | — | 1,887,669 | 41,227,401 | ||||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
16,957,442 | 2,511,135 | — | 296,134 | — | — | (271,566 | ) | 19,197,011 | |||||||||||||||||||||||
| GMO Quality Fund, Class VI |
16,239,777 | 2,560,000 | — | — | — | — | 1,227,647 | 20,027,424 | ||||||||||||||||||||||||
| GMO Resources Fund, Class VI |
5,687,782 | — | — | — | — | — | 498,929 | 6,186,711 | ||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
11,142,652 | 1,300,000 | — | — | — | — | 126,684 | 12,569,336 | ||||||||||||||||||||||||
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Global Asset Allocation Fund (continued) | ||||||||||||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
$ | 43,599,310 | $ | 1,840,000 | $ | 2,600,000 | $ | — | $ | — | $ | (150,905 | ) | $ | 5,511,251 | $ | 48,199,656 | |||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
39,725,801 | 2,995,000 | — | — | — | — | 1,871,824 | 44,592,625 | ||||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
11,098,794 | 1,025,000 | — | — | — | — | 918,825 | 13,042,619 | ||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
15,256,448 | 21,968,739 | 19,800,000 | 169,529 | — | — | — | 17,425,187 | ||||||||||||||||||||||||
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|
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|
|
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|
|
|
|
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|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 573,028,647 | $ | 88,227,283 | $ | 28,635,000 | $ | 480,529 | $ | — | $ | 1,069,757 | $ | 21,288,157 | $ | 654,978,844 | ||||||||||||||||
|
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|
|
|
|
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|
|
|
|
|
|
|||||||||||||||||
| Global Developed Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Climate Change Fund, Class III |
$ | 965,786 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 127,525 | $ | 1,093,311 | ||||||||||||||||
| GMO Domestic Resilience ETF |
2,173,713 | — | — | 2,667 | — | — | 36,190 | 2,209,903 | ||||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
2,115,502 | — | 205,000 | — | — | 67,531 | 438,258 | 2,416,291 | ||||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
27,557,087 | — | 230,000 | — | — | 103,082 | 996,292 | 28,426,461 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
11,371,140 | 100,000 | 320,000 | — | — | 79,548 | 7,287 | 11,237,975 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
6,258,195 | — | — | — | — | — | 270,991 | 6,529,186 | ||||||||||||||||||||||||
| GMO Quality Fund, Class VI |
14,607,773 | 190,000 | — | — | — | — | 835,476 | 15,633,249 | ||||||||||||||||||||||||
| GMO Resources Fund, Class VI |
2,176,060 | — | 335,000 | — | — | 50,342 | 126,209 | 2,017,611 | ||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
3,820,928 | 85,000 | — | — | — | — | 17,555 | 3,923,483 | ||||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
11,412,243 | 275,000 | — | — | — | — | 1,465,811 | 13,153,054 | ||||||||||||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
14,662,261 | 105,000 | 140,000 | — | — | 14,157 | 574,383 | 15,215,801 | ||||||||||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
2,788,737 | — | — | — | — | — | 202,716 | 2,991,453 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 99,909,425 | $ | 755,000 | $ | 1,230,000 | $ | 2,667 | $ | — | $ | 314,660 | $ | 5,098,693 | $ | 104,847,778 | ||||||||||||||||
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Global Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Climate Change Fund, Class III |
$ | 6,988,718 | $ | — | $ | 1,359,000 | $ | — | $ | — | $ | 332,151 | $ | 454,493 | $ | 6,416,362 | ||||||||||||||||
| GMO Domestic Resilience ETF |
14,250,815 | — | 2,702,007 | 17,484 | — | 405,208 | (182,696 | ) | 11,771,320 | |||||||||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
16,137,376 | 3,075,000 | 4,063,000 | — | — | 858,981 | 3,766,101 | 19,774,458 | ||||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
73,905,644 | 2,600,000 | 18,460,000 | — | — | 520,087 | 11,443,163 | 70,008,894 | ||||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
167,427,492 | — | 22,692,000 | — | — | 8,420,523 | (3,206,004 | ) | 149,950,011 | |||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
76,322,592 | — | 7,629,000 | — | — | 1,924,202 | (1,616,027 | ) | 69,001,767 | |||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
44,018,733 | — | 7,103,001 | — | — | 1,835,501 | (470,071 | ) | 38,281,162 | |||||||||||||||||||||||
| GMO Quality Fund, Class VI |
74,870,936 | 5,500,000 | 8,445,000 | — | — | 2,405,643 | 1,665,911 | 75,997,490 | ||||||||||||||||||||||||
| GMO Resources Fund, Class VI |
15,227,924 | — | 4,119,000 | — | — | 668,039 | 535,688 | 12,312,651 | ||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
26,526,390 | — | 1,558,000 | — | — | 337,060 | (268,326 | ) | 25,037,124 | |||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
63,384,019 | — | 17,557,000 | — | — | 1,707,855 | 3,870,345 | 51,405,219 | ||||||||||||||||||||||||
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Global Equity Allocation Fund (continued) | ||||||||||||||||||||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
$ | 83,152,507 | $ | 3,500,000 | $ | 8,063,001 | $ | — | $ | — | $ | 975,092 | $ | 2,245,568 | $ | 81,810,166 | ||||||||||||||||
| GMO U.S. Small Cap Value Fund, Class VI |
19,342,372 | — | 2,108,000 | — | — | 515,307 | 840,368 | 18,590,047 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 681,555,518 | $ | 14,675,000 | $ | 105,858,009 | $ | 17,484 | $ | — | $ | 20,905,649 | $ | 19,078,513 | $ | 630,356,671 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Implementation Fund | ||||||||||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
$ | 437,452 | $ | 179,595,295 | $ | 93,802,452 | $ | — | ** | $ | — | $ | (978 | ) | $ | (1,824 | ) | $ | 86,227,493 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| International Developed Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
$ | 148,819,968 | $ | 1,465,000 | $ | 345,000 | $ | — | $ | — | $ | 136,308 | $ | 6,062,382 | $ | 156,138,658 | ||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
48,842,884 | 1,460,000 | 205,000 | — | — | 39,200 | 413,155 | 50,550,239 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
15,337,975 | 355,000 | 310,000 | — | — | 101,823 | 598,894 | 16,083,692 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 213,000,827 | $ | 3,280,000 | $ | 860,000 | $ | — | $ | — | $ | 277,331 | $ | 7,074,431 | $ | 222,772,589 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| International Equity Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
$ | 110,662,187 | $ | 135,000 | $ | 13,390,000 | $ | — | $ | — | $ | 1,699,978 | $ | 17,761,627 | $ | 116,868,792 | ||||||||||||||||
| GMO International Equity Fund, Class IV |
166,481,847 | 4,920,000 | 6,465,000 | — | — | 1,978,337 | 4,396,472 | 171,311,656 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
66,269,736 | 4,460,000 | 3,705,000 | — | — | 784,063 | (314,851 | ) | 67,493,948 | |||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
26,294,916 | 1,435,000 | 1,300,000 | — | — | 400,612 | 705,360 | 27,535,888 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 369,708,686 | $ | 10,950,000 | $ | 24,860,000 | $ | — | $ | — | $ | 4,862,990 | $ | 22,548,608 | $ | 383,210,284 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Multi-Asset Credit Fund | ||||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
$ | 24,022,615 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 669,266 | $ | 24,691,881 | ||||||||||||||||
| GMO High Yield Fund, Class VI |
29,292,320 | 438,215 | 4,640,003 | — | — | (119,849 | ) | 445,193 | 25,415,876 | |||||||||||||||||||||||
| GMO MAC Implementation Fund |
23,416,290 | — | — | — | — | — | (1,244,862 | ) | 22,171,428 | |||||||||||||||||||||||
| GMO Opportunistic Income Fund, Class VI |
87,828,875 | 4,904,585 | — | 1,440,326 | — | — | (1,339,943 | ) | 91,393,517 | |||||||||||||||||||||||
| GMO Systematic Investment Grade Credit ETF |
19,496,573 | — | — | 291,191 | — | — | (403,747 | ) | 19,092,826 | |||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
6,993,723 | 9,736,388 | 12,400,000 | 35,763 | ** | — | — | — | 4,330,111 | |||||||||||||||||||||||
| GMO Ultra-Short Income ETF |
9,582,003 | 4,951,979 | — | 151,864 | — | — | (51,760 | ) | 14,482,222 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Totals |
$ | 200,632,399 | $ | 20,031,167 | $ | 17,040,003 | $ | 1,919,144 | $ | — | $ | (119,849 | ) | $ | (1,925,853 | ) | $ | 201,577,861 | ||||||||||||||
|
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|
|
|
|
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|
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|
|
|
|
|||||||||||||||||
| Strategic Opportunities Allocation Fund | ||||||||||||||||||||||||||||||||
| GMO Alternative Allocation Fund, Class VI |
$ | 12,928,190 | $ | 913,000 | $ | — | $ | — | $ | — | $ | — | $ | (377,695 | ) | $ | 13,463,495 | |||||||||||||||
| GMO Asset Allocation Bond Fund, Class VI |
6,765,416 | 425,000 | — | — | — | — | (497,537 | ) | 6,692,879 | |||||||||||||||||||||||
| GMO Climate Change Fund, Class III |
829,634 | — | — | — | — | — | 109,547 | 939,181 | ||||||||||||||||||||||||
| GMO Domestic Resilience ETF |
1,710,328 | — | — | 2,098 | — | — | 28,474 | 1,738,802 | ||||||||||||||||||||||||
| Affiliate | Value, beginning of period |
Purchases | Sales Proceeds |
Dividend Income* |
Distributions of Realized Gains* |
Net Realized Gain (Loss) |
Net Increase/ Decrease in Unrealized Appreciation/ Depreciation |
Value, end of period |
||||||||||||||||||||||||
| Strategic Opportunities Allocation Fund (continued) | ||||||||||||||||||||||||||||||||
| GMO Emerging Country Debt Fund, Class VI |
$ | 769,702 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 21,444 | $ | 791,146 | ||||||||||||||||
| GMO Emerging Markets ex-China Fund, Class VI |
1,725,840 | — | 168,000 | — | — | 66,153 | 346,411 | 1,970,404 | ||||||||||||||||||||||||
| GMO Emerging Markets Fund, Class VI |
4,233,253 | 930,000 | 805,000 | — | — | 342,271 | 666,833 | 5,367,357 | ||||||||||||||||||||||||
| GMO International Equity Fund, Class IV |
12,625,200 | 315,000 | 260,000 | — | — | 108,745 | 443,056 | 13,232,001 | ||||||||||||||||||||||||
| GMO International Opportunistic Value Fund, Class IV |
5,903,294 | — | — | — | — | — | 54,158 | 5,957,452 | ||||||||||||||||||||||||
|
GMO-Usonian Japan Value Creation Fund, Class VI |
5,393,878 | — | 180,000 | — | — | 69,051 | 138,761 | 5,421,690 | ||||||||||||||||||||||||
| GMO Quality Fund, Class VI |
2,352,997 | 160,000 | — | — | — | — | 154,362 | 2,667,359 | ||||||||||||||||||||||||
| GMO Resources Fund, Class VI |
880,319 | — | — | — | — | — | 77,220 | 957,539 | ||||||||||||||||||||||||
| GMO Small Cap Quality Fund, Class VI |
1,594,672 | — | — | — | — | — | 5,559 | 1,600,231 | ||||||||||||||||||||||||
| GMO U.S. Equity Fund, Class VI |
5,485,709 | — | 650,000 | — | — | 99,843 | 496,140 | 5,431,692 | ||||||||||||||||||||||||
| GMO U.S. Opportunistic Value Fund, Class VI |
5,597,428 | 100,000 | — | — | — | — | 235,793 | 5,933,221 | ||||||||||||||||||||||||
| GMO U.S. Treasury Fund, Class VI |
1,514,131 | 619,603 | — | 19,603 | — | — | — | 2,133,734 | ||||||||||||||||||||||||
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|
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|
|
|||||||||||||||||
| Totals |
$ | 70,309,991 | $ | 3,462,603 | $ | 2,063,000 | $ | 21,701 | $ | — | $ | 686,063 | $ | 1,902,526 | $ | 74,298,183 | ||||||||||||||||
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|||||||||||||||||
| * | The table above includes estimated sources of all distributions paid by the underlying funds during the period March 1, 2026 through May 31, 2026. The actual tax characterization of distributions paid by the underlying funds will be determined at the end of the fiscal year ending February 28, 2027. |
| ** | 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 $12,520, $41,348 and $324 Benchmark-Free Fund, Implementation Fund and Multi-Asset Credit Fund, respectively, during the period. |
***
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.