GMO Trust Annual Report February 28, 2021

printmgr fileClimate Change Fund Cyclical Focus Fund Emerging Domestic Opportunities Fund Emerging Markets Fund International Equity Fund Japan Value Creation Fund Quality Fund Resources Fund Tax-Managed International Equities Fund U.S. Equity Fund U.S. Small Cap Value Fund
For a free copy of the Funds’ proxy voting guidelines, shareholders may call 1-617-346-7646 (collect), visit GMO’s website at www.gmo.com or visit the Securities and Exchange Commission’s website at www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available without charge on GMO’s website at www.gmo.com and on the Securities and Exchange Commission’s website at www.sec.gov no later than August 31 of each year.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-PORT, which is available on the Commission’s website at www.sec.gov. The Funds have a policy with respect to disclosure of portfolio holdings under which they may also make a complete schedule of portfolio holdings available on GMO’s website at www.gmo.com.
This report is prepared for the general information of shareholders. It is authorized for distribution to prospective investors only when preceded or accompanied by a prospectus for the GMO Trust, which contains a complete discussion of the risks associated with an investment in these Funds and other important information. The GMO Trust prospectus can be obtained at www.gmo.com. The GMO Trust Statement of Additional Information includes additional information about the Trustees of GMO Trust and is available without charge, upon request, by calling 1-617-346-7646 (collect).
An investment in the Funds is subject to risk, including the possible loss of principal amount invested. There can be no assurance that the Funds will achieve their stated investment objectives. Please see the Funds’ prospectus regarding specific principal risks for each Fund. General risks may include: market risk-equities, management and operational risk, non-U.S. investment risk, small company risk and derivatives risk.
The Funds are distributed by Funds Distributor LLC. Funds Distributor LLC is not affiliated with GMO.
TABLE OF CONTENTS
Climate Change Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
Cyclical Focus Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Emerging Domestic Opportunities Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Emerging Markets Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
International Equity Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
Japan Value Creation Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
Quality Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
Resources Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
Tax-Managed International Equities Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
U.S. Equity Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
U.S. Small Cap Value Fund Management Discussion and Analysis of Fund Performance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 70 Performance Graph . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 71 Investment Concentration Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72 Schedule of Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
Portfolio, Counterparty and Currency Abbreviations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78
Fund Financial Statements: Statements of Assets and Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79 Statements of Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85 Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94 Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108 Report of Independent Registered Public Accounting Firm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 158 Board Review of Investment Management Agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159 Fund Expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160 Tax Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162 Trustees and Officers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
GMO Climate Change Fund (A Series of GMO Trust)
Portfolio Management
Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.
Management Discussion and Analysis of Fund Performance
Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) is included for comparative purposes.
Class III shares of GMO Climate Change Fund returned +63.84% (net) for the fiscal year ended February 28, 2021, as compared with +30.25% for the MSCI ACWI.
The Fund’s clean energy holdings posted strong gains. Solar, wind, and biofuels each more than doubled during the year. SolarEdge Technologies Inc. and Renewable Energy Group Inc. were among the best performers.
The Fund’s copper exposure gained 145% as copper prices rose approximately 57% during the year. Freeport McMoRan Inc. was among the best performers.
The Fund’s agriculture exposure also performed well. The Mosaic Company, one of the world’s largest suppliers of phosphate and potash, was a strong contributor to performance.
The views expressed herein are exclusively those of Grantham, Mayo, Van Otterloo & Co. LLC as of the date of this report and are subject to change. GMO disclaims any responsibility to update such views. They are not meant as investment advice. References to specific securities are not recommendations of such securities and may not be representative of any GMO portfolio’s current or future investments. All information is unaudited.
2
GMO Climate Change Fund (A Series of GMO Trust)
Comparison of Change in Value of a $5,000,000 Investment in GMO Climate Change Fund Class III Shares and the MSCI ACWI
As of February 28, 2021
$4,500,000
$5,500,000
$5,000,000
$7,500,000
$7,000,000
$6,500,000
$6,000,000
$9,000,000
$8,500,000
$8,000,000
$9,500,000
$10,500,000
$10,000,000
20212020201920182017
$5,000,000
4/5/17
$7,891,032
Class III
Class R6
Class I
Since Inception
1 Year
GMO Climate Change Fund MSCI ACWI
Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited. Performance for classes may vary due to different fees.
MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
For Class III, R6 and I the gross expense ratio of 0.94%, 0.94% and 1.04%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.78%, 0.78% and 0.88% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.
3
GMO Climate Change Fund (A Series of GMO Trust) Investment Concentration Summary February 28, 2021 (Unaudited)
Asset Class Summary& % of Total Net Assets
Common Stocks 94.9% Mutual Funds 5.3 Preferred Stocks 1.8 Short-Term Investments 0.1 Other (2.1)
100.0%
Country/Region Summary¤ % of Investments
United States 36.4% Japan 8.8 China 6.9 Canada 6.3 France 5.3 Russia 4.0 Germany 3.6 Other Emerging 3.3† Italy 2.9 Finland 2.9 United Kingdom 2.8 Spain 2.8 Mexico 2.6 Australia 2.2 Norway 2.0 Other Developed 1.9‡ Chile 1.8 Brazil 1.2 Portugal 1.2 Netherlands 1.1
100.0%
Industry Group Summary % of Equity Investments#
Clean Energy 42.3% Energy Efficiency 21.3 Agriculture 13.1 Copper 8.7 Electric Grid 7.6 Water 7.0
100.0%
& In the table, derivative financial instruments, if any, are based on market values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation).
¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts and includes exposure through other derivative financial instruments, if any. The table takes into account the market value of securities and options and the notional amounts of swap contracts and other derivative financial instruments, if any.
† “Other Emerging” is comprised of emerging countries that each represent between (1.0)% and 1.0% of Investments.
‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.
# Equity investments may consist of common stocks and other stock-related securities, such as preferred stocks, if any. This table excludes exposure to derivative contracts, short-term investments, mutual funds and investment funds, if any. For a summary of these exposures, if any, see the Schedule of Investments.
4
GMO Climate Change Fund (A Series of GMO Trust) Schedule of Investments (showing percentage of total net assets) February 28, 2021
Shares Description Value ($)
COMMON STOCKS — 94.9%
Australia — 2.2% 6,401,117 Clean TeQ Holdings Ltd * 1,437,317
1,451,781 Nickel Mines Ltd 1,556,274
487,057 Sandfire Resources Ltd 2,276,496
583,294 Tassal Group Ltd (a) 1,520,986
542,889 Western Areas Ltd (a) 1,075,146
Total Australia 7,866,219
196,300 SLC Agricola SA 1,435,419
Total Brazil 4,338,809
431,600 Greenlane Renewables Inc * (a) 773,258
1,364,615 Ivanhoe Mines Ltd – Class A * 8,417,592
3,021,500 Largo Resources Ltd * 4,202,464
112,100 Lundin Mining Corp 1,283,433
79,400 NFI Group Inc 1,834,323
212,700 Sierra Metals Inc * (a) 563,655
42,100 Turquoise Hill Resources Ltd * 638,236
Total Canada 22,617,381
China — 7.0% 833,000 Canvest Environmental Protection Group Co Ltd 344,034
1,609,000 Chaowei Power Holdings Ltd 683,404
3,638,919 China High Speed Transmission Equipment Group Co Ltd 3,536,413
2,155,000 China Longyuan Power Group Corp Ltd – Class H 3,203,615
1,784,000 China Water Affairs Group Ltd 1,406,035
137,700 Hollysys Automation Technologies Ltd 2,073,762
10,086,000 Sinofert Holdings Ltd 1,466,135
126,222 Sungrow Power Supply Co Ltd – Class A 1,690,102
1,396,000 Tianneng Power International Ltd (a) 2,697,194
2,432,000 Wasion Group Holdings Ltd 798,829
1,061,200 Xinjiang Goldwind Science & Technology Co Ltd – Class H (a) 2,269,292
863,176 Zhengzhou Yutong Bus Co Ltd – Class A 2,028,537
553,785 Zhuzhou CRRC Times Electric Co Ltd – Class H 2,405,372
Total China 24,602,724
6,428 Vestas Wind Systems A/S 1,205,411
Total Denmark 3,036,605
125,785 Neste Oyj 8,308,112
38,000 Nexans SA * 2,953,205
155,055 Suez SA 3,223,003
36,439 Valeo SA 1,287,828
Total France 19,036,949
209 Knorr-Bremse AG 26,617
Total Germany 12,917,862
Total India 1,042,959
Italy — 3.0% 674,023 Enel SPA 6,355,295
129,818 Prysmian SPA 4,169,898
1,400 Daikin Industries Ltd 272,844
58,800 East Japan Railway Co 4,382,486
88,300 Ebara Corp 3,327,255
22,400 Iseki & Co Ltd * 316,552
67,200 Kurita Water Industries Ltd 2,730,029
16,600 METAWATER Co Ltd 315,122
70,000 Osaki Electric Co Ltd 385,152
305,300 Panasonic Corp 3,946,961
10,300 Sanken Electric Co Ltd (a) 526,222
69,300 Takuma Co Ltd 1,363,231
42,800 Tsukishima Kikai Co Ltd 498,139
See accompanying notes to the financial statements. 5
GMO Climate Change Fund (A Series of GMO Trust) Schedule of Investments — (Continued) (showing percentage of total net assets) February 28, 2021
Total Japan 31,580,962
Mexico — 2.6% 1,866,152 Grupo Mexico SAB de CV – Series B 8,846,850
307,515 Grupo Rotoplas SAB de CV 414,361
Total Mexico 9,261,211
88,723 Grieg Seafood ASA * (a) 844,644
Total Norway 7,096,694
Philippines — 0.2% 4,653,200 Nickel Asia Corp 555,241
Portugal — 1.2% 745,653 EDP – Energias de Portugal SA 4,273,863
Russia — 4.0% 234,466 MMC Norilsk Nickel PJSC ADR 7,388,716
309,890 PhosAgro PJSC GDR (Registered) 5,432,600
116,061 Ros Agro Plc GDR (Registered) 1,409,057
Total Russia 14,230,373
South Korea — 0.5% 43,127 Dae Dong Industrial Co Ltd * 304,072
2,142 LG Chem Ltd 1,581,361
Total South Korea 1,885,433
3,282 Construcciones y Auxiliar de Ferrocarriles SA 145,454
162,012 Endesa SA 4,003,368
187,842 Red Electrica Corp SA (a) 3,138,146
135,578 Talgo SA * 710,849
7,226 Landis+Gyr Group AG 501,177
Total Switzerland 3,116,074
Thailand — 0.2% 1,220,500 SPCG Pcl 795,304
Ukraine — 0.6% 143,832 Kernel Holding SA 2,096,771
United Kingdom — 2.9% 49,400 Atlantica Sustainable Infrastructure Plc (a) 1,785,810
643,346 Drax Group Plc 3,422,965
88,728 Go-Ahead Group Plc * 1,446,660
47,533 Polypipe Group Plc * 365,803
3,069,135 Renewi Plc * 1,863,300
Total United Kingdom 10,154,412
13,100 Ameresco, Inc. – Class A * 748,272
196,059 BorgWarner, Inc. 8,822,655
153,796 Darling Ingredients, Inc. * 9,695,300
5,500 Deere & Co. 1,920,160
25,700 EnerSys 2,320,196
119,086 Exelon Corp. 4,596,720
218,932 Freeport-McMoRan, Inc. * 7,423,984
72,000 FutureFuel Corp. 1,056,960
13,400 Johnson Controls International Plc 747,586
70,800 Livent Corp. * (a) 1,318,296
153,000 Montauk Renewables, Inc. * 1,958,400
125,647 Mosaic Co. (The) 3,694,022
57,600 MYR Group, Inc. * 3,395,520
76,979 ON Semiconductor Corp. * 3,099,944
61,133 Owens Corning 4,952,996
20,900 Rexnord Corp. 939,455
30,909 SolarEdge Technologies, Inc. * 9,220,464
22,700 Sunrun, Inc. * 1,420,566
8,400 Westinghouse Air Brake Technologies Corp. 608,412
Total United States 112,168,880
6 See accompanying notes to the financial statements.
GMO Climate Change Fund (A Series of GMO Trust) Schedule of Investments — (Continued) (showing percentage of total net assets) February 28, 2021
Chile — 1.8% 117,911 Sociedad Quimica y Minera de Chile SA
Sponsored ADR 6,320,030
MUTUAL FUNDS — 5.3%
3,683,280 GMO U.S. Treasury Fund (c) 18,563,731
TOTAL MUTUAL FUNDS (COST $18,563,731) 18,563,731
SHORT-TERM INVESTMENTS — 0.1%
Money Market Funds — 0.1% 506,601 State Street Institutional Treasury Money Market
Fund – Premier Class, 0.01% (d) 506,601
TOTAL SHORT-TERM INVESTMENTS (COST $506,601) 506,601
TOTAL INVESTMENTS — 102.1% (Cost $286,911,987) 359,309,949
Other Assets and Liabilities (net) — (2.1%) (7,428,483)
TOTAL NET ASSETS — 100.0% $351,881,466
Notes to Schedule of Investments:
* Non-income producing security.
(a) All or a portion of this security is out on loan (Note 2).
(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.
(c) All or a portion of this security is purchased with collateral from securities loaned (Note 2).
(d) The rate disclosed is the 7 day net yield as of February 28, 2021.
For a listing of definitions of acronyms, counterparty abbreviations and currency abbreviations used throughout the Schedule of Investments as well as the derivative tables, if any, please refer to page 78.
GMO Cyclical Focus Fund (A Series of GMO Trust)
Day-to-day management of the Fund’s portfolio is the responsibility of the Focused Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.
Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI All Country World Index (“ACWI”) is included for comparative purposes.
Class VI shares of GMO Cyclical Focus Fund returned +53.56% (net) for the period from the Fund’s inception on May 12, 2020 until the end of the fiscal year on February 28, 2021, as compared with +37.29% for the MSCI ACWI.
The Fund’s Consumer Discretionary (overweight) and Health Care (underweight) allocations made a positive contribution during the period, and Information Technology (underweight) and Energy (overweight) had a negative impact.
The Fund’s security selection results in Materials and Industrials made a positive contribution during the period, and selection results in Consumer Discretionary detracted. Sector allocation mattered slightly more than stock selection within sector.
The U.S./non-U.S. regional allocation made little difference to performance.
8
GMO Cyclical Focus Fund (A Series of GMO Trust)
Comparison of Change in Value of a $300,000,000 Investment in GMO Cyclical Focus Fund Class VI Shares and the MSCI ACWI
Class VI
2020 2021
Average Annual Total Returns
$250,000,000
$300,000,000
$350,000,000
$400,000,000
$450,000,000
$500,000,000
$300,000,000
5/12/20
$411,857,878
$460,675,116
Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. To obtain performance information up to the most recent month-end, visit www.gmo.com. Performance shown is net of all fees after reimbursement from GMO. Returns would have been lower had certain expenses not been reimbursed during the periods shown and do not include the effect of taxes on distributions and redemptions. The performance information shown above only includes purchase premiums and/or redemption fees in effect as of February 28, 2021. All information is unaudited.
For Class VI the gross expense ratio of 0.77% is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Class listed above, the net expense ratio of 0.40% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.
9
GMO Cyclical Focus Fund (A Series of GMO Trust) Investment Concentration Summary February 28, 2021 (Unaudited)
Common Stocks 96.7% Preferred Stocks 3.0 Mutual Funds 0.4 Short-Term Investments 0.2 Other (0.3)
100.0%
United States 50.8% United Kingdom 12.1 France 7.7 Mexico 6.3 Spain 4.9 Canada 4.7 Russia 4.4 Finland 3.2 Brazil 3.0 Ireland 2.9
100.0%
Industry Group Summary % of Equity Investments#
Energy 16.4% Consumer Durables & Apparel 14.8 Materials 10.3 Diversified Financials 8.7 Consumer Services 8.2 Capital Goods 7.9 Transportation 6.5 Banks 6.2 Retailing 5.2 Food, Beverage & Tobacco 4.3 Technology Hardware & Equipment 3.7 Automobiles & Components 3.0 Software & Services 2.5 Insurance 2.3
100.0%
10
GMO Cyclical Focus Fund (A Series of GMO Trust) Schedule of Investments (showing percentage of total net assets) February 28, 2021
Canada — 4.7% 83,280 Brookfield Asset Management Inc – Class A 3,360,348
60,900 Nutrien Ltd 3,286,164
6,112 LVMH Moet Hennessy Louis Vuitton SE 3,872,679
31,851 Safran SA * 4,341,691
Mexico — 6.3% 437,500 Fomento Economico Mexicano SAB de CV 2,984,979
1,271,500 Grupo Mexico SAB de CV – Series B 6,027,789
19,101 Novatek PJSC Sponsered GDR (Registered) 3,268,331
104,768 Industria de Diseno Textil SA 3,454,537
Total Spain 6,922,151
United Kingdom — 12.1% 59,296 Berkeley Group Holdings Plc (The) 3,359,535
238,069 Compass Group Plc * 4,834,458
118,136 Persimmon Plc 4,280,701
Total United Kingdom 17,214,034
1,700 Booking Holdings, Inc. * 3,958,467
95,700 BorgWarner, Inc. 4,306,500
31,700 Chevron Corp. 3,170,000
30,900 Hasbro, Inc. 2,895,639
15,000 Honeywell International, Inc. 3,035,250
92,200 Lyft, Inc. – Class A * 5,135,540
3,047 Markel Corp. * 3,317,574
90,787 Sensata Technologies Holding Plc * 5,201,187
107,985 US Bancorp 5,399,250
48,123 VF Corp. 3,807,973
Total United States 71,741,954
PREFERRED STOCKS (a) — 3.0%
MUTUAL FUNDS — 0.4%
Money Market Funds— 0.2% 298,283 State Street Institutional Treasury Money Market
Fund – Premier Class, 0.01% (b) 298,283
TOTAL SHORT-TERM INVESTMENTS (COST $298,283) 298,283
TOTAL INVESTMENTS — 100.3% (Cost $106,316,153) 142,427,481
Other Assets and Liabilities (net) — (0.3%) (438,684)
TOTAL NET ASSETS — 100.0% $141,988,797
(a) Preferred dividend rates are disclosed to the extent that a stated rate exists.
(b) The rate disclosed is the 7 day net yield as of February 28, 2021.
GMO Emerging Domestic Opportunities Fund (A Series of GMO Trust)
Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC and GMO Singapore Pte. Limited.
Although GMO does not manage the Fund to, or control the Fund’s risk relative to, any securities index or securities benchmark, a discussion of the Fund’s performance relative to the MSCI Emerging Markets Index is included for comparative purposes.
Class II shares of GMO Emerging Domestic Opportunities Fund returned +31.76% (net) for the fiscal year ended February 28, 2021, as compared with +36.05% for the MSCI Emerging Markets Index.
Country-sector allocation detracted from the Fund’s relative returns for the fiscal year. The Fund’s overweight in India Financials and underweight in India Information Technology hurt relative performance.
Stock selection detracted from the Fund’s relative returns for the fiscal year. The Fund’s stock selection in China Consumer Discretionary and Taiwan Information Technology hurt relative performance.
12
GMO Emerging Domestic Opportunities Fund (A Series of GMO Trust)
Comparison of Change in Value of a $5,000,000 Investment in GMO Emerging Domestic Opportunities Fund Class II Shares* and the MSCI Emerging Markets Index
$2,000,000
$5,000,000
$8,000,000
$11,000,000
$14,000,000
$5,000,000
3/1/11
$7,664,222
$9,470,069
2011 2012 2013 2014 2015 2016 2017 2018 2019 20212020
GMO Emerging Domestic Opportunities Fund MSCI Emerging Markets Index
1 Year 5 Year
* For the period from March 1, 2011 to March 24, 2011, no Class II shares were outstanding. Performance for that period is that of Class V, which has lower expenses. Therefore, the performance shown is higher than it would have been if Class II expenses had been applied throughout.
** For the period from October 27, 2011 to November 29, 2013, no Class V shares were outstanding. Performance for that period is that of Class II, which has higher expenses. Therefore, the performance shown is lower than it would have been if Class V expenses had been applied throughout.
For Class II, V and I the gross expense ratio of 1.14%, 1.01% and 1.23%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 1.12%, 0.99% and 1.15% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.
13
GMO Emerging Domestic Opportunities Fund (A Series of GMO Trust) Investment Concentration Summary February 28, 2021 (Unaudited)
Common Stocks 93.6% Investment Funds 2.9 Short-Term Investments 2.0 Preferred Stocks 0.8 Other 0.7
100.0%
China 38.5% Taiwan 17.6 South Korea 12.6 India 12.2 Brazil 4.9 Russia 4.4 Vietnam 1.6 Hong Kong 1.6 South Africa 1.2 Indonesia 0.8 Mexico 0.7 Thailand 0.7 Philippines 0.6 Poland 0.6 United Arab Emirates 0.6 Turkey 0.4 Chile 0.3 Hungary 0.3 Singapore 0.3 Germany 0.1
100.0%
Media & Entertainment 17.6% Banks 13.6 Technology Hardware & Equipment 12.8 Semiconductors & Semiconductor
Equipment 12.5 Retailing 12.2 Capital Goods 3.8 Software & Services 3.2 Diversified Financials 3.2 Food, Beverage & Tobacco 3.0 Insurance 2.9 Food & Staples Retailing 2.3 Consumer Durables & Apparel 2.1 Pharmaceuticals, Biotechnology & Life
Sciences 1.8 Consumer Services 1.8 Materials 1.8 Automobiles & Components 1.2 Telecommunication Services 1.1 Health Care Equipment & Services 0.8 Real Estate 0.7 Household & Personal Products 0.5 Transportation 0.4 Utilities 0.4 Energy 0.3
100.0%
14
GMO Emerging Domestic Opportunities Fund (A Series of GMO Trust) Schedule of Investments (showing percentage of total net assets) February 28, 2021
825,600 B3 SA – Brasil Bolsa Balcao 7,999,372
1,254,100 BR Malls Participacoes SA * 1,868,551
4,118,900 JHSF Participacoes SA 4,762,584
1,400 MercadoLibre Inc * 2,293,354
12,203,000 Oi SA * 4,093,651
328,800 Suzano SA * 4,292,905
489,600 Vamos Locacao de Caminhoes, Maquinas e Equipamentos S.A. * 3,014,025
Total Brazil 37,734,431
China — 37.5% 810,000 Alibaba Group Holding Ltd * 24,339,828
156,776 Alibaba Group Holding Ltd Sponsored ADR * 37,275,062
222,000 Alibaba Health Information Technology Ltd. * 743,652
93,000 Anhui Conch Cement Co Ltd – Class H 597,644
22,000 Autohome Inc ADR 2,508,880
53,900 Baidu Inc Sponsored ADR * 15,278,494
881,508 Bank of Ningbo Co Ltd – Class A 5,472,901
48,000 Bilibili, Inc. Sponsored ADR * 6,046,560
3,440,000 China Construction Bank Corp – Class H 2,761,441
1,580,400 China International Capital Corp. Ltd. – Class H * 3,643,900
810,000 China Mengniu Dairy Co Ltd 4,426,249
1,949,002 China Merchants Bank Co Ltd – Class H 14,946,413
2,384,289 Focus Media Information Technology Co Ltd – Class A 4,045,849
536,465 Gree Electric Appliances Inc of Zhuhai – Class A 4,901,553
634,000 Haitian International Holdings Ltd 2,174,842
543,844 Han’s Laser Technology Industry Group Co Ltd – Class A 3,628,476
104,000 Hangzhou Tigermed Consulting Co Ltd – Class H * 2,035,096
126,600 Jason Furniture Hangzhou Co Ltd – Class A 1,473,379
172,700 JD.com Inc ADR * 16,211,349
385,500 JD.com Inc – Class A * 18,079,859
315,947 Jiangsu Hengli Hydraulic Co Ltd – Class A 4,648,946
236,767 Jiangsu Hengrui Medicine Co Ltd – Class A 3,732,316
44,300 Kuaishou Technology * 1,763,673
84,500 Longfor Group Holdings Ltd 500,852
320,200 Luxshare Precision Industry Co Ltd – Class A 2,301,904
673,600 Man Wah Holdings Ltd 1,472,495
222,100 Meituan – Class B * 9,975,496
313,521 Midea Group Co Ltd – Class A 4,520,885
85,800 Momo Inc Sponsored ADR 1,359,072
72,000 NetEase Inc ADR 7,909,200
36,200 New Oriental Education & Technology Group Inc Sponsored ADR * 6,429,844
46,100 NIO, Inc. ADR * 2,110,458
37,400 Pinduoduo, Inc ADR * 6,401,384
719,700 Ping An Bank Co Ltd – Class A 2,382,010
913,746 Ping An Insurance Group Co of China Ltd – Class H 11,307,213
289,399 Sany Heavy Industry Co Ltd – Class A 1,842,931
68,083 Shenzhen Mindray Bio-Medical Electronics Co Ltd – Class A 4,411,252
373,800 Shenzhou International Group Holdings Ltd 7,751,279
64,100 Suofeiya Home Collection Co Ltd – Class A 335,591
48,700 TAL Education Group ADR * 3,776,198
1,138,184 Tencent Holdings Ltd 99,018,521
68,000 Tencent Music Entertainment Group ADR * 1,748,960
31,900 Weibo Corp Sponsored ADR * 1,759,923
135,330 Wuliangye Yibin Co Ltd – Class A 5,875,780
169,500 Wuxi Biologics Cayman, Inc. * 2,099,921
890,000 Xinyi Solar Holdings Ltd. 1,869,327
114,900 Yum China Holdings Inc 6,875,616
965,400 Zoomlion Heavy Industry Science and Technology Co Ltd – Class H 1,470,620
Total China 384,458,346
Hungary — 0.3% 65,252 OTP Bank Plc * 2,959,701
India — 11.8% 303,302 Adani Total Gas Ltd 2,108,717
54,337 Apollo Hospitals Enterprise Ltd 2,255,844
1,239,301 Ashok Leyland Ltd 2,165,402
467,650 Aurobindo Pharma Ltd 5,404,170
259,695 Axis Bank Ltd * 2,562,547
73,123 Bajaj Auto Ltd 3,764,123
229,482 Central Depository Services India Ltd 1,946,983
166,421 Cipla Ltd 1,778,709
158,061 HDFC Life Insurance Co Ltd * 1,504,208
86,821 Housing Development Finance Corp Ltd 3,005,220
1,232,797 ICICI Bank Ltd * 10,127,590
GMO Emerging Domestic Opportunities Fund (A Series of GMO Trust) Schedule of Investments — (Continued) (showing percentage of total net assets) February 28, 2021
12,266 IndiaMART InterMESH Ltd 1,434,050
169,596 IndusInd Bank Ltd * 2,458,916
558,442 Infosys Ltd 9,565,695
178,758 Jubilant Pharmova Ltd. 1,845,121
254,806 Muthoot Finance Ltd 4,514,016
109,338 Polycab India Ltd 1,989,383
368,821 SBI Cards & Payment Services Ltd 5,367,533
33,127 SRF Ltd 2,442,210
404,138 Tata Chemicals Ltd 4,027,724
201,505 Tata Consultancy Services Ltd 7,963,315
297,873 Tata Consumer Products Ltd 2,455,493
445,562 Tech Mahindra Ltd 5,568,205
444,041 UPL Ltd 3,389,946
Class O * 2,710,238
11,752,900 Semirara Mining & Power Corp 3,089,521
Total Philippines 6,515,069
Russia — 2.8% 1,348,600 Moscow Exchange MICEX-RTS PJSC 3,124,292
389,955 Sberbank of Russia PJSC Sponsored ADR 5,674,601
132,479 TCS Group Holding Plc GDR (Registered) 6,928,432
84,088 X5 Retail Group NV GDR (Registered) 2,738,329
158,100 Yandex NV – Class A * 10,116,029
12,909 E-MART Inc 1,938,336
11,343 Kakao Corp 4,919,944
35,744 Korea Investment Holdings Co Ltd * 2,771,897
3,060 LG Chem Ltd 2,259,087
56,355 LG Corp 4,697,619
17,010 NAVER Corp 5,663,001
153,871 Shinhan Financial Group Co Ltd * 4,478,751
87,129 SK Hynix Inc 10,943,829
17,949 SK Telecom Co Ltd 3,934,863
159,000 Airtac International Group 5,533,475
199,000 Bizlink Holding, Inc. 2,128,095
578,000 CTBC Financial Holding Co Ltd 414,968
1,161,000 Delta Electronics Inc 11,685,719
2,207,000 E Ink Holdings Inc 4,000,561
1,222,000 Hon Hai Precision Industry Co Ltd 4,909,075
233,000 MediaTek Inc 7,478,508
1,507,000 Pegatron Corp 4,033,411
36,000 Silergy Corp. 3,455,964
4,120,800 Taiwan Semiconductor Manufacturing Co Ltd 90,027,225
2,781,000 United Microelectronics Corp 5,422,293
443,000 Vanguard International Semiconductor Corp 1,842,717
276,000 Walsin Technology Corp 2,512,350
3,084,000 Wistron Corp 3,541,454
132,000 Yageo Corp 2,806,166
2,866,000 CP ALL Pcl (Foreign Registered) * 5,615,784
Total Thailand 7,354,651
2,199,883 Turk Telekomunikasyon AS 2,304,925
Total Turkey 4,162,147
GMO Emerging Domestic Opportunities Fund (A Series of GMO Trust) Schedule of Investments — (Continued) (showing percentage of total net assets) February 28, 2021
United Arab Emirates — 0.5% 1,563,407 Abu Dhabi Commercial Bank PJSC 2,636,210
734,185 First Abu Dhabi Bank PJSC 2,888,275
Total United Arab Emirates 5,524,485
Vietnam — 1.6% 2,172,500 Bank for Foreign Trade of Vietnam JSC 9,257,599
1,466,200 Vietnam Dairy Products JSC 6,671,543
Total Vietnam 15,929,142
PREFERRED STOCKS (b) — 0.8%
TOTAL PREFERRED STOCKS (COST $8,618,172) 7,984,774
INVESTMENT FUNDS — 2.9%
South Africa — 1.0% 225,800 iShares MSCI South Africa ETF 10,443,250
TOTAL INVESTMENT FUNDS (COST $29,221,491) 29,502,072
Money Market Funds — 2.0% 20,442,282 State Street Institutional Treasury Money
Market Fund – Premier Class, 0.01% (c) 20,442,282
TOTAL SHORT-TERM INVESTMENTS (COST $20,442,282) 20,442,282
TOTAL INVESTMENTS — 99.3% (Cost $868,209,222) 1,018,957,936
Other Assets and Liabilities (net) — 0.7% 7,348,637
TOTAL NET ASSETS — 100.0% $1,026,306,573
(a) Investment valued using significant unobservable inputs (Note 2).
(b) Preferred dividend rates are disclosed to the extent that a stated rate exists.
(c) The rate disclosed is the 7 day net yield as of February 28, 2021.
GMO Emerging Markets Fund (A Series of GMO Trust)
Day-to-day management of the Fund’s portfolio is the responsibility of the Emerging Markets Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.
Class II shares of GMO Emerging Markets Fund returned +23.89% (net) for the fiscal year ended February 28, 2021, as compared with +36.05% for the MSCI Emerging Markets Index.
Country allocation contributed to the Fund’s relative returns for the fiscal year. In particular, the Fund’s underweight positions in Brazil Financials and India Financials added to relative performance.
Stock selection detracted from the Fund’s relative returns for the fiscal year. Fund stock selection in Taiwan Information Technology and China Financials hurt relative performance.
18
Comparison of Change in Value of a $5,000,000 Investment in GMO Emerging Markets Fund Class II Shares, the MSCI Emerging Markets Index and
the S&P/IFCI Composite As of February 28, 2021
$0
$5,000,000
$10,000,000
$15,000,000
$20,000,000
$5,000,000
23.89% 13.66% 2.68% n/a
23.99% 13.74% 2.74% n/a
24.12% 13.79% 2.81% n/a
24.11% 13.89% 2.86% n/a
$8,154,408
2014201320122011 202120202016 2017 2018 20192015
GMO Emerging Markets Fund MSCI Emerging Markets Index S&P/IFCI Composite
Class II
Class III
Class V*
Class VI
Class R6
Class I
* For the period 2/26/2019 to 2/26/2020, no Class V shares were outstanding. Performance for that period is that of Class III shares, which have higher expenses. Therefore, the performance shown is lower than it would have been if Class V expenses had been applied throughout.
For S&P disclaimers please visit https://www.gmo.com/north-america/benchmark-disclaimers/
For Class II, III, V, VI, R6 and I the gross expense ratio of 0.97%, 0.90%, 0.84%, 0.81%, 0.97% and 1.07%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.94%, 0.89%, 0.79%, 0.76%, 0.94% and 0.99% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.
19
GMO Emerging Markets Fund (A Series of GMO Trust) Investment Concentration Summary February 28, 2021 (Unaudited)
Common Stocks 93.7% Preferred Stocks 3.2 Investment Funds 0.7 Debt Obligations 0.6 Short-Term Investments 0.5 Futures Contracts 0.2 Swap Contracts 0.0^ Other 1.1
100.0%
China 33.9% Taiwan 22.5 Russia 15.5 United States 9.5* Mexico 2.5 South Korea 2.5 Indonesia 2.3 India 2.2 Kuwait 1.8 South Africa 1.5 Thailand 1.0 Poland 0.7 United Kingdom 0.6* Qatar 0.5 Pakistan 0.5 Brazil 0.4 Argentina 0.4 United Arab Emirates 0.3 Turkey 0.3 Vietnam 0.3 Philippines 0.3 Saudi Arabia 0.2 Czech Republic 0.2 Colombia 0.1 Sri Lanka 0.0^ Egypt 0.0^ Chile 0.0^
100.0%
Banks 18.0% Technology Hardware & Equipment 11.4 Semiconductors & Semiconductor
Equipment 11.2 Materials 10.2 Media & Entertainment 8.2 Retailing 6.3 Energy 5.8 Real Estate 4.5 Insurance 4.1 Capital Goods 4.0 Automobiles & Components 3.8 Food, Beverage & Tobacco 2.9 Diversified Financials 2.4 Consumer Durables & Apparel 2.0 Software & Services 1.6 Utilities 1.1 Household & Personal Products 1.0 Food & Staples Retailing 0.7 Transportation 0.4 Telecommunication Services 0.3 Consumer Services 0.1 Pharmaceuticals, Biotechnology & Life
Sciences 0.0^ Commercial & Professional Services 0.0^
100.0%
* Includes companies that derive more than 50% of their revenues or profits from emerging markets.
^ Rounds to 0.0%.
20
GMO Emerging Markets Fund (A Series of GMO Trust) Schedule of Investments (showing percentage of total net assets) February 28, 2021
Argentina — 0.4% 228,200 Banco BBVA Argentina SA ADR * (a) 618,422
16,800 Banco Macro SA ADR * 227,808
44,100 Globant SA * 9,469,152
Total Argentina 12,936,292
1,395,300 Vamos Locacao de Caminhoes, Maquinas e Equipamentos S.A. * 8,589,602
381,100 WEG SA 5,307,601
852,000 Agile Group Holdings Ltd 1,203,250
90,794,590 Agricultural Bank of China Ltd – Class H 33,021,420
370,526 Alibaba Group Holding Ltd Sponsored ADR * 88,096,262
1,739,699 Anhui Conch Cement Co Ltd – Class H 11,179,791
113,500 Asia Cement China Holdings Corp 106,721
1,800 Autohome Inc ADR 205,272
19,800 Baidu Inc Sponsored ADR * 5,612,508
16,638,682 Bank of China Ltd – Class H 5,834,358
642,500 Budweiser Brewing Co APAC Ltd 1,960,096
1,518,208 BYD Co Ltd – Class A 46,267,170
1,898,000 BYD Electronic International Co Ltd (a) 10,556,184
10,819,878 China Communications Services Corp Ltd – Class H 5,117,814
125,110,148 China Construction Bank Corp – Class H 100,431,490
4,227,000 China Dongxiang Group Co Ltd 473,538
19,548,000 China Feihe Ltd 53,472,682
361,430 China International Travel Service Corp Ltd – Class A 17,226,266
1,564,000 China Lesso Group Holdings Ltd 2,888,178
8,920,000 China Machinery Engineering Corp – Class H 4,090,577
555,305 China Merchants Bank Co Ltd – Class A 4,389,266
2,794,000 China Oriental Group Co Ltd 876,687
128,000 China Overseas Grand Oceans Group Ltd 70,331
248,400 China Pacific Insurance Group Co Ltd – Class A 1,698,691
15,241,000 China Reinsurance Group Corp – Class H 1,688,446
74,000 China Resources Gas Group Ltd 369,950
6,118,000 China Resources Land Ltd 29,073,557
1,907,500 China Shenhua Energy Co Ltd – Class H 3,628,767
2,213,900 China Vanke Co Ltd – Class A 11,353,820
48,000 Chinasoft International Ltd * 50,808
9,257,714 Country Garden Holdings Co Ltd 11,523,508
China — continued 68,000 Country Garden Services Holdings Co Ltd 559,344
85,700 ENN Energy Holdings Ltd 1,310,533
4,252,769 Fangda Special Steel Technology Co Ltd – Class A * 4,731,111
2,660,000 Geely Automobile Holdings Ltd 8,604,323
1,919,000 Greenland Hong Kong Holdings Ltd 616,813
5,870,000 Guangdong Investment Ltd 10,483,324
277,200 Guangdong Tapai Group Co Ltd – Class A 539,036
381,000 Guotai Junan Securities Co Ltd – Class H 529,160
362,722 Hangzhou Robam Appliances Co Ltd – Class A 2,122,945
108,500 Hebei Construction Group Corp Ltd – Class H (a) 45,046
8,306,238 Hisense Home Appliances Group Co Ltd – Class A 19,241,384
313,000 Hisense Home Appliances Group Co Ltd – Class H 478,936
195,100 Hollysys Automation Technologies Ltd 2,938,206
10,248,000 Hua Han Health Industry Holdings Ltd * (b) —
516,400 Huayu Automotive Systems Co Ltd – Class A 2,058,892
63,019,847 Industrial & Commercial Bank of China Ltd – Class H 41,228,855
2,500 Kuaishou Technology * 99,530
2,453,000 KWG Property Holding Ltd 3,715,549
2,533,000 Logan Group Co Ltd 3,943,374
2,546,000 Longfor Group Holdings Ltd 15,090,750
2,767,000 Lonking Holdings Ltd 1,023,256
293,700 Lufax Holding Ltd ADR * 4,411,374
259,500 Midea Group Co Ltd – Class A 3,741,917
544,200 NetEase Inc 11,879,270
274,993 New China Life Insurance Co Ltd – Class A 2,217,209
3,600 Niu Technologies Sponsored ADR * 134,568
891,000 PAX Global Technology Ltd 818,904
28,885,000 PICC Property & Casualty Co Ltd – Class H 21,853,326
5,704,400 Qingling Motors Co Ltd – Class H 1,234,716
65,000 Road King Infrastructure Ltd 88,314
57,800 Shanghai Baosight Software Co Ltd – Class A 512,776
85,400 Shanghai Mechanical and Electrical Industry Co Ltd – Class A 242,139
3,068,789 Shenzhen Investment Ltd 1,105,163
2,317,481 Shenzhen YUTO Packaging Technology Co Ltd – Class A 11,105,514
4,945,000 Shimao Group Holdings Ltd 16,283,633
1,944,000 Sinopec Engineering Group Co Ltd – Class H 1,037,287
1,614,000 Sinotruk Hong Kong Ltd 5,150,981
3,567,051 Suofeiya Home Collection Co Ltd – Class A 18,675,043
1,322,965 Tencent Holdings Ltd 115,093,902
129,000 Tencent Holdings Ltd ADR 11,248,800
450,851 Tsingtao Brewery Co Ltd – Class A 5,565,002
212,000 Tsingtao Brewery Co Ltd – Class H 1,741,045
GMO Emerging Markets Fund (A Series of GMO Trust) Schedule of Investments — (Continued) (showing percentage of total net assets) February 28, 2021
13,711,831 Weifu High-Technology Group Co Ltd – Class A 48,857,754
8,050,100 Yangzijiang Shipbuilding Holdings Ltd 6,427,553
3,064,000 Yuzhou Group Holdings Co Ltd 1,180,983
86,907 Zhejiang Supor Co Ltd – Class A 1,013,279
1,249,629 Zhejiang Weixing New Building Materials Co Ltd – Class A 3,591,305
6,512,786 Zhengzhou Coal Mining Machinery Group Co Ltd – Class A 14,962,354
1,878,000 Zhongsheng Group Holdings Ltd 11,607,342
15,883,382 Zhuzhou Kibing Group Co Ltd – Class A 36,229,535
Total China 1,055,216,385
13,907 Komercni Banka AS * 434,079
1,201,627 Moneta Money Bank AS * 4,380,768
306 Philip Morris CR AS 217,059
Total Czech Republic 5,918,353
100,934 Eastern Co SAE 95,436
176,784 Medinet Nasr Housing 42,035
387,481 Palm Hills Developments SAE * 42,373
Total Egypt 597,344
11,950 Bajaj Consumer Care Ltd 39,403
27,610 Balrampur Chini Mills Ltd 66,174
10,859 Cochin Shipyard Ltd 54,720
419,720 Engineers India Ltd 453,701
11,567,064 Gayatri Projects Ltd * (c) 6,296,399
18,986 Gujarat Narmada Valley Fertilizers & Chemicals Ltd 75,320
598,198 HCL Technologies Ltd 7,411,404
230,960 HDFC Bank Ltd * 4,854,044
2 Hero MotoCorp Ltd 88
261,937 Hindustan Unilever Ltd 7,576,291
72,481 Hindustan Zinc Ltd 291,309
252,428 Housing Development Finance Corp Ltd 8,737,538
1,332,810 ICICI Bank Ltd * 10,949,210
476,400 Infosys Ltd Sponsored ADR 8,155,968
3,013,682 Jai Balaji Industries Ltd * 1,156,294
92,574 JSW Energy Ltd 90,414
1,322,083 Kiri Industries Ltd 8,155,193
386,197 Kotak Mahindra Bank Ltd * 9,417,933
5,280 Larsen & Toubro Infotech Ltd 258,698
3,330 Mahanagar Gas Ltd 52,656
1,413,409 NBCC India Ltd 825,544
162,057 NCC Ltd 197,099
13,130 Redington India Ltd 32,683
193,830 Tata Consultancy Services Ltd 7,660,005
312,651 Titan Co Ltd 5,998,626
121,620 Welspun Corp Ltd 212,797
1,548,435 Wipro Ltd 8,626,103
10,875,900 Bank Central Asia Tbk PT 25,588,226
9,819,700 Bank Mandiri Persero Tbk PT 4,204,827
12,413,500 Bank Negara Indonesia Persero Tbk PT 5,165,451
16,446,000 Bank Pembangunan Daerah Jawa Timur Tbk PT 975,022
72,331,200 Bank Rakyat Indonesia Persero Tbk PT 23,826,232
18,940,400 Bukit Asam Tbk PT 3,592,125
5,320,091 Indo Tambangraya Megah Tbk PT 4,542,396
598,500 Matahari Department Store Tbk PT * 52,812
206,516,700 Panin Financial Tbk PT * 3,323,771
28,266,100 Ramayana Lestari Sentosa Tbk PT 1,444,864
242,700 United Tractors Tbk PT 383,429
Total Indonesia 73,628,856
221,596 Burgan Bank SAK 162,772
82,944 Gulf Bank KSCP 59,031
90,778 Gulf Cable & Electrical Industries Co KSCP 259,622
223,693 Humansoft Holding Co KSC * 2,827,697
10,778,354 Kuwait Finance House KSCP 25,600,745
1,696,339 Kuwait Projects Co Holding KSCP 955,352
1,228,141 Mobile Telecommunications Co KSC 2,534,328
8,916,416 National Bank of Kuwait SAKP 24,284,729
217,009 Qurain Petrochemical Industries Co 264,107
Total Kuwait 57,365,532
3,359,400 Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander Mexico * 3,182,606
273,100 Concentradora Fibra Danhos SA de CV (REIT) 334,701
1,679,200 Credito Real SAB de CV SOFOM ER * 915,008
194,000 El Puerto de Liverpool SAB de CV – Class C1 586,980
2,173,600 Fibra Uno Administracion SA de CV (REIT) 2,468,560
248,200 Gentera SAB de CV * 124,331
de CV * 2,905,239
8,596,300 Grupo Financiero Banorte SAB de CV – Class O * 43,168,456
472,800 Grupo Financiero Inbursa SAB de CV – Class O * 424,867
3,674,400 Grupo Mexico SAB de CV – Series B 17,419,196
76,800 Industrias Bachoco SAB de CV – Series B 254,691
403,627 Qualitas Controladora SAB de CV 2,190,517
430,700 Regional SAB de CV * 1,954,939
526,790 Unifin Financiera SAB de CV SOFOM ENR * 623,708
1,001,300 Wal-Mart de Mexico SAB de CV 2,849,644
6,181,635 Engro Fertilizers Ltd 2,548,123
1,732,776 Fauji Fertilizer Co Ltd 1,213,508
3,540 Indus Motor Co Ltd 25,051
39,201 Lucky Cement Ltd * 219,322
411,500 National Bank of Pakistan * 92,716
5,349,280 Oil & Gas Development Co Ltd 3,540,543
812,094 Pakistan Oilfields Ltd 2,053,921
3,383,334 Pakistan Petroleum Ltd 1,936,261
213,476 Pakistan State Oil Co Ltd * 319,462
741,830 Searle Co Ltd (The) 1,269,086
1,214,622 United Bank Ltd 979,886
Total Pakistan 15,069,224
32,739,800 Megaworld Corp 2,445,991
205,650 Security Bank Corp 555,253
6,276,900 Semirara Mining & Power Corp 1,650,028
Total Philippines 8,351,863
Total Poland 22,011,850
163,346 Masraf Al Rayan QSC 193,997
195,018 Qatar Electricity & Water Co QSC 930,379
3,072,981 Qatar National Bank QPSC 14,442,283
Total Qatar 17,602,073
1,054,350 Detsky Mir PJSC 2,007,466
66,973 Etalon Group Plc GDR (Registered) 115,401
234,095 Evraz Plc 1,879,313
91,130 Gazprom Neft PJSC 415,618
8,830 Gazprom Neft PJSC Sponsored ADR 200,178
700,819 Globaltrans Investment Plc Sponsored GDR (Registered) 4,667,413
90,928,000 Inter RAO UES PJSC 6,248,491
103,747 LSR Group PJSC 1,229,615
726,186 LSR Group PJSC GDR (Registered) 1,603,809
406,795 LUKOIL PJSC Sponsored ADR 30,310,872
382,337 M.Video PJSC 4,207,891
28,630 Magnit PJSC 1,889,267
237,839 Magnitogorsk Iron & Steel Works PJSC Sponsored GDR (Registered) 2,246,427
1,545,956 MMC Norilsk Nickel PJSC ADR 48,717,639
254,900 Mobile TeleSystems PJSC Sponsored ADR 2,095,278
12,746,867 Moscow Exchange MICEX-RTS PJSC 29,530,577
30,576 Novatek PJSC Sponsered GDR (Registered) 5,231,793
1,174,620 Novolipetsk Steel PJSC 3,525,111
933,670 Novolipetsk Steel PJSC GDR 27,639,726
2,104,067 Polymetal International Plc 41,592,898
55,839 Polyus PJSC 10,516,582
328,580 Raspadskaya OJSC 798,678
1,649,000 ROSSETI PJSC 37,637
56,474,000 RusHydro PJSC 592,713
3,393,099 Sberbank of Russia PJSC Sponsored ADR 49,376,170
218,705 Severstal PJSC 3,961,285
25,259,100 Surgutneftegas PJSC 11,025,172
118,515 TCS Group Holding Plc GDR (Registered) 6,198,138
54,484,000 Unipro PJSC 2,055,240
75,400 Yandex NV – Class A * 4,824,469
35,216 AVI Ltd 164,760
696,472 Investec Ltd 1,823,450
647,220 Lewis Group Ltd 1,103,846
399,187 Mr Price Group Ltd 4,597,899
9,105,984 Old Mutual Ltd 8,091,189
15,666,339 RMB Holdings Ltd * 1,547,527
4,603,100 Sanlam Ltd 18,494,874
384,517 Wilson Bayly Holmes-Ovcon Ltd * 2,450,040
Total South Africa 48,217,852
5,320 Daou Data Corp * 62,577
119,069 DB Insurance Co Ltd 4,381,583
1,141,277 Dongwon Development Co Ltd 5,224,551
4,876 GS Home Shopping Inc 588,851
11,356 HDC Hyundai Development Co-Engineering & Construction 270,188
118,806 Korea Asset In Trust Co Ltd 409,875
8,449 KT Skylife Co Ltd 64,199
1,062 NCSoft Corp 882,055
191,969 Samsung Electronics Co Ltd 14,068,569
7,195 Samsung Electronics Co Ltd GDR 13,315,702
Sri Lanka — 0.0% 103,983,101 Anilana Hotels & Properties Ltd * (c) 678,007
Taiwan — 24.0% 196,000 Accton Technology Corp 1,845,762
71,532 Acter Group Corp Ltd 510,644
1,206,035 Advantech Co Ltd 15,683,756
34,000 Airtac International Group 1,183,259
938,000 Alchip Technologies Ltd 29,745,761
542,689 Asustek Computer Inc 5,918,155
437,000 Aten International Co Ltd 1,378,963
129,200 Aurora Corp 404,111
7,680,153 Cathay Financial Holding Co Ltd 11,558,439
3,144,865 Chailease Holding Co Ltd 19,423,481
199,000 Chicony Electronics Co Ltd 669,528
5,305,000 China Development Financial Holding Corp 1,770,922
746,000 Chong Hong Construction Co Ltd 2,193,471
3,599,400 Coretronic Corp 6,201,780
441,000 Delta Electronics Inc 4,438,762
654,000 Elan Microelectronics Corp 4,034,176
1,583,000 Elite Material Co Ltd 9,593,819
2,794,000 Evergreen Marine Corp Taiwan Ltd * 3,805,232
1,610,000 Farglory Land Development Co Ltd 3,097,163
17,000 Feng Hsin Steel Co Ltd 43,137
5,037,000 FLEXium Interconnect Inc 22,763,750
2,054,075 Foxconn Technology Co Ltd 5,157,411
16,626,000 Fubon Financial Holding Co Ltd 29,774,756
65,000 Gold Circuit Electronics Ltd * 126,395
1,747,000 Grand Pacific Petrochemical * 1,494,575
19,350,532 Hon Hai Precision Industry Co Ltd 77,735,853
1,782,000 Huaku Development Co Ltd 5,636,700
1,379,806 IEI Integration Corp 2,594,154
104,900 Innodisk Corp 615,478
284,000 Kung Long Batteries Industrial Co Ltd 1,452,140
2,842,000 Lite-On Technology Corp 6,057,089
112,000 Lotes Co Ltd 2,084,012
7,000 MediaTek Inc 224,676
83,000 Nan Liu Enterprise Co Ltd 507,355
244,000 Nantex Industry Co Ltd 562,964
976,810 Novatek Microelectronics Corp 16,632,379
259,000 Pegatron Corp 693,201
304,000 Shin Kong Financial Holding Co Ltd 90,282
800,000 Shinkong Insurance Co Ltd 1,098,866
484,468 Simplo Technology Co Ltd 6,507,756
1,900,250 Syncmold Enterprise Corp 5,693,016
98,300 Tah Hsin Industrial Corp 258,515
1,621,000 Taiwan Cement Corp 2,442,600
8,687,000 Taiwan Semiconductor Manufacturing Co Ltd 189,785,116
10 Taiwan Semiconductor Manufacturing Co Ltd Sponsored ADR 1,259
48,000 TCI Co Ltd 364,588
272,000 Test Research Inc 568,811
1,104,000 Transcend Information Inc 2,590,693
1,149,160 Tripod Technology Corp 5,712,014
643,224 United Integrated Services Co Ltd 5,465,383
20,879,000 United Microelectronics Corp 40,709,120
987,000 Universal Inc 2,917,392
148,000 Yulon Nissan Motor Co Ltd 1,359,581
Total Taiwan 723,609,693
851,800 Bangkok Bank Pcl (Foreign Registered) 3,400,666
657,300 Carabao Group Pcl NVDR 2,979,553
329,900 Carabao Group Pcl – Class F 1,495,444
464,900 Dynasty Ceramic Pcl NVDR 36,535
1,160,800 Kasikornbank Pcl (Foreign Registered) 5,334,690
997,400 KCE Electronics Pcl (Foreign Registered) 1,762,934
175,700 KCE Electronics Pcl NVDR 310,555
136,300 Origin Property Pcl NVDR 31,187
3,658,500 Pruksa Holding Pcl (Foreign Registered) 1,542,003
65,700 PTT Exploration & Production Pcl NVDR 245,197
1,708,392 Quality Houses Pcl (Foreign Registered) 132,381
300,700 Quality Houses Pcl NVDR 23,301
173,900 Siam Cement Pcl (The) (Foreign Registered) 2,093,205
206,600 Siam Cement Pcl (The) NVDR 2,486,809
1,649,100 Siam Commercial Bank Pcl (The) (Foreign Registered) 5,533,041
124,000 Siam Commercial Bank Pcl NVDR (The) 416,043
695,500 SPCG Pcl 453,203
806,300 Sri Trang Agro-Industry Pcl NVDR 1,416,206
2,890,875 Supalai Pcl (Foreign Registered) 1,911,318
49,140,200 TMB Bank Pcl (Foreign Registered) 1,813,538
773,300 TTW Pcl (Foreign Registered) 304,337
31,200 TTW Pcl NVDR 12,279
Total Thailand 33,868,852
5 Aselsan Elektronik Sanayi Ve Ticaret AS 12
15,124,693 Dogan Sirketler Grubu Holding AS 6,462,300
11,064,699 Emlak Konut Gayrimenkul Yatirim Ortakligi AS (REIT) 3,352,149
Total Turkey 10,021,230
United Arab Emirates — 0.4% 280,127 Abu Dhabi Islamic Bank PJSC 376,495
4,562,734 Aldar Properties PJSC 4,444,282
1,619,662 Dubai Islamic Bank PJSC 2,056,553
523,814 Emaar Malls PJSC * 235,481
215,015 Emirates NBD Bank PJSC 646,243
941,768 First Abu Dhabi Bank PJSC 3,704,904
Total United Arab Emirates 11,463,958
United Kingdom — 0.7% 386,665 Unilever Plc 20,155,826
239,000 PetroVietnam Gas JSC 928,602
30,000 PetroVietnam Nhon Trach 2 Power JSC 29,231
1,872,200 PetroVietnam Technical Services Corp 1,827,411
244,400 Pha Lai Thermal Power JSC 293,937
90,800 Vietnam Dairy Products JSC 413,161
380,800 Vinh Hoan Corp 656,710
Total Vietnam 9,289,897
PREFERRED STOCKS (e) — 3.2%
Paulista 75,058
Total Brazil 116,625
4,610,742 Grupo Aval Acciones y Valores SA 1,501,936
Total Colombia 1,828,864
232,210 Nizhnekamskneftekhim PJSC 247,593
92,692,100 Surgutneftegas PJSC 48,865,995
745 Transneft PJSC 1,431,774
Taiwan — 0.1% 287,798 Chailease Holding Co Ltd * 1,027,757
605,412 CTBC Financial Holding Co Ltd 1,386,441
Total Taiwan 2,414,198
INVESTMENT FUNDS — 0.7%
United States — 0.7% 339,625 iShares Core MSCI Emerging Markets ETF 21,983,926
TOTAL INVESTMENT FUNDS (COST $23,437,606) 21,983,926
Par Value† / Shares Description Value ($)
DEBT OBLIGATIONS — 0.6%
United States — 0.6% 17,500,000 U.S. Treasury Note, Variable Rate, USBM +
0.15%, 0.18%, due 01/31/22 (f) 17,512,148
TOTAL DEBT OBLIGATIONS (COST $17,511,147) 17,512,148
Money Market Funds — 0.3% 8,199,147 State Street Institutional Treasury Money
Market Fund – Premier Class, 0.01% (g) 8,199,147
U.S. Government — 0.2% 5,000,000 U.S. Treasury Bill, 0.05%, due 07/22/21 (f) (h) 4,999,032
TOTAL SHORT-TERM INVESTMENTS (COST $13,197,450) 13,198,179
TOTAL INVESTMENTS — 98.7% (Cost $2,685,439,077) 2,972,031,311
Other Assets and Liabilities (net) — 1.3% 40,509,040
TOTAL NET ASSETS — 100.0% $3,012,540,351
A summary of outstanding financial instruments at February 28, 2021 is as follows:
Futures Contracts
Buys 3,997 Mini MSCI Emerging Markets March 2021 $267,419,285 $6,256,645
Sales 1,157 SGX Nifty 50 March 2021 $ 33,655,332 $ 377,116
+ Buys - Fund is long the futures contract. Sales - Fund is short the futures contract.
Swap Contracts
Expiration Date
Periodic Payment
(Depreciation) ($)
Depreciation of Total Return on CSI 500 Index + (1 Month USD LIBOR minus 8.50%)
Appreciation on Total Return on CSI 500 Index GS USD 39,869,643 12/07/2021 At Maturity $— $225,326 $225,326
As of February 28, 2021, 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.
Schedule of Investments — (Continued) February 28, 2021
† Denominated in U.S. Dollar, unless otherwise indicated. * Non-income producing security. (a) All or a portion of this security is out on loan (Note 2). (b) Investment valued at fair value using methods determined in good faith by the
Trustees of GMO Trust or persons acting at their direction pursuant to procedures approved by the Trustees. Investment valued using significant unobservable inputs (Note 2).
(c) Affiliated company (Note 10). (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) All or a portion of this security has been pledged to cover margin
requirements on futures and/or cleared swap contracts, collateral on OTC swap contracts, forward currency contracts, and/or written options, if any (Note 4).
(g) The rate disclosed is the 7 day net yield as of February 28, 2021. (h) The rate shown represents yield-to-maturity.
GMO International Equity Fund (A Series of GMO Trust)
Day-to-day management of the Fund’s portfolio is the responsibility of the Global Equity team at Grantham, Mayo, Van Otterloo & Co. LLC.
Although the Fund is not managed relative to any securities market index or benchmark, a discussion of the Fund’s performance relative to the MSCI EAFE Index is included for comparative purposes.
Class II shares of GMO International Equity Fund returned +21.58% (net) for the fiscal year ended February 28, 2021, as compared with +22.46% for the MSCI EAFE Index.
The environment continued to be characterized by valuation headwinds. The magnitude of the headwind is illustrated by the 12.0% underperformance of the MSCI EAFE Value Index when compared to the MSCI EAFE Growth Index for the fiscal year ended February 28, 2021. While valuation-oriented models faced headwinds, growth-oriented models and signals, which captured sentiment from other asset classes, helped performance.
Areas of notable positive stock selection included Australia, Materials, France, and Utilities. Top contributors included overweight positioning in Fortescue Metals (Australia Materials), Rio Tinto (Australia Materials), Dialog Semiconductor (Germany Information Technology), L’Oréal (France Consumer Staples), and Volvo (Sweden Industrials). Underweight positioning toward Real Estate, Financials, and Energy also added value.
Challenging areas for stock selection included the Netherlands, Japan, the U.K., Health Care, Consumer Discretionary, and Industrials. Top detractors included overweight positioning in International Consolidated Airlines (U.K. Industrials), WH Group (Hong Kong Consumer Staples), British American Tobacco (U.K. Consumer Staples), and GlaxoSmithKline (U.K. Health Care).
28
GMO International Equity Fund (A Series of GMO Trust)
Comparison of Change in Value of a $5,000,000 Investment in GMO International Equity Fund Class II Shares and the MSCI EAFE Index
2014201320122011 202120202016 2017 2018 20192015
GMO International Equity Fund MSCI EAFE Index
Class II
Class III
Class IV
1 Year 5 Year 10 Year
For Class II, III and IV the gross expense ratio of 0.76%, 0.69% and 0.63%, respectively, is equal to the Fund’s Total Annual Operating Expenses set forth in the Fund’s most recent prospectus dated June 30, 2020. For the Classes listed above, the corresponding net expense ratio of 0.73%, 0.66% and 0.60% reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.
29
GMO International Equity Fund (A Series of GMO Trust) Investment Concentration Summary February 28, 2021 (Unaudited)
Common Stocks 96.9% Short-Term Investments 3.9 Preferred Stocks 1.0 Futures Contracts 0.0^ Other (1.8)
100.0%
Japan 21.8% United Kingdom 17.0 Netherlands 8.4 France 7.6 Germany 7.3 Australia 5.8 Switzerland 5.7 Spain 5.6 Singapore 4.2 Italy 3.2 Portugal 3.0 Hong Kong 3.0 Norway 2.4 Sweden 1.9 Belgium 1.2 Other Developed 1.1‡ Euro Region 0.8§
100.0%
Banks 12.4% Pharmaceuticals, Biotechnology & Life
Sciences 10.8 Materials 10.4 Capital Goods 9.7 Food, Beverage & Tobacco 7.7 Utilities 6.1 Automobiles & Components 5.8 Retailing 5.5 Consumer Durables & Apparel 5.3 Telecommunication Services 4.9 Semiconductors & Semiconductor
Equipment 3.7 Technology Hardware & Equipment 3.2 Diversified Financials 3.1 Food & Staples Retailing 2.8 Insurance 2.0 Software & Services 1.8 Commercial & Professional Services 1.6 Energy 1.2 Transportation 1.0 Media & Entertainment 0.6 Consumer Services 0.2 Health Care Equipment & Services 0.1 Real Estate 0.1
100.0%
‡ “Other Developed” is comprised of developed countries that each represent between (1.0)% and 1.0% of Investments.
§ “ Euro Region” is comprised of derivative financial instruments attributed to the Eurozone and not a particular country.
^ Rounds to 0.0%.
30
GMO International Equity Fund (A Series of GMO Trust) Schedule of Investments (showing percentage of total net assets) February 28, 2021
2,947,929 Fortescue Metals Group Ltd 54,442,814
89,611 Pact Group Holdings Ltd 225,692
631,614 Rio Tinto Ltd 61,973,956
677,187 Sandfire Resources Ltd 3,165,160
Total Australia 125,447,299
203,332 AGFA-Gevaert NV * 911,169
50,435 bpost SA * 546,289
206,386 UCB SA 20,464,534
6,540 Schouw & Co A/S 660,508
Total Denmark 1,090,942
France — 7.5% 94,812 ArcelorMittal SA * 2,213,985
875,254 BNP Paribas SA * 52,031,601
9,833 Christian Dior SE 5,461,405
308,624 Cie de Saint-Gobain * 16,596,670
915,161 Credit Agricole SA * 12,822,758
7,932 Fnac Darty SA * 481,229
13,087 IPSOS 506,893
277,376 Sanofi 25,454,987
455,601 STMicroelectronics NV – NY Shares 17,704,655
68,982 Television Francaise 1 * 600,723
170,063 TOTAL SE (a) 7,930,058
14,586 TOTAL SE (a) 676,913
Total France 163,854,195
38,483 Bayerische Motoren Werke AG 3,325,274
39,992 Brenntag AG 3,098,856
818,494 CECONOMY AG * 5,102,812
122,487 Deutsche Pfandbriefbank AG * 1,335,841
371,095 Dialog Semiconductor Plc * 28,846,305
27,689 DWS Group GmbH & Co KGaA 1,153,843
74,255 HeidelbergCement AG 5,873,058
5,326 Indus Holding AG 214,302
67,134 Siemens AG (Registered) 10,389,746
12,233 Software AG 543,568
42,705 Traton SE 1,189,583
67,422 Volkswagen AG 15,780,029
Hong Kong — 2.9% 243,285 BOC Hong Kong Holdings Ltd 808,316
1,380,487 Champion (REIT) 808,265
1,295,600 Dah Sing Banking Group Ltd 1,420,726
357,269 Dah Sing Financial Holdings Ltd 1,154,854
3,995,207 Esprit Holdings Ltd * 474,063
5,141,585 IGG Inc 7,670,185
696,326 Luk Fook Holdings International Ltd 1,765,932
1,181,877 Man Wah Holdings Ltd 2,583,593
1,232,331 Pacific Textiles Holdings Ltd 789,093
1,301,023 Shun Tak Holdings Ltd 440,787
1,160,026 SmarTone Telecommunications Holdings Ltd 733,760
331,288 Television Broadcasts Ltd 389,710
524,000 VSTECS Holdings Ltd 469,885
60,100 VTech Holdings Ltd 503,625
45,619,015 WH Group Ltd 40,916,124
Total Hong Kong 64,582,010
43,198 Glanbia Plc 558,020
46,669 Smurfit Kappa Group Plc 2,218,206
Total Ireland 17,908,704
129,516 CNH Industrial NV * 1,911,749
63,487 De’ Longhi SPA 2,345,920
2,461,526 Enel SPA 23,209,482
373,808 EXOR NV 29,964,012
GMO International Equity Fund (A Series of GMO Trust) Schedule of Investments — (Continued) (showing percentage of total net assets) February 28, 2021
33,476 Unieuro SPA * 633,311
Total Italy 69,329,836
1,862,615 Asahi Kasei Corp 20,206,811
2,579,684 Astellas Pharma Inc 40,787,820
490,996 Brother Industries Ltd 9,728,991
39,484 Cawachi Ltd 1,060,874
70,474 Dexerials Corp 1,027,593
25,688 Fuji Corp 607,392
8,154 FUJIFILM Holdings Corp 466,248
52,252 Fujitsu General Ltd 1,417,323
243,732 Fujitsu Ltd 35,360,214
90,136 Geo Holdings Corp 1,014,207
17,653 Gunze Ltd 604,709
719,104 Hitachi Ltd 33,167,032
1,578,354 ITOCHU Corp 47,142,282
244,204 Japan Tobacco Inc 4,421,681
126,158 K’s Holdings Corp 1,692,262
35,100 Kajima Corp 450,464
127,044 Kanematsu Corp 1,621,830
1,687,196 KDDI Corp 52,595,756
41,893 Komeri Co Ltd 1,129,361
102,200 Marubeni Corp 765,676
1,489,378 Mitsubishi Chemical Holdings Corp 10,415,096
87,250 Mitsubishi Gas Chemical Co Inc 2,043,638
5,462,918 Mitsubishi UFJ Financial Group Inc 28,733,283
159,438 Mitsui & Co Ltd 3,414,241
32,701 Mixi Inc 824,223
39,584 Modec Inc 645,574
145,533 NEC Networks & System Integration Corp 2,418,188
96,926 Nichias Corp 2,274,286
96,445 Nippo Corp 2,524,599
30,422 Nitto Denko Corp 2,611,338
244,726 Obayashi Corp 2,112,667
128,086 Panasonic Corp 1,655,914
440,210 Renesas Electronics Corp * 4,842,607
29,683 San-A Co Ltd 1,157,917
86,695 Seiko Holdings Corp 1,448,459
419,112 Sekisui Chemical Co Ltd 7,510,950
2,358 Shinko Electric Industries Co Ltd 63,665
1,673,609 Sojitz C

Documents

GMO Trust Annual Report February 28, 2021