GMO Trust Semiannual Report August 31, 2020 Climate Change Fund Cyclical Focus Fund Emerging Domestic Opportunities Fund Emerging Markets Fund International Equity Fund Quality Fund Resources Fund Risk Premium Fund Tax-Managed International Equities Fund U.S. Equity Fund U.S. Small Cap Value Fund Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, GMO expects that paper copies of each Fund’s annual and semiannual reports to shareholders will no longer be sent by mail, unless you specifically request paper copies of the reports by writing or calling GMO Shareholder Services at the address or phone number below or by contacting your financial intermediary, such as a broker or agent. Instead, reports will be available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. If you are a direct investor, you may elect to receive shareholder reports and other communications from the Fund electronically by contacting GMO Shareholder Services or if you own your shares through a financial intermediary, you may contact your financial intermediary. Beginning January 1, 2019, you may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request to continue to receive paper copies of your shareholder reports or you can follow instructions included with this disclosure. If you invest directly with the Fund, you can contact GMO Shareholder Services at the address or phone number below. Your election to receive reports in paper will apply to all Funds held directly with the Trust. Shareholder Services at Grantham, Mayo, Van Otterloo & Co. LLC 40 Rowes Wharf, Boston, Massachusetts 02110 1-617-346-7646 (collect) 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 or private placement memorandum, 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 and the private placement memorandum can be obtained by calling 1-617-346-7646 (collect). 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 Investment Concentration Summary .......................................................................... 1 Schedule of Investments ................................................................................... 2 Cyclical Focus Fund Investment Concentration Summary .......................................................................... 5 Schedule of Investments ................................................................................... 6 Emerging Domestic Opportunities Fund Investment Concentration Summary .......................................................................... 8 Schedule of Investments ................................................................................... 9 Emerging Markets Fund Investment Concentration Summary .......................................................................... 12 Schedule of Investments ................................................................................... 13 International Equity Fund Investment Concentration Summary .......................................................................... 20 Schedule of Investments ................................................................................... 21 Quality Fund Investment Concentration Summary .......................................................................... 25 Schedule of Investments ................................................................................... 26 Resources Fund Investment Concentration Summary .......................................................................... 28 Schedule of Investments ................................................................................... 29 Risk Premium Fund Investment Concentration Summary .......................................................................... 32 Schedule of Investments ................................................................................... 33 Tax-Managed International Equities Fund Investment Concentration Summary .......................................................................... 34 Schedule of Investments ................................................................................... 35 U.S. Equity Fund Investment Concentration Summary .......................................................................... 40 Schedule of Investments ................................................................................... 41 U.S. Small Cap Value Fund Investment Concentration Summary .......................................................................... 45 Schedule of Investments ................................................................................... 46 Portfolio, Counterparty and Currency Abbreviations ............................................................... 51 Fund Financial Statements: Statements of Assets and Liabilities .......................................................................... 52 Statements of Operations ................................................................................... 58 Statements of Changes in Net Assets .......................................................................... 61 Financial Highlights ....................................................................................... 67 Notes to Financial Statements ................................................................................. 84 Board Review of Investment Management Agreements ............................................................. 133 Liquidity Risk Management Program ........................................................................... 146 Fund Expenses ............................................................................................. 147 GMO Climate Change Fund (A Series of GMO Trust) Investment Concentration Summary August 31, 2020 (Unaudited) Asset Class Summary& % of Total Net Assets & In the table, derivative financial instruments, if any, are based on market Common Stocks 92.7% values, rather than the notional amounts of derivatives, except for forward currency contracts which are based on unrealized appreciation/(depreciation). Mutual Funds 4.0 Preferred Stocks 3.0 ¤ The table shows country exposure in the Fund. The table excludes short-term investments. The table excludes exposure through forward currency contracts Short-Term Investments 0.5 and includes exposure through other derivative financial instruments, if any. Other (0.2) The table takes into account the market value of securities and options and 100.0% the notional amounts of swap contracts and other derivative financial instruments, if any. † “Other Emerging” is comprised of emerging countries that each represent ¤ Country/Region Summary % of Investments between (1.0)% and 1.0% of Investments. United States 31.0% ‡ “Other Developed” is comprised of developed countries that each represent France 9.0 between (1.0)% and 1.0% of Investments. Japan 9.0 # Equity investments may consist of common stocks and other stock-related Canada 7.7 securities, such as preferred stocks, if any. This table excludes exposure to China 4.9 derivative contracts, short-term investments, mutual funds and investment Russia 4.6 funds, if any. For a summary of these exposures, if any, see the Schedule of Italy 4.5 Investments. United Kingdom 3.3 Chile 3.0 Other Emerging 3.0† Germany 2.7 Spain 2.7 Mexico 2.4 Other Developed 2.0‡ Norway