GMO Trust Annual Report February 28, 2021 Climate 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