GMO Climate Change Fund (A Series of GMO Trust) Schedule of Investments (showing percentage of total net assets) November 30, 2020 (Unaudited) Shares Description Value ($) Shares Description Value ($) COMMON STOCKS — 93.0% France — 7.0% 8,409 Albioma SA 426,978 Argentina — 0.9% 202,802 Electricite de France SA * 3,081,755 * 366,715 Adecoagro SA 2,266,299 31,420 Nexans SA * 1,979,430 8,473 Schneider Electric SE 1,180,505 Australia — 1.6% 29,713 STMicroelectronics NV 1,180,691 5,400,000 Clean TeQ Holdings Ltd * 1,080,206 148,665 Suez 2,843,788 707,712 Sandfire Resources NL 2,277,786 80,435 Valeo SA 3,103,168 141,824 Tassal Group Ltd 376,775 144,951 Veolia Environnement SA 3,325,046 302,161 Western Areas Ltd (a) 498,495 16,484 Vilmorin & Cie SA 980,180 Total Australia 4,233,262 Total France 18,101,541 Brazil — 1.4% Germany — 3.2% 245,000 Duratex SA 858,831 19,251 CENTROTEC Sustainable AG * 344,375 444,778 Sao Martinho SA 2,172,666 174,609 E.ON SE 1,889,354 139,200 SLC Agricola SA 699,196 6,894 Infineon Technologies AG 243,227 Total Brazil 3,730,693 257,099 K+S AG (Registered) 2,311,113 Canada — 6.1% 209 Knorr-Bremse AG 26,754 25,095 Siemens AG (Registered) 3,349,546 168,563 Canadian Solar Inc * (a) 7,207,754 989,315 Ivanhoe Mines Ltd – Class A * 4,631,582 Total Germany 8,164,369 2,322,300 Largo Resources Ltd * (a) 1,895,463 India — 0.4% 107,500 Lundin Mining Corp 859,205 854,622 Jain Irrigation Systems Ltd * 223,918 76,100 NFI Group Inc (a) 1,150,260 267,776 Power Grid Corp of India Ltd 689,565 Total Canada 15,744,264 Total India 913,483 China — 6.2% Israel — 0.3% 647,400 CECEP Solar Energy Co Ltd – Class A 474,926 140,867 ICL Group Ltd 669,961 1,543,000 Chaowei Power Holdings Ltd 648,332 2,989,919 China High Speed Transmission Equipment Group Italy — 3.2% Co Ltd 2,148,021 481,999 Enel SPA 4,835,810 938,000 China Longyuan Power Group Corp Ltd – Class H 792,461 107,025 Prysmian SPA 3,522,917 2,040,000 China Suntien Green Energy Corp Ltd – Class H 539,771 Total Italy 8,358,727 1,030,000 China Water Affairs Group Ltd 810,491 78,100 Hollysys Automation Technologies Ltd 984,841 Japan — 5.8% * 1,944,000 Sinofert Holdings Ltd 190,335 1,300 Daikin Industries Ltd 294,437 218,822 Sungrow Power Supply Co Ltd – Class A 1,597,722 64,900 Ebara Corp 2,069,883 1,338,000 Tianneng Power International Ltd 2,807,254 79,000 GS Yuasa Corp 1,903,170 1,194,000 Wasion Group Holdings Ltd 339,090 21,500 Iseki & Co Ltd 281,713 1,017,400 Xinjiang Goldwind Science & Technology Co Ltd – 53,200 Kurita Water Industries Ltd 1,962,786 Class H 1,636,878 15,900 METAWATER Co Ltd 360,156 555,776 Zhengzhou Yutong Bus Co Ltd – Class A 1,466,603 67,100 Osaki Electric Co Ltd 353,911 455,285 Zhuzhou CRRC Times Electric Co Ltd – Class H 1,432,851 292,700 Panasonic Corp 3,104,240 Total China 15,869,576 243,200 Renesas Electronics Corp * 2,155,143 Denmark — 1.1% 19,700 Sanken Electric Co Ltd 716,466 66,400 Takuma Co Ltd 1,137,125 1,706 Rockwool International A/S – Class B 622,136 41,000 Tsukishima Kikai Co Ltd 472,055 10,719 Vestas Wind Systems A/S 2,184,677 Total Japan 14,811,085 Total Denmark 2,806,813 Finland — 3.4% Mexico — 2.6% 1,789,252 Grupo Mexico SAB de CV 6,507,095 60,134 Kemira Oyj 859,668 294,816 Grupo Rotoplas SAB de CV * (a) 316,694 117,088 Neste Oyj 7,823,851 Total Mexico 6,823,789 Total Finland 8,683,519 GMO Climate Change Fund (A Series of GMO Trust) Schedule of Investments — (Continued) (showing percentage of total net assets) November 30, 2020 (Unaudited) Shares Description Value ($) Shares Description Value ($) Netherlands — 0.8% United Kingdom — continued 68,578 Arcadis NV * (a) 2,094,587 2,220,793 Renewi Plc * 983,214 938,643 Stagecoach Group Plc 753,268 Norway — 1.5% Total United Kingdom 5,897,609 354,472 Austevoll Seafood ASA 3,223,401 38,208 Grieg Seafood ASA * (a) 328,221 United States — 33.7% 4,858 Salmar ASA * 265,553 34,000 AGCO Corp. 3,145,340 Total Norway 3,817,175 8,260 Albemarle Corp. 1,123,112 121,794 BorgWarner, Inc. 4,731,697 Pakistan — 0.3% 193,596 Darling Ingredients, Inc. * 9,346,815 1,088,535 Fauji Fertilizer Co Ltd 704,754 25,100 Eaton Corp Plc 3,039,861 14,900 Edison International 914,264 Portugal — 1.4% 24,600 EnerSys 2,012,526 651,588 EDP – Energias de Portugal SA 3,482,908 36,209 Enphase Energy, Inc. * 4,945,063 Russia — 4.7% 43,700 Exelon Corp. 1,794,759 50,289 First Solar, Inc. * 4,698,501 254,757 MMC Norilsk Nickel PJSC ADR 7,065,341 241,632 Freeport-McMoRan, Inc. 5,651,773 297,118 PhosAgro PJSC GDR (Registered) 3,795,034 69,000 FutureFuel Corp. 827,310 116,061 Ros Agro Plc GDR (Registered) 1,235,694 1,327,192 GrafTech International Ltd. 10,484,817 Total Russia 12,096,069 90,500 Livent Corp. * (a) 1,372,885 Spain — 2.4% 296,047 Mosaic Co. (The) 6,501,192 * 9,324 Acciona SA (a) 1,188,986 20,600 MYR Group, Inc. 1,053,278 * 3,147 Construcciones y Auxiliar de Ferrocarriles SA * 132,296 73,779 ON Semiconductor Corp. 2,121,146 82,895 Endesa SA 2,382,615 47,600 Owens Corning 3,468,612 * 17,541 Fomento de Construcciones y Contratas SA 185,706 145,328 Renewable Energy Group, Inc. 8,440,650 76,226 Red Electrica Corp SA 1,558,293 20,000 Rexnord Corp. 750,200 * 129,990 Talgo SA * 635,306 30,344 SolarEdge Technologies, Inc. 8,435,025 10,529 TE Connectivity Ltd. 1,199,990 Total Spain 6,083,202 3,900 Valmont Industries, Inc. 635,622 Sweden — 0.3% Total United States 86,694,438 18,234 Holmen AB – B Shares 789,657 TOTAL COMMON STOCKS Switzerland — 1.3% (COST $193,451,496) 239,218,652 992 Gurit Holding AG 2,496,645 PREFERRED STOCKS (b) — 2.0% 12,914 Landis+Gyr Group AG * 929,979 Total Switzerland 3,426,624 Chile — 2.0% 108,011 Sociedad Quimica y Minera de Chile SA Sponsored Taiwan — 0.2% ADR 5,084,078 82,000 Delta Electronics Inc 646,454 TOTAL PREFERRED STOCKS Thailand — 0.2% (COST $3,382,757) 5,084,078 738,600 SPCG Pcl 524,822 MUTUAL FUNDS — 4.7% Ukraine — 0.7% United States — 4.7% 137,904 Kernel Holding SA 1,782,972 Affiliated Issuers — 4.7% United Kingdom — 2.3% 2,418,493 GMO U.S. Treasury Fund (c) 12,189,207 47,400 Abengoa Yield Plc 1,630,086 TOTAL MUTUAL FUNDS 300,364 Drax Group Plc 1,311,520 (COST $12,189,207) 12,189,207 85,071 Go-Ahead Group Plc * 921,067 45,574 Polypipe Group Plc * 298,454 GMO Climate Change Fund (A Series of GMO Trust) Schedule of Investments — (Continued) (showing percentage of total net assets) November 30, 2020 (Unaudited) Shares Description Value ($) SHORT-TERM INVESTMENTS — 0.2% Money Market Funds — 0.2% 393,103 State Street Institutional Treasury Money Market Fund – Premier Class, 0.01% (d) 393,103 TOTAL SHORT-TERM INVESTMENTS (COST $393,103) 393,103 TOTAL INVESTMENTS — 99.9% (Cost $209,416,563) 256,885,040 Other Assets and Liabilities (net) — 0.1% 227,417 TOTAL NET ASSETS — 100.0% $257,112,457 Notes to Schedule of Investments: * Non-income producing security. (a) All or a portion of this security is out on loan. (b) Preferred dividend rates are disclosed to the extent that a stated rate exists. (c) All or a portion of this security is purchased with collateral from securities loaned. (d) The rate disclosed is the 7 day net yield as of November 30, 2020. Portfolio Abbreviations: ADR - American Depositary Receipt GDR - Global Depositary Receipt PJSC - Private Joint-Stock Company GMO Cyclical Focus Fund (A Series of GMO Trust) Schedule of Investments (showing percentage of total net assets) November 30, 2020 (Unaudited) Shares Description Value ($) Shares Description Value ($) COMMON STOCKS — 94.5% United States — continued 73,552 EOG Resources, Inc. 3,448,118 Canada — 4.9% 31,700 Hasbro, Inc. 2,949,051 85,680 Brookfield Asset Management Inc – Class A 3,469,183 29,822 Hilton Worldwide Holdings, Inc. 3,090,454 62,600 Nutrien Ltd 3,084,302 15,400 Honeywell International, Inc. 3,140,368 Total Canada 6,553,485 52,463 Las Vegas Sands Corp. 2,922,714 94,800 Lyft, Inc. – Class A * 3,618,516 Finland — 3.5% 3,137 Markel Corp. * 3,054,905 70,072 Neste Oyj 4,682,230 54,882 Raytheon Technologies Corp. 3,936,137 * France — 8.6% 93,287 Sensata Technologies Holding Plc 4,555,204 110,985 US Bancorp 4,795,662 4,483 Kering SA 3,236,594 74,288 Verso Corp. – Class A 803,053 6,282 LVMH Moet Hennessy Louis Vuitton SE 3,608,353 49,423 VF Corp.