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<PAGE> PAGE 2
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<PAGE> PAGE 10
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<PAGE> PAGE 11
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<PAGE> PAGE 12
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<PAGE> PAGE 13
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<PAGE> PAGE 14
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<PAGE> PAGE 15
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<PAGE> PAGE 16
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<PAGE> PAGE 17
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<PAGE> PAGE 18
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<PAGE> PAGE 20
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<PAGE> PAGE 21
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<PAGE> PAGE 22
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<PAGE> PAGE 23
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<PAGE> PAGE 24
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<PAGE> PAGE 25
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<PAGE> PAGE 26
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<PAGE> PAGE 27
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<PAGE> PAGE 28
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<PAGE> PAGE 29
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<PAGE> PAGE 30
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<PAGE> PAGE 31
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<PAGE> PAGE 32
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<PAGE> PAGE 33
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<PAGE> PAGE 34
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<PAGE> PAGE 35
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<PAGE> PAGE 36
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<PAGE> PAGE 37
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<PAGE> PAGE 38
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<PAGE> PAGE 39
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<PAGE> PAGE 40
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<PAGE> PAGE 41
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<PAGE> PAGE 42
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<PAGE> PAGE 43
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<PAGE> PAGE 44
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<PAGE> PAGE 45
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<PAGE> PAGE 46
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<PAGE> PAGE 47
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<PAGE> PAGE 48
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<PAGE> PAGE 49
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<PAGE> PAGE 50
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<PAGE> PAGE 51
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<PAGE> PAGE 52
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<PAGE> PAGE 53
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<PAGE> PAGE 54
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<PAGE> PAGE 55
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<PAGE> PAGE 56
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<PAGE> PAGE 57
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<PAGE> PAGE 58
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<PAGE> PAGE 59
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<PAGE> PAGE 60
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<PAGE> PAGE 61
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<PAGE> PAGE 62
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<PAGE> PAGE 63
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<PAGE> PAGE 64
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<PAGE> PAGE 65
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<PAGE> PAGE 66
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<PAGE> PAGE 67
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<PAGE> PAGE 68
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<PAGE> PAGE 69
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<PAGE> PAGE 70
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<PAGE> PAGE 71
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<PAGE> PAGE 72
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<PAGE> PAGE 73
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<PAGE> PAGE 74
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<PAGE> PAGE 75
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<PAGE> PAGE 76
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<PAGE> PAGE 77
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<PAGE> PAGE 78
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<PAGE> PAGE 79
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<PAGE> PAGE 80
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008 A002001 GRANTHAM, MAYO, VAN OTTERLOO & CO.
008 B002001 A
008 C002001 801-6003
008 D012001 BOSTON
008 D022001 MA
008 D032001 02110
012 A002001 INVESTORS BANK & TRUST CO.
012 B002001 85-720
012 C012001 BOSTON
012 C022001 MA
012 C032001 02111
015 A002001 INVESTORS BANK & TRUST COMPANY
015 B002001 C
015 C012001 BOSTON
015 C022001 MA
015 C032001 02111
015 E012001 X
<PAGE> PAGE 81
028 A012000 10368
028 A022000 0
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028 A042000 498
028 B012000 2788
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028 F032000 0
028 F042000 9305
028 G012000 70599
028 G022000 2154
028 G032000 0
028 G042000 120861
028 H002000 0
037 002000 N
038 002000 0
039 002000 N
040 002000 N
045 002000 Y
046 002000 N
047 002000 Y
048 002000 0.500
048 A012000 0
048 A022000 0.000
048 B012000 0
048 B022000 0.000
048 C012000 0
048 C022000 0.000
048 D012000 0
048 D022000 0.000
048 E012000 0
048 E022000 0.000
048 F012000 0
048 F022000 0.000
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<PAGE> PAGE 82
048 H012000 0
048 H022000 0.000
048 I012000 0
048 I022000 0.000
048 J012000 0
048 J022000 0.000
048 K012000 0
048 K022000 0.000
049 002000 N
050 002000 N
051 002000 N
052 002000 N
053 A002000 Y
053 B002000 Y
058 A002000 N
059 002000 Y
060 A002000 N
060 B002000 N
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062 A002000 Y
062 B002000 1.7
062 C002000 0.0
062 D002000 4.0
062 E002000 0.0
062 F002000 0.0
062 G002000 0.0
062 H002000 0.0
062 I002000 0.0
062 J002000 0.0
062 K002000 4.5
062 L002000 0.0
062 M002000 0.0
062 N002000 0.0
062 O002000 0.0
062 P002000 3.4
062 Q002000 83.7
062 R002000 0.8
063 A002000 0
063 B002000 12.0
064 A002000 N
064 B002000 Y
065 002000 N
066 A002000 N
067 002000 N
068 A002000 N
068 B002000 Y
069 002000 N
070 A012000 Y
070 A022000 Y
070 B012000 Y
070 B022000 N
<PAGE> PAGE 83
070 C012000 Y
070 C022000 Y
070 D012000 Y
070 D022000 N
070 E012000 Y
070 E022000 N
070 F012000 Y
070 F022000 N
070 G012000 Y
070 G022000 Y
070 H012000 Y
070 H022000 N
070 I012000 N
070 I022000 N
070 J012000 N
070 J022000 N
070 K012000 Y
070 K022000 Y
070 L012000 Y
070 L022000 Y
070 M012000 Y
070 M022000 Y
070 N012000 Y
070 N022000 Y
070 O012000 Y
070 O022000 N
070 P012000 N
070 P022000 N
070 Q012000 N
070 Q022000 N
070 R012000 N
070 R022000 N
071 A002000 123636
071 B002000 166718
071 C002000 215581
071 D002000 57
072 A002000 6
072 B002000 10698
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072 D002000 0
072 E002000 0
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<PAGE> PAGE 84
072 P002000 0
072 Q002000 0
072 R002000 28
072 S002000 8
072 T002000 0
072 U002000 0
072 V002000 0
072 W002000 2
072 X002000 744
072 Y002000 279
072 Z002000 10233
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072BB002000 0
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072DD012000 2976
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073 A012000 0.1700
073 A022000 0.0000
073 B002000 0.0020
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074 C002000 3837
074 D002000 196808
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<PAGE> PAGE 85
074 Y002000 0
075 A002000 0
075 B002000 231100
076 002000 0.00
008 A002101 GRANTHAM, MAYO, VAN OTTERLOO & CO.
008 B002101 A
008 C002101 801-6003
008 D012101 BOSTON
008 D022101 MA
008 D032101 02110
012 A002101 INVESTORS BANK & TRUST COMPANY
012 B002101 85-720
012 C012101 BOSTON
012 C022101 MA
012 C032101 02111
015 A002101 BROWN BROTHERS HARRIMAN & CO.
015 B002101 C
015 C012101 BOSTON
015 C022101 MA
015 C032101 02109
015 E012101 X
028 A012100 0
028 A022100 0
028 A032100 0
028 A042100 0
028 B012100 0
028 B022100 0
028 B032100 0
028 B042100 0
028 C012100 0
028 C022100 0
028 C032100 0
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028 D022100 0
028 D032100 0
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028 E012100 32702
028 E022100 0
028 E032100 0
028 E042100 0
028 F012100 154571
028 F022100 0
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028 G012100 187273
028 G022100 0
028 G032100 0
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037 002100 N
<PAGE> PAGE 86
038 002100 0
039 002100 N
040 002100 N
045 002100 Y
046 002100 N
047 002100 Y
048 002100 0.750
048 A012100 0
048 A022100 0.000
048 B012100 0
048 B022100 0.000
048 C012100 0
048 C022100 0.000
048 D012100 0
048 D022100 0.000
048 E012100 0
048 E022100 0.000
048 F012100 0
048 F022100 0.000
048 G012100 0
048 G022100 0.000
048 H012100 0
048 H022100 0.000
048 I012100 0
048 I022100 0.000
048 J012100 0
048 J022100 0.000
048 K012100 0
048 K022100 0.000
049 002100 N
050 002100 N
051 002100 N
052 002100 N
053 A002100 Y
053 B002100 Y
058 A002100 N
059 002100 Y
060 A002100 N
060 B002100 N
061 002100 1000000
062 A002100 N
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062 C002100 0.0
062 D002100 0.0
062 E002100 0.0
062 F002100 0.0
062 G002100 0.0
062 H002100 0.0
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<PAGE> PAGE 87
062 L002100 0.0
062 M002100 0.0
062 N002100 0.0
062 O002100 0.0
062 P002100 0.0
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062 R002100 0.0
066 A002100 Y
066 B002100 N
066 C002100 N
066 D002100 N
066 E002100 N
066 F002100 N
066 G002100 Y
067 002100 N
068 A002100 N
068 B002100 Y
069 002100 N
070 A012100 Y
070 A022100 N
070 B012100 Y
070 B022100 N
070 C012100 N
070 C022100 N
070 D012100 N
070 D022100 N
070 E012100 N
070 E022100 N
070 F012100 Y
070 F022100 Y
070 G012100 N
070 G022100 N
070 H012100 Y
070 H022100 N
070 I012100 N
070 I022100 N
070 J012100 N
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070 K012100 Y
070 K022100 N
070 L012100 Y
070 L022100 Y
070 M012100 Y
070 M022100 Y
070 N012100 Y
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070 O012100 Y
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070 P022100 N
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<PAGE> PAGE 88
070 Q022100 N
070 R012100 N
070 R022100 N
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<PAGE> PAGE 89
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SIGNATURE SUSAN RANDALL HARBERT
TITLE ASSISTANT TREASURER
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 1
<NAME> Core Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 2,537,544,341
<INVESTMENTS-AT-VALUE> 3,061,413,430
<RECEIVABLES> 22,710,477
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,084,123,907
<PAYABLE-FOR-SECURITIES> 26,861,443
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 162,138,786
<TOTAL-LIABILITIES> 189,000,229
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,238,124,306
<SHARES-COMMON-STOCK> 158,659,078
<SHARES-COMMON-PRIOR> 149,509,336
<ACCUMULATED-NII-CURRENT> 14,661,757
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 118,288,630
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 524,048,985
<NET-ASSETS> 2,895,123,678
<DIVIDEND-INCOME> 35,184,953
<INTEREST-INCOME> 3,118,522
<OTHER-INCOME> 0
<EXPENSES-NET> 6,294,511
<NET-INVESTMENT-INCOME> 32,008,964
<REALIZED-GAINS-CURRENT> 127,372,303
<APPREC-INCREASE-CURRENT> 434,581,218
<NET-CHANGE-FROM-OPS> 466,590,182
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (27,339,592)
<DISTRIBUTIONS-OF-GAINS> (7,361,868)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 15,074,172
<NUMBER-OF-SHARES-REDEEMED> (7,360,742)
<SHARES-REINVESTED> 1,436,312
<NET-CHANGE-IN-ASSETS> 585,875,740
<ACCUMULATED-NII-PRIOR> 9,992,385
<ACCUMULATED-GAINS-PRIOR> (1,721,805)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 6,884,621
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 7,201,830
<AVERAGE-NET-ASSETS> 2,608,485,944
<PER-SHARE-NAV-BEGIN> 15.45
<PER-SHARE-NII> 0.21
<PER-SHARE-GAIN-APPREC> 2.82
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.23)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 18.25
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 4
<NAME> Growth Allocation Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 300,687,670
<INVESTMENTS-AT-VALUE> 357,214,573
<RECEIVABLES> 1,280,652
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 358,495,225
<PAYABLE-FOR-SECURITIES> 315,092
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 18,995,827
<TOTAL-LIABILITIES> 19,310,919
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 277,827,521
<SHARES-COMMON-STOCK> 67,350,475
<SHARES-COMMON-PRIOR> 53,657,221
<ACCUMULATED-NII-CURRENT> 1,105,348
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 3,710,155
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 56,541,282
<NET-ASSETS> 339,184,306
<DIVIDEND-INCOME> 2,781,264
<INTEREST-INCOME> 496,506
<OTHER-INCOME> 0
<EXPENSES-NET> 740,316
<NET-INVESTMENT-INCOME> 2,537,454
<REALIZED-GAINS-CURRENT> 4,187,624
<APPREC-INCREASE-CURRENT> 42,088,589
<NET-CHANGE-FROM-OPS> 48,813,667
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,990,601)
<DISTRIBUTIONS-OF-GAINS> (10,202,708)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 21,976,921
<NUMBER-OF-SHARES-REDEEMED> (10,445,188)
<SHARES-REINVESTED> 2,161,521
<NET-CHANGE-IN-ASSETS> 100,177,989
<ACCUMULATED-NII-PRIOR> 558,495
<ACCUMULATED-GAINS-PRIOR> 9,725,239
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 771,163
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 852,014
<AVERAGE-NET-ASSETS> 306,754,612
<PER-SHARE-NAV-BEGIN> 4.45
<PER-SHARE-NII> 0.04
<PER-SHARE-GAIN-APPREC> 0.74
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.19)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 5.04
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 8
<NAME> Value Allocation Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 287,736,889
<INVESTMENTS-AT-VALUE> 336,985,441
<RECEIVABLES> 3,668,234
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 340,653,675
<PAYABLE-FOR-SECURITIES> 3,359,296
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 25,299,416
<TOTAL-LIABILITIES> 28,658,712
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 244,872,047
<SHARES-COMMON-STOCK> 22,864,103
<SHARES-COMMON-PRIOR> 29,095,761
<ACCUMULATED-NII-CURRENT> 2,094,911
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 18,237,048
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 46,790,957
<NET-ASSETS> 311,994,963
<DIVIDEND-INCOME> 5,288,058
<INTEREST-INCOME> 492,545
<OTHER-INCOME> 0
<EXPENSES-NET> 1,018,551
<NET-INVESTMENT-INCOME> 4,762,052
<REALIZED-GAINS-CURRENT> 26,930,966
<APPREC-INCREASE-CURRENT> 20,134,510
<NET-CHANGE-FROM-OPS> 51,827,528
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,581,860)
<DISTRIBUTIONS-OF-GAINS> (4,574,131)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 955,616
<NUMBER-OF-SHARES-REDEEMED> (7,711,166)
<SHARES-REINVESTED> 523,892
<NET-CHANGE-IN-ASSETS> (38,699,498)
<ACCUMULATED-NII-PRIOR> 1,914,719
<ACCUMULATED-GAINS-PRIOR> (4,119,787)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,168,831
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,277,177
<AVERAGE-NET-ASSETS> 332,137,225
<PER-SHARE-NAV-BEGIN> 12.05
<PER-SHARE-NII> 0.21
<PER-SHARE-GAIN-APPREC> 0.77
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.38)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 13.65
<EXPENSE-RATIO> 0.61
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 6
<NAME> Short Term Income Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 6,625,993
<INVESTMENTS-AT-VALUE> 6,682,089
<RECEIVABLES> 62,328
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 6,744,417
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 11,808
<TOTAL-LIABILITIES> 11,808
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 6,750,598
<SHARES-COMMON-STOCK> 697,949
<SHARES-COMMON-PRIOR> 856,832
<ACCUMULATED-NII-CURRENT> 72,013
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (146,098)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 56,096
<NET-ASSETS> 6,732,609
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 256,222
<OTHER-INCOME> 0
<EXPENSES-NET> 9,475
<NET-INVESTMENT-INCOME> 246,747
<REALIZED-GAINS-CURRENT> 21,838
<APPREC-INCREASE-CURRENT> 65,271
<NET-CHANGE-FROM-OPS> 333,856
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (273,835)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 547,622
<NUMBER-OF-SHARES-REDEEMED> (733,107)
<SHARES-REINVESTED> 26,602
<NET-CHANGE-IN-ASSETS> (1,460,887)
<ACCUMULATED-NII-PRIOR> 99,101
<ACCUMULATED-GAINS-PRIOR> (167,936)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 9,475
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 22,909
<AVERAGE-NET-ASSETS> 7,535,622
<PER-SHARE-NAV-BEGIN> 9.56
<PER-SHARE-NII> 0.33
<PER-SHARE-GAIN-APPREC> 0.10
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.34)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.65
<EXPENSE-RATIO> 0.25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 3
<NAME> International Core Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 2,967,722,389
<INVESTMENTS-AT-VALUE> 3,178,028,624
<RECEIVABLES> 133,266,889
<ASSETS-OTHER> 275,056,491
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,586,352,004
<PAYABLE-FOR-SECURITIES> 106,205,654
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 154,121,237
<TOTAL-LIABILITIES> 260,326,891
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3,040,520,339
<SHARES-COMMON-STOCK> 140,653,201
<SHARES-COMMON-PRIOR> 116,104,099
<ACCUMULATED-NII-CURRENT> 38,912,911
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 43,084,700
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 203,507,163
<NET-ASSETS> 3,326,025,113
<DIVIDEND-INCOME> 48,619,227
<INTEREST-INCOME> 4,003,560
<OTHER-INCOME> 0
<EXPENSES-NET> 10,466,466
<NET-INVESTMENT-INCOME> 42,156,321
<REALIZED-GAINS-CURRENT> 27,859,033
<APPREC-INCREASE-CURRENT> 165,796,303
<NET-CHANGE-FROM-OPS> 235,811,657
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,243,410)
<DISTRIBUTIONS-OF-GAINS> (85,496,279)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 30,026,350
<NUMBER-OF-SHARES-REDEEMED> (9,080,579)
<SHARES-REINVESTED> 3,603,331
<NET-CHANGE-IN-ASSETS> 734,379,261
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 100,721,946
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 11,237,128
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 12,586,122
<AVERAGE-NET-ASSETS> 2,980,281,699
<PER-SHARE-NAV-BEGIN> 22.32
<PER-SHARE-NII> 0.30
<PER-SHARE-GAIN-APPREC> 1.72
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.69)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 23.65
<EXPENSE-RATIO> 0.70
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 7
<NAME> Japan Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 102,072,196
<INVESTMENTS-AT-VALUE> 103,434,850
<RECEIVABLES> 223,321
<ASSETS-OTHER> 2,549,152
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 106,207,323
<PAYABLE-FOR-SECURITIES> 675,984
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 5,397,020
<TOTAL-LIABILITIES> 6,073,004
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 87,478,963
<SHARES-COMMON-STOCK> 10,333,221
<SHARES-COMMON-PRIOR> 6,591,242
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (411,556)
<ACCUMULATED-NET-GAINS> 11,742,908
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,324,004
<NET-ASSETS> 100,134,319
<DIVIDEND-INCOME> 293,006
<INTEREST-INCOME> 52,715
<OTHER-INCOME> 0
<EXPENSES-NET> 355,931
<NET-INVESTMENT-INCOME> (10,210)
<REALIZED-GAINS-CURRENT> 95,060
<APPREC-INCREASE-CURRENT> 3,926,306
<NET-CHANGE-FROM-OPS> 4,011,156
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,741,979
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 40,011,156
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 11,647,848
<OVERDISTRIB-NII-PRIOR> (401,346)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 270,489
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 396,785
<AVERAGE-NET-ASSETS> 70,880,558
<PER-SHARE-NAV-BEGIN> 9.12
<PER-SHARE-NII> 0.00
<PER-SHARE-GAIN-APPREC> 0.57
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.69
<EXPENSE-RATIO> 1.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 9
<NAME> Tobacco Free Core Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 47,622,387
<INVESTMENTS-AT-VALUE> 57,444,325
<RECEIVABLES> 478,271
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 57,922,596
<PAYABLE-FOR-SECURITIES> 194,387
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,353,970
<TOTAL-LIABILITIES> 2,548,357
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 41,904,629
<SHARES-COMMON-STOCK> 4,451,076
<SHARES-COMMON-PRIOR> 4,502,238
<ACCUMULATED-NII-CURRENT> 280,261
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 3,370,573
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 9,818,776
<NET-ASSETS> 55,374,239
<DIVIDEND-INCOME> 714,953
<INTEREST-INCOME> 95,004
<OTHER-INCOME> 0
<EXPENSES-NET> 131,617
<NET-INVESTMENT-INCOME> 678,340
<REALIZED-GAINS-CURRENT> 3,757,733
<APPREC-INCREASE-CURRENT> 5,381,127
<NET-CHANGE-FROM-OPS> 9,817,200
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (398,079)
<DISTRIBUTIONS-OF-GAINS> (902,689)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 629,346
<NUMBER-OF-SHARES-REDEEMED> (792,160)
<SHARES-REINVESTED> 111,652
<NET-CHANGE-IN-ASSETS> 7,405,508
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 515,529
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 137,101
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 207,337
<AVERAGE-NET-ASSETS> 54,543,133
<PER-SHARE-NAV-BEGIN> 10.65
<PER-SHARE-NII> 0.15
<PER-SHARE-GAIN-APPREC> 1.92
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.28)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.44
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 10
<NAME> Fundamental Value Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 182,679,126
<INVESTMENTS-AT-VALUE> 212,188,505
<RECEIVABLES> 1,487,127
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 213,675,632
<PAYABLE-FOR-SECURITIES> 376,255
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 15,729,498
<TOTAL-LIABILITIES> 16,105,753
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 161,648,644
<SHARES-COMMON-STOCK> 14,091,776
<SHARES-COMMON-PRIOR> 14,581,927
<ACCUMULATED-NII-CURRENT> 1,197,547
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 5,214,309
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 29,509,379
<NET-ASSETS> 197,569,879
<DIVIDEND-INCOME> 3,266,380
<INTEREST-INCOME> 143,737
<OTHER-INCOME> 0
<EXPENSES-NET> 718,819
<NET-INVESTMENT-INCOME> 2,691,298
<REALIZED-GAINS-CURRENT> 6,036,757
<APPREC-INCREASE-CURRENT> 17,909,814
<NET-CHANGE-FROM-OPS> 26,637,869
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,383,879)
<DISTRIBUTIONS-OF-GAINS> (3,210,933)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> (759,934)
<SHARES-REINVESTED> 269,783
<NET-CHANGE-IN-ASSETS> 14,698,972
<ACCUMULATED-NII-PRIOR> 890,128
<ACCUMULATED-GAINS-PRIOR> 2,388,485
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 718,819
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 776,524
<AVERAGE-NET-ASSETS> 190,645,326
<PER-SHARE-NAV-BEGIN> 12.54
<PER-SHARE-NII> 0.19
<PER-SHARE-GAIN-APPREC> 1.69
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.40)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 14.02
<EXPENSE-RATIO> 0.75
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 13
<NAME> International Small Companies Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 195,304,026
<INVESTMENTS-AT-VALUE> 195,408,640
<RECEIVABLES> 3,407,551
<ASSETS-OTHER> 1,724,624
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 200,540,815
<PAYABLE-FOR-SECURITIES> 57,389
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,459,413
<TOTAL-LIABILITIES> 1,516,802
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 195,623,335
<SHARES-COMMON-STOCK> 15,691,530
<SHARES-COMMON-PRIOR> 15,585,433
<ACCUMULATED-NII-CURRENT> 3,137,700
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 86,339
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 176,639
<NET-ASSETS> 199,024,013
<DIVIDEND-INCOME> 2,990,500
<INTEREST-INCOME> 167,555
<OTHER-INCOME> 0
<EXPENSES-NET> 726,812
<NET-INVESTMENT-INCOME> 2,431,243
<REALIZED-GAINS-CURRENT> 109,079
<APPREC-INCREASE-CURRENT> 9,692,644
<NET-CHANGE-FROM-OPS> 12,232,966
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> (1,004,007)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,011,931
<NUMBER-OF-SHARES-REDEEMED> (1,985,467)
<SHARES-REINVESTED> 79,633
<NET-CHANGE-IN-ASSETS> 12,838,813
<ACCUMULATED-NII-PRIOR> 706,457
<ACCUMULATED-GAINS-PRIOR> 981,267
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,203,901
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,467,743
<AVERAGE-NET-ASSETS> 191,545,369
<PER-SHARE-NAV-BEGIN> 11.95
<PER-SHARE-NII> 0.15
<PER-SHARE-GAIN-APPREC> 0.65
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.07)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.68
<EXPENSE-RATIO> 0.75
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 11
<NAME> Core II Secondaries Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 154,489,444
<INVESTMENTS-AT-VALUE> 172,748,198
<RECEIVABLES> 2,972,603
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 175,720,801
<PAYABLE-FOR-SECURITIES> 1,704,601
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 22,263,636
<TOTAL-LIABILITIES> 23,968,237
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 111,866,948
<SHARES-COMMON-STOCK> 10,171,408
<SHARES-COMMON-PRIOR> 17,325,736
<ACCUMULATED-NII-CURRENT> 672,908
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 20,882,092
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 18,330,616
<NET-ASSETS> 151,752,564
<DIVIDEND-INCOME> 1,373,929
<INTEREST-INCOME> 279,414
<OTHER-INCOME> 0
<EXPENSES-NET> 395,009
<NET-INVESTMENT-INCOME> 1,258,334
<REALIZED-GAINS-CURRENT> 21,590,046
<APPREC-INCREASE-CURRENT> 828,211
<NET-CHANGE-FROM-OPS> 23,676,591
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,292,502)
<DISTRIBUTIONS-OF-GAINS> (7,978,894)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 702,032
<NUMBER-OF-SHARES-REDEEMED> (8,418,103)
<SHARES-REINVESTED> 561,743
<NET-CHANGE-IN-ASSETS> (84,028,083)
<ACCUMULATED-NII-PRIOR> 707,076
<ACCUMULATED-GAINS-PRIOR> 7,270,940
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 411,465
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 496,377
<AVERAGE-NET-ASSETS> 163,627,876
<PER-SHARE-NAV-BEGIN> 13.61
<PER-SHARE-NII> 0.14
<PER-SHARE-GAIN-APPREC> 2.11
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.93)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 14.92
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 14
<NAME> U.S. Sector Allocation Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 198,885,106
<INVESTMENTS-AT-VALUE> 242,774,490
<RECEIVABLES> 1,951,067
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 244,725,557
<PAYABLE-FOR-SECURITIES> 992,871
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 7,940,799
<TOTAL-LIABILITIES> 8,933,670
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 179,513,557
<SHARES-COMMON-STOCK> 18,053,484
<SHARES-COMMON-PRIOR> 18,734,305
<ACCUMULATED-NII-CURRENT> 1,536,450
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 10,868,869
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 43,873,011
<NET-ASSETS> 235,791,887
<DIVIDEND-INCOME> 3,050,053
<INTEREST-INCOME> 244,449
<OTHER-INCOME> 0
<EXPENSES-NET> 543,701
<NET-INVESTMENT-INCOME> 2,750,801
<REALIZED-GAINS-CURRENT> 12,051,152
<APPREC-INCREASE-CURRENT> 25,746,757
<NET-CHANGE-FROM-OPS> 40,548,710
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,132,461)
<DISTRIBUTIONS-OF-GAINS> (1,086,252)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 194,243
<NUMBER-OF-SHARES-REDEEMED> (943,623)
<SHARES-REINVESTED> 68,559
<NET-CHANGE-IN-ASSETS> 28,500,789
<ACCUMULATED-NII-PRIOR> 918,110
<ACCUMULATED-GAINS-PRIOR> (96,031)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 555,028
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 640,340
<AVERAGE-NET-ASSETS> 225,312,501
<PER-SHARE-NAV-BEGIN> 11.06
<PER-SHARE-NII> 0.16
<PER-SHARE-GAIN-APPREC> 2.02
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.18)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 13.06
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 16
<NAME> International Bond Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 185,147,389
<INVESTMENTS-AT-VALUE> 197,354,531
<RECEIVABLES> 23,579,065
<ASSETS-OTHER> 575,483
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 221,509,079
<PAYABLE-FOR-SECURITIES> 1,311,302
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 29,513,653
<TOTAL-LIABILITIES> 30,824,955
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 174,855,008
<SHARES-COMMON-STOCK> 17,840,505
<SHARES-COMMON-PRIOR> 15,687,479
<ACCUMULATED-NII-CURRENT> 11,494,360
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 3,697,739
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 637,017
<NET-ASSETS> 190,684,124
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 8,173,247
<OTHER-INCOME> 0
<EXPENSES-NET> 389,741
<NET-INVESTMENT-INCOME> 7,783,506
<REALIZED-GAINS-CURRENT> 11,739,543
<APPREC-INCREASE-CURRENT> 2,190,549
<NET-CHANGE-FROM-OPS> 21,713,598
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (54,248)
<DISTRIBUTIONS-OF-GAINS> (4,700,407)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6,922,449
<NUMBER-OF-SHARES-REDEEMED> (5,196,111)
<SHARES-REINVESTED> 426,688
<NET-CHANGE-IN-ASSETS> 39,494,753
<ACCUMULATED-NII-PRIOR> 3,765,102
<ACCUMULATED-GAINS-PRIOR> (3,341,397)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 389,741
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 498,550
<AVERAGE-NET-ASSETS> 193,817,701
<PER-SHARE-NAV-BEGIN> 9.64
<PER-SHARE-NII> 0.41
<PER-SHARE-GAIN-APPREC> 0.90
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.26)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.69
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 5
<NAME> Pelican Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 128,801,037
<INVESTMENTS-AT-VALUE> 157,377,489
<RECEIVABLES> 1,863,819
<ASSETS-OTHER> 3,358
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 159,244,666
<PAYABLE-FOR-SECURITIES> 607,478
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 145,297
<TOTAL-LIABILITIES> 752,775
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 126,633,371
<SHARES-COMMON-STOCK> 11,671,816
<SHARES-COMMON-PRIOR> 9,831,023
<ACCUMULATED-NII-CURRENT> 658,871
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 2,623,197
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 28,576,452
<NET-ASSETS> 158,491,891
<DIVIDEND-INCOME> 1,762,410
<INTEREST-INCOME> 835,313
<OTHER-INCOME> 0
<EXPENSES-NET> 783,599
<NET-INVESTMENT-INCOME> 1,814,124
<REALIZED-GAINS-CURRENT> 4,390,880
<APPREC-INCREASE-CURRENT> 13,909,499
<NET-CHANGE-FROM-OPS> 20,114,503
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,435,525)
<DISTRIBUTIONS-OF-GAINS> (1,471,339)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,119,430
<NUMBER-OF-SHARES-REDEEMED> (480,570)
<SHARES-REINVESTED> 201,933
<NET-CHANGE-IN-ASSETS> 40,572,120
<ACCUMULATED-NII-PRIOR> 280,272
<ACCUMULATED-GAINS-PRIOR> (296,344)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 641,789
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 783,599
<AVERAGE-NET-ASSETS> 141,844,805
<PER-SHARE-NAV-BEGIN> 11.99
<PER-SHARE-NII> 0.16
<PER-SHARE-GAIN-APPREC> 1.69
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.26)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 13.58
<EXPENSE-RATIO> 1.10
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 15
<NAME> Emerging Markets Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 593,641,840
<INVESTMENTS-AT-VALUE> 561,834,243
<RECEIVABLES> 41,612,967
<ASSETS-OTHER> 22,360,226
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 625,807,436
<PAYABLE-FOR-SECURITIES> 15,073,192
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,104,651
<TOTAL-LIABILITIES> 16,177,843
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 659,958,844
<SHARES-COMMON-STOCK> 57,879,323
<SHARES-COMMON-PRIOR> 40,355,453
<ACCUMULATED-NII-CURRENT> 6,289,965
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (26,585,344)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (30,033,872)
<NET-ASSETS> 609,629,593
<DIVIDEND-INCOME> 8,819,966
<INTEREST-INCOME> 884,849
<OTHER-INCOME> 0
<EXPENSES-NET> 3,414,850
<NET-INVESTMENT-INCOME> 6,289,965
<REALIZED-GAINS-CURRENT> (24,010,305)
<APPREC-INCREASE-CURRENT> 63,685,402
<NET-CHANGE-FROM-OPS> 45,965,062
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> (7,081,456)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 16,922,728
<NUMBER-OF-SHARES-REDEEMED> (52,350)
<SHARES-REINVESTED> 653,492
<NET-CHANGE-IN-ASSETS> 225,370,831
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 4,506,417
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,504,377
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,436,117
<AVERAGE-NET-ASSETS> 477,712,330
<PER-SHARE-NAV-BEGIN> 9.52
<PER-SHARE-NII> 0.11
<PER-SHARE-GAIN-APPREC> 1.03
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.13)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.53
<EXPENSE-RATIO> 1.42
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 17
<NAME> Emerging Country Debt Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 485,058,505
<INVESTMENTS-AT-VALUE> 532,925,779
<RECEIVABLES> 20,675,540
<ASSETS-OTHER> 264,450
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 553,865,769
<PAYABLE-FOR-SECURITIES> 36,525,178
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 9,536,365
<TOTAL-LIABILITIES> 46,061,543
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 431,280,634
<SHARES-COMMON-STOCK> 46,553,536
<SHARES-COMMON-PRIOR> 29,024,789
<ACCUMULATED-NII-CURRENT> 29,886,155
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (5,746,027)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 52,383,464
<NET-ASSETS> 507,804,226
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 31,969,973
<OTHER-INCOME> 0
<EXPENSES-NET> 1,046,340
<NET-INVESTMENT-INCOME> 30,923,633
<REALIZED-GAINS-CURRENT> 1,998,099
<APPREC-INCREASE-CURRENT> 84,247,675
<NET-CHANGE-FROM-OPS> 117,169,407
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,395,584)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 26,445,537
<NUMBER-OF-SHARES-REDEEMED> (9,117,813)
<SHARES-REINVESTED> 201,023
<NET-CHANGE-IN-ASSETS> 264,352,882
<ACCUMULATED-NII-PRIOR> 2,358,106
<ACCUMULATED-GAINS-PRIOR> (7,744,126)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,046,340
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,336,577
<AVERAGE-NET-ASSETS> 416,339,726
<PER-SHARE-NAV-BEGIN> 8.39
<PER-SHARE-NII> 0.64
<PER-SHARE-GAIN-APPREC> 1.96
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.08)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.91
<EXPENSE-RATIO> 0.50
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 18
<NAME> Global Hedged Equity Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 317,440,305
<INVESTMENTS-AT-VALUE> 342,184,451
<RECEIVABLES> 800,911
<ASSETS-OTHER> 244,083
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 343,229,445
<PAYABLE-FOR-SECURITIES> 18,331
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,513,797
<TOTAL-LIABILITIES> 2,532,128
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 328,881,940
<SHARES-COMMON-STOCK> 32,443,087
<SHARES-COMMON-PRIOR> 21,216,892
<ACCUMULATED-NII-CURRENT> 4,329,441
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (9,937,977)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 17,423,913
<NET-ASSETS> 340,697,317
<DIVIDEND-INCOME> 3,668,784
<INTEREST-INCOME> 1,765,857
<OTHER-INCOME> 0
<EXPENSES-NET> 1,088,702
<NET-INVESTMENT-INCOME> 4,345,939
<REALIZED-GAINS-CURRENT> (10,048,663)
<APPREC-INCREASE-CURRENT> 17,120,171
<NET-CHANGE-FROM-OPS> 11,417,447
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (761,607)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 12,127,111
<NUMBER-OF-SHARES-REDEEMED> (944,829)
<SHARES-REINVESTED> 43,913
<NET-CHANGE-IN-ASSETS> 126,059,196
<ACCUMULATED-NII-PRIOR> 745,109
<ACCUMULATED-GAINS-PRIOR> 110,686
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 918,184
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,161,272
<AVERAGE-NET-ASSETS> 280,975,811
<PER-SHARE-NAV-BEGIN> 10.12
<PER-SHARE-NII> 0.12
<PER-SHARE-GAIN-APPREC> 0.29
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.03)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.50
<EXPENSE-RATIO> 0.77
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 19
<NAME> Domestic Bond Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 340,163,566
<INVESTMENTS-AT-VALUE> 345,231,001
<RECEIVABLES> 2,044,384
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 347,275,385
<PAYABLE-FOR-SECURITIES> 2,424,169
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 51,424,802
<TOTAL-LIABILITIES> 53,848,971
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 278,270,504
<SHARES-COMMON-STOCK> 27,611,985
<SHARES-COMMON-PRIOR> 20,670,984
<ACCUMULATED-NII-CURRENT> 3,284,083
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 6,034,745
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 5,837,082
<NET-ASSETS> 293,426,414
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 8,795,627
<OTHER-INCOME> 0
<EXPENSES-NET> 318,583
<NET-INVESTMENT-INCOME> 8,477,044
<REALIZED-GAINS-CURRENT> 7,326,425
<APPREC-INCREASE-CURRENT> 3,283,718
<NET-CHANGE-FROM-OPS> 19,087,187
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (6,514,968)
<DISTRIBUTIONS-OF-GAINS> (1,187,937)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6,894,982
<NUMBER-OF-SHARES-REDEEMED> (597,034)
<SHARES-REINVESTED> 643,053
<NET-CHANGE-IN-ASSETS> 84,049,166
<ACCUMULATED-NII-PRIOR> 1,322,007
<ACCUMULATED-GAINS-PRIOR> (103,743)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 318,583
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 390,491
<AVERAGE-NET-ASSETS> 253,478,349
<PER-SHARE-NAV-BEGIN> 10.13
<PER-SHARE-NII> 0.33
<PER-SHARE-GAIN-APPREC> 0.49
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.32)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.63
<EXPENSE-RATIO> 0.25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 20
<NAME> Currency Hedged International Bond Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 204,411,312
<INVESTMENTS-AT-VALUE> 219,732,287
<RECEIVABLES> 25,197,236
<ASSETS-OTHER> 421,302
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 245,350,825
<PAYABLE-FOR-SECURITIES> 15,479,828
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 5,944,922
<TOTAL-LIABILITIES> 21,424,750
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 189,819,428
<SHARES-COMMON-STOCK> 19,619,510
<SHARES-COMMON-PRIOR> 23,885,450
<ACCUMULATED-NII-CURRENT> 9,330,112
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 4,507,319
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 20,269,216
<NET-ASSETS> 223,926,075
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 10,697,697
<OTHER-INCOME> 0
<EXPENSES-NET> 464,895
<NET-INVESTMENT-INCOME> 10,232,802
<REALIZED-GAINS-CURRENT> 4,505,254
<APPREC-INCREASE-CURRENT> 21,642,627
<NET-CHANGE-FROM-OPS> 36,380,683
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,975,615)
<DISTRIBUTIONS-OF-GAINS> (35,020)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 6,414,653
<NUMBER-OF-SHARES-REDEEMED> (10,878,710)
<SHARES-REINVESTED> 198,117
<NET-CHANGE-IN-ASSETS> (14,738,363)
<ACCUMULATED-NII-PRIOR> 2,072,925
<ACCUMULATED-GAINS-PRIOR> 37,085
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 581,119
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 744,258
<AVERAGE-NET-ASSETS> 231,100,233
<PER-SHARE-NAV-BEGIN> 9.99
<PER-SHARE-NII> 0.56
<PER-SHARE-GAIN-APPREC> 1.03
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.17)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.41
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended August 31, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 21
<NAME> Currency Hedged International Core Fund
<S> <C>
<PERIOD-TYPE> 6-MOS
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> AUG-31-1995
<INVESTMENTS-AT-COST> 104,023,787
<INVESTMENTS-AT-VALUE> 103,210,183
<RECEIVABLES> 92,187,718
<ASSETS-OTHER> 93,941
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 195,491,842
<PAYABLE-FOR-SECURITIES> 5,412,610
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 230,800
<TOTAL-LIABILITIES> 5,643,410
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 187,273,305
<SHARES-COMMON-STOCK> 17,583,602
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 77,402
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 339,950
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 2,157,775
<NET-ASSETS> 189,848,432
<DIVIDEND-INCOME> 104,997
<INTEREST-INCOME> 31,665
<OTHER-INCOME> 0
<EXPENSES-NET> 59,260
<NET-INVESTMENT-INCOME> 77,402
<REALIZED-GAINS-CURRENT> 339,950
<APPREC-INCREASE-CURRENT> 2,157,775
<NET-CHANGE-FROM-OPS> 2,575,127
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 17,583,602
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 189,848,432
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 63,323
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 110,582
<AVERAGE-NET-ASSETS> 52,409,403
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.00
<PER-SHARE-GAIN-APPREC> 0.80
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.80
<EXPENSE-RATIO> 0.70
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
