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<PAGE> PAGE 2
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<PAGE> PAGE 12
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<PAGE> PAGE 13
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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 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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074 R041800 715
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075 B001800 49830
076 001800 0.00
008 A001901 GRANTHAM, MAYO, VAN OTTERLOO & CO.
008 B001901 A
008 C001901 801-6003
008 D011901 BOSTON
008 D021901 MA
008 D031901 02110
012 A001901 INVESTORS BANK & TRUST CO.
012 B001901 85-720
<PAGE> PAGE 81
012 C011901 BOSTON
012 C021901 MA
012 C031901 02111
015 A001901 INVESTORS BANK & TRUST COMPANY
015 B001901 C
015 C011901 BOSTON
015 C021901 MA
015 C031901 02111
015 E011901 X
028 A011900 0
028 A021900 0
028 A031900 0
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028 B011900 61624
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028 E041900 4728
028 F011900 123884
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028 F041900 0
028 G011900 202758
028 G021900 958
028 G031900 0
028 G041900 6079
028 H001900 0
037 001900 N
038 001900 0
045 001900 Y
046 001900 N
047 001900 Y
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048 A021900 0.000
048 B011900 0
048 B021900 0.000
048 C011900 0
048 C021900 0.000
048 D011900 0
<PAGE> PAGE 82
048 D021900 0.000
048 E011900 0
048 E021900 0.000
048 F011900 0
048 F021900 0.000
048 G011900 0
048 G021900 0.000
048 H011900 0
048 H021900 0.000
048 I011900 0
048 I021900 0.000
048 J011900 0
048 J021900 0.000
048 K011900 0
048 K021900 0.000
049 001900 N
050 001900 N
051 001900 N
052 001900 N
053 A001900 Y
053 B001900 Y
053 C001900 N
058 A001900 N
059 001900 Y
060 A001900 N
060 B001900 N
061 001900 1000000
062 A001900 Y
062 B001900 0.0
062 C001900 0.0
062 D001900 3.8
062 E001900 0.0
062 F001900 0.0
062 G001900 0.0
062 H001900 0.0
062 I001900 0.0
062 J001900 3.5
062 K001900 0.0
062 L001900 1.5
062 M001900 44.4
062 N001900 0.0
062 O001900 0.0
062 P001900 4.3
062 Q001900 32.4
062 R001900 0.0
063 A001900 0
063 B001900 10.4
064 A001900 N
064 B001900 N
066 A001900 N
067 001900 N
<PAGE> PAGE 83
068 A001900 N
068 B001900 N
069 001900 N
070 A011900 Y
070 A021900 Y
070 B011900 Y
070 B021900 N
070 C011900 Y
070 C021900 N
070 D011900 Y
070 D021900 N
070 E011900 Y
070 E021900 N
070 F011900 Y
070 F021900 N
070 G011900 Y
070 G021900 N
070 H011900 Y
070 H021900 N
070 I011900 N
070 I021900 N
070 J011900 N
070 J021900 N
070 K011900 Y
070 K021900 Y
070 L011900 Y
070 L021900 N
070 M011900 Y
070 M021900 N
070 N011900 Y
070 N021900 Y
070 O011900 Y
070 O021900 N
070 P011900 N
070 P021900 N
070 Q011900 N
070 Q021900 N
070 R011900 N
070 R021900 N
071 A001900 207366
071 B001900 38970
071 C001900 60175
071 D001900 65
072 A001900 7
072 B001900 2760
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072 D001900 0
072 E001900 0
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072 H001900 0
<PAGE> PAGE 84
072 I001900 0
072 J001900 21
072 K001900 0
072 L001900 0
072 M001900 0
072 N001900 16
072 O001900 0
072 P001900 0
072 Q001900 0
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072 U001900 0
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072 X001900 164
072 Y001900 69
072 Z001900 2664
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072BB001900 104
072CC011900 2553
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072DD011900 1342
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073 A011900 0.1800
073 A021900 0.0000
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074 A001900 0
074 B001900 7957
074 C001900 10400
074 D001900 169877
074 E001900 0
074 F001900 0
074 G001900 0
074 H001900 0
074 I001900 0
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074 K001900 7
074 L001900 31619
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<PAGE> PAGE 85
074 T001900 209377
074 U011900 20671
074 U021900 0
074 V011900 10.13
074 V021900 0.00
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074 Y001900 0
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075 B001900 38362
076 001900 0.00
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
028 A012000 122420
028 A022000 0
028 A032000 0
028 A042000 0
028 B012000 0
028 B022000 0
028 B032000 0
028 B042000 0
028 C012000 0
028 C022000 0
028 C032000 0
028 C042000 0
028 D012000 42458
028 D022000 998
028 D032000 0
028 D042000 2923
028 E012000 983
028 E022000 0
028 E032000 0
028 E042000 10596
028 F012000 85325
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<PAGE> PAGE 86
028 F042000 715
028 G012000 251186
028 G022000 998
028 G032000 0
028 G042000 14234
028 H002000 0
037 002000 N
038 002000 0
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
048 G012000 0
048 G022000 0.000
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
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053 B002000 Y
058 A002000 N
059 002000 Y
060 A002000 N
060 B002000 N
061 002000 1000000
062 A002000 Y
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<PAGE> PAGE 87
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062 K002000 0.2
062 L002000 0.6
062 M002000 0.8
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062 O002000 0.0
062 P002000 1.3
062 Q002000 88.9
062 R002000 1.7
063 A002000 0
063 B002000 13.1
064 A002000 N
064 B002000 Y
065 002000 N
066 A002000 N
067 002000 N
068 A002000 N
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069 002000 N
070 A012000 Y
070 A022000 Y
070 B012000 Y
070 B022000 N
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
<PAGE> PAGE 88
070 O022000 N
070 P012000 N
070 P022000 N
070 Q012000 N
070 Q022000 N
070 R012000 N
070 R022000 N
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071 B002000 93761
071 C002000 122610
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<PAGE> PAGE 89
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SIGNATURE KINGSLEY DURANT
TITLE TREASURER
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 28, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 1
<NAME> Core Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 2,180,715,968
<INVESTMENTS-AT-VALUE> 2,397,224,698
<RECEIVABLES> 40,270,822
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,437,495,520
<PAYABLE-FOR-SECURITIES> 38,429,058
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 89,818,524
<TOTAL-LIABILITIES> 128,247,582
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,084,137,288
<SHARES-COMMON-STOCK> 149,509,336
<SHARES-COMMON-PRIOR> 123,081,167
<ACCUMULATED-NII-CURRENT> 9,992,385
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (1,721,805)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 216,840,070
<NET-ASSETS> 2,309,247,938
<DIVIDEND-INCOME> 59,069,213
<INTEREST-INCOME> 4,376,365
<OTHER-INCOME> 0
<EXPENSES-NET> 9,786,281
<NET-INVESTMENT-INCOME> 53,659,297
<REALIZED-GAINS-CURRENT> 120,519,094
<APPREC-INCREASE-CURRENT> (23,956,664)
<NET-CHANGE-FROM-OPS> 150,221,727
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (50,303,126)
<DISTRIBUTIONS-OF-GAINS> (137,451,908)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 41,333,390
<NUMBER-OF-SHARES-REDEEMED> (26,231,509)
<SHARES-REINVESTED> 11,326,288
<NET-CHANGE-IN-ASSETS> 367,242,525
<ACCUMULATED-NII-PRIOR> 5,928,323
<ACCUMULATED-GAINS-PRIOR> 15,853,828
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 10,703,745
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 11,278,757
<AVERAGE-NET-ASSETS> 2,038,808,514
<PER-SHARE-NAV-BEGIN> 15.78
<PER-SHARE-NII> 0.41
<PER-SHARE-GAIN-APPREC> 0.66
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.40)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 15.45
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 230,998,001
<INVESTMENTS-AT-VALUE> 245,396,867
<RECEIVABLES> 2,613,442
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 248,010,309
<PAYABLE-FOR-SECURITIES> 994,601
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 8,009,391
<TOTAL-LIABILITIES> 9,003,992
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 214,269,890
<SHARES-COMMON-STOCK> 53,657,221
<SHARES-COMMON-PRIOR> 55,675,281
<ACCUMULATED-NII-CURRENT> 558,495
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 9,725,239
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 14,452,693
<NET-ASSETS> 239,006,317
<DIVIDEND-INCOME> 3,771,365
<INTEREST-INCOME> 438,583
<OTHER-INCOME> 0
<EXPENSES-NET> 1,020,578
<NET-INVESTMENT-INCOME> 3,189,370
<REALIZED-GAINS-CURRENT> 12,677,026
<APPREC-INCREASE-CURRENT> 7,126,286
<NET-CHANGE-FROM-OPS> 22,992,682
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,852,156)
<DISTRIBUTIONS-OF-GAINS> (3,416,541)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 8,350,129
<NUMBER-OF-SHARES-REDEEMED> (11,444,911)
<SHARES-REINVESTED> 1,076,722
<NET-CHANGE-IN-ASSETS> 8,308,335
<ACCUMULATED-NII-PRIOR> 206,752
<ACCUMULATED-GAINS-PRIOR> 404,062
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,063,102
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,183,057
<AVERAGE-NET-ASSETS> 212,620,360
<PER-SHARE-NAV-BEGIN> 4.14
<PER-SHARE-NII> 0.06
<PER-SHARE-GAIN-APPREC> 0.38
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.13)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 4.45
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 327,078,362
<INVESTMENTS-AT-VALUE> 353,688,916
<RECEIVABLES> 13,226,489
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 366,915,405
<PAYABLE-FOR-SECURITIES> 3,770,601
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 12,450,343
<TOTAL-LIABILITIES> 16,220,944
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 326,243,082
<SHARES-COMMON-STOCK> 29,095,761
<SHARES-COMMON-PRIOR> 50,419,311
<ACCUMULATED-NII-CURRENT> 1,914,719
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (4,119,787)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 26,656,447
<NET-ASSETS> 350,694,461
<DIVIDEND-INCOME> 14,887,482
<INTEREST-INCOME> 687,766
<OTHER-INCOME> 0
<EXPENSES-NET> 2,740,474
<NET-INVESTMENT-INCOME> 12,834,774
<REALIZED-GAINS-CURRENT> 45,814,165
<APPREC-INCREASE-CURRENT> (41,548,844)
<NET-CHANGE-FROM-OPS> 17,100,095
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (16,241,648)
<DISTRIBUTIONS-OF-GAINS> (53,036,477)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,061,654
<NUMBER-OF-SHARES-REDEEMED> (29,453,951)
<SHARES-REINVESTED> 5,068,747
<NET-CHANGE-IN-ASSETS> (328,837,069)
<ACCUMULATED-NII-PRIOR> 5,309,936
<ACCUMULATED-GAINS-PRIOR> 4,879,562
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 3,144,806
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,353,253
<AVERAGE-NET-ASSETS> 449,258,050
<PER-SHARE-NAV-BEGIN> 13.48
<PER-SHARE-NII> 0.41
<PER-SHARE-GAIN-APPREC> 0.32
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (2.16)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.05
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 9,124,546
<INVESTMENTS-AT-VALUE> 9,115,371
<RECEIVABLES> 80,713
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 9,196,084
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,002,588
<TOTAL-LIABILITIES> 1,002,588
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 8,271,506
<SHARES-COMMON-STOCK> 856,832
<SHARES-COMMON-PRIOR> 826,909
<ACCUMULATED-NII-CURRENT> 99,101
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (167,936)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (9,175)
<NET-ASSETS> 8,193,496
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 687,713
<OTHER-INCOME> 0
<EXPENSES-NET> 32,631
<NET-INVESTMENT-INCOME> 655,082
<REALIZED-GAINS-CURRENT> (168,682)
<APPREC-INCREASE-CURRENT> (44,099)
<NET-CHANGE-FROM-OPS> 442,301
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (612,710)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,299,162
<NUMBER-OF-SHARES-REDEEMED> (3,322,035)
<SHARES-REINVESTED> 52,796
<NET-CHANGE-IN-ASSETS> 98,476
<ACCUMULATED-NII-PRIOR> 56,729
<ACCUMULATED-GAINS-PRIOR> 746
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 32,631
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 57,324
<AVERAGE-NET-ASSETS> 13,052,313
<PER-SHARE-NAV-BEGIN> 9.79
<PER-SHARE-NII> 0.63
<PER-SHARE-GAIN-APPREC> (0.28)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.58)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.56
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 2,511,522,707
<INVESTMENTS-AT-VALUE> 2,560,854,217
<RECEIVABLES> 170,951,561
<ASSETS-OTHER> 46,902,909
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,778,708,687
<PAYABLE-FOR-SECURITIES> 160,772,812
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 26,290,023
<TOTAL-LIABILITIES> 187,062,835
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,453,213,046
<SHARES-COMMON-STOCK> 116,104,099
<SHARES-COMMON-PRIOR> 89,436,247
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 100,721,946
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 37,710,860
<NET-ASSETS> 2,591,645,852
<DIVIDEND-INCOME> 55,664,794
<INTEREST-INCOME> 2,602,161
<OTHER-INCOME> 0
<EXPENSES-NET> 18,749,844
<NET-INVESTMENT-INCOME> 39,517,111
<REALIZED-GAINS-CURRENT> 238,738,544
<APPREC-INCREASE-CURRENT> (424,074,855)
<NET-CHANGE-FROM-OPS> (145,819,200)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (38,432,195)
<DISTRIBUTIONS-OF-GAINS> (172,566,881)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 47,709,816
<NUMBER-OF-SHARES-REDEEMED> (29,287,818)
<SHARES-REINVESTED> 8,245,854
<NET-CHANGE-IN-ASSETS> 305,215,162
<ACCUMULATED-NII-PRIOR> 7,595,549
<ACCUMULATED-GAINS-PRIOR> 27,197,340
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 19,964,039
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 22,599,689
<AVERAGE-NET-ASSETS> 2,661,871,820
<PER-SHARE-NAV-BEGIN> 25.56
<PER-SHARE-NII> 0.27
<PER-SHARE-GAIN-APPREC> (1.57)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.94)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 22.32
<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 February 28, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 7
<NAME> Japan Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 55,482,140
<INVESTMENTS-AT-VALUE> 52,862,704
<RECEIVABLES> 6,143,040
<ASSETS-OTHER> 1,254,049
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 60,259,793
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 136,630
<TOTAL-LIABILITIES> 136,630
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 51,478,963
<SHARES-COMMON-STOCK> 6,591,242
<SHARES-COMMON-PRIOR> 40,446,319
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (401,346)
<ACCUMULATED-NET-GAINS> 11,647,848
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (2,602,302)
<NET-ASSETS> 60,123,163
<DIVIDEND-INCOME> 3,606,109
<INTEREST-INCOME> 80,066
<OTHER-INCOME> 0
<EXPENSES-NET> 3,779,161
<NET-INVESTMENT-INCOME> (92,986)
<REALIZED-GAINS-CURRENT> 151,486,989
<APPREC-INCREASE-CURRENT> (156,391,026)
<NET-CHANGE-FROM-OPS> (4,997,023)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> (42,616,601)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 8,607,105
<NUMBER-OF-SHARES-REDEEMED> (46,537,969)
<SHARES-REINVESTED> 4,075,787
<NET-CHANGE-IN-ASSETS> (390,228,033)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (2,185,923)
<OVERDISTRIB-NII-PRIOR> (370,352)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 3,394,922
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,892,603
<AVERAGE-NET-ASSETS> 452,656,310
<PER-SHARE-NAV-BEGIN> 11.13
<PER-SHARE-NII> 0.00
<PER-SHARE-GAIN-APPREC> (1.08)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.93)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.12
<EXPENSE-RATIO> 0.83
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 45,768,820
<INVESTMENTS-AT-VALUE> 50,206,469
<RECEIVABLES> 777,020
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 50,983,489
<PAYABLE-FOR-SECURITIES> 498,656
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,516,102
<TOTAL-LIABILITIES> 3,014,758
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 43,015,553
<SHARES-COMMON-STOCK> 4,502,238
<SHARES-COMMON-PRIOR> 5,046,476
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 515,529
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 4,437,649
<NET-ASSETS> 47,968,731
<DIVIDEND-INCOME> 1,465,067
<INTEREST-INCOME> 95,182
<OTHER-INCOME> 0
<EXPENSES-NET> 249,801
<NET-INVESTMENT-INCOME> 1,310,448
<REALIZED-GAINS-CURRENT> 4,347,228
<APPREC-INCREASE-CURRENT> (2,293,926)
<NET-CHANGE-FROM-OPS> 3,363,750
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,340,450)
<DISTRIBUTIONS-OF-GAINS> (4,364,391)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 226,368
<NUMBER-OF-SHARES-REDEEMED> (1,331,510)
<SHARES-REINVESTED> 560,904
<NET-CHANGE-IN-ASSETS> (7,875,841)
<ACCUMULATED-NII-PRIOR> 254,797
<ACCUMULATED-GAINS-PRIOR> 308,833
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 260,209
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 390,223
<AVERAGE-NET-ASSETS> 52,041,906
<PER-SHARE-NAV-BEGIN> 11.07
<PER-SHARE-NII> 0.23
<PER-SHARE-GAIN-APPREC> 0.50
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.15)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.65
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 179,481,079
<INVESTMENTS-AT-VALUE> 191,080,644
<RECEIVABLES> 1,617,315
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 192,697,959
<PAYABLE-FOR-SECURITIES> 3,710,185
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 6,116,867
<TOTAL-LIABILITIES> 9,827,052
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 167,992,729
<SHARES-COMMON-STOCK> 14,581,927
<SHARES-COMMON-PRIOR> 11,831,453
<ACCUMULATED-NII-CURRENT> 890,128
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 2,388,485
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 11,599,565
<NET-ASSETS> 182,870,907
<DIVIDEND-INCOME> 5,822,051
<INTEREST-INCOME> 392,038
<OTHER-INCOME> 0
<EXPENSES-NET> 1,297,348
<NET-INVESTMENT-INCOME> 4,916,741
<REALIZED-GAINS-CURRENT> 7,371,472
<APPREC-INCREASE-CURRENT> 1,387,837
<NET-CHANGE-FROM-OPS> 13,676,050
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,583,693)
<DISTRIBUTIONS-OF-GAINS> (7,395,946)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,213,626
<NUMBER-OF-SHARES-REDEEMED> (1,169,385)
<SHARES-REINVESTED> 706,233
<NET-CHANGE-IN-ASSETS> 35,104,260
<ACCUMULATED-NII-PRIOR> 528,164
<ACCUMULATED-GAINS-PRIOR> 2,445,700
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,297,348
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,415,598
<AVERAGE-NET-ASSETS> 172,979,785
<PER-SHARE-NAV-BEGIN> 12.49
<PER-SHARE-NII> 0.34
<PER-SHARE-GAIN-APPREC> 0.55
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.84)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.54
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 193,584,532
<INVESTMENTS-AT-VALUE> 184,804,822
<RECEIVABLES> 3,174,400
<ASSETS-OTHER> 4,060,852
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 192,040,074
<PAYABLE-FOR-SECURITIES> 3,724,728
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,130,146
<TOTAL-LIABILITIES> 5,854,874
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 194,013,481
<SHARES-COMMON-STOCK> 15,585,433
<SHARES-COMMON-PRIOR> 9,179,140
<ACCUMULATED-NII-CURRENT> 706,457
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 981,267
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (9,516,005)
<NET-ASSETS> 186,185,200
<DIVIDEND-INCOME> 3,626,690
<INTEREST-INCOME> 234,023
<OTHER-INCOME> 0
<EXPENSES-NET> 1,324,199
<NET-INVESTMENT-INCOME> 2,536,514
<REALIZED-GAINS-CURRENT> 9,647,409
<APPREC-INCREASE-CURRENT> (31,826,852)
<NET-CHANGE-FROM-OPS> (19,642,929)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,988,635)
<DISTRIBUTIONS-OF-GAINS> (13,044,663)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 7,848,879
<NUMBER-OF-SHARES-REDEEMED> (2,560,141)
<SHARES-REINVESTED> 1,117,555
<NET-CHANGE-IN-ASSETS> 53,540,478
<ACCUMULATED-NII-PRIOR> 599,953
<ACCUMULATED-GAINS-PRIOR> 4,937,146
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,184,055
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,692,279
<AVERAGE-NET-ASSETS> 174,724,377
<PER-SHARE-NAV-BEGIN> 14.45
<PER-SHARE-NII> 0.18
<PER-SHARE-GAIN-APPREC> (1.52)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.16)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.95
<EXPENSE-RATIO> 0.76
<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 February 28, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 12
<NAME> Bond Allocation Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 0
<INVESTMENTS-AT-VALUE> 0
<RECEIVABLES> 0
<ASSETS-OTHER> 25,386,638
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 25,386,638
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 25,386,638
<TOTAL-LIABILITIES> 25,386,638
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 0
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 33,042,966
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 0
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 18,699,396
<OTHER-INCOME> 0
<EXPENSES-NET> 946,957
<NET-INVESTMENT-INCOME> 17,752,439
<REALIZED-GAINS-CURRENT> (71,679,738)
<APPREC-INCREASE-CURRENT> 8,765,201
<NET-CHANGE-FROM-OPS> (45,162,098)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,923,037)
<DISTRIBUTIONS-OF-GAINS> (136,850)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 0
<NUMBER-OF-SHARES-REDEEMED> 0
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> (321,214,600)
<ACCUMULATED-NII-PRIOR> 2,565,398
<ACCUMULATED-GAINS-PRIOR> (369,145)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,217,509
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,484,163
<AVERAGE-NET-ASSETS> 270,549,455
<PER-SHARE-NAV-BEGIN> 9.72
<PER-SHARE-NII> 0.61
<PER-SHARE-GAIN-APPREC> (1.53)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.09)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 8.71
<EXPENSE-RATIO> 0.35
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 237,608,026
<INVESTMENTS-AT-VALUE> 254,570,729
<RECEIVABLES> 24,040,369
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 278,611,098
<PAYABLE-FOR-SECURITIES> 19,513,375
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 23,317,076
<TOTAL-LIABILITIES> 42,830,451
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 210,300,226
<SHARES-COMMON-STOCK> 17,325,736
<SHARES-COMMON-PRIOR> 10,575,509
<ACCUMULATED-NII-CURRENT> 707,076
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 7,270,940
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 17,502,405
<NET-ASSETS> 235,780,647
<DIVIDEND-INCOME> 2,998,140
<INTEREST-INCOME> 520,458
<OTHER-INCOME> 0
<EXPENSES-NET> 831,218
<NET-INVESTMENT-INCOME> 2,687,380
<REALIZED-GAINS-CURRENT> 14,687,241
<APPREC-INCREASE-CURRENT> (8,564,992)
<NET-CHANGE-FROM-OPS> 8,809,629
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,478,510)
<DISTRIBUTIONS-OF-GAINS> (13,249,265)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 7,782,253
<NUMBER-OF-SHARES-REDEEMED> (2,079,900)
<SHARES-REINVESTED> 1,047,874
<NET-CHANGE-IN-ASSETS> 84,494,722
<ACCUMULATED-NII-PRIOR> 460,639
<ACCUMULATED-GAINS-PRIOR> 5,870,531
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 865,852
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,018,764
<AVERAGE-NET-ASSETS> 173,170,406
<PER-SHARE-NAV-BEGIN> 14.31
<PER-SHARE-NII> 0.20
<PER-SHARE-GAIN-APPREC> 0.34
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.24)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 13.61
<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 February 28, 1995
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 5
<NAME> Pelican Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 102,649,364
<INVESTMENTS-AT-VALUE> 117,316,317
<RECEIVABLES> 1,564,842
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 118,881,159
<PAYABLE-FOR-SECURITIES> 841,554
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 119,834
<TOTAL-LIABILITIES> 961,388
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 103,268,890
<SHARES-COMMON-STOCK> 9,831,023
<SHARES-COMMON-PRIOR> 8,337,230
<ACCUMULATED-NII-CURRENT> 280,272
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (296,344)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 14,666,953
<NET-ASSETS> 117,919,771
<DIVIDEND-INCOME> 2,653,788
<INTEREST-INCOME> 1,125,229
<OTHER-INCOME> 0
<EXPENSES-NET> 1,152,254
<NET-INVESTMENT-INCOME> 2,626,763
<REALIZED-GAINS-CURRENT> 5,174,436
<APPREC-INCREASE-CURRENT> 224,762
<NET-CHANGE-FROM-OPS> 8,025,961
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,546,856)
<DISTRIBUTIONS-OF-GAINS> (5,635,884)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,641,663
<NUMBER-OF-SHARES-REDEEMED> (860,814)
<SHARES-REINVESTED> 672,854
<NET-CHANGE-IN-ASSETS> 16,755,103
<ACCUMULATED-NII-PRIOR> 224,348
<ACCUMULATED-GAINS-PRIOR> 153,158
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 942,753
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,152,254
<AVERAGE-NET-ASSETS> 104,750,330
<PER-SHARE-NAV-BEGIN> 12.08
<PER-SHARE-NII> 0.37
<PER-SHARE-GAIN-APPREC> 0.46
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.92)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.99
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 198,321,025
<INVESTMENTS-AT-VALUE> 216,440,663
<RECEIVABLES> 1,619,521
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 218,060,184
<PAYABLE-FOR-SECURITIES> 1,216,498
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 9,552,588
<TOTAL-LIABILITIES> 10,769,086
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 188,342,765
<SHARES-COMMON-STOCK> 18,734,305
<SHARES-COMMON-PRIOR> 14,829,935
<ACCUMULATED-NII-CURRENT> 918,110
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (96,031)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 18,126,254
<NET-ASSETS> 207,291,098
<DIVIDEND-INCOME> 5,491,421
<INTEREST-INCOME> 399,386
<OTHER-INCOME> 0
<EXPENSES-NET> 915,044
<NET-INVESTMENT-INCOME> 4,975,763
<REALIZED-GAINS-CURRENT> 8,878,913
<APPREC-INCREASE-CURRENT> 925,826
<NET-CHANGE-FROM-OPS> 14,780,502
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,670,650)
<DISTRIBUTIONS-OF-GAINS> (12,614,921)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 4,299,814
<NUMBER-OF-SHARES-REDEEMED> (957,241)
<SHARES-REINVESTED> 561,797
<NET-CHANGE-IN-ASSETS> 40,263,328
<ACCUMULATED-NII-PRIOR> 615,928
<ACCUMULATED-GAINS-PRIOR> 3,637,046
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 934,108
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,095,030
<AVERAGE-NET-ASSETS> 190,634,206
<PER-SHARE-NAV-BEGIN> 11.26
<PER-SHARE-NII> 0.28
<PER-SHARE-GAIN-APPREC> 0.49
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.97)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.06
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 152,349,100
<INVESTMENTS-AT-VALUE> 149,909,660
<RECEIVABLES> 6,416,741
<ASSETS-OTHER> 482,818
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 156,809,219
<PAYABLE-FOR-SECURITIES> 4,181,496
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,438,352
<TOTAL-LIABILITIES> 5,619,848
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 152,319,198
<SHARES-COMMON-STOCK> 15,687,479
<SHARES-COMMON-PRIOR> 3,959,975
<ACCUMULATED-NII-CURRENT> 3,765,102
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (3,341,397)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (1,553,532)
<NET-ASSETS> 151,189,371
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 6,831,915
<OTHER-INCOME> 0
<EXPENSES-NET> 345,558
<NET-INVESTMENT-INCOME> 6,486,357
<REALIZED-GAINS-CURRENT> 3,431,159
<APPREC-INCREASE-CURRENT> (1,159,762)
<NET-CHANGE-FROM-OPS> 8,757,754
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (6,618,737)
<DISTRIBUTIONS-OF-GAINS> (3,028,602)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 14,201,980
<NUMBER-OF-SHARES-REDEEMED> (3,171,314)
<SHARES-REINVESTED> 696,838
<NET-CHANGE-IN-ASSETS> 111,739,527
<ACCUMULATED-NII-PRIOR> 41,678
<ACCUMULATED-GAINS-PRIOR> 111,850
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 345,558
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 526,801
<AVERAGE-NET-ASSETS> 86,389,519
<PER-SHARE-NAV-BEGIN> 9.96
<PER-SHARE-NII> 0.98
<PER-SHARE-GAIN-APPREC> (0.21)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.09)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.64
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 467,119,064
<INVESTMENTS-AT-VALUE> 373,434,865
<RECEIVABLES> 14,697,367
<ASSETS-OTHER> 4,565,158
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 392,697,390
<PAYABLE-FOR-SECURITIES> 5,191,939
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3,246,689
<TOTAL-LIABILITIES> 8,438,628
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 473,471,619
<SHARES-COMMON-STOCK> 40,355,453
<SHARES-COMMON-PRIOR> 9,429,468
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 4,506,417
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (93,719,274)
<NET-ASSETS> 384,258,762
<DIVIDEND-INCOME> 5,708,825
<INTEREST-INCOME> 1,613,039
<OTHER-INCOME> 0
<EXPENSES-NET> 4,754,505
<NET-INVESTMENT-INCOME> 2,567,359
<REALIZED-GAINS-CURRENT> 10,748,639
<APPREC-INCREASE-CURRENT> (99,215,818)
<NET-CHANGE-FROM-OPS> (85,899,820)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,332,870)
<DISTRIBUTIONS-OF-GAINS> (7,201,224)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 31,656,227
<NUMBER-OF-SHARES-REDEEMED> (1,438,354)
<SHARES-REINVESTED> 708,112
<NET-CHANGE-IN-ASSETS> 269,850,189
<ACCUMULATED-NII-PRIOR> 235,005
<ACCUMULATED-GAINS-PRIOR> 489,508
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 3,004,553
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4,754,505
<AVERAGE-NET-ASSETS> 300,455,317
<PER-SHARE-NAV-BEGIN> 12.13
<PER-SHARE-NII> 0.05
<PER-SHARE-GAIN-APPREC> (2.37)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.29)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.52
<EXPENSE-RATIO> 1.58
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 300,169,870
<INVESTMENTS-AT-VALUE> 270,384,993
<RECEIVABLES> 11,573,023
<ASSETS-OTHER> 438,317
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 282,396,333
<PAYABLE-FOR-SECURITIES> 35,475,790
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3,469,199
<TOTAL-LIABILITIES> 38,944,989
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 280,701,575
<SHARES-COMMON-STOCK> 29,024,789
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 2,358,106
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (7,744,126)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (31,864,211)
<NET-ASSETS> 243,451,344
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 9,250,552
<OTHER-INCOME> 0
<EXPENSES-NET> 417,918
<NET-INVESTMENT-INCOME> 8,832,634
<REALIZED-GAINS-CURRENT> (6,189,201)
<APPREC-INCREASE-CURRENT> (31,864,211)
<NET-CHANGE-FROM-OPS> (29,220,778)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (6,479,050)
<DISTRIBUTIONS-OF-GAINS> (1,550,403)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 28,628,219
<NUMBER-OF-SHARES-REDEEMED> (152,494)
<SHARES-REINVESTED> 549,064
<NET-CHANGE-IN-ASSETS> 243,451,344
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 417,918
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 592,738
<AVERAGE-NET-ASSETS> 97,159,330
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.48
<PER-SHARE-GAIN-APPREC> 1.59
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.50)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 8.39
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 239,390,386
<INVESTMENTS-AT-VALUE> 241,970,158
<RECEIVABLES> 5,871,808
<ASSETS-OTHER> 153,549
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 247,995,515
<PAYABLE-FOR-SECURITIES> 32,541,224
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 816,170
<TOTAL-LIABILITIES> 33,357,394
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 213,478,584
<SHARES-COMMON-STOCK> 21,216,892
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 745,109
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 110,686
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 303,742
<NET-ASSETS> 214,638,121
<DIVIDEND-INCOME> 1,088,179
<INTEREST-INCOME> 791,851
<OTHER-INCOME> 0
<EXPENSES-NET> 459,477
<NET-INVESTMENT-INCOME> 1,420,553
<REALIZED-GAINS-CURRENT> 130,219
<APPREC-INCREASE-CURRENT> 303,742
<NET-CHANGE-FROM-OPS> 1,854,514
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (694,977)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 21,270,733
<NUMBER-OF-SHARES-REDEEMED> (69,242)
<SHARES-REINVESTED> 15,401
<NET-CHANGE-IN-ASSETS> 214,638,121
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 324,126
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 539,886
<AVERAGE-NET-ASSETS> 86,198,709
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.11
<PER-SHARE-GAIN-APPREC> 0.08
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.07)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.12
<EXPENSE-RATIO> 0.92
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 186,976,307
<INVESTMENTS-AT-VALUE> 188,233,664
<RECEIVABLES> 31,626,812
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 219,860,476
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 10,483,228
<TOTAL-LIABILITIES> 10,483,228
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 205,605,620
<SHARES-COMMON-STOCK> 20,670,984
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 1,322,007
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (103,743)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 2,553,364
<NET-ASSETS> 209,377,248
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 2,759,584
<OTHER-INCOME> 0
<EXPENSES-NET> 95,643
<NET-INVESTMENT-INCOME> 2,663,941
<REALIZED-GAINS-CURRENT> (103,743)
<APPREC-INCREASE-CURRENT> 2,553,364
<NET-CHANGE-FROM-OPS> 5,113,562
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,341,934)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 21,191,425
<NUMBER-OF-SHARES-REDEEMED> (618,786)
<SHARES-REINVESTED> 98,345
<NET-CHANGE-IN-ASSETS> 209,377,248
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 95,643
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 164,375
<AVERAGE-NET-ASSETS> 72,351,525
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.24
<PER-SHARE-GAIN-APPREC> 0.07
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.18)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.13
<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 February 28, 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> YEAR
<FISCAL-YEAR-END> FEB-28-1995
<PERIOD-END> FEB-28-1995
<INVESTMENTS-AT-COST> 242,611,131
<INVESTMENTS-AT-VALUE> 241,381,780
<RECEIVABLES> 12,649,130
<ASSETS-OTHER> 657,668
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 254,688,578
<PAYABLE-FOR-SECURITIES> 11,725,916
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4,298,224
<TOTAL-LIABILITIES> 16,024,140
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 237,927,839
<SHARES-COMMON-STOCK> 23,885,450
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 2,072,925
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 37,085
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (1,373,411)
<NET-ASSETS> 238,664,438
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 5,420,167
<OTHER-INCOME> 0
<EXPENSES-NET> 244,825
<NET-INVESTMENT-INCOME> 5,175,342
<REALIZED-GAINS-CURRENT> (998,046)
<APPREC-INCREASE-CURRENT> (1,373,411)
<NET-CHANGE-FROM-OPS> 2,803,885
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,089,096)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 25,227,397
<NUMBER-OF-SHARES-REDEEMED> (1,442,999)
<SHARES-REINVESTED> 101,052
<NET-CHANGE-IN-ASSETS> 238,664,438
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 306,031
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 418,127
<AVERAGE-NET-ASSETS> 150,947,835
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.24
<PER-SHARE-GAIN-APPREC> (0.09)
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.16)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.99
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
