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Previous: WESTWOOD ONE INC /DE/, 10-Q, 1995-11-08 |
Next: PLAN INVESTMENT FUND INC, 485BPOS, 1995-11-08 |
GMO CORE FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
<C> <S> <C>
STOCK - 95.7%
AEROSPACE - 3.1%
577,201 Lockheed Martin 35,137,111
673,150 Raytheon Co 54,441,006
89,578,117
AUTOMOTIVE - 0.1%
48,800 Bandag Inc 2,897,500
BANKING AND FINANCIAL SERVICES - 6.5%
7,000 Bancorp Hawaii Inc 234,500
244,685 Bear Stearns Cos Inc 5,046,618
153,200 Beneficial Corp 7,525,950
6,600 California Federal Bank 103,125
660 California Federal Bank Goodwill Certificate * 4,373
41,153 Charles Schwab & Co * 1,913,615
86,500 Chase Manhattan Corp 4,973,750
228,100 Chemical Banking Corp 13,286,825
666,100 Citicorp 44,212,388
563,671 Dean Witter Discover and Co 28,747,221
151,955 Edwards (A G) Inc 3,703,903
25,000 First Bank of America Corp 1,106,250
71,800 First Chicago Corp 4,550,325
1,100 Glendale Federal Bank * 17,325
307,300 Household International Inc (a) 17,247,213
301,200 Morgan Stanley Group Inc 26,166,750
185,600 Student Loan Marketing Association 10,045,600
385,500 Travelers Inc 18,504,000
187,389,731
COMPUTER AND OFFICE EQUIPMENT - 2.6%
973,000 Micron Technology (a) 74,799,375
COMPUTERS - 0.4%
283,300 Silicon Graphics * (a) 11,969,425
CONSTRUCTION - 0.1%
19,800 Vulcan Materials Inc 1,041,975
56,300 York International Corp 2,505,350
3,547,325
CONSUMER GOODS - 3.5%
325,400 Black and Decker Corp 10,534,825
77,500 Clorox Co 5,240,938
729,100 Eastman Kodak Co 42,014,388
145,900 International Flavors & Fragrances 6,984,963
234,900 Liz Claiborne 5,343,975
58,700 National Service Industries 1,702,300
97,500 Nike Inc Class B (a) 9,030,938
171,400 Polaroid Corp 7,477,325
700 Premark International Inc 36,663
126,900 Reebok International Ltd (a) 4,504,950
171,700 VF Corp 9,400,575
102,271,840
FOOD AND BEVERAGE - 12.7%
614,300 Anheuser-Busch Cos Inc 35,091,888
808,900 Archer Daniels Midland Co 13,447,963
151,600 Brown Forman Corp Class B 5,609,200
1,767,700 Coca-Cola Co 113,574,725
602,200 ConAgra Inc 22,808,295
206,200 CPC International Inc 12,964,825
113,950 Dean Foods Co 3,019,675
437,500 General Mills Co 22,585,938
617,600 Heinz (H J) Co (a) 26,170,800
42,000 Hershey Foods Corp (a) 2,514,750
90,700 Hormel (Geo A) and Co 2,176,800
95,800 IBP Inc 4,718,150
305,500 Kellogg Co 20,621,250
356,900 Pepsico Inc 16,149,725
676,300 Sara Lee Corp 18,767,325
54,200 Tyson Food Inc Class A 1,395,650
301,400 Unilever ADR 37,260,575
82,700 Universal Foods Corp 2,625,725
252,600 Whitman Corp 5,083,575
366,586,834
HEALTH CARE - 4.0%
5,400 Bausch & Lomb Inc 214,650
524,200 Johnson & Johnson 36,169,800
422,500 Medtronic Inc 39,873,438
89,800 Rhone Poulenc Rorer Inc 3,973,650
31,100 Tambrands Inc 1,395,613
520,250 Tenet Healthcare Corp * 8,258,969
485,400 Upjohn Co 20,568,825
136,600 Wellpoint Health Networks Class A * 4,063,850
114,518,795
INSURANCE - 5.9%
286,600 Aetna Life and Casualty Co 19,560,450
230,900 AFLAC Corp 9,438,038
35,400 Allmerica Property and Casualty 854,025
430,200 Allstate Corp 14,573,025
94,400 AMBAC Inc 3,988,400
461,900 American General Corp 16,281,975
205,850 AON Corp 8,028,150
55,600 Chubb Corp 5,073,500
154,200 Cigna Corp 14,918,850
15,300 CNA Financial Corp * 1,466,888
25,300 Geico Corp 1,726,725
19,900 Jefferson Pilot Corp 1,251,213
112,800 Loews Corp 14,819,100
10,000 Marsh & McLennan Cos Inc 823,750
62,000 MBIA Inc 4,216,000
31,800 MGIC Investment (a) 1,780,800
118,000 Old Republic International Corp (a) 3,259,750
90,100 Provident Life and Accident Insurance Co Class B 2,353,863
137,900 Providian Corp 5,291,913
45,200 Safeco Corp (a) 2,921,050
307,100 St Paul Cos (a) 16,660,175
220,250 Torchmark Corp (a) 8,810,000
133,509 Transamerica Corp 9,078,612
11,700 Transatlantic Holdings Inc 819,000
90,500 Twentieth Century Industries * 1,425,375
169,420,627
MACHINERY - 0.8%
112,100 Dover Corp 8,939,975
77,200 FMC Corp * (a) 5,944,400
227,300 Harnischfeger Industries 8,353,275
23,237,650
MANUFACTURING - 6.9%
1,510,027 Boeing Co 96,264,221
123,400 Crown Cork & Seal Inc * (a) 5,553,000
125,600 Danaher Corp 4,144,800
735,944 International Business Machines Corp 76,078,211
352,100 Pall Corp (a) 7,702,188
171,500 Tenneco Inc 8,317,750
7,100 Textron Inc 486,350
198,546,520
OIL AND GAS - 5.4%
280,700 Amoco Corp 17,894,625
56,800 Atlantic Richfield Co 6,198,300
70,500 Cabot Corp 3,392,813
192,622 Chevron Corp 9,318,089
22,500 Columbia Gas Systems * 793,125
27,709 El Paso Natural Gas Co 779,316
730,700 Exxon Corp 50,235,625
3,400 FINA Inc Class A 157,250
213,300 Mobil Corp 20,316,825
7,200 Murphy Oil Corp 291,600
32,100 National Fuel Gas 902,813
82,800 Nicor Inc 2,121,750
29,300 Occidental Petroleum Corp 637,275
100 Pennzoil Co 4,400
43,300 Peoples Energy Corp 1,179,925
200,500 Royal Dutch Petroleum Co ADR (a) 23,909,625
99,200 Texaco Inc 6,423,200
331,100 Williams Companies Inc (a) 12,126,538
156,683,094
PAPER AND ALLIED PRODUCTS - 0.2%
72,200 Consolidated Papers Inc 4,368,100
44,000 Glatfelter (PH) Co (a) 990,000
5,358,100
PHARMACEUTICALS - 12.1%
658,500 Abbott Laboratories 25,516,875
525,320 American Home Products Corp 40,449,640
738,100 Amgen Inc * 35,336,538
1,100,100 Bristol-Myers Squibb Co 75,494,363
780,500 Lilly (Eli) & Co 63,903,438
1,036,200 Merck & Co Inc 51,680,475
148,050 Mylan Laboratories (a) 3,386,644
1,052,800 Pfizer Inc 51,982,000
46,900 Schering-Plough Corp (a) 2,186,713
40,200 Warner Lambert Co 3,633,075
353,569,761
PRINTING AND PUBLISHING - 0.8%
202,500 Dun and Bradstreet Corp 11,719,688
51,400 McGraw Hill Inc 4,047,750
172,500 Readers Digest Association Inc (a) 7,978,125
23,745,563
REFINING - 0.3%
286,100 Ashland Inc (a) 9,369,775
RETAIL TRADE - 1.9%
299,900 American Stores Co 8,809,563
159,100 Circuit City Stores Inc 5,488,950
52,300 Fruit of the Loom Inc * 1,229,050
349,800 Melville Corp 11,674,575
417,300 Rite Aid Corp (a) 11,684,400
396,600 Walgreen Co 9,716,700
34,700 Weismarkets Inc 980,275
70,500 Winn Dixie 4,194,750
53,778,263
SERVICES - 1.2%
35,300 BHC Communications Inc Class A * 3,203,475
117,300 Capital Cities/ABC Inc 13,489,500
56,400 Fleming Cos 1,642,650
173,600 Gannett Co Inc 9,287,600
11,600 Kingworld Productions Inc * 440,800
39,900 Manpower Inc (a) 1,147,125
63,200 Omnicom Group 3,965,800
68,600 Supervalu Inc (a) 2,032,275
35,209,225
TECHNOLOGY - 9.2%
552,800 3Com Corp * (a) 21,559,200
450,400 Apple Computer 19,367,200
75,400 Avery Dennison Corp 3,091,400
303,300 Cisco Systems Inc * 19,904,063
355,200 Digital Equipment Corp * 14,829,600
1,106,800 Hewlett-Packard Inc 88,544,000
464,900 LSI Logic Corp * (a) 22,896,325
456,200 Microsoft Corp * 42,198,500
504,300 Novell Inc * 9,077,400
319,900 Sun Microsystems Inc * (a) 18,514,213
190,500 Vishay Intertechnology Inc * 7,715,250
267,697,151
TELECOMMUNICATIONS - 3.5%
64,100 Alltel Corp 1,810,825
533,100 AT & T Corp 30,120,150
149,800 Bell Atlantic Corp 8,950,550
168,600 Bellsouth Corp 11,591,250
99,600 Cincinnati Bell Inc * 2,714,100
55,000 Frontier Corp 1,533,125
325,900 GTE Corp 11,936,088
144,900 Nynex Corp 6,520,500
145,600 Pacific Telesis Group 4,131,400
203,700 SBC Communications 10,312,313
118,400 Sprint Corp 4,203,200
161,200 US West Inc 7,012,200
100,835,701
TOBACCO - 2.1%
805,800 Philip Morris Cos Inc 60,132,825
UTILITIES - 12.4%
324,800 AES Corp * 6,008,800
442,600 Allegheny Power System Inc (a) 10,788,375
525,800 American Electric Power Inc 17,942,925
187,000 Ameritech Corp 9,583,750
14,100 Atlanta Gas Light (a) 519,938
357,350 Baltimore Gas and Electric Co 9,380,438
80,200 Brooklyn Union Gas Co 2,015,025
17,900 California Energy Co Inc * 373,663
78,300 Carolina Power and Light Co 2,397,938
148,488 Centerior Energy Corp 1,596,246
499,400 Central & South West Corp 12,235,300
454,000 Cinergy Corp 11,633,750
56,300 Cipsco Inc 1,850,863
165,100 CMS Energy Corp (a) 4,065,588
236,800 Consolidated Edison 6,689,600
22,500 Delmarva Power and Light Co (a) 489,375
34,500 Destec Energy Inc * 547,688
431,474 Detroit Edison Co 13,213,891
254,600 Dominion Resources Inc 9,197,425
380,950 DPL Inc 8,476,138
127,200 DQE (a) 3,036,900
439,300 Duke Power Co 17,846,563
207,944 Entergy Corp 4,990,656
194,200 Florida Progress Corp 5,898,825
246,500 FPL Group Inc 9,582,688
158,100 General Public Utilities 4,525,613
36,300 Hawaiian Electric Industry Inc 1,311,338
28,800 Houston Industries Inc 1,220,400
92,800 Idaho Power Co 2,447,600
28,600 IES Industries 722,150
85,100 Illinova Corp 2,138,138
38,300 Ipalco Enterprises Inc (a) 1,326,138
113,000 Kansas City Power and Light Co (a) 2,528,375
30,800 Ku Energy Corp 839,300
38,600 LG&E Energy Corp 1,495,750
127,000 MCN Corp 2,365,375
103,000 Midamerican Energy Co 1,467,750
8,900 Minnesota Power & Light Co 239,188
156,200 Montana Power Co 3,436,400
99,800 Nevada Power Co 2,033,425
88,800 New England Electric System (a) 3,108,000
55,300 New York State Electric and Gas Corp 1,334,113
136,900 Nipsco Industries Inc 4,483,475
186,400 Northern States Power Co 7,945,300
108,000 Oklahoma Gas and Electric Co (a) 3,820,500
372,400 Pacific Enterprises 8,937,600
14,600 Pacific Gas and Electric Co 419,750
1,130,100 PacifiCorp (a) 20,483,063
564,300 Panhandle Eastern Corp 14,107,500
21,500 Portland General Electric Co (a) 516,000
566,300 Potomac Electric Power Co (a) 12,104,663
189,500 PP&L Resources Inc (a) 4,145,313
288,700 Public Service of Colorado (a) 9,346,663
126,700 Puget Sound Power and Light Co 2,739,888
115,200 Scana Corp (a) 2,678,400
1,549,300 Southern Co (a) 32,728,963
57,700 Southwesten Public Service Co (a) 1,731,000
291,300 Teco Energy (a) 6,299,363
37,900 UGI Corp (a) 810,113
150,900 Union Electric Co (a) 5,375,813
53,800 Utilicorp United Inc 1,459,325
24,300 Washington Gas Light 464,738
162,300 Washington Water Power (a) 2,515,650
92,400 Western Resources Inc 2,795,100
384,500 Wisconsin Energy Corp (a) 10,333,438
24,300 Wisconsin Power & Light Holding Co 692,550
12,000 WPS Resources Corp 346,500
360,182,069
TOTAL STOCK (COST $2,247,456,323) 2,771,325,266
PAR VALUE SHORT-TERM INVESTMENTS - 10.0%
REPURCHASE AGREEMENT - 4.3%
$ 125,717,228 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $125,735,737 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $128,432,544. 125,717,228
U.S. GOVERNMENT - 0.1%
4,000,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 3,947,196
CASH EQUIVALENTS - 5.6%
78,247,610 Bank of Boston Time Deposit, 5.95% due 9/1/95 78,247,610
14,427,289 Dreyfus Cash Management Money Market Fund Plus, A Shares 14,427,289
12,967,412 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 12,967,412
3,420,017 Lehman Prime Value Money Market Fund 3,420,017
37,361,412 National Westminster Time Deposit, 5.95% due 9/1/95 37,361,412
14,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 14,000,000
160,423,740
TOTAL SHORT-TERM INVESTMENTS (Cost $290,088,018) 290,088,164
TOTAL INVESTMENTS - 105.7%
(Cost $2,537,544,341) * * 3,061,413,430
Other Assets and Liabilities (net) - (5.7%) (166,289,752)
TOTAL NET ASSETS - 100.0% $ 2,895,123,678
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $2,537,544,341,
resulting in gross unrealized appreciation and depreciation of $531,834,516
and $7,965,427, respectively, and net unrealized appreciation of $523,869,089.
</TABLE>
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $2,247,456,323) (Note 1) $ 2,771,325,266
Short-term investments, at value (cost $290,088,018) (Note 1) 290,088,164
Receivable for investments sold 13,813,501
Receivable for variation margin on open futures contracts 221,759
Receivable for Fund shares sold 2,435
Dividends and interest receivable 8,505,487
Receivable for expenses waived or borne by Manager (Note 2) 167,295
Total assets 3,084,123,907
LIABILITIES:
Payable for investments purchased 26,861,443
Payable upon return of securities loaned (Note 1) 160,409,759
Payable for Fund shares repurchased 345,555
Payable to affiliate for management fee (Note 2) 1,243,035
Accrued expenses 140,437
Total liabilities 189,000,229
NET ASSETS (equivalent to $18.25 per share based on 158,659,078
shares outstanding, unlimited shares authorized) $ 2,895,123,678
NET ASSETS CONSIST OF:
Paid-in capital $ 2,238,124,306
Accumulated undistributed net investment income 14,661,757
Accumulated undistributed net realized gain 118,288,630
Net unrealized appreciation 524,048,985
NET ASSETS $ 2,895,123,678
</TABLE>
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of withholding taxes of $224,402) $ 35,184,953
Interest (including securities lending income of $97,377) 3,118,522
Total income 38,303,475
EXPENSES:
Management fee (Note 2) 6,884,621
Custodian and transfer agent fees 204,230
Legal fees 50,987
Audit fees 31,033
Insurance 12,690
Registration fees 12,294
Trustee fee (Note 2) 4,799
Miscellaneous 1,176
Total expenses 7,201,830
Less: expenses waived or borne by Manager (Note 2) (907,319)
Net expenses 6,294,511
Net investment income 32,008,964
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 120,105,827
Closed futures contracts 7,978,785
Closed swap contracts (712,309)
Net realized gain 127,372,303
Change in net unrealized appreciation (depreciation) on:
Investments 307,360,359
Open futures contracts (151,444)
Net unrealized gain 307,208,915
Net realized and unrealized gain 434,581,218
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 466,590,182
</TABLE>
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 32,008,964 $ 53,659,297
Net realized gain 127,372,303 120,519,094
Change in net unrealized appreciation (depreciation) 307,208,915 (23,956,664)
Net increase in net assets resulting from operations 466,590,182 150,221,727
Distributions to shareholders from:
Net investment income (27,339,592) (50,303,126)
Net realized gains (7,361,868) (137,451,908)
(34,701,460) (187,755,034)
Fund share transactions: (Note 4)
Proceeds from sale of shares 256,424,957 637,535,879
Net asset value of shares issued to shareholders
in payment of distributions declared 24,203,479 166,089,524
Cost of shares repurchased (126,641,418) (398,849,571)
Net increase in net assets resulting
from Fund share transactions 153,987,018 404,775,832
Total increase in net assets 585,875,740 367,242,525
NET ASSETS:
Beginning of period 2,309,247,938 1,942,005,413
End of period (including accumulated undistributed
net investment income of $14,661,757 and
$9,992,385, respectively) $ 2,895,123,678 $ 2,309,247,938
</TABLE>
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991(B)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.45 $ 15.78 $ 15.73 $ 15.96 $ 15.13 $ 13.90
Income from investment operations:
Net investment income (a) 0.21 0.41 0.42 0.45 0.43 0.43
Net realized and unrealized gain 2.82 0.66 1.59 1.13 1.55 1.74
Total from investment operations 3.03 1.07 2.01 1.58 1.98 2.17
Less distributions to shareholders:
From net investment income (0.18) (0.39) (0.43) (0.46) (0.42) (0.51)
From net realized gains (0.05) (1.01) (1.53) (1.35) (0.73) (0.43)
Total distributions (0.23) (1.40) (1.96) (1.81) (1.15) (0.94)
NET ASSET VALUE, END OF PERIOD $ 18.25 $ 15.45 $ 15.78 $ 15.73 $ 15.96 $ 15.13
TOTAL RETURN (C) 19.73% 7.45% 13.36% 10.57% 13.62% 16.52%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 2,895,124 $ 2,309,248 $ 1,942,005 $ 1,892,955 $ 2,520,710 $ 1,613,945
Net expenses to average
daily net assets (a) 0.48%* 0.48% 0.48% 0.49% 0.50% 0.50%
Net investment income to average
daily net assets (a) 2.44%* 2.63% 2.56% 2.79% 2.90% 3.37%
Portfolio turnover rate 37% 99% 40% 54% 39% 55%
* Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.01 0.01 $ 0.01 $ 0.01 0.01 0.01
(b) The per share amounts and the number of shares outstanding have been restated to reflect
a ten for one stock split effective December 31, 1990.
(c) Calculation excludes subscription fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
</TABLE>
See accompanying notes to the financial statements.
GMO CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Core Fund (the "Fund") is a series of GMO Trust (the "Trust"). The
Fund is registered under the Investment Company Act of 1940, as amended, as
an open-end, diversified management investment company. The Trust was
established as a Massachusetts Business Trust under the laws of the
Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust
permits the Trustees to create an unlimited number of series ("Funds"), each
of which issues a separate series of shares. The following is a summary of
significant accounting policies consistently followed by the Fund in the
preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent quoted
bid price. Unlisted securities for which market quotations are readily
available are valued at the most recent quoted bid price. Short-term
investments with a remaining maturity of sixty days or less are valued at
amortized cost which approximates market value. Other assets and securities
for which no quotations are readily available are valued at fair value as
determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index
futures contracts represent commitments for future delivery of cash based
upon the level of a specified index of equity securities at a given date. The
Fund may use futures contracts to manage its exposure to the stock markets.
Buying futures tends to increase the Fund's exposure to the underlying
instrument. Selling futures tends to decrease the Fund's exposure to the
underlying instrument or hedge other Fund instruments. Upon purchase of a
futures contract, the Fund is required to deposit with its custodian, in a
segregated account in the name of the futures broker, an amount of cash or
U.S. government obligations in accordance with the initial margin
requirements of the broker. Futures contracts are marked to market daily and
an appropriate payable or receivable for the change in value ("variation
margin") is recorded by the Fund. The payable or receivable is liquidated on
the following business day. Gains or losses are recognized but not considered
realized until the contracts expire or are closed. Futures contracts involve,
to varying degrees, risk of loss in excess of the variation margin disclosed
in the Statement of Assets and Liabilities. Losses may arise from the changes
in the value of the underlying instrument, if there is an illiquid secondary
market for the contracts, or if counterparties do not perform under the
contract terms. Futures contracts are valued at the settlement price
established each day by the board of trade or exchange on which they are
traded. See Note 5 for all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes possession
of securities collateralizing the repurchase agreement. The collateral is
marked to market daily to ensure that the market value of the underlying
assets remains sufficient to protect the Fund in the event of default by the
seller. In connection with transactions in repurchase agreements, if the
seller defaults and the value of the collateral declines or if the seller
enters insolvency proceedings, realization of collateral by the Fund may be
delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear the
risk of delay in recovery or even loss of rights in the collateral should the
borrower of the securities fail financially. The Fund receives compensation
for lending its securities. At August 31, 1995, the Fund loaned securities
having a market value of $157,629,465, collateralized by cash in the amount
of $160,423,740, which was invested in short-term instruments.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund enters into equity swap agreements which involve a
commitment by one party in the agreement to pay interest in exchange for a
market linked return based on a notional amount. To the extent that the total
return of the security or index underlying the transaction exceeds or falls
short of the offsetting interest rate obligation, the Fund will receive a
payment from or make a payment to the counterparty, respectively. Equity
swaps are marked to market daily based upon quotations from market makers and
the change, if any, is recorded as unrealized gain or loss in the Statement
of Operations. Payments received or made at the end of the measurement period
are recorded as realized gain or loss in the Statement of Operations.
Entering into these agreements involves, to varying degrees, elements of
credit and market risk in excess of the amounts recognized on the Statement
of Assets and Liabilities. Such risks involve the possibility that there is
no liquid market for these agreements, that the counterparty to the
agreements may default on its obligation to perform, or that there may be
unfavorable changes in the price of the security or index underlying these
transactions. At August 31, 1995, there were no outstanding swap agreements.
TAXES
The Fund intends to qualify each year as a regulated investment company under
Subchapter M of the Internal Revenue Code of 1986, as amended. It is the
policy of the Fund to distribute all of its taxable income, including any net
realized gain on investments not offset by loss carryovers, to shareholders
within the prescribed time periods. Therefore, no provision for federal
income or excise tax is necessary. Taxes on foreign dividend income have been
withheld in accordance with the applicable country's tax treaty with the
United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income
and net realized short-term and long-term capital gains, if any, after giving
effect to any available capital loss carryover for federal income tax
purposes. The Fund's present policy is to declare and pay distributions from
net investment income quarterly, and net realized short-term and long-term
capital gains at least annually. All distributions will be paid in shares of
the Fund, at net asset value, unless the shareholder elects to receive cash
distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for partnership interests.
Distributions in excess of tax basis earnings and profits will be reported in
the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. In determining the net gain or loss on securities sold, the cost of
securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees, taking
into consideration, among other things, the nature and type of expense and
the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17 % of the amount invested.
The Manager may waive such premium to the extent that a transaction results
in minimal brokerage and transaction costs to the Fund. All purchase premiums
are paid to and recorded as paid-in capital by the Fund. For the six months
ended August 31, 1995, the Fund received $351,591 in purchase premiums. There
is no premium for cash redemptions, reinvested distributions or in-kind
transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager") for management and investment advisory services is paid monthly at
the annual rate of .525% of average daily net assets. The Manager has agreed
to waive a portion of its fee and bear other expenses until further notice to
the extent that the Fund's annual expenses (including the management fee but
excluding brokerage commissions and transfer taxes) exceed .48% of average
daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $4,799. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term
investments, for the six months ended August 31, 1995, aggregated
$1,050,223,485 and $924,302,681, respectively.
4. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of
shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 15,074,172 41,333,390
Shares issued to shareholders in reinvestment
of distributions 1,436,312 11,326,288
Shares repurchased (7,360,742) (26,231,509)
Net increase 9,149,742 26,428,169
Fund shares:
Beginning of period 149,509,336 123,081,167
End of period 158,659,078 149,509,336
</TABLE>
5. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995, is as
follows:
<TABLE>
<CAPTION>
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
<S> <C> <C> <C> <C>
263 S & P 500 September 1995 $ 74,014,775 $ 179,896
</TABLE>
At August 31, 1995, the Fund has sufficient cash and/or securities to cover
any commitments or margin on these contracts.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
STOCK - 96.1%
<S> <C> <C>
AEROSPACE - 3.2%
11,462 Lockheed Martin 697,749
13,300 Raytheon Co 1,075,638
1,773,387
AUTOMOTIVE - 0.1%
1,000 Bandag Inc 59,375
BANKING AND FINANCIAL SERVICES - 6.8%
100 Bancorp Hawaii Inc 3,350
5,040 Bear Stearns Cos Inc 103,950
3,000 Beneficial Corp 147,375
797 Charles Schwab & Co * 37,061
1,900 Chase Manhattan Corp 109,250
4,600 Chemical Banking Corp 267,950
13,200 Citicorp 876,150
11,300 Dean Witter Discover and Co 576,300
3,200 Edwards (A G) Inc 78,000
700 First Bank of America Corp 30,975
1,500 First Chicago Corp 95,063
6,100 Household International Inc 342,363
6,000 Morgan Stanley Group Inc 521,250
3,700 Student Loan Marketing Association 200,263
7,600 Travelers Inc 364,800
3,754,100
COMPUTER AND OFFICE EQUIPMENT - 2.7%
19,500 Micron Technology 1,499,063
COMPUTERS - 0.4%
5,500 Silicon Graphics * 232,375
CONSTRUCTION - 0.1%
500 Vulcan Materials Inc 26,313
1,100 York International Corp 48,950
75,263
CONSUMER GOODS - 3.7%
6,300 Black and Decker Corp 203,963
1,600 Clorox Co 108,200
14,400 Eastman Kodak Co 829,800
2,900 International Flavors & Fragrances 138,838
4,600 Liz Claiborne 104,650
1,500 National Service Industries 43,500
2,000 Nike Inc Class B 185,250
3,300 Polaroid Corp 143,963
2,400 Reebok International Ltd 85,200
3,300 VF Corp 180,675
2,024,039
FOOD AND BEVERAGE - 13.1%
12,300 Anheuser-Busch Cos Inc 702,638
15,795 Archer Daniels Midland Co 262,592
2,900 Brown Forman Corp Class B 107,300
35,000 Coca-Cola Co 2,248,750
11,900 ConAgra Inc 450,713
4,000 CPC International Inc 251,500
2,400 Dean Foods Co 63,600
8,600 General Mills Co 443,975
12,400 Heinz (H J) Co 525,450
900 Hershey Foods Corp 53,888
1,800 Hormel (Geo A) and Co 43,200
2,000 IBP Inc 98,500
5,900 Kellogg Co 398,250
7,100 Pepsico Inc 321,275
13,500 Sara Lee Corp 374,625
1,200 Tyson Food Inc Class A 30,900
6,000 Unilever ADR 741,719
1,600 Universal Foods Corp 50,800
5,400 Whitman Corp 108,675
7,278,350
HEALTH CARE - 4.1%
10,400 Johnson & Johnson 717,600
8,400 Medtronic Inc 792,750
1,700 Rhone Poulenc Rorer Inc (a) 75,225
600 Tambrands Inc 26,925
9,900 Tenet Healthcare Corp * 157,163
9,700 Upjohn Co 411,038
2,900 Wellpoint Health Networks Class A * 86,275
2,266,976
INSURANCE - 5.4%
5,700 Aetna Life and Casualty Co 389,025
4,400 AFLAC Corp 179,850
900 Allmerica Property and Casualty 21,713
8,300 Allstate Corp 281,163
2,000 AMBAC Inc 84,500
9,100 American General Corp 320,775
4,000 AON Corp 156,000
1,000 Chubb Corp 91,250
3,000 Cigna Corp 290,250
300 CNA Financial Corp * 28,763
500 Geico Corp 34,125
400 Jefferson Pilot Corp 25,150
200 Marsh & McLennan Cos Inc 16,475
1,200 MBIA Inc 81,600
600 MGIC Investment (a) 33,600
2,200 Old Republic International Corp 60,775
1,700 Provident Life and Accident Insurance Co Class B 44,413
2,700 Providian Corp 103,613
1,000 Safeco Corp (a) 64,625
5,900 St Paul Cos 320,075
4,200 Torchmark Corp (a) 168,000
2,500 Transamerica Corp 170,000
200 Transatlantic Holdings Inc 14,000
2,100 Twentieth Century Industries * 33,075
3,012,815
MACHINERY - 0.8%
2,100 Dover Corp 167,475
1,500 FMC Corp * (a) 115,500
4,500 Harnischfeger Industries 165,375
448,350
MANUFACTURING - 7.2%
30,200 Boeing Co 1,925,250
2,400 Crown Cork & Seal Inc * (a) 108,000
2,400 Danaher Corp 79,200
14,900 International Business Machines Corp 1,540,288
7,000 Pall Corp 153,125
3,200 Tenneco Inc 155,200
100 Textron Inc 6,850
3,967,913
OIL AND GAS - 5.6%
5,600 Amoco Corp 357,000
1,100 Atlantic Richfield Co 120,038
1,300 Cabot Corp 62,563
3,700 Chevron Corp 178,988
500 Columbia Gas Systems * 17,625
500 El Paso Natural Gas Co 14,063
14,500 Exxon Corp 996,875
4,300 Mobil Corp 409,575
200 Murphy Oil Corp 8,100
500 National Fuel Gas 14,063
1,700 Nicor Inc 43,563
600 Occidental Petroleum Corp 13,050
200 Pennzoil Co 8,800
700 Peoples Energy Corp 19,075
4,000 Royal Dutch Petroleum Co ADR (a) 477,000
1,900 Texaco Inc 123,025
6,650 Williams Companies Inc (a) 243,556
3,106,959
PAPER AND ALLIED PRODUCTS - 0.2%
1,500 Consolidated Papers Inc 90,750
1,000 Glatfelter (PH) Co 22,500
113,250
PHARMACEUTICALS - 12.7%
13,200 Abbott Laboratories 511,500
10,400 American Home Products Corp 800,800
14,802 Amgen Inc * 708,646
22,000 Bristol-Myers Squibb Co 1,509,750
15,600 Lilly (Eli) & Co 1,277,250
20,500 Merck & Co Inc 1,022,438
3,150 Mylan Laboratories (a) 72,056
21,100 Pfizer Inc 1,041,813
900 Schering-Plough Corp (a) 41,963
800 Warner Lambert Co 72,300
7,058,516
PRINTING AND PUBLISHING - 0.6%
3,900 Dun and Bradstreet Corp 225,713
1,100 McGraw Hill Inc 86,625
312,338
REFINING - 0.3%
5,500 Ashland Inc 180,125
Retail Trade - 1.9%
5,800 American Stores Co 170,375
2,900 Circuit City Stores Inc 100,050
700 Fruit of the Loom Inc * 16,450
6,700 Melville Corp 223,613
8,400 Rite Aid Corp 235,200
7,600 Walgreen Co 186,200
600 Weismarkets Inc 16,950
1,400 Winn Dixie 83,300
1,032,138
SERVICES - 1.3%
700 BHC Communications Inc Class A * 63,525
2,300 Capital Cities/ABC Inc 264,500
1,400 Fleming Cos 40,775
3,400 Gannett Co Inc 181,900
300 Kingworld Productions Inc * 11,400
800 Manpower Inc (a) 23,000
1,200 Omnicom Group 75,300
1,100 Supervalu Inc 32,588
692,988
TECHNOLOGY - 9.6%
11,000 3Com Corp * 429,000
8,900 Apple Computer 382,700
1,500 Avery Dennison Corp 61,500
6,000 Cisco Systems Inc * 393,750
7,100 Digital Equipment Corp * 296,425
21,900 Hewlett-Packard Inc 1,752,000
9,300 LSI Logic Corp * (a) 458,025
9,000 Microsoft Corp * 832,500
10,000 Novell Inc * 180,000
6,300 Sun Microsystems Inc * 364,613
3,600 Vishay Intertechnology Inc * 145,800
5,296,313
TELECOMMUNICATIONS - 3.6%
1,400 Alltel Corp 39,550
10,700 AT & T Corp 604,550
2,900 Bell Atlantic Corp 173,275
3,300 Bellsouth Corp 226,875
2,000 Cincinnati Bell Inc 54,500
1,000 Frontier Corp 27,875
6,300 GTE Corp 230,738
2,800 Nynex Corp 126,000
3,100 Pacific Telesis Group 87,963
3,900 SBC Communications 197,438
2,500 Sprint Corp 88,750
3,100 US West Inc 134,850
1,992,364
UTILITIES - 12.7%
6,100 AES Corp * 112,850
8,700 Allegheny Power System Inc 212,063
10,300 American Electric Power Inc 351,488
3,600 Ameritech Corp 184,500
300 Atlanta Gas Light (a) 11,063
7,100 Baltimore Gas and Electric Co 186,375
1,500 Brooklyn Union Gas Co 37,688
1,600 Carolina Power and Light Co 49,000
2,900 Centerior Energy Corp 31,175
9,900 Central & South West Corp 242,550
8,900 Cinergy Corp 228,063
1,000 Cipsco Inc 32,875
3,300 CMS Energy Corp 81,263
5,000 Consolidated Edison 141,250
700 Destec Energy Inc * 11,113
8,300 Detroit Edison Co 254,188
5,000 Dominion Resources Inc 180,625
7,500 DPL Inc 166,875
2,500 DQE 59,688
8,800 Duke Power Co 357,500
4,100 Entergy Corp 98,400
3,900 Florida Progress Corp 118,463
5,000 FPL Group Inc 194,375
3,100 General Public Utilities 88,738
700 Hawaiian Electric Industry Inc 25,288
600 Houston Industries Inc 25,425
1,700 Idaho Power Co 44,838
400 IES Industries 10,100
2,000 Illinova Corp 50,250
700 Ipalco Enterprises Inc (a) 24,238
2,700 Kansas City Power and Light Co 60,413
500 Ku Energy Corp 13,625
700 LG&E Energy Corp 27,125
2,300 MCN Corp 42,838
2,100 Midamerican Energy Co 29,925
300 Minnesota Power & Light Co 8,063
3,100 Montana Power Co 68,200
2,000 Nevada Power Co 40,750
1,700 New England Electric System 59,500
1,200 New York State Electric and Gas Corp 28,950
2,500 Nipsco Industries Inc 81,875
3,700 Northern States Power Co 157,713
2,000 Oklahoma Gas and Electric Co (a) 70,750
7,400 Pacific Enterprises 177,600
22,300 PacifiCorp 404,188
11,300 Panhandle Eastern Corp 282,500
11,200 Potomac Electric Power Co 239,400
4,300 PP&L Resources Inc 94,063
5,700 Public Service of Colorado 184,538
2,500 Puget Sound Power and Light Co 54,063
2,200 Scana Corp (a) 51,150
30,600 Southern Co 646,425
900 Southwesten Public Service Co (a) 27,000
5,400 Teco Energy 116,775
500 UGI Corp (a) 10,688
2,800 Union Electric Co 99,750
900 Utilicorp United Inc 24,413
600 Washington Gas Light 11,475
3,400 Washington Water Power (a) 52,700
1,900 Western Resources Inc 57,475
7,300 Wisconsin Energy Corp 196,188
400 Wisconsin Power & Light Holding Co 11,400
300 WPS Resources Corp 8,663
7,052,488
TOTAL STOCK (Cost $43,407,552) 53,229,485
PAR VALUE SHORT-TERM INVESTMENTS - 7.6%
REPURCHASE AGREEMENT - 3.8%
$ 2,124,021 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $2,124,333 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $2,169,897. 2,124,021
U.S. GOVERNMENT - 0.3%
150,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 148,019
CASH EQUIVALENTS - 3.5%
376,597 Bank of Boston Time Deposit, 5.95% due 9/1/95 376,597
174,721 Dreyfus Cash Management Money Market Fund Plus, A Shares 174,721
157,041 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 157,041
234,441 National Westminster Time Deposit, 5.95% due 9/1/95 234,441
1,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 1,000,000
1,942,800
TOTAL SHORT-TERM INVESTMENTS (Cost $4,214,835) 4,214,840
TOTAL INVESTMENTS - 103.7%
(Cost $47,622,387) * * 57,444,325
Other Assets and Liabilities (net) - (3.7%) (2,070,086)
TOTAL NET ASSETS - 100.0% $ 55,374,239
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
** The aggregate identified cost for federal income tax
purposes is $47,622,387, resulting in gross unrealized
appreciation and depreciation of $10,003,942 and
$182,004, respectively, and net unrealized appreciation
of $9,821,938.
</TABLE>
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $43,407,552) (Note 1) $ 53,229,485
Short-term investments, at value (cost $4,214,835) (Note 1) 4,214,840
Receivable for investments sold 291,540
Receivable for variation margin on open futures contracts 4,239
Dividends and interest receivable 168,922
Receivable for expenses waived or borne by Manager (Note 2) 13,570
Total assets 57,922,596
LIABILITIES:
Payable for investments purchased 194,387
Payable upon return of securities loaned (Note 1) 1,942,344
Payable for Fund shares repurchased 346,819
Payable to affiliate for management fee (Note 2) 23,055
Accrued expenses 41,752
Total liabilities 2,548,357
NET ASSETS (equivalent to $12.44 per share based on 4,451,076
shares outstanding, unlimited shares authorized) $ 55,374,239
NET ASSETS CONSIST OF:
Paid-in capital $ 41,904,629
Accumulated undistributed net investment income 280,261
Accumulated undistributed net realized gain 3,370,573
Net unrealized appreciation 9,818,776
NET ASSETS $ 55,374,239
</TABLE>
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of withholding taxes of $5,040) $ 714,953
Interest (including securities lending income of $2,254) 95,004
Total income 809,957
EXPENSES:
Management fee (Note 2) 137,101
Custodian and transfer agent fees 45,469
Audit fees 22,749
Legal fees 1,003
Registration fees 368
Insurance 277
Trustee fee (Note 2) 93
Miscellaneous 277
Total expenses 207,337
Less: expenses waived or borne by Manager (Note 2) (75,720)
Net expenses 131,617
Net investment income 678,340
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 3,484,463
Closed futures contracts 287,978
Closed swap contracts (14,708)
Net realized gain 3,757,733
Change in net unrealized appreciation (depreciation) on:
Investments 5,384,289
Open futures contracts (3,162)
Net unrealized gain 5,381,127
Net realized and unrealized gain 9,138,860
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 9,817,200
</TABLE>
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 678,340 $ 1,310,448
Net realized gain 3,757,733 4,347,228
Change in net unrealized appreciation (depreciation) 5,381,127 (2,293,926)
Net increase in net assets resulting from operations 9,817,200 3,363,750
Distributions to shareholders from:
Net investment income (398,079) (1,340,450)
Net realized gains (902,689) (4,364,391)
(1,300,768) (5,704,841)
Fund share transactions: (Note 5)
Proceeds from sale of shares 7,065,587 2,407,000
Net asset value of shares issued to shareholders
in payment of distributions declared 1,300,768 5,704,841
Cost of shares repurchased (9,477,279) (13,646,591)
Net decrease in net assets resulting
from Fund share transactions (1,110,924) (5,534,750)
Total increase (decrease) in net assets 7,405,508 (7,875,841)
NET ASSETS:
Beginning of period 47,968,731 55,844,572
End of period (including accumulated undistributed
net investment income of $280,261 and
$0, respectively) $ 55,374,239 $ 47,968,731
</TABLE>
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992*
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.65 $ 11.07 $11.35 $10.50 $10.00
Income from investment operations:
Net investment income (a) 0.15 0.23 0.34 0.31 0.12
Net realized and unrealized gain 1.92 0.50 1.18 0.84 0.44
Total from investment operations 2.07 0.73 1.52 1.15 0.56
Less distributions to shareholders:
From net investment income (0.08) (0.28) (0.35) (0.30) (0.06)
From net realized gains (0.20) (0.87) (1.45) -- --
Total distributions (0.28) (1.15) (1.80) (0.30) (0.06)
Net asset value, end of period $ 12.44 $ 10.65 $11.07 $11.35 $10.50
Total Return (b) 19.66% 7.36% 14.12% 11.20% 5.62%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $55,374 $47,969 $55,845 $85,232 $75,412
Net expenses to average
daily net assets (a) 0.48%** 0.48% 0.48% 0.49% 0.49%**
Net investment income to average
daily net assets (a) 2.47%** 2.52% 2.42% 2.88% 3.77%**
Portfolio turnover rate 43% 112% 38% 56% 0%
* For the period from the commencement of operations, October 31, 1991 to February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.02 $0.03 $0.03 $0.03 $0.01
(b) Calculation excludes subscription fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
</TABLE>
See accompanying notes to the financial statements.
GMO TOBACCO-FREE CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Tobacco-Free Core Fund (the "Fund") is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940,
as amended, as an open-end, diversified management investment company. The
Trust was established as a Massachusetts Business Trust under the laws of
the Commonwealth of Massachusetts on June 24, 1985. The Declaration of
Trust permits the Trustees to create an unlimited number of series
("Funds"), each of which issues a separate series of shares. The following
is a summary of significant accounting policies consistently followed by
the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Short-term investments with a remaining maturity of sixty days or less are
valued at amortized cost which approximates market value. Other assets and
securities for which no quotations are readily available are valued at fair
value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index
futures contracts represent commitments for future delivery of cash based
upon the level of a specified index of equity securities at a given date.
The Fund may use futures contracts to manage its exposure to the stock
markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instrument or hedge other Fund instruments. Upon
purchase of a futures contract, the Fund is required to deposit with its
custodian, in a segregated account in the name of the futures broker, an
amount of cash or U.S. government obligations in accordance with the
initial margin requirements of the broker. Futures contracts are marked to
market daily and an appropriate payable or receivable for the change in
value ("variation margin") is recorded by the Fund. The payable or
receivable is liquidated on the following business day. Gains or losses are
recognized but not considered realized until the contracts expire or are
closed. Futures contracts involve, to varying degrees, risk of loss in
excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. See Note 6 for
all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults, the value of the collateral declines or
if the seller enters insolvency proceedings, realization of collateral by
the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear
the risk of delay in recovery or even loss of rights in the collateral
should the borrower of the securities fail financially. The Fund receives
compensation for lending its securities. At August 31, 1995, the Fund
loaned securities having a market value of $1,894,650 collateralized by
cash in the amount of $1,942,800, which was invested in short-term
instruments.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund enters into equity swap agreements which involve a
commitment by one party in the agreement to pay interest in exchange for a
market linked return based on a notional amount. To the extent that the
total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, the Fund will
receive a payment from or make a payment to the counterparty, respectively.
Equity swaps are marked to market daily based upon quotations from market
makers and the change, if any, is recorded as unrealized gain or loss in
the Statement of Operations. Payments received or made at the end of the
measurement period are recorded as realized gain or loss in the Statement
of Operations. Entering into these agreements involves, to varying degrees,
elements of credit and market risk in excess of the amounts recognized on
the Statement of Assets and Liabilities. Such risks involve the possibility
that there is no liquid market for these agreements, that the counterparty
to the agreements may default on its obligation to perform, or that there
may be unfavorable changes in the price of the security or index underlying
these transactions. At August 31, 1995, there were no outstanding swap
agreements.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision
for federal income or excise tax is necessary. Taxes on foreign dividend
income have been withheld in accordance with the applicable country's tax
treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income quarterly, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for partnership interests.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net
realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the
accrual basis. In determining the net gain or loss on securities sold, the
cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17% of the amount
invested. The Manager may waive such premium to the extent that a
transaction results in minimal brokerage and transaction costs to the Fund.
All purchase premiums are paid to and recorded as paid-in capital by the
Fund. For the six months ended August 31, 1995, the Fund received $11,020
in purchase premiums. There is no premium for cash redemptions, reinvested
distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager") for management and investment advisory services is paid monthly
at the annual rate of .50% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses (including the
management fee but excluding brokerage commissions and transfer taxes)
exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $93. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the six months ended August 31, 1995,
aggregated $21,722,290 and $24,015,795, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 100% of the outstanding shares of the Fund were held by
three individual shareholders, each holding in excess of 10% of the
outstanding shares of the Fund.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 629,346 226,368
Shares issued to shareholders in reinvestment
of distributions 111,652 560,904
Shares repurchased (792,160) (1,331,510)
Net decrease (51,162) (544,238)
Fund shares:
Beginning of period 4,502,238 5,046,476
End of period 4,451,076 4,502,238
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995, is as
follows:
<TABLE>
<CAPTION>
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Depreciation
<S> <C> <C> <C> <C>
4 S&P 500 September 1995 $ 1,125,700 $ (3,162)
</TABLE>
At August 31, 1995, the Fund has sufficient cash and/or securities to cover
any commitments or margin on these contracts.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
<C> <S> <C>
STOCK - 97.4%
AEROSPACE - 2.4%
38,343 Lockheed Martin 2,334,130
45,300 Raytheon Co 3,663,638
32,500 Rockwell International Corp 1,454,375
7,452,143
AUTOMOTIVE - 2.7%
2,300 Bandag Inc 136,563
65,600 Ford Motor Co (a) 2,009,000
67,500 General Motors Corp 3,172,500
200,000 Mascotech Industries Inc 2,625,000
25,000 Mascotech Industries Inc Convertible Preferred $1.20 (a) 375,000
3,300 SPX Corp 49,913
8,367,976
BANKING AND FINANCIAL SERVICES - 13.8%
162,500 American Express Co 6,560,938
32,500 BankAmerica Corp 1,836,250
24,945 Bear Stearns Cos Inc 514,491
13,300 Beneficial Corp 653,363
25,000 Chase Manhattan Corp 1,437,500
40,000 Chemical Banking Corp 2,330,000
107,575 Citicorp 7,140,269
35,000 Citicorp Convertible Preferred 10.75% 6,387,500
122,142 Citicorp Convertible Preferred $1.21 (a) 2,442,840
9,500 Comdisco Inc (a) 289,750
5,000 Countrywide Credit Industries 110,000
59,100 Dean Witter Discover and Co 3,014,100
17,000 Edwards (A G) Inc 414,375
15,000 Great Western Financial (a) 350,625
14,600 Household International Inc (a) 819,425
19,200 Morgan Stanley Group Inc 1,668,000
7,500 Nationsbank Corp 460,313
10,000 PNC Bank Corp 262,500
14,400 Student Loan Marketing Association 779,400
37,500 Time Warner Financing * 1,270,313
81,300 Travelers Inc 3,902,400
42,644,352
CHEMICALS - 0.8%
50,000 Albemarle Corp 818,750
15,000 Borden Chemical and Plastics LP 266,250
25,000 Lubrizol Corp 775,000
21,400 Wellman Inc 545,700
2,405,700
COMPUTER AND DATA PROCESSING SERVICES - 0.4%
175,000 SHL System House * 1,159,375
CONSTRUCTION - 0.3%
27,500 Owens Corning Fiberglass Corp * (a) 1,079,375
CONSUMER GOODS - 3.0%
800 Bic Corp 31,800
25,000 Burlington Industries Inc * 309,375
85,000 Eastman Kodak Co 4,898,125
4,700 Jones Apparel Group Inc * 163,325
18,100 Liz Claiborne 411,775
75,000 Maytag Corp 1,162,500
5,600 Nike Inc Class B (a) 518,700
17,900 Polaroid Corp 780,888
2,500 Procter and Gamble Co 173,438
7,700 Reebok International Ltd (a) 273,350
500 Russell Corp 13,750
1,400 Springs Industries Inc 60,375
13,100 VF Corp 717,225
9,514,626
ENVIRONMENTAL CONTROL - 0.0%
7,500 Waste Management International Plc ADS * 80,625
FOOD AND BEVERAGE - 4.8%
50,300 Anheuser-Busch Cos Inc 2,873,388
80,805 Archer Daniels Midland Co 1,343,383
10,000 AuBon Pain Co Inc Class A * 90,000
8,000 Brown Forman Corp Class B 296,000
45,000 Coors (Adolph) Co 765,000
10,000 Darden Restaurants Inc * 102,500
6,200 Dean Foods Co 164,300
5,000 General Mills Co 258,125
14,500 Heinz (H J) Co (a) 614,438
2,000 Hershey Foods Corp (a) 119,750
6,600 Hormel (Geo A) and Co 158,400
3,500 IBP Inc 172,375
1,400 International Multifoods Corp 31,500
1,000 Pepsico Inc 45,250
633,000 RJR Nabisco Holdings Convertible Preferred Series C 9.25% 3,798,000
25,000 Sara Lee Corp 693,750
23,200 Unilever ADR 2,868,100
4,300 Universal Foods Corp 136,525
25,000 Wendys International Inc 490,625
4,700 Whitman Corp 94,588
15,115,997
FOREST PRODUCTS - 0.0%
2,500 Crown Vantage Inc * 60,625
HEALTH CARE - 2.3%
6,800 Bausch & Lomb Inc (a) 270,300
5,000 Baxter International Inc 195,000
120,000 Beverly Enterprises Inc * 1,590,000
2,500 Johnson & Johnson 172,500
8,600 Medtronic Inc 811,625
78,500 Tenet Healthcare Corp * 1,246,188
60,900 Upjohn Co 2,580,638
12,100 Wellpoint Health Networks Class A * 359,975
7,226,226
INSURANCE - 8.2%
51,400 Aetna Life and Casualty Co 3,508,050
300 AFLAC Corp 12,263
12,900 Allmerica Property and Casualty 311,213
48,211 Allstate Corp 1,633,149
3,000 AMBAC Inc 126,750
9,900 American General Corp 348,975
9,100 AON Corp 354,900
26,400 Cigna Corp 2,554,200
15,000 First Colony Corp 367,500
1,500 General Re Corp 222,938
2,400 Horace Mann Educators 68,100
10,000 Jefferson Smurfit Corp * 151,250
100,000 Kemper Corp 4,800,000
25,000 Life Re Corp 503,125
5,000 Lincoln National Corp 215,000
18,300 Loews Corp 2,404,163
2,500 Marsh & McLennan Cos Inc 205,938
6,200 MBIA Inc 421,600
10,000 National Re Corp 317,500
5,000 Ohio Casualty Corp 166,250
8,300 Old Republic International Corp 229,288
500 Protective Life Corp 14,250
5,700 Provident Life and Accident Insurance Co Class B 148,913
13,500 Providian Corp 518,063
250,000 Reliance Group Holdings Inc 2,000,000
2,300 Reliastar Financial Corp 87,400
23,100 St Paul Cos 1,253,175
25,000 TIG Holdings Inc 640,625
6,500 Torchmark Corp (a) 260,000
15,000 Transamerica Corp 1,020,000
400 Transatlantic Holdings Inc 28,000
25,000 USF & G Corp 453,125
2,900 USLIFE Corp 125,063
25,000 Willis Corroon Group Plc ADR (a) 265,625
25,736,391
MACHINERY - 0.5%
5,000 Allegheny Ludlum Corp 105,000
50,000 CBI Industries Inc 1,225,000
2,500 Cummins Engine Inc (a) 98,125
10,000 Giddings and Lewis Inc 163,750
1,591,875
MANUFACTURING - 10.4%
2,800 Ball Corp 95,200
112,400 Boeing Co 7,165,500
50,000 Corning Inc (a) 1,631,250
15,000 General Electric Co 883,125
63,500 International Business Machines Corp 6,564,313
7,500 ITT Corp 897,188
9,000 Minnesota Mining and Manufacturing 491,625
1,200 Sequa Corp Class A * 31,950
122,500 Teledyne Inc 2,909,375
3,500 Teledyne Inc Preferred Series E $1.20 51,625
7,500 Temple Inland Inc 388,125
40,000 Tenneco Inc 1,940,000
3,200 Textron Inc 219,200
22,500 United Technologies Corp 1,875,938
125,000 Westinghouse Electric Corp 1,703,125
425,000 Westinghouse Electric Corp Convertible Preferred $1.30 144A 5,737,500
32,585,039
METALS AND MINING - 2.0%
45,000 Alcan Aluminum Ltd 1,468,125
21,800 Asarco Inc 705,775
35,000 Cyprus Amax Minerals Co (a) 980,000
7,500 Freeport-McMoran Corp Preferred 0.00% 269,063
50,000 Inco Ltd (a) 1,750,000
25,000 Pegasus Gold * 312,500
10,000 Pittston Minerals Group 118,750
10,000 Reynolds Metals Co 597,500
6,201,713
OIL AND GAS - 6.5%
12,500 Amerada Hess Corp 592,188
6,900 Chevron Corp 333,788
22,000 Columbia Gas Systems * 775,500
10,000 Dresser Industries Inc 240,000
3,200 El Paso Natural Gas Co 90,000
15,000 Enserch Corp 245,625
1,200 Equitable Resources Inc 33,450
34,400 Exxon Corp 2,365,000
5,000 Kerr-McGee Corp 275,000
33,900 Mobil Corp 3,228,975
125,000 Noram Energy Corp 890,625
37,500 Occidental Petroleum Corp 815,625
100 Oneok Inc 2,188
21,100 Royal Dutch Petroleum Co ADR (a) 2,516,175
15,000 Seagull Energy Corp * 301,875
20,000 Texaco Inc 1,295,000
77,500 Unocal Corp 2,257,188
25,000 Unocal Corp Convertible Preferred $3.50 144A 1,371,875
95,000 USX - Marathon Group 1,959,375
19,500 Westcoast Energy Inc 297,375
10,300 Williams Companies Inc 377,238
20,264,065
PAPER AND ALLIED PRODUCTS - 2.2%
25,000 Boise Cascade Corp Preferred Series G $1.58 890,625
10,000 Champion International Corp 566,250
20,000 International Paper Co 1,637,500
25,000 James River Corp 868,750
90,000 James River Corp Convertible Preferred 9.00% 2,981,250
6,944,375
PHARMACEUTICALS - 4.5%
17,700 Abbott Laboratories 685,875
15,000 Allergan Inc 455,625
16,800 American Home Products Corp 1,293,600
56,300 Bristol-Myers Squibb Co 3,863,588
75,000 Lilly (Eli) & Co 6,140,625
29,700 Merck & Co Inc 1,481,288
1,650 Mylan Laboratories (a) 37,744
13,958,345
PRIMARY PROCESSING - 1.1%
37,500 Armco Inc * 234,375
25,000 Bethlehem Steel Corp * 365,625
5,000 Dow Chemical Co 370,000
5,000 Du Pont (E I) De Nemours & Co Inc 326,875
10,000 LTV Corp * 156,250
25,000 Methanex Corp * 184,375
20,000 National Steel Corp Class B * 335,000
700 NCH Corp 40,075
20,000 USX-US Steel Group Inc 655,000
2,500 Valspar 100,000
75,000 Weirton Steel Corp * 421,875
10,000 WHX Corp * 126,250
3,315,700
PRINTING AND PUBLISHING - 0.2%
8,100 Dun and Bradstreet Corp 468,788
900 Pulitzer Publishing Co 43,650
512,438
REAL ESTATE - 0.9%
25,000 Crown American Realty 206,250
10,000 JP Realty Inc 201,250
75,000 Summit Properties Inc 1,368,750
50,000 Walden Residential Properties Inc 943,750
2,720,000
REFINING - 0.6%
16,200 Ashland Inc (a) 530,550
7,100 Diamond Shamrock Inc 189,038
5,000 Imperial Oil Ltd 179,375
12,275 Sun Co Inc 326,822
7,900 Tosco Corp 253,788
14,000 Valero Energy Corp 320,250
1,799,823
RETAIL TRADE - 2.9%
40,200 American Stores Co 1,180,875
1,300 Blair Corp 43,388
5,000 Brown Group Inc 91,250
8,700 Circuit City Stores Inc 300,150
3,800 Family Dollar Stores 69,350
8,800 Fruit of the Loom Inc * 206,800
75,000 Kmart (a) 1,021,875
500 Lands' End Inc * 8,688
2,200 Longs Drugstores Corp (a) 81,400
5,000 May Dept Stores 211,875
39,400 Melville Corp 1,314,975
135,000 Price/Costco Inc * 2,278,125
19,600 Rite Aid Corp (a) 548,800
17,500 Sears Roebuck & Co 566,563
2,500 Stanhome Inc 77,500
500 The Vons Co Inc * 11,188
20,000 TJX Cos Inc 250,000
35,000 Wal-Mart Stores Inc 861,875
9,124,677
SERVICES - 1.7%
2,300 BHC Communications Inc Class A * 208,725
6,113 Chris Craft Industries Inc 275,085
22,200 Fleming Cos 646,575
6,500 Gannett Co Inc 347,750
3,000 Kingworld Productions Inc * 114,000
2,000 Lee Enterprises Inc 79,250
100,000 MCI Communications Corp 2,406,250
1,000 Meredith Corp 39,250
3,700 PHH Corp 161,413
50,000 Safety Kleen 653,000
8,400 Supervalu Inc (a) 248,850
5,180,148
TECHNOLOGY - 6.1%
14,000 Advanced Micro Devices 472,500
38,300 Apple Computer 1,646,900
10,000 Avnet Inc 515,000
25,000 Data General Corp * 243,750
119,000 Digital Equipment Corp * 4,968,250
35,000 Fisher Scientific 1,141,875
22,500 Intel Corp 1,380,938
20,100 Microsoft Corp * 1,859,250
47,000 Novell Inc * 846,000
4,300 Seagate Technology * 190,275
2,500 Storage Technology Convertible Preferred 7.00% 154,688
4,900 Stratus Computer Inc * 137,200
11,500 Sun Microsystems Inc * (a) 665,563
187,500 Tandem Computers Inc * 2,296,841
72,500 WMX Technologies 2,129,688
3,000 Xerox Corp 362,250
19,010,968
TELECOMMUNICATIONS - 4.4%
5,000 Airtouch Communications Inc * 162,500
2,400 Alltel Corp 67,800
45,000 AT & T Corp 2,542,500
5,600 Bell Atlantic Corp 334,600
6,300 Bellsouth Corp 433,125
4,600 Comsat Corp 106,950
144,800 GTE Corp 5,303,300
5,400 Nynex Corp 243,000
50,500 Pacific Telesis Group 1,432,938
7,600 SBC Communications 384,750
4,600 Sprint Corp 163,300
25,000 Tele-Communications Class A * 462,500
5,000 Tele-Communications Liberty Media Class A * 132,812
48,500 US West Inc 2,109,750
13,879,825
TOBACCO - 1.4%
70,000 American Brands Inc 2,940,000
50,000 Hanson Plc ADR (a) 856,250
8,200 Philip Morris Cos Inc 611,925
4,408,175
TRANSPORTATION - 1.9%
20,000 AMR Corp * 1,410,000
100,000 Canadian Pacific Ltd 1,687,500
25,000 Navistar International Corp Preferred $6.00 1,346,875
10,000 Overseas Shipholding Group Inc 208,750
5,000 Ryder System Inc 121,250
35,000 USAir Group Inc Convertible Preferred Series B $4.38 1,050,000
5,824,375
UTILITIES - 11.4%
16,000 AES Corp * 296,000
18,800 Allegheny Power System Inc 458,250
20,900 American Electric Power Inc 713,213
3,700 American Water Works Co 110,538
7,000 Ameritech Corp 358,750
4,800 Atlanta Gas Light (a) 177,000
17,300 Baltimore Gas and Electric Co 454,125
9,800 Brooklyn Union Gas Co 246,225
8,800 California Energy Co Inc * 183,700
4,000 Carolina Power and Light Co 122,500
77,600 Centerior Energy Corp 834,200
20,400 Central & South West Corp 499,800
60,100 Cinergy Corp 1,540,063
7,500 Cipsco Inc 246,563
10,000 CMS Energy Corp (a) 246,250
20,400 Consolidated Edison 576,300
9,600 Delmarva Power and Light Co 208,800
16,500 Destec Energy Inc * 261,938
17,100 Detroit Edison Co 523,688
38,900 DPL Inc 865,525
8,400 DQE 200,550
21,100 Duke Power Co (a) 857,188
60,400 Entergy Corp 1,449,600
12,700 FPL Group Inc 493,713
35,100 General Public Utilities 1,004,738
5,100 Hawaiian Electric Industry Inc 184,238
2,900 Houston Industries Inc 122,888
4,400 Idaho Power Co 116,050
2,000 IES Industries 50,665
30,300 Illinova Corp 761,288
6,300 LG&E Energy Corp 244,125
9,200 Midamerican Energy Co 131,100
6,300 Montana Power Co 138,600
10,500 Nevada Power Co 213,938
4,400 New England Electric System 154,000
8,300 New York State Electric and Gas Corp 200,238
275,000 Niagara Mohawk Power Corp 3,300,000
10,100 Nipsco Industries Inc 330,775
25,000 Northeast Utilities 571,875
11,500 Northern States Power Co 490,188
33,900 Ohio Edison Co 733,088
700 Oklahoma Gas and Electric Co (a) 24,763
15,700 Pacific Enterprises 376,800
17,500 Pacific Gas and Electric Co 503,125
38,200 PacifiCorp (a) 692,375
50,000 Panhandle Eastern Corp 1,250,000
3,300 Peco Energy Co 87,863
5,700 Pinnacle West Capital Corp 141,788
11,300 Portland General Electric Co (a) 271,200
12,200 Potomac Electric Power Co (a) 260,775
9,800 PP&L Resources Inc (a) 214,375
46,500 Public Service Enterprise Group Inc 1,278,750
10,500 Public Service of Colorado 339,938
32,100 Public Services Co of New Mexico * 489,525
7,600 Puget Sound Power and Light Co 164,350
3,100 Rochester Gas and Electric Corp 68,975
26,900 SCE Corp 447,213
25,000 Southern Co (a) 528,125
6,500 Southwesten Public Service Co (a) 195,000
100,200 Texas Utilities Co 3,481,950
25,000 TransCanada Pipeline Ltd 340,625
109,000 Unicom Corp 3,065,625
10,200 Washington Water Power (a) 158,100
4,100 Western Resources Inc 124,025
17,500 Wisconsin Energy Corp 470,313
35,647,851
TOTAL STOCK (Cost $254,564,254) 303,812,803
PAR VALUE SHORT-TERM INVESTMENTS - 10.6%
REPURCHASE AGREEMENT - 3.4%
$ 10,477,145 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $10,478,687 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $10,703,436. 10,477,145
U.S. GOVERNMENT - 0.0%
100,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 98,680
CASH EQUIVALENTS - 7.2%
7,507,213 Bank of Boston Time Deposit, 5.95% due 9/1/95 7,507,213
2,032,185 Dreyfus Cash Management Money Market Fund Plus, A Shares 2,032,185
1,826,551 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 1,826,551
6,230,864 National Westminster Time Deposit, 5.95% due 9/1/95 6,230,864
5,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 5,000,000
22,596,813
TOTAL SHORT-TERM INVESTMENTS (Cost $33,172,635) 33,172,638
TOTAL INVESTMENTS - 108.0%
(Cost $287,736,889) * * 336,985,441
Other Assets and Liabilities (net) - (8.0%) (24,990,478)
TOTAL NET ASSETS - 100.0% $ 311,994,963
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
ADS American Depositary Shares
144A Securities exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt
from registration, normally to qualified institutional buyers.
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $287,736,889,
resulting in gross unrealized appreciation and depreciation of $52,820,264
and $3,571,712, respectively, and net unrealized appreciation of $49,248,552.
</TABLE>
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $254,564,254) (Note 1) $ 303,812,803
Short-term investments, at value (cost $33,172,635) (Note 1) 33,172,638
Receivable for investments sold 2,456,432
Receivable for variation margin on open futures contracts 5,100
Dividends and interest receivable 1,163,718
Foreign withholding taxes receivable 986
Receivable for expenses waived or borne by Manager (Note 2) 41,998
Total assets 340,653,675
LIABILITIES:
Payable for investments purchased 3,359,296
Payable upon return of securities loaned (Note 1) 22,600,204
Payable for open swap contracts (Notes 1 and 6) 2,453,520
Payable to affiliate for management fee (Note 2) 181,065
Accrued expenses 64,627
Total liabilities 28,658,712
NET ASSETS (equivalent to $13.65 per share based on 22,864,103
shares outstanding, unlimited shares authorized) $ 311,994,963
NET ASSETS CONSIST OF:
Paid-in capital $ 244,872,047
Accumulated undistributed net investment income 2,094,911
Accumulated undistributed net realized gain 18,237,048
Net unrealized appreciation 46,790,957
NET ASSETS $ 311,994,963
</TABLE>
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of withholding taxes of $37,428) $ 5,288,058
Interest (including securities lending income of $7,849) 492,545
Total income 5,780,603
EXPENSES:
Management fee (Note 2) 1,168,831
Custodian and transfer agent fees 71,711
Audit fees 24,781
Legal fees 8,071
Insurance 2,032
Trustee fee (Note 2) 738
Registration fees 552
Miscellaneous 461
Total expenses 1,277,177
Less: expenses waived or borne by Manager (Note 2) (258,626)
Net expenses 1,018,551
Net investment income 4,762,052
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 26,322,717
Closed futures contracts 813,950
Closed swap contracts (205,701)
Net realized gain 26,930,966
Change in net unrealized appreciation (depreciation) on:
Investments 22,637,998
Open futures contracts (49,968)
Open swap contracts (2,453,520)
Net unrealized gain 20,134,510
Net realized and unrealized gain 47,065,476
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 51,827,528
</TABLE>
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 4,762,052 $ 12,834,774
Net realized gain 26,930,966 45,814,165
Change in net unrealized appreciation (depreciation) 20,134,510 (41,548,844)
Net increase in net assets resulting from operations 51,827,528 17,100,095
Distributions to shareholders from:
Net investment income (4,581,860) (16,241,648)
Net realized gains (4,574,131) (53,036,477)
(9,155,991) (69,278,125)
Fund share transactions: (Note 5)
Proceeds from sale of shares 12,260,330 37,637,168
Net asset value of shares issued to shareholders
in payment of distributions declared 6,838,311 59,045,467
Cost of shares repurchased (100,469,676) (373,341,674)
Net decrease in net assets resulting
from Fund share transactions (81,371,035) (276,659,039)
Total decrease in net assets (38,699,498) (328,837,069)
NET ASSETS:
Beginning of period 350,694,461 679,531,530
End of period (including accumulated undistributed
net investment income of $2,094,911 and
$1,914,719, respectively) $ 311,994,963 $ 350,694,461
</TABLE>
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991 *
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.05 $ 13.48 $ 13.50 $ 12.94 $ 12.25 $ 10.00
Income from investment operations:
Net investment income (a) 0.21 0.41 0.43 0.38 0.40 0.12
Net realized and unrealized gain 1.77 0.32 1.27 0.98 1.11 2.16
Total from investment operations 1.98 0.73 1.70 1.36 1.51 2.28
Less distributions to shareholders:
From net investment income (0.18) (0.45) (0.40) (0.38) (0.41) (0.03)
From net realized gains (0.20) (1.71) (1.32) (0.42) (0.41) --
Total distributions (0.38) (2.16) (1.72) (0.80) (0.82) (0.03)
NET ASSET VALUE, END OF PERIOD $ 13.65 $ 12.05 $ 13.48 $ 13.50 $ 12.94 $ 12.25
TOTAL RETURN (B) 16.63% 6.85% 13.02% 11.01% 12.96% 22.85%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 311,995 $ 350,694 $ 679,532 $ 1,239,536 $ 644,136 $ 190,664
Net expenses to average
daily net assets (a) 0.61%** 0.61% 0.61% 0.62% 0.67% 0.70%**
Net investment income to average
daily net assets (a) 2.85%** 2.86% 2.70% 3.15% 3.75% 7.89%**
Portfolio turnover rate 37% 77% 35% 50% 41% 23%
* For the period from the commencement of operations, November 14, 1990 through February 28, 1991.
** Annualized
(a) Net of fees and expenses voluntarily waived or borne by the manager of the following
per share amounts: $ 0.01 $ 0.02 $ 0.02 $ 0.01 $ 0.01 $ 0.01
(b) Calculation excludes subscription fees. The total returns would have been lower had certain expenses
not been waived during the periods shown.
</TABLE>
See accompanying notes to the financial statements.
GMO VALUE ALLOCATION FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Value Allocation Fund (the "Fund") is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940,
as amended, as an open-end, non-diversified management investment company.
The Trust was established as a Massachusetts Business Trust under the laws
of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of
Trust permits the Trustees to create an unlimited number of series
("Funds"), each of which issues a separate series of shares. The following
is a summary of significant accounting policies consistently followed by
the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Short-term investments with a remaining maturity of sixty days or less are
valued at amortized cost which approximates market value. Other assets and
securities for which no quotations are readily available are valued at fair
value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index
futures contracts represent commitments for future delivery of cash based
upon the level of a specified index of equity securities at a given date.
The Fund may use futures contracts to manage its exposure to the stock
markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instrument or hedge other Fund instruments. Upon
purchase of a futures contract, the Fund is required to deposit with its
custodian, in a segregated account in the name of the futures broker, an
amount of cash or U.S. government obligations in accordance with the
initial margin requirements of the broker. Futures contracts are marked to
market daily and an appropriate payable or receivable for the change in
value ("variation margin") is recorded by the Fund. The payable or
receivable is liquidated on the following business day. Gains or losses are
recognized but not considered realized until the contracts expire or are
closed. Futures contracts involve, to varying degrees, risk of loss in
excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. See Note 6 for
all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults, the value of the collateral declines or
if the seller enters insolvency proceedings, realization of collateral by
the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear
the risk of delay in recovery or even loss of rights in the collateral
should the borrower of the securities fail financially. The Fund receives
compensation for lending its securities. At August 31, 1995, the Fund
loaned securities having a market value of $21,821,666, collateralized by
cash in the amount of $22,596,813, which was invested in short-term
instruments.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund enters into equity swap agreements which involve a
commitment by one party in the agreement to pay interest in exchange for a
market linked return based on a notional amount. To the extent that the
total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, the Fund will
receive a payment from or make a payment to the counterparty, respectively.
Equity swaps are marked to market daily based upon quotations from market
makers and the change, if any, is recorded as unrealized gain or loss in
the Statement of Operations. Payments received or made at the end of the
measurement period are recorded as realized gain or loss in the Statement
of Operations. Entering into these agreements involves, to varying degrees,
elements of credit and market risk in excess of the amounts recognized on
the Statement of Assets and Liabilities. Such risks involve the possibility
that there is no liquid market for these agreements, that the counterparty
to the agreements may default on its obligation to perform, or that there
may be unfavorable changes in the price of the security or index underlying
these transactions. See Note 6 for a summary of all open swap agreements as
of August 31, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision
for federal income or excise tax is necessary. Taxes on foreign dividend
income have been withheld in accordance with the applicable country's tax
treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income quarterly, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for redemptions in-kind.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net
realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the
accrual basis. In determining the net gain or loss on securities sold, the
cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount
invested. The Manager may waive such premium to the extent that a
transaction results in minimal brokerage and transaction costs to the Fund.
All purchase premiums are paid to and recorded as paid-in capital by the
Fund. For the six months ended August 31, 1995, the Fund received $16,070
in purchase premiums. There is no premium for cash redemptions, reinvested
distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager") for management and investment advisory services is paid monthly
at the annual rate of .70% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses (including the
management fee but excluding brokerage commissions and transfer taxes)
exceed .61% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $738. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the six months ended August 31, 1995,
aggregated $115,222,735 and $186,939,600, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 35% of the outstanding shares of the Fund were held by
two shareholders, each holding in excess of 10% of the Fund's outstanding
shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
Shares sold 955,616 3,061,654
Shares issued to shareholders in reinvestment
of distributions 523,892 5,068,747
Shares repurchased (7,711,166) (29,453,951)
Net decrease (6,231,658) (21,323,550)
Fund shares:
Beginning of period 29,095,761 50,419,311
End of period 22,864,103 29,095,761
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995, is as
follows:
FUTURES CONTRACTS
<TABLE>
<CAPTION>
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Depreciation
<S> <C> <C> <C> <C>
6 S&P 500 September 1995 $ 1,688,550 $ (4,075)
</TABLE>
At August 31, 1995, the Fund has sufficient cash and/or securities to cover
any commitments or margin on these contracts.
SWAP AGREEMENTS
<TABLE>
<CAPTION>
Unrealized
Notional Amount Expiration Date Description Depreciation
<S> <C> <C> <C>
$50,587,819 (a) 12/1/95 Agreement with Morgan Stanley & Co. $ (2,453,520)
International dated 6/27/95 to pay
(receive) the return on an index of
selected securities minus LIBOR and to
receive (pay) the return on a second
index of selected securities minus
LIBOR plus 0.45%.
(a) Represents initial notional amount for purposes of calculating the
Fund's obligation. The counterparty notional amount is $50,615,537.
</TABLE>
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
<C> <S> <C>
STOCK - 96.5%
AEROSPACE - 2.5%
42,623 Lockheed Martin 2,594,675
72,000 Raytheon Co 5,823,000
8,417,675
AUTOMOTIVE - 0.2%
10,700 Bandag Inc 635,313
1,900 Breed Technologies Inc 36,338
671,651
BANKING AND FINANCIAL SERVICES - 3.0%
9,660 Bear Stearns Cos Inc 199,238
19,965 Comdisco Inc (a) 608,933
93,800 Dean Witter Discover and Co 4,783,800
500 Edwards (A G) Inc 12,188
25,100 Morgan Stanley Group Inc 2,180,563
12,700 Student Loan Marketing Association 687,388
33,200 Travelers Inc 1,593,600
10,065,710
CHEMICALS - 0.0%
5,000 Wellman Inc 127,500
COMPUTERS - 1.5%
25,200 Adobe Systems Inc 1,285,200
91,100 Silicon Graphics * (a) 3,848,975
5,134,175
CONSTRUCTION - 0.3%
19,700 York International Corp 876,650
CONSUMER GOODS - 2.2%
30,100 Black and Decker Corp (a) 974,488
2,300 Church & Dwight Co Inc 52,613
5,200 Clorox Co 351,650
10,700 International Flavors & Fragrances 512,263
22,600 Jones Apparel Group Inc * 785,350
17,600 Liz Claiborne 400,400
9,400 Newell Co (a) 235,000
16,600 Nike Inc Class B 1,537,575
11,800 Polaroid Corp 514,775
33,100 Reebok International Ltd 1,175,050
4,800 Russ Berrie and Co 69,600
6,100 Russell Corp 167,750
10,600 VF Corp 580,350
7,356,864
FOOD AND BEVERAGE - 18.8%
102,800 Anheuser-Busch Cos Inc 5,872,450
17,500 Brown Forman Corp Class B 647,500
250,300 Coca-Cola Co 16,081,758
26,600 ConAgra Inc 1,007,475
99,300 CPC International Inc 6,243,488
22,850 Dean Foods Co 605,525
20,700 General Mills Co 1,068,638
98,500 Heinz (H J) Co 4,173,938
10,100 Hershey Foods Corp 604,738
15,600 Hormel (Geo A) and Co 374,400
3,000 International Multifoods Corp 67,500
75,900 Kellogg Co 5,123,250
219,700 Pepsico Inc 9,941,425
209,800 Sara Lee Corp 5,821,950
4,496 Tootsie Roll Industries Inc 179,278
5,400 Tyson Food Inc Class A 139,050
26,900 Unilever ADR 3,325,513
20,000 Universal Foods Corp 635,000
45,600 Whitman Corp 917,700
18,400 Wrigley (William Jr) Co 830,300
63,660,876
HEALTH CARE - 7.8%
15,700 Bausch & Lomb Inc (a) 624,075
46,100 Boston Scientific Corp * (a) 1,832,475
17,200 Forest Labs * 769,700
700 Haemonetics Corp * 15,050
136,900 Johnson & Johnson 9,446,100
121,800 Medtronic Inc 11,494,875
6,500 Surgical Care Affiliates 142,188
11,800 Tenet Healthcare Corp * 187,325
21,000 US Health Care Inc 672,000
6,600 Vencor Inc * (a) 195,525
31,300 Wellpoint Health Networks Class A * 931,175
26,310,488
INSURANCE - 0.5%
12,900 Loews Corp 1,694,738
MACHINERY - 0.3%
9,900 Dover Corp 789,525
2,100 FMC Corp * 161,700
951,225
MANUFACTURING - 0.8%
10,100 Alco Standard Corp 813,050
18,000 Danaher Corp 594,000
62,800 Pall Corp 1,373,750
1,700 Sequa Corp Class A * 45,263
2,826,063
OIL AND GAS - 0.1%
200 Berry Petroleum Class A 1,950
10,500 Burlington Resources Inc 426,563
428,513
PHARMACEUTICALS - 21.9%
327,204 Abbott Laboratories 12,679,155
30,900 American Home Products Corp 2,379,300
231,000 Amgen Inc * 11,059,125
143,400 Bristol-Myers Squibb Co 9,840,825
68,300 Lilly (Eli) & Co 5,592,063
125,800 Merck & Co Inc 6,274,275
135,900 Mylan Laboratories (a) 3,108,713
289,856 Pfizer Inc 14,311,640
123,000 Schering-Plough Corp (a) 5,734,875
37,700 Warner Lambert Co 3,407,138
74,387,109
PRIMARY PROCESSING - 0.1%
6,000 Valspar 240,000
PRINTING AND PUBLISHING - 1.7%
4,500 Central Newspapers Class A 127,688
54,700 Dun and Bradstreet Corp 3,165,763
1,600 McClatchy Newspapers Inc 35,800
2,000 Pulitzer Publishing Co 97,000
50,600 Readers Digest Association Inc 2,340,250
5,766,501
REFINING - 0.2%
22,300 Ashland Inc 730,325
RETAIL TRADE - 3.7%
54,800 Albertson's Inc 1,746,750
17,900 American Stores Co 525,813
3,300 Blair Corp 110,138
43,000 Circuit City Stores Inc 1,483,500
7,500 Dayton Hudson Corp 548,438
14,900 Fruit of the Loom Inc * 350,150
10,800 Hannaford Brothers Co 276,750
67,400 Kroger Co * 2,198,925
1,300 Lands' End Inc * 22,588
9,000 Price/Costco Inc * 151,875
47,100 Rite Aid Corp 1,318,800
9,400 Stanhome Inc 291,400
142,000 Walgreen Co 3,479,000
6,700 Weismarkets Inc 189,275
12,693,402
SERVICES - 1.7%
3,100 BHC Communications Inc Class A * 281,325
2,100 Capital Cities/ABC Inc 241,500
14,225 Chris Craft Industries Inc 640,136
42,900 Gannett Co Inc 2,295,150
18,800 Kingworld Productions Inc * 714,400
9,400 Lee Enterprises Inc 372,475
8,900 PHH Corp 388,263
500 Rollins Inc 11,938
1,700 Total System Services Inc 33,150
2,700 Washington Post Co Class B 775,913
5,754,250
TECHNOLOGY - 20.5%
117,200 3Com Corp * 4,570,800
56,400 Apple Computer 2,425,200
54,400 Cabletron Systems Inc * (a) 2,876,400
1,900 Cadence Design Systems Inc * (a) 68,875
239,100 Cisco Systems Inc * 15,690,938
18,100 Cypress Semiconductor Corp * (a) 825,813
80,200 Hewlett-Packard Inc 6,416,000
135,800 Intel Corp 8,334,725
58,100 LSI Logic Corp * (a) 2,861,425
190,500 Microsoft Corp * 17,621,250
310,600 Novell Inc * 5,590,800
27,200 Sun Microsystems Inc * 1,574,200
15,000 Vishay Intertechnology Inc * 607,500
69,463,926
TELECOMMUNICATIONS - 3.4%
7,700 Alltel Corp 217,525
64,700 AT & T Corp 3,655,550
18,000 Bell Atlantic Corp 1,075,500
20,500 Bellsouth Corp 1,409,375
39,600 GTE Corp 1,450,350
17,400 Nynex Corp 783,000
17,500 Pacific Telesis Group 496,563
24,700 SBC Communications 1,250,438
14,400 Sprint Corp 511,200
19,400 US West Inc 843,900
11,693,401
TOBACCO - 4.9%
223,128 Philip Morris Cos Inc 16,650,927
UTILITIES - 0.4%
22,700 Ameritech Corp 1,163,375
4,200 California Energy Co Inc * 87,675
1,251,050
TOTAL STOCK (Cost $270,626,130) 327,153,019
PAR VALUE SHORT-TERM INVESTMENTS - 8.8%
REPURCHASE AGREEMENT - 3.3%
$ 11,157,335 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $11,158,977 and an
effective yield of 5.3%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of 11,398,317. 11,157,335
U.S. GOVERNMENT - 0.1%
400,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 394,719
CASH EQUIVALENTS - 5.5%
8,028,667 Bank of Boston Time Deposit, 5.95% due 9/1/95 8,028,667
1,664,603 Dreyfus Cash Management Money Market Fund Plus, A Shares 1,664,603
1,496,165 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 1,496,165
2,820,065 National Westminster Time Deposit, 5.95% due 9/1/95 2,820,065
4,500,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 4,500,000
18,509,500
TOTAL SHORT-TERM INVESTMENTS (Cost $30,061,540) 30,061,554
TOTAL INVESTMENTS - 105.3%
(Cost $300,687,670) * * 357,214,573
Other Assets and Liabilities (net) - (5.3%) (18,030,267)
TOTAL NET ASSETS - 100.0% $ 339,184,306
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $300,687,670,
resulting in gross unrealized appreciation and depreciation of $59,193,872
and $2,666,969, respectively, and net unrealized appreciation of $56,526,903.
</TABLE>
See accompanying notes to the financial statements.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $270,626,130) (Note 1) $ 327,153,019
Short-term investments, at value (cost $30,061,540) (Note 1) 30,061,554
Receivable for investments sold 742,425
Receivable for variation margin on open futures contracts 19,539
Dividends and interest receivable 496,288
Receivable for expenses waived or borne by Manager (Note 2) 22,400
Total assets 358,495,225
LIABILITIES:
Payable for investments purchased 315,092
Payable upon return of securities loaned (Note 1) 18,507,225
Payable for Fund shares repurchased 301,000
Payable to affiliate for management fee (Note 2) 140,509
Accrued expenses 47,093
Total liabilities 19,310,919
NET ASSETS (equivalent to $5.04 per share based on 67,350,475
shares outstanding, unlimited shares authorized) $ 339,184,306
NET ASSETS CONSIST OF:
Paid-in capital $ 277,827,521
Accumulated undistributed net investment income 1,105,348
Accumulated undistributed net realized gain 3,710,155
Net unrealized appreciation 56,541,282
NET ASSETS $ 339,184,306
</TABLE>
See accompanying notes to the financial statments.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of withholding taxes of $11,885) $ 2,781,264
Interest (including securities lending income of $21,125) 496,506
Total income 3,277,770
EXPENSES:
Management fee (Note 2) 771,163
Custodian and transfer agent fees 39,487
Audit fees 29,642
Legal fees 4,958
Registration fees 4,374
Insurance 1,470
Trustee fee (Note 2) 643
Miscellaneous 277
Total expenses 852,014
Less: expenses waived or borne by Manager (Note 2) (111,698)
Net expenses 740,316
Net investment income 2,537,454
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 2,776,653
Closed futures contracts 1,511,829
Closed swap contracts (100,858)
Net realized gain 4,187,624
Change in net unrealized appreciation (depreciation) on:
Investments 42,128,037
Open futures contracts (39,448)
Net unrealized gain 42,088,589
Net realized and unrealized gain 46,276,213
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 48,813,667
</TABLE>
See accompanying notes to the financial statments.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,537,454 $ 3,189,370
Net realized gain 4,187,624 12,677,026
Change in net unrealized appreciation (depreciation) 42,088,589 7,126,286
Net increase in net assets resulting from operations 48,813,667 22,992,682
Distributions to shareholders from:
Net investment income (1,990,601) (2,852,156)
Net realized gains (10,202,708) (3,416,541)
(12,193,309) (6,268,697)
Fund share transactions: (Note 5)
Proceeds from sale of shares 102,414,592 35,930,626
Net asset value of shares issued to shareholders
in payment of distributions declared 10,415,239 4,464,606
Cost of shares repurchased (49,272,200) (48,810,882)
Net increase (decrease) in net assets resulting
from Fund share transactions 63,557,631 (8,415,650)
Total increase in net assets 100,177,989 8,308,335
NET ASSETS:
Beginning of period 239,006,317 230,697,982
End of period (including accumulated undistributed
net investment income of $1,105,348 and
$558,495, respectively) $ 339,184,306 $ 239,006,317
</TABLE>
See accompanying notes to the financial statments.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 4.45 $ 4.14 $4.55 $ 5.82 $ 14.54 $ 12.64
Income from investment operations:
Net investment income (a) 0.04 0.06 0.06 0.07 0.19 0.25
Net realized and unrealized gain 0.74 0.38 0.11 0.17 1.63 2.61
Total from investment operations 0.78 0.44 0.17 0.24 1.82 2.86
Less distributions to shareholders:
From net investment income (0.03) (0.06) (0.06) (0.08) (0.23) (0.25)
From net realized gains (0.16) (0.07) (0.52) (1.43) (10.31) (0.71)
Total distributions (0.19) (0.13) (0.58) (1.51) (10.54) (0.96)
NET ASSET VALUE, END OF PERIOD $ 5.04 $ 4.45 $ 4.14 $ 4.55 $ 5.82 $ 14.54
TOTAL RETURN (B) 17.67% 10.86% 4.13% 3.71% 20.47% 24.24%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 339,184 $ 239,006 $ 230,698 $ 168,143 $ 338,439 $ 1,004,345
Net expenses to average
daily net assets (a) 0.48%* 0.48% 0.48% 0.49% 0.50% 0.50%
Net investment income to average
daily net assets (a) 1.65%* 1.50% 1.38% 1.15% 1.38% 1.91%
Portfolio turnover rate 30% 139% 57% 36% 46% 45%
* Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of less than $.01 per share
for each period presented.
(b) Calculation excludes subscription fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
</TABLE>
See accompanying notes to the financial statments.
GMO GROWTH ALLOCATION FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Growth Allocation Fund (the "Fund") is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940,
as amended, as an open-end, non-diversified management investment company.
The Trust was established as a Massachusetts Business Trust under the laws
of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of
Trust permits the Trustees to create an unlimited number of series
("Funds"), each of which issues a separate series of shares. The following
is a summary of significant accounting policies consistently followed by
the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Short-term investments with a remaining maturity of sixty days or less are
valued at amortized cost which approximates market value. Other assets and
securities for which no quotations are readily available are valued at fair
value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index
futures contracts represent commitments for future delivery of cash based
upon the level of a specified index of equity securities at a given date.
The Fund may use futures contracts to manage its exposure to the stock
markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instrument or hedge other Fund instruments. Upon
purchase of a futures contract, the Fund is required to deposit with its
custodian, in a segregated account in the name of the futures broker, an
amount of cash or U.S. government obligations in accordance with the
initial margin requirements of the broker. Futures contracts are marked to
market daily and an appropriate payable or receivable for the change in
value ("variation margin") is recorded by the Fund. The payable or
receivable is liquidated on the following business day. Gains or losses are
recognized but not considered realized until the contracts expire or are
closed. Futures contracts involve, to varying degrees, risk of loss in
excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. See Note 6 for
all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults, the value of the collateral declines or
if the seller enters insolvency proceedings, realization of collateral by
the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear
the risk of delay in recovery or even loss of rights in the collateral
should the borrower of the securities fail financially. The Fund receives
compensation for lending its securities. At August 31, 1995, the Fund
loaned securities having a market value of $18,148,000 collateralized by
cash in the amount of $18,509,500, which was invested in short-term
instruments.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund enters into equity swap agreements which involve a
commitment by one party in the agreement to pay interest in exchange for a
market linked return based on a notional amount. To the extent that the
total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, the Fund will
receive a payment from or make a payment to the counterparty, respectively.
Equity swaps are marked to market daily based upon quotations from market
makers and the change, if any, is recorded as unrealized gain or loss in
the Statement of Operations. Payments received or made at the end of the
measurement period are recorded as realized gain or loss in the Statement
of Operations. Entering into these agreements involves, to varying degrees,
elements of credit and market risk in excess of the amounts recognized on
the Statement of Assets and Liabilities. Such risks involve the possibility
that there is no liquid market for these agreements, that the counterparty
to the agreements may default on its obligation to perform, or that there
may be unfavorable changes in the price of the security or index underlying
these transactions. At August 31, 1995, there were no outstanding swap
agreements.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision
for federal income or excise tax is necessary. Taxes on foreign dividend
income have been withheld in accordance with the applicable country's
treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income quarterly, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for redemptions in-kind.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net
realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the
accrual basis. In determining the net gain or loss on securities sold, the
cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17 % of the amount
invested. The Manager may waive such premium to the extent that a
transaction results in minimal brokerage and transaction costs to the Fund.
All purchase premiums are paid to and recorded as paid-in capital by the
Fund. For the six months ended August 31, 1995, the Fund received $98,213
in purchase premiums. There is no premium for cash redemptions, reinvested
distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager") for management and investment advisory services is paid monthly
at the annual rate of .50% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses (including the
management fee but excluding brokerage commissions and transfer taxes)
exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $643. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the six months ended August 31, 1995,
aggregated $153,363,380 and $85,231,458, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 51% of the outstanding shares of the Fund were held by
four individual shareholders each holding in excess of 10% of the Fund's
outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 21,976,921 8,350,129
Shares issued to shareholders in reinvestment
of distributions 2,161,521 1,076,722
Shares repurchased (10,445,188) (11,444,911)
Net increase (decrease) 13,693,254 (2,018,060)
Fund shares:
Beginning of period 53,657,221 55,675,281
End of period 67,350,475 53,657,221
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995, is as
follows:
<TABLE>
<CAPTION>
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
<S> <C> <C> <C> <C>
22 S&P 500 September 1995 $ 6,191,350 $ 14,379
</TABLE>
At August 31, 1995, the Fund has sufficient cash and/or securities to cover
any commitments or margin on these contracts.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
<C> <S> <C>
STOCK - 96.2%
AEROSPACE - 3.1%
46,993 Lockheed Martin 2,860,699
54,800 Raytheon Co 4,431,950
7,292,649
AUTOMOTIVE - 0.1%
4,100 Bandag Inc 243,438
BANKING AND FINANCIAL SERVICES - 6.6%
600 Bancorp Hawaii Inc 20,100
19,890 Bear Stearns Cos Inc 410,231
12,600 Beneficial Corp 618,975
3,350 Charles Schwab & Co 155,775
7,100 Chase Manhattan Corp 408,250
18,800 Chemical Banking Corp 1,095,100
54,200 Citicorp 3,597,525
46,400 Dean Witter Discover and Co 2,366,400
12,400 Edwards (A G) Inc 302,250
2,200 First Bank of America Corp 97,350
5,800 First Chicago Corp 367,575
25,000 Household International Inc 1,403,125
24,800 Morgan Stanley Group Inc 2,154,500
15,100 Student Loan Marketing Association 817,288
31,300 Travelers Inc 1,502,400
15,316,844
COMPUTER AND OFFICE EQUIPMENT - 2.6%
80,100 Micron Technology 6,157,688
COMPUTERS - 0.4%
22,700 Silicon Graphics * (a) 959,075
CONSTRUCTION - 0.1%
1,600 Vulcan Materials Inc 84,200
4,600 York International Corp 204,700
288,900
CONSUMER GOODS - 3.5%
26,800 Black and Decker Corp 867,650
6,400 Clorox Co 432,800
59,300 Eastman Kodak Co 3,417,163
12,000 International Flavors & Fragrances 574,500
19,100 Liz Claiborne 434,525
4,900 National Service Industries 142,100
7,900 Nike Inc Class B 731,738
14,000 Polaroid Corp 610,750
100 Premark International Inc 5,238
10,400 Reebok International Ltd 369,200
14,000 VF Corp 766,500
8,352,164
FOOD AND BEVERAGE - 12.7%
50,500 Anheuser-Busch Cos Inc 2,884,813
66,465 Archer Daniels Midland Co 1,104,981
12,300 Brown Forman Corp Class B 455,100
144,000 Coca-Cola Co 9,252,000
49,000 ConAgra Inc 1,855,875
17,000 CPC International Inc 1,068,875
9,300 Dean Foods Co 246,450
35,600 General Mills Co 1,837,850
50,800 Heinz (H J) Co 2,152,650
3,600 Hershey Foods Corp 215,550
7,700 Hormel (Geo A) and Co 184,800
7,900 IBP Inc 389,075
24,900 Kellogg Co 1,680,750
29,300 Pepsico Inc 1,325,825
55,700 Sara Lee Corp 1,545,675
4,700 Tyson Food Inc Class A 121,025
24,600 Unilever ADR 3,041,175
7,100 Universal Foods Corp 225,425
20,800 Whitman Corp 418,600
30,006,494
HEALTH CARE - 4.0%
600 Bausch & Lomb Inc (a) 23,850
42,700 Johnson & Johnson 2,946,300
34,400 Medtronic Inc 3,246,500
7,300 Rhone Poulenc Rorer Inc (a) 323,025
2,300 Tambrands Inc 103,213
42,300 Tenet Healthcare Corp * 671,513
39,900 Upjohn Co 1,690,738
11,100 Wellpoint Health Networks Class A * 330,225
9,335,364
INSURANCE - 6.0%
23,600 Aetna Life and Casualty Co 1,610,700
19,000 AFLAC Corp 776,625
2,900 Allmerica Property and Casualty 69,963
35,400 Allstate Corp 1,199,175
7,700 AMBAC Inc 325,325
37,600 American General Corp 1,325,400
16,900 AON Corp 659,100
4,600 Chubb Corp 419,750
12,700 Cigna Corp 1,228,725
1,300 CNA Financial Corp * 124,638
2,100 Geico Corp 143,325
1,600 Jefferson Pilot Corp 100,600
9,300 Loews Corp 1,221,788
900 Marsh & McLennan Cos Inc 74,138
5,000 MBIA Inc 340,000
2,600 MGIC Investment (a) 145,600
9,600 Old Republic International Corp 265,200
7,400 Provident Life and Accident Insurance Co Class B 193,325
11,400 Providian Corp 437,475
3,700 Safeco Corp (a) 239,113
25,300 St Paul Cos 1,372,525
18,100 Torchmark Corp (a) 724,000
10,900 Transamerica Corp 741,200
1,000 Transatlantic Holdings Inc 70,000
7,400 Twentieth Century Industries * 116,550
13,924,240
MACHINERY - 0.8%
9,100 Dover Corp 725,725
6,300 FMC Corp * (a) 485,100
18,500 Harnischfeger Industries 679,875
1,890,700
MANUFACTURING - 6.9%
124,100 Boeing Co 7,911,375
10,200 Crown Cork & Seal Inc * (a) 459,000
10,200 Danaher Corp 336,600
60,600 International Business Machines Corp 6,264,525
28,600 Pall Corp 625,625
14,100 Tenneco Inc 683,850
600 Textron Inc 41,100
16,322,075
OIL AND GAS - 5.4%
22,800 Amoco Corp 1,453,500
4,600 Atlantic Richfield Co 501,975
5,700 Cabot Corp 274,313
15,900 Chevron Corp 769,163
1,800 Columbia Gas Systems * 63,450
2,300 El Paso Natural Gas Co 64,688
59,500 Exxon Corp 4,090,625
400 FINA Inc Class A 18,500
17,500 Mobil Corp 1,666,875
600 Murphy Oil Corp 24,300
2,300 National Fuel Gas 64,688
6,700 Nicor Inc 171,688
2,400 Occidental Petroleum Corp 52,200
3,500 Peoples Energy Corp 95,375
16,300 Royal Dutch Petroleum Co ADR (a) 1,943,775
8,100 Texaco Inc 524,475
27,075 Williams Companies Inc 991,622
12,771,212
PAPER AND ALLIED PRODUCTS - 0.2%
5,900 Consolidated Papers Inc 356,950
4,000 Glatfelter (PH) Co 90,000
446,950
PHARMACEUTICALS - 12.3%
54,200 Abbott Laboratories 2,100,250
42,700 American Home Products Corp 3,287,900
60,798 Amgen Inc * 2,910,704
90,500 Bristol-Myers Squibb Co 6,210,563
64,200 Lilly (Eli) & Co 5,256,375
84,400 Merck & Co Inc 4,209,450
12,150 Mylan Laboratories (a) 277,931
86,600 Pfizer Inc 4,275,875
3,800 Schering-Plough Corp (a) 177,175
3,300 Warner Lambert Co 298,238
29,004,461
PRINTING AND PUBLISHING - 0.8%
16,600 Dun and Bradstreet Corp 960,725
4,200 McGraw Hill Inc 330,750
14,000 Readers Digest Association Inc (a) 647,500
1,938,975
REFINING - 0.3%
23,600 Ashland Inc 772,900
RETAIL TRADE - 1.9%
24,500 American Stores Co 719,688
13,000 Circuit City Stores Inc 448,500
4,200 Fruit of the Loom Inc * 98,700
28,500 Melville Corp 951,188
34,300 Rite Aid Corp 960,400
32,200 Walgreen Co 788,900
2,900 Weismarkets Inc 81,925
5,800 Winn Dixie 345,100
4,394,401
SERVICES - 1.2%
3,000 BHC Communications Inc Class A * 272,251
9,600 Capital Cities/ABC Inc 1,104,000
4,600 Fleming Cos 133,975
14,100 Gannett Co Inc 754,350
1,000 Kingworld Productions Inc * 38,000
3,300 Manpower Inc (a) 94,875
5,100 Omnicom Group 320,025
5,600 Supervalu Inc 165,900
2,883,376
TECHNOLOGY - 9.3%
45,000 3Com Corp * 1,755,000
36,700 Apple Computer 1,578,100
6,200 Avery Dennison Corp 254,200
24,700 Cisco Systems Inc * 1,620,938
29,200 Digital Equipment Corp * 1,219,100
90,100 Hewlett-Packard Inc 7,208,000
38,300 LSI Logic Corp * (a) 1,886,275
37,200 Microsoft Corp * 3,441,000
41,000 Novell Inc * 738,000
26,000 Sun Microsystems Inc * 1,504,750
15,500 Vishay Intertechnology Inc * 627,750
21,833,113
TELECOMMUNICATIONS - 3.5%
5,500 Alltel Corp 155,375
43,800 AT & T Corp 2,474,700
12,200 Bell Atlantic Corp 728,950
13,900 Bellsouth Corp 955,625
8,100 Cincinnati Bell Inc * 220,725
4,600 Frontier Corp 128,225
26,900 GTE Corp 985,213
11,800 Nynex Corp 531,000
11,900 Pacific Telesis Group 337,663
16,800 SBC Communications 850,500
9,800 Sprint Corp 347,900
13,200 US West Inc 574,200
8,290,076
TOBACCO - 2.1%
66,300 Philip Morris Cos Inc 4,947,638
UTILITIES - 12.4%
26,600 AES Corp * 492,100
35,800 Allegheny Power System Inc 872,625
42,800 American Electric Power Inc 1,460,550
15,400 Ameritech Corp 789,250
1,100 Atlanta Gas Light (a) 40,563
28,800 Baltimore Gas and Electric Co 756,000
6,400 Brooklyn Union Gas Co 160,800
1,400 California Energy Co Inc * 29,225
6,400 Carolina Power and Light Co 196,000
12,100 Centerior Energy Corp 130,075
40,700 Central & South West Corp 997,150
37,100 Cinergy Corp 950,688
4,500 Cipsco Inc 147,938
13,400 CMS Energy Corp 329,975
19,500 Consolidated Edison 550,875
1,900 Delmarva Power and Light Co 41,325
2,800 Destec Energy Inc * 44,450
34,800 Detroit Edison Co 1,065,750
20,500 Dominion Resources Inc 740,563
30,800 DPL Inc 685,300
10,450 DQE 249,494
36,000 Duke Power Co 1,462,500
16,800 Entergy Corp 403,200
15,700 Florida Progress Corp 476,888
20,200 FPL Group Inc 785,275
12,700 General Public Utilities 363,538
3,000 Hawaiian Electric Industry Inc 108,375
2,300 Houston Industries Inc 97,463
7,500 Idaho Power Co 197,813
2,400 IES Industries 60,600
6,900 Illinova Corp 173,363
3,100 Ipalco Enterprises Inc (a) 107,338
9,300 Kansas City Power and Light Co 208,088
2,300 Ku Energy Corp 62,675
3,100 LG&E Energy Corp 120,125
10,100 MCN Corp 188,113
8,500 Midamerican Energy Co 121,125
800 Minnesota Power & Light Co 21,500
12,600 Montana Power Co 277,200
8,100 Nevada Power Co 165,038
7,100 New England Electric System 248,500
4,100 New York State Electric and Gas Corp 98,913
11,200 Nipsco Industries Inc 366,800
15,200 Northern States Power Co 647,900
8,800 Oklahoma Gas and Electric Co (a) 311,300
30,000 Pacific Enterprises 720,000
1,200 Pacific Gas and Electric Co 34,500
92,000 PacifiCorp 1,667,500
46,300 Panhandle Eastern Corp 1,157,500
1,800 Portland General Electric Co 43,200
46,100 Potomac Electric Power Co 985,388
15,600 PP&L Resources Inc 341,250
23,300 Public Service of Colorado 754,338
10,200 Puget Sound Power and Light Co 220,575
9,600 Scana Corp (a) 223,200
126,200 Southern Co 2,665,975
4,700 Southwesten Public Service Co (a) 141,000
23,300 Teco Energy 503,863
2,900 UGI Corp (a) 61,988
12,200 Union Electric Co 434,625
4,500 Utilicorp United Inc 122,063
1,800 Washington Gas Light 34,425
13,300 Washington Water Power (a) 206,150
7,500 Western Resources Inc 226,875
31,400 Wisconsin Energy Corp 843,875
1,900 Wisconsin Power & Light Holding Co 54,150
900 WPS Resources Corp 25,988
29,272,754
TOTAL STOCK (Cost $182,756,114) 226,645,487
PAR VALUE SHORT-TERM INVESTMENTS - 6.8%
REPURCHASE AGREEMENT - 3.4%
$ 8,038,764 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $8,039,947 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $8,212,390. 8,038,764
U.S. GOVERNMENT - 0.1%
300,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 296,039
CASH EQUIVALENTS - 3.3%
3,224,803 Bank of Boston Time Deposit, 5.95% due 9/1/95 3,224,803
700,951 Dreyfus Cash Management Money Market Fund Plus, A Shares 700,951
630,023 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 630,023
1,238,423 National Westminster Time Deposit, 5.95% due 9/1/95 1,238,423
2,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 2,000,000
7,794,200
TOTAL SHORT-TERM INVESTMENTS (Cost $16,128,992) 16,129,003
TOTAL INVESTMENTS - 103.0%
(Cost $198,885,106) * * 242,774,490
Other Assets and Liabilities (net) - (3.0%) (6,982,603)
TOTAL NET ASSETS - 100.0% $ 235,791,887
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $198,885,106,
resulting in gross unrealized appreciation and depreciation of $44,723,056
and $833,672, respectively, and net unrealized appreciation of $43,889,384.
</TABLE>
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $182,756,114) (Note 1) $ 226,645,487
Short-term investments, at value (cost $16,128,992) (Note 1) 16,129,003
Receivable for investments sold 1,219,247
Receivable for variation margin on open futures contracts 16,150
Dividends and interest receivable 698,345
Receivable for expenses waived or borne by Manager (Note 2) 17,325
Total assets 244,725,557
LIABILITIES:
Payable for investments purchased 992,871
Payable upon return of securities loaned (Note 1) 7,793,014
Payable to affiliate for management fee (Note 2) 95,522
Accrued expenses 52,263
Total liabilities 8,933,670
NET ASSETS (equivalent to $13.06 per share based on 18,053,484
shares outstanding, unlimited shares authorized) $ 235,791,887
NET ASSETS CONSIST OF:
Paid-in capital $ 179,513,557
Accumulated undistributed net investment income 1,536,450
Accumulated undistributed net realized gain 10,868,869
Net unrealized appreciation 43,873,011
NET ASSETS $ 235,791,887
</TABLE>
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of withholding taxes of $19,788) $ 3,050,053
Interest (including securities lending income of $8,749) 244,449
Total income 3,294,502
EXPENSES:
Management fee (Note 2) 555,028
Custodian and transfer agent fees 55,217
Audit fees 23,499
Legal fees 4,008
Insurance 1,104
Registration fees 839
Trustee fee (Note 2) 459
Miscellaneous 186
Total expenses 640,340
Less: expenses waived or borne by Manager (Note 2) (96,639)
Net expenses 543,701
Net investment income 2,750,801
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 11,528,271
Closed futures contracts 586,968
Closed swap contracts (64,087)
Net realized gain 12,051,152
Change in net unrealized appreciation (depreciation) on:
Investments 25,769,746
Open futures contracts (22,989)
Net unrealized gain 25,746,757
Net realized and unrealized gain 37,797,909
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 40,548,710
</TABLE>
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,750,801 $ 4,975,763
Net realized gain 12,051,152 8,878,913
Change in net unrealized appreciation (depreciation) 25,746,757 925,826
Net increase in net assets resulting from operations 40,548,710 14,780,502
Distributions to shareholders from:
Net investment income (2,132,461) (4,670,650)
Net realized gains (1,086,252) (12,614,921)
(3,218,713) (17,285,571)
Fund share transactions: (Note 5)
Proceeds from sale of shares 2,225,087 47,339,037
Net asset value of shares issued to shareholders
in payment of distributions declared 833,727 5,887,140
Cost of shares repurchased (11,888,022) (10,457,780)
Net increase (decrease) in net assets resulting
from Fund share transactions (8,829,208) 42,768,397
Total increase in net assets 28,500,789 40,263,328
NET ASSETS:
Beginning of period 207,291,098 167,027,770
End of period (including accumulated undistributed
net investment income of $1,536,450 and
$918,110, respectively) $ 235,791,887 $ 207,291,098
</TABLE>
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993*
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.06 $ 11.26 $ 10.38 $ 10.00
Income from investment operations:
Net investment income (a) 0.16 0.28 0.29 0.05
Net realized and unrealized gain 2.02 0.49 1.21 0.33
Total from investment operations 2.18 0.77 1.50 0.38
Less distributions to shareholders:
From net investment income (0.12) (0.27) (0.30) -
From net realized gains (0.06) (0.70) (0.32) -
Total distributions (0.18) (0.97) (0.62) -
NET ASSET VALUE, END OF PERIOD $ 13.06 $ 11.06 $ 11.26 $ 10.38
TOTAL RETURN (B) 19.81% 7.56% 14.64% 3.80%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 235,792 $ 207,291 $ 167,028 $ 169,208
Net expenses to average
daily net assets (a) 0.48%** 0.48% 0.48% 0.48%**
Net investment income to average
daily net assets (a) 2.42%** 2.61% 2.56% 3.20%**
Portfolio turnover rate 37% 101% 53% 9%
* For the period from January 4, 1993 (commencement of operations) to February 28, 1993.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.01 $ 0.01 $ 0.01 $ 0.01
(b) Calculation excludes subscription fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
</TABLE>
See accompanying notes to the financial statements.
GMO U.S. SECTOR ALLOCATION FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO U.S. Sector Allocation Fund (the "Fund") is a series of GMO Trust
(the "Trust"). The Fund is registered under the Investment Company Act of
1940, as amended, as an open-end, non-diversified management investment
company. The Trust was established as a Massachusetts Business Trust under
the laws of the Commonwealth of Massachusetts on June 24, 1985. The
Declaration of Trust permits the Trustees to create an unlimited number of
series ("Funds"), each of which issues a separate series of shares. The
following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Short-term investments with a remaining maturity of sixty days or less are
valued at amortized cost which approximates market value. Other assets and
securities for which no quotations are readily available are valued at fair
value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index
futures contracts represent commitments for future delivery of cash based
upon the level of a specified index of equity securities at a given date.
The Fund may use futures contracts to manage its exposure to the stock
markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instrument or hedge other Fund instruments. Upon
purchase of a futures contract, the Fund is required to deposit with its
custodian, in a segregated account in the name of the futures broker, an
amount of cash or U.S. government obligations in accordance with the
initial margin requirements of the broker. Futures contracts are marked to
market daily and an appropriate payable or receivable for the change in
commitment value ("variation margin") is recorded by the Fund. The payable
or receivable is liquidated on the following business day. Gains or losses
are recognized but not considered realized until the contracts expire or
are closed. Futures contracts involve, to varying degrees, risk of loss in
excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from changes in the value of the underlying
instrument, if there is an illiquid secondary market for the contracts, or
if counterparties do not perform under the contract terms. Futures
contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded. See Note 6 for all
open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults, the value of the collateral declines,
or if the seller enters insolvency proceedings, realization of collateral
by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear
the risk of delay in recovery or even loss of rights in the collateral
should the borrower of the securities fail financially. The Fund receives
compensation for lending its securities. At August 31, 1995, the Fund
loaned securities having a market value of $7,601,131, collateralized by
cash in the amount of $7,794,200 which was invested in short-term
instruments.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange
the return generated by one instrument for the return generated by another
instrument. The Fund entered into equity swap agreements which involve a
commitment by one party in the agreement to pay interest in exchange for a
market linked return based on a notional amount. To the extent that the
total return of the security or index underlying the transaction exceeds or
falls short of the offsetting interest rate obligation, the Fund will
receive a payment from or make a payment to the counterparty, respectively.
Equity swaps are marked to market daily based upon quotations from market
makers and the change, if any, is recorded as unrealized gain or loss in
the Statement of Operations. Payments received or made at the end of the
measurement period are recorded as realized gain or loss in the Statement
of Operations. Entering into these agreements involves, to varying degrees,
elements of credit and market risk in excess of the amounts recognized on
the Statement of Assets and Liabilities. Such risks involve the possibility
that there is no liquid market for these agreements, that the counterparty
to the agreements may default on its obligation to perform, or that there
may be unfavorable changes in the price of the security or index underlying
these transactions. At August 31, 1995, there were no outstanding swap
agreements.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision
for federal income or excise tax is necessary. Taxes on foreign dividend
income have been withheld in accordance with the applicable country's tax
treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income quarterly, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for partnership interests.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net
realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the
accrual basis. In determining the net gain or loss on securities sold, the
cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .17% of the amount
invested. The Manager may waive such premium to the extent that a
transaction results in minimal brokerage and transaction costs to the Fund.
All purchase premiums are paid to and recorded as paid-in capital by the
Fund. For the six months ended August 31, 1995, the Fund received $1,106 in
purchase premiums. There is no premium for cash redemptions, reinvested
distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager") for management and investment advisory services is paid monthly
at the annual rate of .49% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses (including the
management fee but excluding brokerage commissions and transfer taxes)
exceed .48% of average daily net assets. In addition, the Fund's
organizational expenses have been borne by the manager.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $459. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the six months ended August 31, 1995,
aggregated $80,211,766 and $92,452,889, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 84% of the outstanding shares of the Fund were held by
three shareholders each holding in excess of 10% of the Fund's outstanding
shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 194,243 4,299,814
Shares issued to shareholders in
reinvestment of distributions 68,559 561,797
Shares repurchased (943,623) (957,241)
Net (decrease) increase (680,821) 3,904,370
Fund shares:
Beginning of period 18,734,305 14,829,935
End of period 18,053,484 18,734,305
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995 is as follows:
<TABLE>
<CAPTION>
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Depreciation
<C> <S> <C> <C> <C>
19 S&P 500 September 1995 $ 5,347,075 $ (16,373)
</TABLE>
At August 31, 1995, the Fund has cash and/or securities to cover any margin
requirements on these contracts.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
<C> <S> <C>
STOCK - 94.9%
ADVERTISING - 0.0%
200 Grey Advertising 37,000
AEROSPACE - 1.2%
9,900 AAR Corp 164,588
1,000 Curtiss Wright Corp 44,000
1,800 EDO Corp * 9,675
1,800 Hexcel Corp * 19,800
2,200 Hi-Shear Industries * 17,325
6,100 Logicon Inc 335,500
11,500 Rohr Inc * (a) 178,250
28,000 Thiokol Corp 976,500
7,300 United Industial Corp 47,450
3,500 Whittaker Corp * 68,250
1,861,338
AUTOMOTIVE - 0.8%
2,800 Bandag Inc 166,250
3,500 Breed Technologies Inc 66,938
2,600 Donnelly Corp 41,600
9,000 Oshkosh Truck 121,500
10,800 Smith (A O) Corp Class A 271,350
10,100 SPX Corp 152,763
10,500 Standard Products Corp 204,750
10,050 TBC Corp * 95,475
500 Trak Auto Corp * 7,750
4,600 Walbro Corp 105,225
1,233,601
BANKING AND FINANCIAL SERVICES - 7.2%
16,000 Alex Brown Inc 960,000
100 Amplicon Inc 1,675
600 Baldwin and Lyons Inc Class B 9,019
7,300 Banponce Corp 271,013
3,800 CCB Financial Corp 183,350
4,700 Centura Banks Inc 146,288
2,700 CMAC Investment Corp 136,350
31,700 Comdisco Inc (a) 966,850
6,600 Compass Bancshares 198,000
7,400 Deposit Guaranty Corp 292,300
5,200 Downey Financial Corp 113,750
9,800 Eaton Vance Corp 374,850
39,400 Edwards (A G) Inc 960,375
1,500 First Citizens Bancshares Class A 78,750
14,850 First Commerce Corp (a) 478,913
1,000 First Empire State Corp 183,000
3,300 First Hawaiian Inc 91,988
2,250 Firstmerit Corp 60,188
1,324 Glendale Federal Bank * 20,853
6,300 Inter-Regional Financial Group 201,600
4,300 Jefferies Group Inc 169,850
3,700 LDI Corp * 13,413
7,475 Legg Mason Inc 220,513
4,600 Mercantile Bankshares 122,475
300 Midland Co 13,425
12,100 Money Store Inc 794,063
8,850 Morgan Keegan Inc 101,775
700 NS Bancorp Inc 24,150
9,800 Piper Jaffrey Inc 142,100
6,400 Price (T Rowe) Associates Inc 304,000
14,613 Quick and Reilly Group 546,161
15,900 Raymond James Financial Corp 349,800
12,960 Southern National Corp 346,680
31,400 Standard Federal Bancorp 1,224,600
6,700 Star Banc Corp 355,100
3,300 Student Loan Group 98,175
4,000 Trustmark Corp 70,000
3,000 United Carolina Bancshares 105,000
7,700 Washington Federal Inc 179,025
1,600 Wilmington Trust Corp 48,800
10,958,217
CHEMICALS - 1.0%
400 Macdermid Inc 17,900
700 Quaker Chemical 10,675
1,300 Stepan Co 21,938
13,200 Vigoro Corp 580,800
35,300 Wellman Inc 900,150
1,531,463
CONSTRUCTION - 0.7%
10,500 Apogee Enterprises Inc 165,375
600 Christiana Cos * 15,300
300 Churchill Downs Inc 11,625
8,000 Crane Co 288,000
15,900 Del Webb 296,138
400 Florida Rock Industries 11,100
1,800 International Aluminium Corp 56,250
800 Keystone Construction Industy Inc * 11,700
700 Pitt-Des Moines 24,500
800 Pratt and Lambert Inc 17,800
1,600 Puerto Rican Cement Co 51,600
3,600 Wolohan Lumber Co 42,300
991,688
CONSUMER GOODS - 7.4%
11,300 Alberto Culver Co Class B 322,050
6,200 Armor All Products Corp 100,750
7,500 AT Cross 119,063
4,900 Beauticontrol Cosmetics Inc 55,738
33,000 Bed, Bath and Beyond Inc * (a) 901,313
6,600 Bic Corp 262,350
4,384 Block Drug Co Inc Class A 172,072
12,500 Church & Dwight Co Inc 285,938
6,900 Coleman Co Inc * (a) 260,475
3,300 Delta Woodside Industries 27,638
1,500 Fab Industries Inc 46,313
6,900 First Brands 301,013
4,200 Garan Inc 72,975
2,200 Guilford Mills 55,000
24,200 Gymboree Corp * (a) 719,950
8,300 Helene Curtis Industries 244,850
4,300 Johnson Worldwide Associates * 104,275
24,800 Jones Apparel Group Inc * 861,800
12,800 Jostens Inc 307,200
7,600 K Swiss Inc Class A 95,000
31,500 Kinetic Concepts Inc 283,500
13,810 Lancaster Colony Corp 479,898
35,400 Liz Claiborne 805,350
12,340 Natures Sunshine Products Inc 289,990
2,300 Oil Dri America Class A 36,225
15,700 Paragon Trade Brands Inc * 243,350
6,300 Polaroid Corp 274,838
6,500 Quiksilver Inc * 193,375
10,700 Russ Berrie and Co 155,150
12,400 Russell Corp 341,000
6,400 Springs Industries Inc 276,000
9,200 Starter Corp * 65,550
6,600 Sturm Ruger and Company Inc 222,750
6,500 Superior Surgical Manufacturing 69,063
10,500 The Men's Wearhouse Inc * 329,438
10,700 Topp Inc 64,200
4,000 Toro Corp 119,500
19,400 Tultex Corp * 118,825
24,600 Vicor Corp * 1,156,200
5,900 WD 40 Co 253,700
1,000 Weyco Group 36,750
1,900 WH Brady Co Class A 138,700
11,269,115
ENVIRONMENTAL CONTROL - 0.1%
7,700 Calgon Carbon Corporation 87,588
FOOD AND BEVERAGE - 4.3%
1,200 Alico Inc 21,600
41,200 Bob Evans Farms 736,450
5,700 Canadnaigua Wine Co Class B * 272,175
22,800 Dean Foods Co 604,200
200 Farmer Brothers Co 25,000
13,500 Flowers Industries Inc 278,438
1,100 Golden Poultry Co 6,463
14,700 Great Atlantic & Pacific Tea Co 417,113
9,800 IBP Inc 482,650
900 Imperial Holly Inc 7,875
20,600 International Multifoods Corp 463,500
6,000 JM Smucker Co 126,000
7,400 Lance Inc 133,200
7,400 Luby's Cafeteria Inc 147,075
7,100 Pilgrims Pride Corp 55,913
17,100 Quality Food Centers Inc 423,225
2,300 Riser Foods Inc Class A * 25,588
41,500 Ryans Family Steak House * 311,250
7,900 Sanderson Farms Inc 92,825
10,500 Savannah Foods and Industries Inc 112,875
100 Seaboard Corp 25,000
10,800 Showbiz Pizza Time * 137,193
19,300 Smith Food and Drug Center Class B 364,288
2,900 Tasty Baking 39,513
3,800 Thorn Apple Valley 70,775
5,860 Tootsie Roll Industries Inc 233,668
5,800 United Foods Inc Class B * 12,325
22,925 Universal Foods Corp 727,869
2,925 Uno Restaurant Corp * 23,034
13,950 WLR Foods Inc 184,838
6,561,918
HEALTH CARE - 8.8%
18,200 Acuson Corp * 238,875
15,200 Adac Laboratories 174,800
18,300 Ballard Medical Products 263,063
5,500 Beckman Instruments Inc 157,438
3,300 Bergen Brunswig Corp Class A 68,888
1 Beverly Enterprises Inc * 7
10,100 Bindley Western Industries Inc 155,288
3,900 BioMet Inc * 62,888
7,700 Bio-Rad Laboratories Inc Class A * 294,525
4,300 Circon Corp * 80,088
6,000 Conmed Corp 177,000
9,600 Cordis Corp * 741,600
12,100 Datascope Corp * 254,100
6,900 Diagnostic Prods Corp 265,650
42,100 FHP Group * (a) 1,041,975
12,500 HBO and Co 687,500
43,000 Health Care Compare * (a) 1,617,875
4,000 Healthcare Services Group Inc * 44,500
17,700 Healthsource * (a) 708,000
7,760 Hillhaven Corp * 216,310
2,900 Life Technologies Inc 68,875
2,900 Lincare Holdings Inc * 86,638
2,400 Lunar Corp * 69,000
7,300 Marquette Electronics Class A * 123,188
12,100 Med-Chem Products Inc * 110,413
9,300 Mentor Corp 355,725
15,400 Nellcor Inc * 800,800
14,500 Ren Corp * 280,938
11,200 Research Industries Corp * 298,200
11,700 Respironics Inc * (a) 207,675
1,600 Seafield Capital Corp 56,000
8,900 Sofamor Denek Group Inc * 220,275
7,600 Spacelabs Medical Inc * 198,550
47,200 Surgical Care Affiliates 1,032,500
5,100 Tecnol Medical Products Inc * 92,438
9,100 Tokos Medical Corp * 98,963
16,000 Utah Medical Products Inc * 248,000
32,750 Vencor Inc * (a) 970,149
14,700 Vital Sign Inc 281,138
3,000 Vitalink Pharmacy Services * 44,250
16,100 Vivra Inc * 533,313
13,427,398
INSURANCE - 7.9%
2,468 Alleghany Corp 417,709
29,000 Allmerica Property and Casualty 699,626
7,700 AMBAC Inc 325,325
17,400 American Bankers Insurance Group 604,650
2,749 American Heritage Life Investments 55,324
2,000 American National Insurance 114,750
11,200 Argonaut Group Inc 341,600
2,700 Avemco Corp 43,538
900 Bankers Life Holding Corp 17,100
6,000 Capital Re Corp 171,000
5,300 Capitol American Financial Corp 120,575
4,800 Citizens Corp 91,800
2,300 Crawford and Co 35,650
4,200 Delphi Financial Group Inc * 75,600
11,200 Enhance Financial Services Group Inc 226,800
800 EW Blanch Holdings Inc 14,578
952 First American Financial Corp 22,848
1,700 Foremost Corporation of America 68,000
15,110 Fremont Gen Corp 411,748
7,863 Frontier Insurance Group Inc 228,027
12,759 Gainsco Inc 120,413
6,800 Gallagher (Arthur J) and Co 249,900
3,800 Guaranty National Corp 66,975
5,700 Hilb Rogal and Hamilton Co 75,525
2,800 Home Beneficial Corp Class B 65,100
12,700 Horace Mann Educators 360,363
6,400 Independent Insurance Group 161,600
6,100 Integon Corp (a) 103,700
3,600 John Alden Financial Corp 75,600
1,900 Kansas City Life Insurance Co 94,050
8,600 Liberty Corp 283,800
9,000 Life Re Corp 181,125
3,200 Markel Corp * 217,600
9,800 National Re Corp 311,150
14,700 Old Republic International Corp 406,088
4,200 Orion Capital 176,400
9,500 Penncorp Financial Group Inc 216,125
22,700 Presidential Life Corp 198,625
23,100 Protective Life Corp 658,350
13,800 Provident Life and Accident Insurance Co Class B 360,525
8,100 Reinsurance Group of America 273,375
24,439 Reliastar Financial Corp 928,682
4,875 RLI Corp 109,688
4,400 Scor U S Corp 48,400
7,700 Selective Insurance Group 263,725
7,100 Transatlantic Holdings Inc 497,000
2,900 Twentieth Century Industries * 45,675
8,720 United Cos Financial Corp 542,820
14,650 USLIFE Corp 631,781
5,200 Zenith National Insurance Corp 118,950
11,929,358
MACHINERY - 1.8%
30,400 Ametek Inc 532,000
5,600 Applied Power Inc Class A 185,500
1,700 Baldwin Technology Co Inc Class A * 10,306
5,900 Cascade Corp 91,450
3,850 Commercial Intertech Corp 77,481
700 Gleason Corp 23,450
1,250 Gorman Rupp Co 18,594
3,850 Graco Inc 117,906
6,450 Idex Corp 259,613
6,900 Kaydon Corp 210,450
1,000 Lindsay Manufacturing Co * 34,500
15,900 Presstek Inc * (a) 822,825
5,100 Regal Beloit Corp 95,625
4,700 Tecumseh Products Co Class B 216,347
2,100 Tennant Co 56,175
2,752,222
MANUFACTURING - 4.3%
11,100 Alliant Techsystems Inc * 521,700
400 American Biltrite Inc 9,000
34,300 Ball Corp 1,166,200
2,400 Barnes Group Inc 99,000
3,400 Blessings Corp 42,925
14,700 BMC Industries 543,900
12,300 BW/IP Inc 219,863
4,900 Carlisle Corp 200,288
7,000 Carlisle Plastics Inc * 33,250
2,500 CSS Industries Inc * 46,563
7,300 Danaher Corp 240,900
21,700 Figgie International Class A * 279,388
25,700 Gibson Greetings Inc 369,438
1,400 Greif Brothers Corp 30,450
17,900 Kaman Corp Class A 214,800
4,100 Katy Industries Inc 38,950
2,700 Kysor Industrial Corp 58,050
2,600 Liqui-Box Corp 77,350
300 Mine Safety Appliances 15,900
6,545 Myers Industries 94,903
5,600 O'Sullivan Corp 61,600
5,800 Paxar Corp * 106,575
6,100 PEC Isreal Economic Corp * 156,313
200 Penn Engineering & Manufacturing Corp 19,200
10,400 Sealed Air Corp * 548,600
5,700 Sealright Inc 74,100
3,700 Sequa Corp Class A * 98,513
1,200 SPS Technologies Inc * 46,800
6,700 Standex International Corp 227,800
1,400 Starrett (L S) Co Class A 32,200
9,800 Synetic Inc * 219,275
9,600 Teledyne Inc 228,000
5,300 Tredegar Industries 162,313
3,900 Tyler Corp * 10,238
200 Versa Technologies 2,900
6,200 West Co Inc 185,225
6,482,470
OIL AND GAS - 2.2%
1,200 Atwood Oceanics Inc * 25,744
4,600 Bay State Gas Co 108,100
7,800 Berry Petroleum Class A 76,050
8,700 Cabot Corp 418,688
2,800 Cascade Natural Gas 39,550
3,600 Connecticut Natural Gas Corp 79,200
1,900 Crown Central Petroleum Class A * 30,400
3,300 Daniel Industries 50,738
1,400 El Paso Natural Gas Co 39,375
1,450 Equitable Resources Inc 40,419
800 FINA Inc Class A 37,000
7,600 Giant Industries Inc 79,800
2,700 Hondo Oil & Gas Co * (a) 54,000
1,500 Howell Corp 24,000
8,300 Indiana Energy Inc 172,225
11,300 Indresco Inc * 189,275
4,750 K N Energy 124,094
4,200 Laclede Gas Co 83,475
2,800 Madison Gas & Electric Co 92,400
9,100 National Fuel Gas 255,938
1,950 North Carolina Natural Gas 42,656
4,700 Northwest Natural Gas Co 145,700
8,400 Peoples Energy Corp 228,900
8,200 Piedmont Natural Gas Co 167,075
2,729 Southeastern Mich Gas Entrprise 52,524
5,400 Southern Indiana Gas & Electric 170,775
14,100 Ultramar Corp 333,113
3,200 United Cities Gas Co 49,600
7,700 Washington Energy 128,013
3,338,827
PAPER AND ALLIED PRODUCTS - 0.0%
100 American Filtona 3,050
PHARMACEUTICALS - 1.5%
10,700 AL Pharma Inc Class A 224,700
3,100 Allergan Inc 94,163
2,600 Copley Pharmaceutical Inc * 46,800
28,800 Genzyme Corp * (a) 1,609,200
13,804 ICN Pharmaceuticals Inc 279,524
2,100 Watson Pharmaceutical Inc * (a) 86,888
2,341,275
PRIMARY PROCESSING - 0.9%
5,300 Dexter Corp 131,175
2,500 Lea Ronal Inc 56,875
12,200 Lydall Inc * 291,275
3,000 NCH Corp 171,750
1,600 Olin Corp 103,400
2,700 Petrolite Corp 69,525
22,200 UNR Industries Inc 174,825
8,600 Valspar 344,000
1,342,825
PRINTING AND PUBLISHING - 1.0%
8,400 Central Newspapers Class A 238,350
11,500 Houghton Mifflin Co (a) 562,063
5,900 McClatchy Newspapers Inc 132,013
3,700 Plenum Publishing 131,350
6,800 Pulitzer Publishing Co 329,800
3,100 Wiley (John) and Sons Class A 175,538
1,569,114
REFINING - 1.6%
3,700 Ashland Coal 106,838
29,500 Diamond Shamrock Inc 785,438
4,700 Getty Petroleum Corp * 58,750
6,600 Holly Corp 149,325
5,900 Quaker State Corp 88,500
33,900 Tosco Corp 1,089,038
8,100 Valero Energy Corp 185,288
1,400 Vintage Petroleum Inc 28,000
2,491,177
RETAIL TRADE - 10.8%
24,150 Arbor Drugs Inc 452,813
4,525 Arctco Inc 61,653
7,600 Baker (J) Inc 67,450
4,800 Blair Corp 160,200
46,000 Bruno's Inc 477,250
3,100 Buckle (The) Inc * 51,150
17,800 Burlington Coat Factory Warehouse * 213,600
17,700 Caldor Inc * (a) 137,175
26,700 Casey's General Stores Inc 537,338
9,700 Claire's Stores Inc 209,763
11,800 CPI Corp 237,475
5,000 Crown Books * 45,000
700 Dart Group Corp Class A 58,188
4,700 Deb Shops Inc 17,038
4,000 Delchamps Inc 76,000
7,100 Designs Inc * 62,388
19,400 Dress Barn Inc * 184,300
4,000 Edison Brothers Stores Inc 13,000
18,700 Egghead Inc * 224,400
1,900 Express Scripts Inc Class A * 70,300
30,100 Family Dollar Stores 549,325
39,000 Fastenal Co (a) 1,287,000
10,000 Fay's Inc 80,000
13,000 General Host Corp * 81,250
3,380 Genovese Drug Stores Inc Class A 35,068
13,100 Giant Food Inc Class A 407,738
18,400 Good Guys Inc * 232,300
12,000 Goody's Family Clothing 168,000
17,200 Hancock Fabrics Inc 180,600
19,400 Hannaford Brothers Co 497,125
3,400 Hi-Lo Automotive Inc * 27,200
11,000 House of Fabrics * (a) 8,250
3,600 Ingles Markets 37,350
2,700 Intertan * (a) 24,975
16,000 Lands' End Inc * 278,000
1,200 La-Z-Boy Chair Co 34,050
18,400 Lechters Inc * 193,200
5,300 Lillian Vernon Corp 85,463
13,900 Longs Drugstores Corp (a) 514,300
25,900 MacFrugals Bargains Close Outs Inc * 433,825
11,600 Mercantile Stores 532,150
27,000 Micro Warehouse Inc * (a) 1,289,250
900 National Presto Industry * 38,250
1,500 Oshmans Sporting Goods * 19,125
800 Penn Traffic Co * 13,400
4,800 Phillips Van Heusen 70,800
25,300 Pier 1 Imports Inc 234,025
7,900 Proffitts Inc * 208,363
1,400 Richfood Holdings Inc 33,863
11,400 Rite Aid Corp 319,200
5,300 Ross Stores Inc 84,800
8,000 Ruddick Corp 214,000
11,000 Shopko Stores Inc 138,875
7,200 Smart & Final Inc 125,100
51,100 Southland Corp * 191,625
16,700 Stanhome Inc 517,700
55,725 Staples Inc * 1,427,953
3,200 Stein Mart Inc * 44,000
5,660 Strawbridge and Clothier Class A 103,295
14,600 Stride Rite Corp 164,250
6,000 Sun Television & Appliance 39,375
3,900 Syms Corp * 33,638
18,300 The Vons Co Inc * 409,463
11,600 Tiffany & Co 495,900
2,100 Trans World Entertainment Corp * 6,825
22,700 Tyco Toys Inc * 150,388
12,100 Value City Department Stores Inc * 92,263
15,600 Venture Stores Inc 91,650
26,300 Waban Inc * (a) 496,413
5,500 Weismarkets Inc 155,375
5,400 Younkers Inc * 93,150
16,345,964
SERVICES - 8.6%
4,100 ABM Industries Inc 105,575
12,300 Advo Inc 229,088
9,100 Allwaste * 48,913
11,100 American Business Information 210,900
17,700 American Media Inc Class A 106,200
3,600 Anthony Industries 72,450
3,900 Aquarion Co 90,188
8,900 Banta Corp 349,325
22,400 Belo (AH) Corp 786,800
1,200 Berlitz International Inc * 17,700
1,500 BET Holdings Inc Class A * 27,563
6,200 Borg-Warner Security Corp * 52,700
11,800 Bowne and Co Inc 213,875
3,100 C C H Inc 68,588
2,700 CACI International Inc Class A * 33,413
1,800 California Water Service Co 55,800
15,250 Casino America Inc * 221,125
1,550 Castle AM 33,713
9,700 CDI Corp * 195,213
5,300 Chemed Corp 186,825
18,629 Chris Craft Industries Inc 838,304
10,950 Concord EFS Inc 312,075
8,800 Dames and Moore Inc 123,200
8,800 Devon Group Inc * 353,100
3,900 Devry Inc 86,288
30,000 Electro Rent Corp 510,000
2,500 E-Town Corp 67,188
28,600 Fleming Cos 832,975
8,800 Flightsafety International Inc 390,500
6,400 GRC International Inc * 156,800
40,300 Handleman Co 382,850
24,900 Harland (JH) Co 550,913
2,700 Horsehead Resources * 16,538
8,700 Ideon Group 92,438
15,600 International Dairy Queen Inc Class A * 329,550
2,600 International Shipholding Corp 64,025
500 IWC Resources Corp 9,500
5,000 Jenny Craig Inc * 47,500
2,500 Kellwood Co 51,563
6,100 Kelly Services 175,375
2,200 Kingworld Productions Inc * 83,600
11,600 Lee Enterprises Inc 459,650
400 Marcus Corp 12,600
7,700 McGrath Rentcorp 130,900
19,000 Mid American Waste Systems Inc * 102,125
3,000 Morningstar Group Inc * 25,875
7,500 Nash Finch Co 151,875
14,700 National Auto Credit Inc * 213,150
11,800 Nelson (Thomas) Inc (a) 300,900
5,600 Pacific Telecom Inc 167,300
15,600 PHH Corp 680,550
4,700 Philadelphia Suburban Corp 84,600
6,700 Republic Waste Industries * (a) 142,375
13,950 Rollins Inc 333,056
1,200 Roto Rooter Inc 37,200
2,000 Sevenson Environmental Services 35,000
7,900 Sizzler International Inc 47,400
13,500 Sonic Corp 276,750
6,000 Super Food Services Inc 79,500
1,400 Technology Solutions * 22,295
14,800 Tetra Technologies Inc * 205,350
2,800 Total System Services Inc 54,600
9,700 True North Communications Inc 208,550
4,300 Unifirst Corp 59,663
2,500 United Television Inc 211,250
7,248 United Water Resources Inc 94,224
1,000 Vallen Corp * 18,550
1,200 Volt Information Sciences Inc * 43,350
2,500 Wackenhut Corp 35,938
9,000 Western Waste Industries * 203,625
13,018,437
TECHNOLOGY - 13.6%
6,600 American Business Products 124,575
8,750 American Management Systems Inc 223,125
600 Aydin Corp * 10,050
8,000 Balder Electric 279,000
5,500 Brooktree Corp * 100,650
11,900 Burr Brown Corp 392,700
49,200 Cadence Design Systems Inc * (a) 1,783,500
5,000 Checkpoint Systems Inc * 120,000
17,300 Chips & Technology Inc * 237,875
6,300 Coherent Inc * 223,650
1,800 Cohu Inc 52,290
24,400 Comverse Technology Inc * 488,000
11,100 Continuum Co * 402,375
1,100 CTS Corp 34,788
1,600 Cubic Corp 38,600
47,900 Cypress Semiconductor Corp * (a) 2,185,438
5,400 Dell Computer Corp * 415,800
12,100 Digi International Inc * 341,825
2,000 Digital Systems International Inc * 20,000
5,700 Dionex Corp * 289,275
7,800 Donaldson Co Inc 197,925
3,200 Duplex Product * 22,800
2,200 Dynamics Corp of America 51,975
16,500 Dynatech Corp 330,000
9,800 Electro Scientific Industries * 330,750
9,600 Ennis Business Forms 124,800
3,200 Esterline Corp * 87,600
7,400 Exabyte * 111,925
4,300 Intersolv Inc * 84,925
17,800 Iomega Corp * (a) 422,750
13,100 Ionics Inc * (a) 515,813
9,300 Key Tronic Corp * 141,825
20,000 Kulicke & Soffa Industries 777,500
2,000 Landauer Inc 36,500
5,700 Lattice Semiconductor * 187,388
22,000 LTX Corp * 250,250
7,400 Marcam Corp * 83,250
46,100 Mentor Graphics Corp * 887,425
2,300 Microdyne Corp * 49,738
500 MTS Systems Corp 14,313
9,000 National Computer System Inc 184,500
13,500 Phoenix Technology Ltd * 146,813
18,500 Picturetel Corp * 1,040,625
7,300 Policy Management System Corp * 361,350
5,700 Printronix Inc * 163,875
22,000 Shared Medical 811,250
31,800 Silicon Valley Group Inc * 1,367,400
3,800 Stratus Computer Inc * 106,400
42,700 Symantec * (a) 1,232,963
21,900 System Software Associates Inc (a) 691,219
900 Tech System Corp * 26,213
1,200 Technitrol 20,400
1,600 Tekelec * 37,200
20,100 Trimble Navigation Ltd * 645,713
17,810 Vishay Intertechnology Inc * 721,305
19,900 X-Rite Inc 393,025
20,423,219
TOBACCO - 0.0%
900 Culbro Corp * 32,513
TRANSPORTATION - 0.6%
16,800 Air Express International Corp (a) 382,200
6,700 Expeditors International Wash Inc 155,775
10,300 Harper Group Inc 185,400
900 Oglebay Norton Co 31,050
7,500 Swift Transportation Co * 148,125
4,000 Worldcorp Inc * 48,000
950,550
UTILITIES - 8.6%
100 AES Corp * 1,850
14,300 American Water Works Co 427,213
11,100 Atlanta Gas Light (a) 409,313
15,100 Atlantic Energy Inc 286,900
4,600 Atmos Energy Corp 91,425
4,900 Black Hills Corp 118,825
8,100 Boston Edison Co 207,563
14,700 Brooklyn Union Gas Co 369,338
14,100 California Energy Co Inc * 294,338
14,300 Centerior Energy Corp 153,725
9,600 Central Hudson Gas & Electric 266,400
8,600 Central Louisiana Electric Inc 210,700
20,400 Central Maine Power 234,600
5,650 Central Vermont Public Service 77,688
4,900 Cilcorp Inc 175,175
1 Cinergy Corp 10
10,700 Cipsco Inc 351,763
2,400 Colonial Gas Co 46,800
4,900 Commonwealth Energy Systems 199,063
3,200 Connecticut Energy Corp 62,000
6,400 Delmarva Power and Light Co 139,200
24,600 Destec Energy Inc * 390,525
9,200 Eastern Enterprises 281,750
11,400 Eastern Utilities Associates 266,475
5,200 Empire District Electric Co 92,300
4,600 Energen Corp 100,625
1,300 Green Mountain Power Corp 34,125
9,000 Hawaiian Electric Industry Inc 325,125
10,600 Idaho Power Co 279,575
9,000 IES Industries 227,250
3,200 Interstate Power Co 78,400
9,200 Ku Energy Corp 250,700
1,400 LG&E Energy Corp 54,250
24,900 MCN Corp 463,763
6,600 MDU Resources Group Inc 199,650
24,482 Midamerican Energy Co 348,869
10,000 Minnesota Power & Light Co 268,750
15,700 Nevada Power Co 319,888
6,200 New Jersey Resources Corp 148,800
800 New York State Electric and Gas Corp 19,300
2,100 Northwestern Public Service Co 52,763
2,400 NUI Corporation 36,300
4,500 Orange and Rockland Utilities 147,938
4,000 Otter Tail Power Co 133,000
2,000 Pennsylvania Enterprises Inc 63,500
28,900 Portland General Electric Co (a) 693,600
7,000 Public Service Co of North Carolina 106,750
28,100 Public Services Co of New Mexico * 428,525
24,700 Rochester Gas and Electric Corp 549,575
14,100 Sierra Pacific Resources 303,150
2,800 South Jersey Industries 55,650
4,400 Southern California Water Co 79,200
1,200 St Joseph Light & Power 35,550
4,300 TNP Enterprises Inc 73,100
52,100 Tucson Electric Power Co * 156,300
12,000 UGI Corp (a) 256,500
6,700 United Illuminating Co 224,450
3,900 Utilicorp United Inc 105,788
13,900 Washington Gas Light 265,838
18,600 Washington Water Power (a) 288,300
5,200 Wicor Inc 152,750
9,500 Wisconsin Power & Light Holding Co 270,750
7,500 WPS Resources Corp 216,563
2,600 Yankee Energy System Inc 54,275
13,024,124
TOTAL STOCK (Cost $125,745,702) 144,004,451
PAR VALUE SHORT-TERM INVESTMENTS - 18.9%
REPURCHASE AGREEMENT - 4.2%
$ 6,399,278 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $6,400,220 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with
maturity dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $6,537,493. 6,399,278
U.S. GOVERNMENT - 0.1%
150,000 U.S. Treasury Bill, 5.29% due 11/30/95 (b) 148,020
CASH EQUIVALENTS - 14.6%
6,645,092 Bank of Boston Time Deposit, 5.95% due 9/1/95 6,645,092
1,996,180 Dreyfus Cash Management Money Market Fund Plus, A Shares, 1,996,180
1,794,188 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 1,794,188
6,760,989 National Westminster Time Deposit, 5.95% due 9/1/95 6,760,989
5,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 5,000,000
22,196,449
TOTAL SHORT-TERM INVESTMENTS (Cost $28,743,742) 28,743,747
TOTAL INVESTMENTS - 113.8%
(Cost $154,489,444) * * 172,748,198
Other Assets and Liabilities (net) - (13.8%) (20,995,634)
TOTAL NET ASSETS - 100.0% $ 151,752,564
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $154,489,444,
resulting in gross unrealized appreciation and depreciation of $21,734,816
and $3,476,062, respectively, and net unrealized appreciation of $18,258,754.
</TABLE>
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $125,745,702) (Note 1) $ 144,004,451
Short-term investments, at value (cost $28,743,742) (Note 1) 28,743,747
Receivable for investments sold 2,686,481
Receivable for variation margin on open futures contracts 11,253
Dividends and interest receivable 256,537
Receivable for expenses waived or borne by Manager (Note 2) 18,332
Total assets 175,720,801
LIABILITIES:
Payable for investments purchased 1,704,601
Payable upon return of securities loaned (Note 1) 22,190,110
Payable to affiliate for management fee (Note 2) 63,037
Accrued expenses 10,489
Total liabilities 23,968,237
NET ASSETS (equivalent to $14.92 per share based on 10,171,408
shares outstanding, unlimited shares authorized) $ 151,752,564
NET ASSETS CONSIST OF:
Paid-in capital $ 111,866,948
Accumulated undistributed net investment income 672,908
Accumulated undistributed net realized gain 20,882,092
Net unrealized appreciation 18,330,616
NET ASSETS $ 151,752,564
</TABLE>
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends $ 1,373,929
Interest (including securities lending income of $48,040) 279,414
Total income 1,653,343
EXPENSES:
Management fee (Note 2) 411,465
Custodian and transfer agent fees 51,897
Audit fees 24,678
Registration fees 4,115
Legal fees 2,835
Insurance 831
Trustee fee (Note 2) 368
Miscellaneous 188
Total expenses 496,377
Less: expenses waived or borne by Manager (Note 2) (101,368)
Net expenses 395,009
Net investment income 1,258,334
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments 19,661,163
Closed futures contracts 1,928,883
Net realized gain 21,590,046
Change in net unrealized appreciation (depreciation) on:
Investments 1,296,051
Open futures contracts (467,840)
Net unrealized gain 828,211
Net realized and unrealized gain 22,418,257
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 23,676,591
</TABLE>
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 1,258,334 $ 2,687,380
Net realized gain 21,590,046 14,687,241
Change in net unrealized appreciation (depreciation) 828,211 (8,564,992)
Net increase in net assets resulting from operations 23,676,591 8,809,629
Distributions to shareholders from:
Net investment income (1,292,502) (2,478,510)
Net realized gains (7,978,894) (13,249,265)
(9,271,396) (15,727,775)
Fund share transactions: (Note 5)
Proceeds from sale of shares 9,772,620 106,039,496
Net asset value of shares issued to shareholders
in payment of distributions declared 7,823,368 13,476,187
Cost of shares repurchased (116,029,266) (28,102,815)
Net increase (decrease) in net assets resulting
from Fund share transactions (98,433,278) 91,412,868
Total increase (decrease) in net assets (84,028,083) 84,494,722
NET ASSETS:
Beginning of period 235,780,647 151,285,925
End of period (including accumulated undistributed
net investment income of $672,908 and
$707,076, respectively) $ 151,752,564 $ 235,780,647
</TABLE>
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992*
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.61 $ 14.31 $ 12.68 $ 11.12 $ 10.00
Income from investment operations:
Net investment income (a) 0.14 0.20 0.21 0.22 0.04
Net realized and unrealized gain 2.11 0.34 2.14 1.59 1.08
Total from investment operations 2.24 0.54 2.35 1.81 1.12
Less distributions to shareholders:
From net investment income (0.11) (0.20) (0.22) (0.21) -
From net realized gains (0.82) (1.04) (0.50) (0.04) -
Total distributions (0.93) (1.24) (0.72) (0.25) -
NET ASSET VALUE, END OF PERIOD $ 14.92 $ 13.61 $ 14.31 $ 12.68 $ 11.12
TOTAL RETURN (B) 17.03% 4.48% 18.97% 16.46% 11.20%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 151,753 $ 235,781 $ 151,286 $ 102,232 $ 58,258
Net expenses to average
daily net assets (a) 0.48%** 0.48% 0.48% 0.49% 0.49%**
Net investment income to average
daily net assets (a) 1.53%** 1.55% 1.66% 2.02% 2.19%**
Portfolio turnover rate 49% 54% 30% 3% 0%
* For the period from the commencement of operations, December 31, 1991 to February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.01 $ 0.01 $ 0.02 $ 0.02 $ 0.01
(b) Calculation excludes subscription and redemption fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
</TABLE>
See accompanying notes to the financial statements.
GMO CORE II SECONDARIES FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Core II Secondaries Fund (the "Fund") is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940,
as amended, as an open-end, diversified management investment company. The
Trust was established as a Massachusetts Business Trust under the laws of
the Commonwealth of Massachusetts on June 24, 1985. The Declaration of
Trust permits the Trustees to create an unlimited number of series
("Funds"), each of which issues a separate series of shares. The following
is a summary of significant accounting policies consistently followed by
the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Short-term investments with a remaining maturity of sixty days or less are
valued at amortized cost which approximates market value. Other assets and
securities for which no quotations are readily available are valued at fair
value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P Mid Cap 400 index and on
such other domestic stock indices as the Manager may deem appropriate.
Stock index futures contracts represent commitments for future delivery of
cash based upon the level of a specified index of equity securities at a
given date. The Fund may use futures contracts to manage its exposure to
the stock markets. Buying futures tends to increase the Fund's exposure to
the underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instrument or hedge other Fund instruments. Upon
purchase of a futures contract, the Fund is required to deposit with its
custodian, in a segregated account in the name of the futures broker, an
amount of cash or U.S. Government obligations in accordance with the
initial margin requirements of the broker. Futures contracts are marked to
market daily and an appropriate payable or receivable for the change in
value ("variation margin") is recorded by the Fund. The payable or
receivable is liquidated on the following business day. Gains or losses are
recognized but not considered realized until the contracts expire or are
closed. Futures contracts involve, to varying degrees, risk of loss in
excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. See Note 6 for
all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults, the value of the collateral declines or
if the seller enters insolvency proceedings, realization of collateral by
the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear
the risk of delay in recovery or even loss of rights in the collateral
should the borrower of the securities fail financially. The Fund receives
compensation for lending its securities. At August 31, 1995, the Fund
loaned securities having a market value of $21,545,288, collateralized by
cash in the amount of $22,196,450, which was invested in short-term
instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision
for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income quarterly, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for futures transactions, partnership interests,
non-taxable dividends and losses deferred due to wash sales.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net
realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the
accrual basis. In determining the net gain or loss on securities sold, the
cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases and redemptions of Fund shares is .75% of the
amount invested and redeemed. The Manager may waive such premium to the
extent that a transaction results in minimal brokerage and transaction
costs to the Fund. All purchase and redemption premiums are paid to and
recorded as paid-in capital by the Fund. For the six months ended August
31, 1995, the Fund received $5,535 in purchase premiums and $352,588 in
redemption premiums. There is no premium for reinvested distributions or
in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager") for management and investment advisory services is paid monthly
at the annual rate of .50% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses (including the
management fee but excluding brokerage commissions and transfer taxes)
exceed .48% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $368. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the six months ended August 31, 1995,
aggregated $78,306,871 and $183,520,452, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 52% of the outstanding shares of the Fund were held by
four shareholders, each holding in excess of 10% of the Fund's outstanding
shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 702,032 7,782,253
Shares issued to shareholders in reinvestment
of distributions 561,743 1,047,874
Shares repurchased (8,418,103) (2,079,900)
Net (decrease) increase (7,154,328) 6,750,227
Fund shares:
Beginning of period 17,325,736 10,575,509
End of period 10,171,408 17,325,736
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995, is as
follows:
<TABLE>
<CAPTION>
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
<S> <C> <C> <C> <C>
46 S & P Mid Cap 400 September 1995 $ 4,855,300 $ 71,862
</TABLE>
At August 31, 1995, the Fund had cash and/or securities to cover any margin
requirements on these contracts.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
<S> <C> <C>
STOCK - 96.8%
AEROSPACE - 1.4%
25,000 Gencorp Inc 296,875
2,500 Lockheed Martin 152,188
52,500 Rockwell International Corp 2,349,375
2,798,438
AUTOMOTIVE - 2.1%
5,000 Chrysler Corp 269,375
5,000 Ford Motor Co * (a) 153,125
22,500 General Motors Corp 1,057,500
25,000 Intermet Corp * 278,125
125,000 Mascotech Industries Inc 1,640,625
37,500 Mascotech Industries Inc Convertible Preferred $1.20 (a) 562,500
25,000 TBC Corp * 237,500
4,198,750
BANKING AND FINANCIAL SERVICES - 6.9%
70,000 American Express Co 2,826,250
3,500 AT&T Capital Corp 110,688
15,000 Chase Manhattan Corp 862,500
35,000 Chemical Banking Corp 2,038,750
23,710 Citicorp 1,573,741
2,500 Citicorp Convertible Preferred 10.75% 456,250
14,947 Citicorp Convertible Preferred $1.21 (a) 298,940
12,500 First Interstate Bancorp 1,193,750
15,000 Great Western Financial (a) 350,625
5,000 John Nuveen and Company Inc Class A 118,125
5,000 Nationsbank Corp 306,875
5,000 PNC Bank Corp 131,250
25,000 Salomon 6.75% "DEC" Equity Linked Security (Elks) (b) 990,625
10,000 Shawmut National Corp 323,750
20,000 Time Warner Financing * 677,500
30,000 Travelers Inc 1,440,000
13,699,619
CHEMICALS - 2.0%
25,000 Albemarle Corp 409,375
25,000 Borden Chemical and Plastics LP 443,750
10,000 Cytec Industries Inc * 605,000
15,000 Georgia Gulf Corp 496,875
10,000 IMC Global Inc 632,500
15,000 Lubrizol Corp 465,000
10,000 Praxair Inc 260,000
25,000 Wellman Inc 637,500
3,950,000
COMMUNICATIONS - 0.1%
2,500 Time Warner Inc 105,313
COMPUTER AND DATA PROCESSING SERVICES - 0.7%
210,000 SHL System House * 1,391,250
COMPUTER AND OFFICE EQUIPMENT - 0.6%
1,500 Harris Corp Inc * 86,438
5,000 Moore Corp Ltd (a) 104,375
190,813
CONSTRUCTION - 0.9%
47,500 Owens Corning Fiberglass Corp * (a) 1,864,375
CONSUMER GOODS - 4.8%
25,000 American Safety Razor Co * 250,000
55,000 Black and Decker Corp 1,780,625
25,000 Burlington Industries Inc * 309,375
90,000 Eastman Kodak Co 5,186,250
35,000 Maytag Corp 542,500
13,500 Procter and Gamble Co (a) 936,563
25,000 Scotts Company Class A * 562,500
9,567,813
ELECTRONIC EQUIPMENT - 0.3%
5,000 Kuhlman Corp 58,750
10,000 Philips NV ADR (a) 450,000
508,750
ENERGY - 0.1%
10,000 Zeigler Coal Holding Co 126,250
FOOD AND BEVERAGE - 4.1%
7,500 Anheuser-Busch Cos Inc 428,438
5,250 Archer Daniels Midland Co 87,281
5,000 AuBon Pain Co Inc Class A * 45,000
25,000 Coca Cola Enterprises Inc 578,125
27,500 Coors (Adolph) Co 467,500
25,000 Darden Restaurants Inc * 256,250
5,000 Nabisco Holdings Corp Class A 143,125
47,500 Nestle SA ADR (a) 2,400,617
500,000 RJR Nabisco Holdings Convertible Preferred Series C 9.25% 3,000,000
15,000 Sara Lee Corp 416,250
13,000 Smith Food and Drug Center Class B 245,375
5,000 Wendys International Inc 98,125
8,166,086
FOREST PRODUCTS - 0.0%
3,500 Crown Vantage Inc * 84,875
HEALTH CARE - 3.1%
80,000 Baxter International Inc 3,120,000
75,000 Beverly Enterprises Inc * 993,750
15,000 Centocor Inc * 181,875
25,000 Community Psychiatric Centers 293,750
2,500 Johnson & Johnson 172,500
15,000 Laboratory Corporation America Holdings * 208,125
22,500 Owens and Minor Holdings Co 326,250
25,000 Perrigo Co * 337,500
10,000 Tenet Healthcare Corp * 158,750
7,500 Upjohn Co 317,813
6,110,313
INSURANCE - 8.9%
25,000 Aetna Life and Casualty Co 1,706,250
90,000 Alexander & Alexander Services Inc 2,081,250
25,000 Alexander & Alexander Services Inc Convertible Preferred
Series A $3.63 (a) 1,215,625
31,600 Allstate Corp 1,070,454
2,500 AON Corp 97,500
10,000 Cigna Corp 967,500
15,000 First Colony Corp 367,500
12,500 Gallagher (Arthur J) and Co 459,375
25,000 Kemper Corp 1,200,000
10,000 Liberty Corp 330,000
25,000 Life Re Corp 503,125
5,000 Lincoln National Corp 215,000
2,500 Loews Corp 328,438
12,500 National Re Corp 396,875
25,000 Ohio Casualty Corp 83,125
220,000 Reliance Group Holdings Inc 1,760,000
25,000 Sedgwick Group ADR (a) 234,298
15,000 TIG Holdings Inc 384,375
20,000 Transamerica Corp 1,360,000
50,000 USF & G Corp 906,250
5,000 USLIFE Corp 215,625
25,000 Washington National Corp 568,750
75,000 Willis Corroon Group Plc ADR (a) 796,875
9,800 Zurich Reinsurance Centre Inc * 289,100
17,537,290
MACHINERY - 1.8%
5,000 Allegheny Ludlum Corp 105,000
50,000 CBI Industries Inc 1,225,000
10,000 Cincinnati Milacron Inc 331,250
15,000 Cummins Engine Inc (a) 588,750
15,000 FMC Corp * (a) 1,155,000
15,000 Giddings and Lewis Inc 245,625
3,650,625
MANUFACTURING - 8.6%
30,000 Corning Inc (a) 978,750
2,500 Emerson Electric 178,438
25,000 Fleetwood Enterprises Inc 490,625
25,000 General Electric Co 1,471,875
50,000 Griffon Corp * 400,000
30,000 International Business Machines Corp 3,101,250
5,000 Minnesota Mining and Manufacturing 273,125
100,000 Teledyne Inc 2,375,000
2,125 Teledyne Inc Preferred Series E $1.20 31,344
30,000 Tenneco Inc 1,455,000
25,000 United Technologies Corp 2,084,361
62,500 Westinghouse Electric Corp 851,563
250,000 Westinghouse Electric Corp Convertible Preferred $1.30 144A 3,375,000
17,066,331
METALS AND MINING - 2.8%
10,000 Alcan Aluminum Ltd (a) 326,250
12,500 Asarco Inc 404,688
5,000 Battle Mountain Gold Convertible Preferred $3.25 273,125
25,000 Brascan Ltd 409,375
10,000 Cyprus Amax Minerals Co (a) 280,000
5,000 Echo Bay Financial Convertible Preferred Series A $1.75 157,500
25,000 Falconbridge Ltd 532,763
50,000 Freeport-McMoran Corp Preferred 1,793,750
2,500 Inco Ltd 87,500
4,500 Newmont Mining Corp 195,750
25,000 Pittston Minerals Group 296,875
15,000 Placer Dome Inc (a) 391,875
6,000 Santa Fe Pacific Gold Corp 72,750
25,000 Sherritt Inc * 297,788
5,519,989
OIL AND GAS - 7.4%
10,000 Amerada Hess Corp 473,750
5,000 Atlantic Richfield Co 545,625
15,000 Atlantic Richfield Co Convertible Preferred 9.00% 401,250
10,000 Dresser Industries Inc 240,000
25,000 Enserch Corp 409,375
10,000 Halliburton Co 423,750
5,000 Kerr-McGee Corp 275,000
95,000 Lasmo Plc ADR 771,875
20,500 Mitchell Energy Class A 369,000
15,000 Mitchell Energy Class B 262,500
125,000 Noram Energy Corp 890,625
20,000 Noram Energy Corp Convertible Preferred Series A $3.00 770,000
30,000 Occidental Petroleum Corp 652,500
25,000 Oryx Energy Co * 337,500
10,000 Questar Corp 305,000
15,000 Reading and Bates Corp Preferred $1.625 538,125
25,000 Santa Fe Energy Resources Inc Convertible Preferred 8.25% 240,625
5,000 Seagull Energy Corp * 100,625
10,000 Texaco Inc 647,500
55,000 Unocal Corp 1,601,875
25,000 Unocal Corp Convertible Preferred $3.50 144A 1,371,875
75,000 USX - Marathon Group 1,546,875
20,000 USX-Delhi Group 212,500
25,000 Westcoast Energy Inc 381,250
15,000 Williams Companies Inc 549,375
12,500 YPF Sociedad Anonima ADR 220,313
14,538,688
PAPER AND ALLIED PRODUCTS - 3.4%
25,000 Boise Cascade Corp Preferred Series G $1.58 890,625
5,000 Champion International Corp 283,125
5,000 International Paper Co 409,375
35,000 James River Corp 1,216,250
92,500 James River Corp Convertible Preferred 9.00% 3,064,063
10,000 Pope and Talbot 156,250
15,000 Weyerhaeuser Co 690,000
6,709,688
PHARMACEUTICALS - 1.3%
15,000 Allergan Inc 455,625
15,000 Glaxo Plc ADR (a) 356,250
17,500 Lilly (Eli) & Co 1,432,813
10,000 Teva Pharmaceutical ADR 378,750
2,623,438
PRIMARY PROCESSING - 2.2%
25,000 Armco Inc * 156,250
5,000 Armco Inc Convertible Preferred $3.625 251,875
15,000 Bethlehem Steel Corp * 219,375
5,000 Dow Chemical Co 370,000
10,000 Du Pont (E I) De Nemours & Co Inc 653,750
25,000 National Steel Corp Class B * 418,750
25,000 Northwestern Steel and Wire * 243,750
9,000 Olin Corp 581,625
50,000 Republic Engineered Steels * 343,750
15,000 USX-US Steel Group Inc 491,250
100,000 Weirton Steel Corp * 562,500
4,292,875
PRINTING AND PUBLISHING - 0.2%
7,500 Dun and Bradstreet Corp 434,063
REAL ESTATE - 3.7%
50,000 AMLI Residential Properties Trust 943,750
50,000 Crown American Realty 412,500
50,000 Debartolo Realty Corp 706,250
25,000 Irvine Apartment Communities 453,125
87,500 JP Realty Inc 1,760,938
25,000 Regency Realty Corp 446,875
75,000 Summit Properties Inc 1,368,750
60,000 Walden Residential Properties Inc 1,132,500
7,224,688
REFINING - 1.3%
7,500 Ashland Inc (a) 245,625
25,000 Ashland Inc Convertible Preferred $3.125 1,331,250
15,000 Imperial Oil Ltd 538,125
20,000 Quaker State Corp 300,000
8,184 Sun Co Inc 217,899
2,632,899
RETAIL TRADE - 4.1%
20,000 American Stores Co 587,500
2,500 Dayton Hudson Corp 182,813
45,000 Federated Department Stores * 1,215,000
50,000 Food Lion Inc 287,500
75,000 Kmart (a) 1,021,875
115,000 Price/Costco Inc * 1,940,625
15,000 Sears Roebuck & Co 485,625
10,000 The Limited Inc 185,000
15,000 TJX Cos Inc 187,500
75,000 Wal-Mart Stores Inc 1,846,875
7,500 Williams-Sonoma Inc * 146,250
8,086,563
SERVICES - 1.2%
20,000 Anthony Industries 402,500
10,000 Cordiant Plc * 51,250
25,000 Host Marriott Corp * 287,500
25,000 International Technology Corp * 81,250
15,000 International Technology Corp Convertible Preferred 7.00% 307,500
25,000 Morningstar Group Inc * 215,625
15,000 Ogden Corp 348,750
25,000 Pinkertons Inc * 435,938
15,400 Wackenhut Corp Class B 198,275
2,328,588
TECHNOLOGY - 5.7%
10,000 Advanced Micro Devices 337,500
42,500 Avnet Inc 2,188,750
25,000 Cray Research Inc * 581,250
35,000 Data General Corp * 341,250
83,500 Digital Equipment Corp * 3,486,125
15,000 Fisher Scientific 489,375
10,000 Intel Corp 613,750
10,000 Novell Inc * 180,000
10,000 Storage Technology Corp * 273,750
7,500 Storage Technology Convertible Preferred 7.00% 464,063
200,000 Tandem Computers Inc * 2,450,000
5,000 Xerox Corp 603,750
12,009,563
TELECOMMUNICATIONS - 5.7%
15,000 Airtouch Communications Inc * 487,500
15,000 AT & T Corp 847,500
10,000 BCE Inc 321,250
5,000 Bell Atlantic Corp 298,750
15,000 Comsat Corp 348,750
125,000 GTE Corp 4,578,125
65,000 MCI Communications Corp 1,564,063
25,000 Pacific Telesis Group 709,375
15,000 Sprint Corp Convertible Preferred 8.25% 508,125
25,000 Tele-Communications Class A * 462,500
5,000 Tele-Communications Liberty Media Group Class A * 132,813
25,000 US West Inc (a) 1,087,500
11,346,251
TOBACCO - 0.7%
10,000 American Brands Inc 420,000
2,000 BAT Industries Plc ADR 31,500
55,000 Hanson Plc ADR (a) 941,875
1,393,375
TRANSPORTATION - 3.6%
15,000 AMR Corp * 1,057,500
85,000 Canadian Pacific Ltd 1,434,375
5,000 Consolidated Freightways Inc (a) 129,375
5,000 Delta Air Lines Inc (a) 371,875
1,000 Delta Air Lines Inc Convertible Preferred Series C $3.50 58,625
20,000 Hunt (JB) Transportation Services Inc 320,000
25,000 Navistar International Corp * 325,000
25,000 Navistar International Corp Preferred $6.00 (a) 1,346,875
10,000 Overseas Shipholding Group Inc 208,750
5,000 Pittston Services Group 126,875
25,000 Ryder System Inc 606,250
25,000 Southern Pacific Rail Corp * 612,500
15,000 USAir Group Inc * 121,875
15,000 USAir Group Inc Convertible Preferred Series B $4.38 450,000
7,169,875
UTILITIES - 7.1%
55,000 Centerior Energy Corp 591,250
35,000 Cinergy Corp 896,875
5,000 CMS Energy Corp (a) 123,125
20,000 Detroit Edison Co 612,500
25,000 DPL Inc 556,250
50,000 Entergy Corp 1,200,000
10,000 General Public Utilities 286,250
5,000 Illinova Corp 125,625
150,000 Niagara Mohawk Power Corp 1,800,000
22,500 Northeast Utilities 514,688
25,000 Ohio Edison Co 540,625
25,000 PacifiCorp (a) 453,125
115,000 Panhandle Eastern Corp 2,875,000
25,000 Public Service Enterprise Group Inc 687,500
25,000 Public Services Co of New Mexico * 381,250
25,000 Southern Co (a) 528,125
25,000 Texas Utilities Co 868,750
50,000 TransCanada Pipeline Ltd 681,250
10,500 Unicom Corp 295,313
14,017,501
TOTAL STOCK (Cost $161,912,591) 191,344,935
PAR VALUE LONG-TERM DEBT - 0.5%
HEALTH CARE - 0.5%
$ 2,500,000 Roche Holdings Inc, 0.00% due 4/20/10 990,625
TOTAL LONG-TERM DEBT (Cost $913,590) 990,625
SHORT-TERM INVESTMENTS - 10.1%
REPURCHASE AGREEMENT - 2.2%
4,284,958 Salomon Brothers Repurchase Agreement, dated
8/31/95, due 9/1/95, with a maturity value of $4,285,589
and an effective yield of 5.30%, collateralized by a U.S.
Treasury Obligations with rates ranging from 6.25% to
6.50%, with maturity dates ranging from 4/30/97 to
8/15/23 and with an aggregate market value of $4,377,507. 4,284,958
CASH EQUIVALENTS - 7.9%
5,701,044 Bank of Boston Time Deposit, 5.95% due 9/1/95 5,701,044
1,400,066 Dreyfus Cash Management Money Market Fund Plus, A Shares 1,400,066
1,258,395 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 1,258,395
4,208,482 National Westminster Time Deposit, 5.95% due 9/1/95 4,208,482
3,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 3,000,000
15,567,987
TOTAL SHORT-TERM INVESTMENTS (Cost $19,852,945) 19,852,945
TOTAL INVESTMENTS - 107.4%
(Cost $182,679,126) * * 212,188,505
Other Assets and Liabilities (net) - (7.4%) (14,618,626)
TOTAL NET ASSETS - 100.0% $ 197,569,879
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
144A Securities exempt from registration under Rule 144A
of the Securities Act of 1933. These securities may
be resold in transactions exempt from registration,
normally to qualified institutional buyers.
(a) All or a portion of this security is on loan.
(b) A derivative security whose price is linked to the
common stock of Digital Equipment Corporation.
Interest is paid quarterly at an annual rate of
6.75% of the offering price of $37.50. The
redemption value is determined by the ten days'
average closing prices of Digital Equipment common
stock but not to exceed $50.625.
* Non-income producing security.
** The aggregate identified cost for federal income
tax purposes is $182,679,126, resulting in gross
unrealized appreciation and depreciation of
$34,121,416 and $4,612,037, respectively, and net
unrealized appreciation of $29,509,379.
</TABLE>
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $162,826,181) (Note 1) $ 192,335,560
Short-term investments, at cost (Note 1) 19,852,945
Receivable for investments sold 740,463
Dividends and interest receivable 737,271
Receivable for expenses waived or borne by Manager (Note 2) 9,393
Total assets 213,675,632
LIABILITIES:
Payable for investments purchased 376,255
Payable upon return of securities loaned (Note 1) 15,566,573
Payable to affiliate for management fee (Note 2) 123,006
Accrued expenses 39,919
Total liabilities 16,105,753
NET ASSETS (equivalent to $14.02 per share based on 14,091,776
shares outstanding, unlimited shares authorized) $ 197,569,879
NET ASSETS CONSIST OF: $ 161,648,644
Paid-in capital
Accumulated undistributed net investment income 1,197,547
Accumulated undistributed net realized gain 5,214,309
Net unrealized appreciation 29,509,379
NET ASSETS $ 197,569,879
</TABLE>
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of withholding taxes of $30,274) $ 3,266,380
Interest (including securities lending income of $6,453) 143,737
Total income 3,410,117
EXPENSES:
Management fee (Note 2) 718,819
Custodian and transfer agent fees 29,484
Audit fees 22,088
Legal fees 3,369
Registration fees 1,106
Insurance 1,013
Trustee fee (Note 2) 368
Miscellaneous 277
Total expenses 776,524
Less: expenses waived or borne by Manager (Note 2) (57,705)
Net expenses 718,819
Net investment income 2,691,298
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 6,036,757
Change in net unrealized appreciation (depreciation) on investments 17,909,814
Net realized and unrealized gain on investments 23,946,571
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 26,637,869
</TABLE>
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,691,298 $ 4,916,741
Net realized gain 6,036,757 7,371,472
Change in net unrealized appreciation (depreciation) 17,909,814 1,387,837
Net increase in net assets resulting from operations 26,637,869 13,676,050
Distributions to shareholders from:
Net investment income (2,383,879) (4,583,693)
Net realized gains (3,210,933) (7,395,946)
(5,594,812) (11,979,639)
Fund share transactions: (Note 5)
Proceeds from sale of shares - 39,104,294
Net asset value of shares issued to shareholders
in payment of distributions declared 3,655,915 8,303,555
Cost of shares repurchased (10,000,000) (14,000,000)
Net increase (decrease) in net assets resulting
from Fund share transactions (6,344,085) 33,407,849
Total increase in net assets 14,698,972 35,104,260
NET ASSETS:
Beginning of period 182,870,907 147,766,647
End of period (including accumulated undistributed
net investment income of $1,197,547 and
$890,128, respectively) $ 197,569,879 $ 182,870,907
</TABLE>
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992*
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.54 $ 12.49 $11.71 $ 10.82 $ 10.00
Income from investment operations:
Net investment income (a) 0.19 0.34 0.27 0.30 0.11
Net realized and unrealized gain 1.69 0.55 1.64 1.32 0.77
Total from investment operations 1.88 0.89 1.91 1.62 0.88
Less distributions to shareholders:
From net investment income (0.17) (0.32) (0.28) (0.30) (0.06)
From net realized gains (0.23) (0.52) (0.85) (0.43) --
Total distributions (0.40) (0.84) (1.13) (0.73) (0.06)
NET ASSET VALUE, END OF PERIOD $ 14.02 $ 12.54 $12.49 $ 11.71 $ 10.82
TOTAL RETURN (B) 15.17% 7.75% 16.78% 15.66% 8.87%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $197,570 $182,871 $147,767 $ 62,339 $ 32,252
Net expenses to average
daily net assets (a) 0.75%** 0.75% 0.75% 0.73% 0.62%**
Net investment income to average
daily net assets (a) 2.81%** 2.84% 2.32% 2.77% 3.43%**
Portfolio turnover rate 15% 49% 65% 83% 33%
* For the period from the commencement of operations, October 31, 1991 through February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following per
share amounts: $ - $ 0.01 $ 0.01 $ 0.03 $ 0.03
(b) Calculation excludes subscription fees. The total returns would have been lower had certain
expenses not been waived during the periods shown.
</TABLE>
See accompanying notes to the financial statements.
GMO FUNDAMENTAL VALUE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Fundamental Value Fund (the "Fund") is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940,
as amended, as an open-end, diversified management investment company. The
Trust was established as a Massachusetts Business Trust under the laws of
the Commonwealth of Massachusetts on June 24, 1985. The Declaration of
Trust permits the Trustees to create an unlimited number of series
("Funds"), each of which issues a separate series of shares. The following
is a summary of significant accounting policies consistently followed by
the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Short-term investments with a remaining maturity of sixty days or less are
valued at amortized cost which approximates market value. Other assets and
securities for which no quotations are readily available are valued at fair
value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may purchase futures contracts on the S&P 500 index. Stock index
futures contracts represent commitments for future delivery of cash based
upon the level of a specified index of equity securities at a given date.
The Fund may use futures contracts to manage its exposure to the stock
markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instrument or hedge other Fund instruments. Upon
purchase of a futures contract, the Fund is required to deposit with its
custodian, in a segregated account in the name of the futures broker, an
amount of cash or U.S. government obligations in accordance with the
initial margin requirements of the broker. Futures contracts are marked to
market daily and an appropriate payable or receivable for the change in
value ("variation margin") is recorded by the Fund. The payable or
receivable is liquidated on the following business day. Gains or losses are
recognized but not considered realized until the contracts expire or are
closed. Futures contracts involve, to varying degrees, risk of loss in
excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. At August 31,
1995, the Fund had no outstanding futures contracts.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults, the value of the collateral declines or
if the seller enters insolvency proceedings, realization of collateral by
the Fund may be delayed or limited.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values
and/or coupons are linked to the prices of other securities, securities
indicies, or other financial indicators. The Fund uses indexed securities
to increase or decrease its exposure to different underlying instruments
and to gain exposure to markets that may be difficult to invest in through
conventional securities. Indexed securities may be more volatile than their
underlying instruments, but any loss is limited to the amount of the
original investment.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear
the risk of delay in recovery or even loss of rights in the collateral
should the borrower of the securities fail financially. The Fund receives
compensation for lending its securities. At August 31, 1995, the Fund
loaned securities having a market value of $14,620,090, collateralized by
cash in the amount of $15,567,987, which was invested in short-term
instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision
for federal income or excise tax is necessary. Taxes on foreign dividend
income have been withheld in accordance with the applicable country's tax
treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income quarterly, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. Distributions in excess of tax basis
earnings and profits will be reported in the Fund's financial statements as
a return of capital. Furthermore, differences in the recognition or
classification of income between the financial statements and tax earnings
and profits which result in temporary over-distributions for financial
statement purposes are classified as distributions in excess of net
investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the
accrual basis. In determining the net gain or loss on securities sold, the
cost of securities is determined on the identified cost basis. Premiums and
market discounts are amortized and accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount
invested. The Manager may waive such premium to the extent that a
transaction results in minimal brokerage and transaction costs to the Fund.
All purchase premiums are paid to and recorded as paid-in capital by the
Fund. For the six months ended August 31, 1995, the Fund did not receive
any purchase premiums. There is no premium for cash redemptions, reinvested
distributions or in-kind transactions.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager") for management and investment advisory services is paid monthly
at the annual rate of .75% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses (including the
management fee but excluding brokerage commissions and transfer taxes)
exceed .75% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $368. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the six months ended August 31, 1995,
aggregated $27,610,960 and $32,684,228, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 95% of the outstanding shares of the Fund were held by
four shareholders each holding in excess of 10% of the Fund's outstanding
shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold -- 3,213,626
Shares issued to shareholders in reinvestment
of distributions 269,783 706,233
Shares repurchased (759,934) (1,169,385)
Net increase (490,151) 2,750,474
Fund shares:
Beginning of period 14,581,927 11,831,453
End of period 14,091,776 14,581,927
</TABLE>
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
<C> <S> <C>
STOCK AND EQUIVALENTS - 86.6%
AUSTRALIA - 5.0%
34,614 Amcor Ltd 269,973
595,837 Ampolex Ltd 1,413,014
293,400 Ashton Mining Ltd 404,222
4,018,931 Australia and New Zealand Banking Group Ltd 16,338,520
488,626 Australian National Industry Ltd 430,399
2,803,538 Boral Ltd 7,155,081
415,687 Burns Philp & Co Ltd 885,648
161,022 Caltex Australia Ltd 498,236
2,766,315 Coles Myer Ltd 8,976,092
48,200 Comalco Ltd 246,028
219,671 Commonwealth Bank of Australia 1,625,678
349,782 Crusader Ltd * 339,700
3,005,226 CSR Ltd 10,633,675
224,407 Email Ltd 599,754
80,027 Energy Resources of Australia Class A * 242,198
12,096,954 Fosters Brewing Group Ltd 11,292,917
1,928,912 Goodman Fielder Ltd 1,757,139
381,367 Hardie (James) Industries Ltd 657,487
99,852 Metal Manufactures Ltd 240,555
878,262 Mim Holdings Ltd 1,256,279
5,057,651 News Corp Ltd 29,090,462
2,468,286 News Corp Ltd Preferred 1.19% (a) 12,747,587
709,203 North Ltd 2,002,213
621,091 Pacific Dunlop Ltd 1,468,227
93,591 Pacific Magazines and Printing 184,605
1,063,266 Pasminco Ltd * 1,352,811
5,569,570 Pioneer International Ltd 14,507,954
150,942 Publishing & Broadcasting Ltd 460,229
1,774,906 QCT Resources Ltd 2,164,705
196,376 Renison Goldfields Consolidated 820,521
48,850 Rothmans Holdings 173,218
1,786,173 Santos Ltd 4,719,968
371,543 Schroders Property * 575,684
1,459,549 Schroders Property Fund 2,362,466
153,701 Seven Network Ltd 393,427
127,320 Smith (Howard) Ltd 609,624
40,000 Sons of Gwalia Ltd 199,355
370,053 Southcorp Holdings Ltd 788,422
852,307 Stockland Trust Group 1,957,061
647,700 TNT Ltd (a) * 882,594
2,656,821 Western Mining Corp Holdings Ltd 17,861,674
888,722 Westfield Trust Units 1,565,634
691,491 Westpac Banking Corp 2,602,945
164,753,981
Austria - 1.6%
2,055 Allgemeine Baugesellschaft AG 248,615
2,677 Allgemeine Baugesellschaft AG Preferred 7.00% 136,023
6,353 Austrian Airlines * 1,039,132
36,418 Bank Austria AG (Participating Certificate) 1,233,642
36,991 Bau Holding AG (Non Voting) 1,901,060
38,214 Brau Union AG 2,134,044
3,674 BWT AG 447,327
63,744 Creditanstalt-Bankverein 3,473,384
48,894 Creditanstalt-Bankverein Preferred 1.65% 2,517,517
5,634 EA-Generali AG 1,657,660
3,300 EA-Generali AG Preferred 6.00% 530,185
22,261 EVN Energie-Versorgung Niederoesterreich AG 2,906,443
1,361 Jenbacher Werke AG 225,247
11,946 Lenzing AG 1,075,253
20,074 Leykam-Muerztaler Papier und Zellstoff AG * 887,882
5,790 Miba Holding AG Preferred Series B 1.34% 235,921
56,908 OEMV AG 5,419,679
10,812 Oesterreichische Brau Beteiligungs AG 547,284
95,371 Oesterreichische Elektrizitaetswirschafts AG 6,470,525
127,706 Oesterreichische Laenderbank AG 10,135,153
33,592 Oesterreichische Laenderbank AG Preferred (Non Voting) 1,505,296
6,120 Perlmooser Zement 470,895
31,451 Radex-Heraklith AG 1,120,179
8,838 RAS Versicherungs AG 1,275,372
19,950 Steyr-Daimler-Puch AG * 359,138
4,528 Strabag Oesterreich AG 611,344
9,338 Universale Bau AG * 338,915
30,017 Veitsch-Radex AG 720,484
1,000 Wiener Allianz Versicherungs AG 222,120
10,047 Wienerberger Baustoffindustrie AG 2,358,051
52,203,770
BELGIUM - 0.4%
18,318 Banque Bruxelles Lambert (a) 2,907,278
1,297 Banque Nationale de Belgique 1,672,120
170 Bekaert SA 131,388
747 BQE Brux Lambert 116,332
4,000 Electrabel SA 848,668
1,800 GB-INNO-BM GIB Parts Soc. d'echange 77,453
2,400 Gevaert Photo-Producten NV 131,074
23,120 Groupe Bruxelles Lambert SA 2,953,895
1,750 Petrofina SA Bruxelles 521,315
23,577 Powerfin SA 2,520,641
5,847 Societe Generale De Belgigue 432,544
379 Tessenderlo Chemie 143,009
6 Tessenderlo Chemie (Participating Certificate) 2,221
12,457,938
CANADA - 1.9%
99,502 Abitibi-Price Inc 1,666,700
53,600 Air Canada Inc 199,516
176,205 Alberta Energy Ltd 2,689,151
10,300 Avenor Inc 229,081
107,503 Bank of Montreal 2,360,944
128,316 Bank of Nova Scotia 2,794,151
81,492 BCE Inc 2,623,882
48,600 Brascan Ltd Class A (Convertible) 795,980
16,200 Brunswick Mining & Smelt Ltd 173,367
21,700 Cae Industries Inc 145,394
17,100 Cambridge Shopping Centres Ltd 152,764
146,506 Canadian Imperial Bank of Commerce 3,599,254
28,200 Canadian Marconi Co 257,175
17,300 Canadian Tire Ltd Class A 209,287
22,200 Canfor Corp 237,577
30,900 CCL Industries Class B 293,300
248,011 Cominco Ltd 4,915,908
78,700 Dominion Textile Inc 541,950
327,918 Domtar Inc 3,082,051
21,700 Donohue Inc Class A 302,903
32,200 Edper Group Ltd Class A 112,667
6,400 Extendicare Inc 134,599
18,900 Falconbridge Ltd 402,764
155,907 Fletcher Challenge Class A 2,538,966
161,302 Gulf Canada Resources Ltd 735,511
59,500 Hees International Bancorp Inc 647,822
9,000 Hudsons Bay Co 180,905
21,300 Imasco Ltd 388,498
155,407 Imperial Oil Ltd 5,567,811
26,400 Inco Ltd 921,273
14,800 International Forest Products A * 128,085
5,800 IPL Energy Inc 133,315
349,019 Macmillan Bloedel Ltd 4,612,014
44,800 Mitel Corp 241,802
7,500 Molson Co Ltd Class A 126,326
134,604 National Bank of Canada 1,114,811
12,500 Noma Industries Ltd Class A 47,692
108,701 Noranda Forest Inc 859,816
44,100 Noranda Inc 894,640
95,402 Norcen Energy Resource 1,438,221
51,000 Numac Energy Inc 242,044
69,701 Petro Canada 687,540
34,900 Power Corp of Canada 535,874
25,700 Ranger Oil Ltd 145,887
33,900 Repap Enterprises Inc 249,218
2,900 Rio Algom Ltd 59,371
130,226 Royal Bank of Canada 2,896,335
22,300 Sceptre Resources Ltd 141,113
33,100 Sears Canada Inc 194,054
18,300 Sherritt Inc 217,979
13,700 Slocan Forest Products Ltd 123,665
5,500 Spar Aerospace Ltd 61,418
165,506 Teck Corp Class B 3,234,344
134,805 Toronto Dominion Bank 2,170,228
10,600 Total Petroleum North America 115,410
46,500 Transcanada Pipelines Ltd 640,424
52,601 United Dominion Inds Ltd 1,267,789
16,400 Westcoast Energy Inc 250,288
61,730,854
FINLAND - 0.6%
66,000 Amer Group Class A 1,124,261
35,500 Cultor OY Series 1 1,204,581
4,400 Huhtamaki 155,312
25,238 Instrumentarium Class A 580,494
13,891 Instrumentarium Class B 322,667
162,650 Kansallis-Osake-Pankki * 157,422
15,000 Kesko 167,382
2,400 Metra AB Class A 103,845
2,600 Metra AB Class B 110,723
119,844 Nokia Corp Class A 8,187,646
89,000 Partek AB 1,236,350
21,119 Rautaruukki 144,283
8,500 Sampo Insurance Company Ltd 452,956
15,900 Stockmann AB Series A 843,674
17,800 Stockmann AB Series B 810,721
83,950 Unitas Bank Ltd Class A * 238,975
95,200 Valmet 2,731,675
18,572,967
FRANCE - 6.4%
4,169 Accor SA 520,764
2,816 Agache Financiere * 736,402
8,530 Air Liquide 1,359,329
28 Air Liquide L Shares 4,462
175,791 Alcatel Alsthom Cie Generale d'Electricite SA 17,608,680
105,598 Axa SA 5,842,748
545,586 Banque Nationale de Paris 22,356,983
750 Bic SA 121,894
7,099 BIS SA * 659,098
21,992 Carrefour Supermarche SA 12,263,974
17,666 Club Mediterranee SA * 1,699,629
975 Colas SA 182,203
756,100 Compagnie de Suez SA 31,133,089
25,536 Credit Foncier De France (Bearer) (a) 682,443
144,684 Credit Lyonnais * 7,163,312
31,636 Credit National 2,204,468
5,540 CSF Thompson Temp (Participating Certificates) * 115,154
8,875 Dassault Electronique SA 358,408
12,416 Dollfus-Mieg and Cie 599,724
6,963 Elf Gabon 1,075,154
96,246 Elf Sanofi SA 5,942,617
38,828 Eridania Beghin-Say SA 5,734,077
2,180 Essilor International 368,116
3,700 Esso (France) 436,544
1,622 Europe 1 Communication 341,000
182,057 Financiere de Paribas SA 9,820,951
68,389 FINEXTEL 974,762
4,760 INGENICO SA 36,749
3,933 Labinal SA 607,293
137,373 Lafarge Coppee SA 10,252,325
4,263 Lefebvre (Jean) Entreprises 279,333
37,427 LVMH Louis Vuitton Moet Hennessy (a) 6,727,450
5,200 Metaleurop SA * 67,940
215,828 Michelin SA Class B 9,356,890
14,832 Moulinex SA * 327,969
2,225 Navigation Mixte SA 365,584
103 Navigation Mixte (Participating Certificate) 15,700
1,700 Nord-Est 43,413
16,923 Parisienne de Reescompte (CPR-Cie) 1,189,283
38,433 Pechiney International SA 921,357
41,527 Pechiney International SA Preferred 3.43% 2,688,178
62,520 Pernod-Ricard 3,922,120
102,493 Peugeot SA 13,533,175
1,190 Poliet SA 102,710
2,375 Radiotechnique 204,142
814 Saint Louis 240,260
1,306 Salomon SA 625,660
3,475 SEFIMEG (Registered) 196,056
6,472 SIMCO 521,450
291 SIMCO (Registered) 21,257
750 Skis Rossignol SA 178,907
2,750 Sligos SA 242,799
57,382 Societe Generale d 'Entreprise SA 1,533,519
98,271 Societe Generale Paris 10,252,166
23,936 SOVAC SA 1,795,852
117,541 SPIE Batignolles * 4,839,855
310,363 Thomson CSF 6,574,055
10,329 Total SA 606,061
10,815 UAP Co 252,846
8,310 Union Immobiliere de France 682,698
1,800 Vallourec * 90,472
51,927 Worms et Compagnie SA 2,282,054
211,883,563
GERMANY - 6.7%
2,450 AEG AG 242,607
38,340 Bankgesellschaft Berlin AG 9,988,466
225,910 Bayer AG 58,347,463
719,800 Bayer Vereinsbank AG 19,570,565
64,050 Bayerische Hypotheken-und Wechselbank AG 15,705,730
15,002 Bayerische Motorenwerke AG 8,341,535
304,500 Berliner Handels- und Frankfurter Bank * 7,843,826
19,544 Berliner Kraft und Licht AG Class A 4,655,392
400 Boss (Hugo) AG Preferred 3.84% 310,341
175 Colonia Konzern AG 148,042
96,570 Commerzbank AG 21,806,871
2,770 Daimler-Benz AG 1,367,703
20,000 Deutsche Bank AG 924,218
3,800 Didier-Werke AG * 352,496
18,500 Douglas Holding AG 688,706
1,229 Draegerwerk AG Preferred 2.29% 215,797
1,435,300 Dresdner Bank 37,949,709
300 Escada AG 63,702
1,100 Escada AG Preferred (Non Voting) 1.43% 218,600
1,070 GEA AG Preferred 3.13% 381,220
6,540 IKB Deutsche Industriebank AG 1,224,011
1,788 IKB Deutsche Industriebank AG New * 323,686
2,700 Kaufhalle AG * 334,434
750 Kaufhof AG Preferred (Non Voting) 5.59% 191,156
121,600 Klockner Humboldt Deutz * 865,645
800 Kugelfischer George Schaefer AG Preferred (Non Voting) * 111,614
4,150 Kugelfischer George Schaefer AG * 627,012
1,150 Linotype Hell AG * 228,928
2,075 Philips Kommunikations Industrie AG 720,216
12,180 Porsche AG Preferred (Non Voting) * 5,703,093
3,188 Porsche AG Preferred * 1,431,980
3,990 Puma AG Preferred * 1,181,237
1,870 Rheinmetall Berlin AG 317,532
1,620 Rheinmetall Berlin AG Preferred (Non Voting) 5.60% 212,788
1,500 RWE AG (Non Voting) 406,404
500 Salamander AG 93,919
39,500 Sap AG 6,008,269
38,000 Sap AG Preferred 5,617,178
12,320 Siemens AG 6,270,049
720 Varta AG * 142,153
2,400 Villeroy and Boch AG 480,212
3,725 Volkswagen AG Preferred .79% 860,678
222,475,183
HONG KONG - 4.8%
549,000 Amoy Properties Ltd (a) 492,901
1,103,000 Applied International Holdings Ltd 115,415
178,600 Applied International Holdings Ltd Warrants 12/30/99 * 11,075
1,615,000 Cathay Pacific Airways Ltd 2,430,532
1,500,000 Chinese Estates Holdings Ltd 1,017,310
398,775 Cross Harbour Tunnel Co Ltd 783,023
3,041,255 Dairy Farm International 2,828,367
4,472,000 Denway Investments 352,399
1,533,000 Dickson Concepts (International) Ltd 1,019,888
8,166,927 Elec and Eltek International Holdings Ltd * 1,192,175
212,262 Furama Hotel Enterprises Ltd 246,784
1,808,798 Goldlion Holdings Ltd (a) 911,292
200,000 Great Eagle Holdings Ltd 408,216
1,928,000 Hang Lung Development Co Ltd (a) 2,988,761
322,500 Harbour Centre Development Ltd 352,038
941,000 Henderson Land Development Co Ltd 5,117,698
995,720 Hong Kong and China Gas Co Ltd (a) 1,569,278
1,662,700 Hong Kong Ferry Co Ltd 1,782,768
2,087,000 Hong Kong Land Holdings 3,798,340
212,400 Hongkong Aircraft Engineering Co Ltd 499,377
798,000 Hongkong and Shanghai Hotels Ltd Preferred 1.95% (a) 974,176
1,391,900 Hongkong Electric Holdings Ltd 4,827,867
7,555,801 Hopewell Holdings Ltd (a) 5,466,023
3,630,000 Hutchison Whampoa Ltd (a) 17,491,151
940,000 Jardine International Motor Holdings Ltd 983,594
320,574 Jardine Strategic Warrants 5/02/98 * 145,861
74,000 Johnson Electric Holdings Ltd (a) 147,216
675,200 Kowloon Motor Bus Co Ltd 1,194,967
2,084,000 Kumagai Gumi Hong Kong Ltd 1,615,295
1,469,800 Lai Sun Garment (International) Ltd 1,518,977
201,000 Lane Crawford International Ltd Series A 301,201
250,000 Lane Crawford International Ltd Series B 32,296
1,276,000 Laws International Holdings Ltd 204,397
1,043,576 Mandarin Oriental 944,436
2,102,000 National Mutual Asia Ltd 1,507,053
1,693,721 New World Development Co Ltd 6,170,124
1,094,000 Playmate Toys Holding 233,187
615,539 Playmates Properties Holdings 86,673
379,748 Realty Development Corp Ltd Class A 1,089,059
13,348,913 Regal International Ltd (a) 2,414,220
1,349,600 San Miguel Brewery Ltd 784,550
1,200,000 Shun Tak Holdings Ltd 1,007,622
945,599 Sino Hotel Ltd 218,657
3,775,164 Sino Land Co Ltd (a) * 2,633,495
2,324,000 South China Morning Post Ltd 1,283,439
2,895,826 Stelux Holdings International 832,349
2,385,400 Sun Hung Kai Properties Ltd 17,333,516
4,938,136 Swire Pacific Ltd Class A 36,999,340
1,706,707 Tai Cheung Holdings Ltd 1,477,191
530,000 Television Broadcasts Ltd 1,958,145
5,505,944 Wharf Holdings Ltd (a) 15,825,766
412,000 Wing On International Holdings Ltd 734,479
1,094,500 Winsor Industrial Corp Ltd 1,201,815
1,191,000 World International Holdings Ltd 1,807,809
886,000 World Trade Centre Group Ltd 117,889
159,481,472
ITALY - 3.8%
3,972,100 Alitalia Linee Aeree Italiane Class A * 1,860,128
338,800 Alitalia Linee Aeree Italiane Class B (Private Placement) (c) * 102,294
93,060 Assicurazioni Generali SPA 2,239,201
2,970,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 6.39% 3,477,115
610,505 Banca Commerciale Italiana SPA 1,440,778
344,000 Banca Commerciale Italiana SPA (Non Convertible) 721,746
11,505,200 Banca di Roma (a) * 10,910,429
227,250 Banca Nazionale dell' Agricoltura di Risp * 78,415
735,500 Banca Nazionale dell'Agricoltura SPA (Non Convertible) * 249,261
509,050 Banca Nazionale dell'Agricoltura SPA (Private Placement) * 223,959
80,100 Banca Popolare di Bergamo Credit (a) 1,056,222
394,900 Banca Toscana * 854,089
6,517,690 Banco di Napoli (Non Convertible) * 2,979,934
3,500,000 Bastogi-IRBS SPA * 207,037
1,196,717 BCA Commitaliana Warrants 12/31/95 * 637,847
560,600 BCO Ambros Veneto Di Risp (Non Convertible) 753,041
540,200 Benetton Group SPA (a) 5,708,575
283,750 Caffaro SPA 336,570
570,500 Cartiere Burgo SPA 3,875,639
363,500 Cementir Cementerie del Tirreno SPA 346,052
639,843 COFIDE SPA (a) * 234,190
507,500 COFIDE SPA (Non Convertible) * 162,610
468,500 Cogefar Impresit Costruzioni Generali SPA (a) * 464,488
550,000 Comau Finanziaria SPA 813,360
222,500 Compagnia Italiana Grandi Alberghi (Non Convertible) * 123,253
83,967 Credito Fondiario 195,573
2,138,310 Credito Italiano (Non Convertible) 2,267,569
38,000 Danieli and Co SPA 238,598
173,000 Danieli and Co SPA (Non Convertible) 522,864
1,201,000 Edison SPA (a) 5,084,038
79,000 Editoriale l'Espresso SPA * 150,903
40,500 Ericsson SPA 663,813
200,000 Falck Acciaierie and Ferriere Lombarde * 389,427
2,727,000 Fiat SPA 10,023,159
2,061,000 Fiat SPA Preferred 4,654,371
2,484,500 Fiat SPA (Non Convertible) 5,327,547
698,550 FIDIS SPA 1,532,345
27,000 Filippo SPA * 16,554
222,000 Finmeccanica SPA (Non Convertible) * 142,264
1,450,876 Finmeccanica SPA * 1,046,878
510,000 Gemina SPA (Non Convertible) * 226,262
919,940 Gilardini SPA 1,779,911
658,000 Grassetto SPA * 408,286
4,887,850 Industriali Riunite SPA (a) * 3,538,871
2,037,000 Industriali Riunite (Cie) SPA (Non Convertible) * 930,076
795,710 Istituto Bancario San Paolo 4,287,693
397,500 Italcementi Fabbriche Riunite Cemento SPA 2,781,207
301,400 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 993,587
17,000 Magona d'Italia SPA 47,243
97,500 Marzotto and Figli SPA 618,801
1,980,000 Montedison SPA (Non Convertible) * 1,228,581
8,209,220 Montedison SPA * 6,105,457
535,000 Montefibre SPA 405,808
445,000 Montefibre SPA (Non Convertible) 255,007
297,500 Olivetti and Co SPA Preferred (a) * 324,466
1,697,700 Olivetti and Co SPA (a) * 1,436,285
738,000 Olivetti and Co SPA (Non Convertible) * 459,745
2,754,500 Parmalat Finanziaria SPA 2,442,376
2,359,975 Pirelli and Co 3,511,831
266,000 Pirelli and Co (Non Convertible) 273,720
407,000 Pirelli SPA (Non Convertible) * 420,568
332,200 Ratti SPA 650,932
21,100 Recordati Industria Chimica e Farmaceutica SPA 128,714
72,818 Recordati Industria Chimica e Farmaceutica SPA (Non Convertible) 242,293
442,100 Rinascente per l'Esercizio di Grandi Magazzini SPA Preferred 5.59% 1,171,381
394,000 Rinascente per l'Esercizio di Grandi Magazzini SPA (a) 2,323,364
356,600 Rinascente per l'Esercizio di Grandi Magazzini SPA (Non Convertible) 1,127,218
311,000 SAFFA SPA * 1,063,561
37,512 SAFILO SPA 312,042
428,033 Saipem SPA 936,299
298,000 Sasib SPA (a) 1,404,710
103,000 Sasib SPA (Non Convertible) 282,427
543,000 Sirti SPA 3,951,471
130,000 Snia BPD SPA (Convertible) 157,804
373,000 Snia BPD SPA (Non Convertible) 255,118
3,440,270 Snia BPD SPA * 4,218,467
675,540 Societa Metallurgica Italia (a) * 348,406
194,000 Sorin Biomedica SPA 514,019
116,900 Stefanel SPA 212,493
288,370 STET SPA (a) 884,888
14,000 Teleco Cavi SPA 58,661
252,000 Telecom Italia Mobile SPA (Non Convertible) (a) * 252,637
267,000 Telecom Italia Spa di Risp (a) 343,848
27,850 Tosi (Franco) SPA 263,502
175,260 Unione Cementi Marchino Emiliane e di Augusta-Casale (a) * 1,187,913
269,640 Unione Cementi Marchino Emiliane e di Augusta-Casale (Non Convertible) * 928,764
127,808,849
JAPAN - 18.8%
67,000 Ajinomoto Co Inc 690,969
109,000 Alps Electric Co Ltd 1,346,710
397,000 Amada Co Ltd 4,134,783
1,622,000 Aoki Corp * 7,900,077
50,800 Arabian Oil Co 2,111,155
258,000 Asahi Breweries Ltd (a) 2,976,872
50,000 Asics Corp * 152,652
19,000 Bank of Kyoto Ltd 137,744
188,000 Bank of Yokohama Ltd 1,476,204
211,000 Banyu Pharmaceutical Co Ltd 2,326,849
62,000 Brother Industries Ltd 325,400
54,000 Canon Sales Co Inc 1,439,118
126,000 Chiba Bank Ltd 1,183,642
36,944 Chubu Electric Power Co Inc 860,084
13,000 Chudenko Corp 511,053
76,000 Chugai Pharmaceutical Co 725,583
31,000 Chugoku Bank Ltd 538,112
17,400 Chugoku Electric Power Co Inc 415,745
595,000 Cosmo Oil Co Ltd (a) 3,098,484
240,500 CSK Corp 7,170,674
208,000 Dai Nippon Ink & Chemicals 921,754
510,000 Dai Nippon Printing Co Ltd 8,071,680
42,000 Dai Tokyo Fire and Marine Insurance Co Ltd 278,756
892,000 Daicel Chemical Industries Ltd 4,863,716
84,000 Daiichi Seiyaku Co Ltd 1,157,911
90,000 Daikin Industries Ltd 783,887
129,000 Daikyo Inc 1,039,271
50,000 Dainippon Pharmaceutical Co Ltd 506,458
41,000 Dainippon Screen Manufacturing Co Ltd * 334,079
36,000 Daito Trust Construction Co 448,461
237,000 Daiwa Bank Ltd (a) 1,938,398
105,000 Daiwa Kosho Lease 1,020,677
14,000 Dennys Japan 385,970
1,940 East Japan Railway Co 9,211,212
79,000 Eisai Co Ltd 1,274,519
14,000 Ezaki Glico Co Ltd 121,509
149,000 Fuji Heavy Industries Ltd * 594,874
292,000 Fuji Photo Film Co Ltd 7,304,845
830,000 Fujisawa Pharmaceutical Co Ltd 8,305,509
292,000 Fujita Corp 1,484,822
62,000 Fujita Kanko Inc 1,354,776
1,394,000 Fujitsu Ltd (a) 15,087,967
17,000 Fujiya Co Ltd * 72,906
2,000 Fukuoka City Bank Ltd 14,704
192,000 Fukuyama Transporting Co Ltd 1,727,186
172,000 Furukawa Electric Co Ltd 990,535
292,000 Gakken Co Ltd * 1,902,241
226,000 General Sekiyu (KK) 2,180,732
61,000 Green Cross Corp 473,375
578,000 Hankyu Corp (a) 3,246,031
45,000 Hankyu Department Stores (a) 574,361
220,000 Hanwa Co Ltd * 721,091
814,000 Haseko Corp 3,740,236
289,000 Hazama-Gumi Ltd 1,316,118
78,000 Heiwa Real Estate (a) 585,388
52,000 Higo Bank Ltd 422,117
97,000 Hiroshima Bank Ltd 533,854
289,000 Hitachi Cable Ltd 2,154,184
1,845,300 Hitachi Ltd 20,161,035
42,000 Hitachi Maxell Ltd 673,304
97,000 Hokkaido Bank Ltd 350,620
24,000 Hokkaido Takushoku 74,008
70,000 Hokuriku Bank Ltd 455,302
111,000 Honda Motor Co Ltd 1,972,124
11,000 House Food Corporation 208,914
114,000 Hoya Corp 3,270,945
6,000 Hyogo Bank Ltd (d) * -
273,000 INAX Corp 2,717,874
114,000 Intec Inc 1,571,450
365,000 Itochu Corp 2,265,993
29,000 Itoham Foods Inc 215,572
3,000 Izumiya Co Ltd 44,111
53,000 Japan Airport Terminal Co Ltd 611,528
1,031,000 Japan Energy Co Ltd 3,210,854
669,000 Japan Synthetic Rubber Co Ltd 3,825,394
874 Japan Tobacco Inc 7,398,234
166,000 Joshin Denki Co Ltd 2,118,752
217,000 Kajima Corp 2,189,166
26,000 Kaken Pharmaceutical Co Ltd 249,022
119,000 Kamigumi Co (a) 1,103,303
331,000 Kankaku Securities Co Ltd * 1,230,245
11,000 Kansai Paint Co Ltd 52,790
61,000 Kao Corp 703,834
338,000 Keihin Electric Express Railway (a) 2,105,274
435,000 Keio Teito Electric Railway Co Ltd (a) 2,567,315
184,000 Keisei Electric Railway (a) 1,495,523
1,050,000 Kinki Nippon Railway 8,630,724
373,000 Kirin Brewery Co Ltd Com 3,884,822
14,000 Kissei Pharmaceutical Co 447,440
19,000 Kobori Juken Co Ltd (a) 195,946
2,000 Koito Manufacturing Co Ltd 15,235
206,000 Kokusai Kogyo Co Ltd 1,918,334
60,000 Kokuyo Co 1,298,821
260,000 Komatsu Ltd 2,142,441
15,300 Konami Co (a) 312,452
92,000 Konica Corp 655,700
268,000 Koyo Seiko Co Ltd 2,405,391
2,319,000 Kumagai Gumi Co Ltd 11,058,079
654,000 Kurabo Industries Ltd 2,664,482
848,000 Kureha Chemical Industry Co Ltd 3,731,945
40,000 Kyodo Printing Co Ltd 457,446
139,000 Kyowa Hakko Kogyo Co Ltd 1,349,763
160,000 Lion Corp (a) 913,259
218,000 Maeda Corp (a) 2,337,265
274,000 Makino Milling Machine Co Ltd * 2,042,375
668,000 Marubeni Corp 3,424,067
274,000 Marudai Food Co Ltd 1,955,644
571,000 Marui Co Ltd 10,028,284
811,000 Matsushita Electric Industrial Co Ltd 12,669,934
606,000 Matsushita Electric Works Ltd (a) 6,249,655
280,000 Mazda Motor Corp (a) * 1,160,770
27,000 Meiji Milk Products 168,173
88,000 Meiji Seika Kaisha Ltd 522,959
86,000 Mercian Corp 597,131
693,000 Minebea Co Ltd 5,377,853
914,000 Mitsubishi Electric Corp 6,840,884
916,000 Mitsubishi Estate 10,756,114
704,000 Mitsubishi Gas Chemical Co Inc 2,947,261
2,743,000 Mitsubishi Materials Corp 13,612,069
424,000 Mitsubishi Oil Co (a) 3,632,368
157,000 Mitsubishi Rayon Co 650,860
489,000 Mitsubishi Trust & Banking Corp 8,138,766
77,000 Mitsubishi Warehouse 1,155,767
571,000 Mitsui Fudosan Co Ltd 7,346,301
143,000 Mitsui Mining Ltd (a) * 633,706
760,000 Mitsui Petrochemical Industries Ltd 5,820,187
432,000 Mitsui Trust & Banking Co Ltd 4,455,200
61,000 Mitsui-Soko Co Ltd 458,427
42,000 Mochida Pharmaceutical 604,687
27,000 Mori Seiki Co Ltd 595,497
537,000 Nagoya Railroad Co Ltd (a) 2,708,715
313,000 Nakkai Electric Rail (a) 2,163,690
22,900 Namco (a) 591,586
871,000 NEC Corp (a) 11,383,877
298,000 New Japan Securities Co Ltd * 1,567,060
485,000 Nichiei Co Ltd 2,020,524
70,000 Nichii Co Ltd 800,531
29,000 Nichirei 174,115
61,000 Nihon Cement Co Ltd 389,289
16,000 Nippon Beet Sugar Manufacturing Co Ltd 70,251
41,000 Nippon Chemi-Con Corp * 259,979
18,000 Nippon Credit Bank 76,091
44,000 Nippon Denko Co Ltd 175,218
714,000 Nippon Express Co 6,153,224
19,000 Nippon Flour Mills Co Ltd 91,377
58,000 Nippon Kayaku Co Ltd 358,891
22,000 Nippon Meat Packers 303,262
4,407,000 Nippon Oil Co Ltd (a) 24,884,577
1,152,000 Nippon Sheet Glass Co Ltd 5,222,729
245,000 Nippon Suisan Kaisha Ltd * 1,143,258
38,000 Nippon Yakin Kogyo Co Ltd * 190,126
1,485,000 Nissan Motor Co Ltd 11,372,339
23,000 Nisshin Flour Mill 251,289
484,000 Nisshinbo Industries Inc 4,344,065
206,000 Nissho Iwai Corp 830,857
12,000 Nissin Food Products 274,468
58,000 Nitto Boseki Co Ltd * 152,795
416,000 Nitto Denko Corp (a) 6,583,959
661,000 NSK Ltd 4,447,838
481,000 Odakyu Electric Railway (a) 3,349,589
160,000 Okamoto Industries 1,055,394
66,000 Olympus Optical Co Ltd 598,438
39,000 Ono Pharmaceutical Co Ltd 1,557,053
109,000 Onoda Cement Co Ltd 553,153
35,000 Onward Kashiyama Co Ltd 464,594
947,000 Renown Inc * 3,045,949
167,000 Ricoh Co Ltd 1,662,582
166,000 Royal Co Ltd 2,203,502
42,000 Ryobi Ltd (a) 229,009
280,000 Sagami Railway (a) 1,255,118
61,000 Sanden Corp 327,003
47,000 Sankyo Aluminum Industry 230,357
137,000 Sankyo Co Ltd 3,049,574
21,000 Sanrio Co Ltd 250,881
44,000 Sanwa Shutter Corp 332,016
513,000 Sanyo Electric Co Ltd 2,828,611
120,000 Sapporo Breweries Ltd (a) 1,090,519
54,500 Secom Co 3,578,241
79,000 Seibu Railway Co Ltd (a) 3,452,494
334,000 Seino Transportation Co Ltd (a) 5,558,993
333,000 Sekisui Chemical Co Ltd 4,182,264
597,000 Sekisui House Ltd (a) 7,497,932
812,000 Settsu Corp * 2,512,238
56,000 Shimadzu Corp 348,803
227,000 Shionogi and Co Ltd 2,051,310
232,000 Shiseido Co Ltd 2,416,297
41,000 Shochiku Co (a) 460,510
34,000 Shokusan Jutaku Sogo Co Ltd * 133,660
357,450 Showa Shell Sekiyu (a) 3,142,538
157,000 Skylark Co Ltd 2,500,842
31,000 Snow Brand Milk 214,928
116,000 Sony Corp 6,325,011
46,000 Stanley Electric Ltd 306,714
77,000 Sumitomo Coal Mining Ltd 400,194
1,158,000 Sumitomo Corp 10,807,291
33,000 Sumitomo Forestry 522,285
808,000 Sumitomo Metal Industries Ltd * 2,252,351
206,000 Sumitomo Osaka Cement Co 826,650
292,000 Sumitomo Realty and Development 2,140,767
23,000 Sumitomo Sitix Corp 347,577
408,000 Sumitomo Trust & Banking Co Ltd 5,540,818
62,000 Sumitomo Warehouse 372,247
267,000 Taisei Corp 1,799,357
105,000 Taisho Pharmaceutical Co Ltd 1,865,523
26,000 Taiyo Yuden Co Ltd 273,447
73,000 Takara Shuzo Co 587,369
270,000 Takeda Chemical Industries Ltd 3,639,148
489,000 Tanabe Seiyaku Co Ltd 3,470,210
2,361,000 Teijin Ltd 11,451,218
254,000 Teikoku Oil Co 1,574,289
106,000 Terumo Corp 830,163
33,000 The Japan Steel Works Ltd * 100,751
610,000 Toa Nenryo Kogyo (KK) 9,156,073
574,000 Tobu Railway Co 3,469,730
75,000 Toei Company (a) 497,779
9,080 Toho Co 1,418,533
96,000 Tokyo Broadcasting System Inc 1,538,980
85,000 Tokyo Dome Corp 1,414,714
305,000 Tokyo Electric Co Ltd * 1,417,011
162,000 Tokyo Tatemono Ltd 760,913
153,000 Tokyotokeiba Co 607,719
605,000 Tokyu Construction Co Ltd (a) 3,181,447
734,000 Tokyu Corp 5,171,389
177,000 Tokyu Department Store Co Ltd 1,140,420
326,000 Tokyu Land Corp 1,697,657
425,000 Toppan Printing Co Ltd 5,815,081
123,000 Toshiba Tungaloy Co Ltd (a) * 778,680
43,000 Tostem Corp 1,343,544
64,000 Toto (a) 934,497
43,000 Toyo Engineering Corp 267,831
9,000 Toyo Exterior Co 197,580
251,000 Toyo Ink Manufacturing Co Ltd 1,419,860
116,000 Toyo Trust & Banking Co Ltd (a) 971,256
165,000 Toyota Motor Corp 3,268,494
38,000 Tsumura and Co (a) 667,381
18,000 Unicharm 369,429
166,000 Victor Co of Japan Ltd * 2,050,952
243,000 Wacoal Corp 2,878,236
138,000 Yakult Honsha Co Ltd 1,902,282
110,000 Yamaguchi Bank Ltd 1,909,430
47,000 Yamaha Corp 623,883
1,245,000 Yamaichi Securities Co Ltd 7,996,171
100,000 Yamanouchi Pharmaceutical Co Ltd 2,113,647
247,200 Yamato Transport Co (a) 2,574,606
21,000 Yamazaki Baking Co Ltd 373,105
265,000 Yasuda Trust and Banking Co Ltd (a) 1,720,937
76,000 Yokogawa Bridge Corp 1,078,675
117,000 Yokogawa Electric Corp 1,099,096
43,000 Yoshitomi Pharmaceutical 373,207
626,528,967
MALAYSIA - 0.4%
2,090,000 Amcol Holdings Ltd 5,679,268
68,000 DMIB Berhad 70,862
4,489,000 Faber Group Berhad * 4,318,076
194,000 Golden Hope Plantations Berhad 325,018
238,000 Highlands and Lowlands Berhad 419,719
326,000 Idris Hydraulic Berhad * 444,249
824,000 Kuala Lumpur Kepong Berhad (a) 2,482,731
164,000 Malaysia Mining Berhad 266,870
124,000 Malaysian United Industries 225,635
47,000 Perlis Plantations 154,469
117,000 Selangor Properties 122,862
14,509,759
NETHERLANDS - 0.0%
35,175 Stockland Trust Group 77,538
NEW ZEALAND - 0.7%
814,641 Air New Zealand Ltd Class B 2,699,911
84,517 Carter Holt Harvey Ltd 192,232
27,250 Ceramco Corp Ltd 38,250
676,200 DB Group Ltd * 377,908
182,481 Fisher and Paykel Industries Ltd 557,351
5,224,838 Fletcher Challenge Ltd 14,192,606
2,132,561 Lion Nathan Ltd 4,420,844
34,331,360 Tasman Properties Ltd * 513,135
153,850 Telecom Corp of New Zealand 609,874
54,000 Wilson and Horton Ltd 314,072
23,916,183
NORWAY - 2.5%
82,700 Aker AS Class A 1,075,930
62,000 Aker AS Class B (Non-Voting) 792,132
274,490 Bergesen d y AS Class A 6,586,267
118,570 Bergesen d y AS Class B 2,881,984
78,250 Det Norske Luftfartsselskab AS Class B 3,901,453
115,900 Dyno Industrier AS 2,419,805
178,550 Elkem AS Class A 2,169,934
195,199 Hafslund Nycomed AS Class A 4,714,128
263,694 Hafslund Nycomed AS Class B 6,245,050
91,040 Kvaerner Industrier 3,546,209
198,820 Leif Hoegh and Co AS 3,066,813
792,440 Norsk Hydro AS 33,460,142
54,300 Norske Skogindustrier AS Series A 1,704,775
3,800 Norske Skogindustrier AS Series B 113,678
117,340 Orkla AS Class A 5,484,783
42,450 Orkla-Borregaard AS Series B (Non Voting) 1,878,400
193,110 Unitor AS 2,722,986
272,571 Vard AS Class A * 307,900
63,100 Vital Forsikring AS Series A 1,042,143
84,114,512
SINGAPORE - 3.5%
2,594,000 Chuan Hup Holdings Ltd 2,538,303
3,717,000 DBS Land Ltd 10,676,072
3,941,000 Faber Group Berhad (a) * 3,828,638
54,000 Far East Levingston Shipbuilding Ltd 237,592
1,044,500 First Capital Corp Ltd 3,000,042
1,224,400 Fraser and Neave Ltd 13,877,395
38,000 Golden Hope Plantations Berhad (a) 63,935
67,000 Goodman Fielder Asia Holdings Ltd 114,615
3,316,000 Hai Sun Hup Group Ltd 2,357,733
1,417,200 Haw Par Brothers International Ltd 2,893,263
848,000 Highlands and Lowlands Berhad (a) 1,474,523
2,421,000 Hotel Properties Ltd 3,902,914
554,000 Inchcape Berhad 1,817,416
1,854,273 Jardine Matheson 13,350,766
5,720,168 Jardine Strategic 17,961,328
625,000 Jurong Shipyard Ltd 4,355,861
1,426,000 Lum Chang Holdings Ltd 1,294,995
524,000 Malaysia Mining Berhad (a) 848,434
360,000 Marco Polo Developments Ltd 443,506
444,000 Metro Holdings 1,984,794
4,426,000 Neptune Orient Lines Ltd 5,390,341
267,000 Prima Ltd 1,024,393
439,000 Robinson and Co Ltd 1,730,658
283,000 Shangri-La Hotel Ltd 1,006,089
336,000 Singapore Land Ltd 1,892,291
2,388,000 Straits Trading Co Ltd 5,480,380
425,000 Times Publishing Ltd 987,328
9,366,000 United Industrial Corp Ltd 8,571,489
1,456,000 United Overseas Land Ltd 2,552,228
597,000 Wearne Brothers Ltd 1,395,312
117,052,634
SPAIN - 4.5%
377,928 Argentaria Corporacion Bancaria de Espana SA 14,427,360
87,124 Asland SA 1,506,745
49,743 Asturiana del Zinc SA * 527,261
146,568 Autopistas Cesa (Registered) 1,413,406
9,936 Autopistas Conces * 93,756
253,096 Autopistas del Mare Nostrum SA 2,944,967
21,370 Azucarera de Espana SA 608,016
693,149 Banco Bilbao Vizcaya SA 20,964,315
321,204 Banco Central Hispanoamericano SA 6,694,142
37,199 Banco Exterior de Espana Namen 901,254
33,600 Banco Zaragozano SA * 527,531
38,027 Bankinter SA 3,303,398
2,000 Bodegas Y Bebidas SA 55,788
21,186 Cristaleria Espanola SA * 1,401,423
5,290 Cubiertas y MZOV SA 328,003
456,305 Dragados y Construcciones SA 7,291,416
123,073 Ebro Agricolas Compania de Alimentacion SA 1,255,495
81,628 Empresa Nacional de Celulosa SA * 2,085,016
92,815 Empresa Nacional de Electricidad SA 4,815,501
497,525 Ercros SA * 535,292
19,835 Fabricacion de Automoviles Renault de Espana SA 616,509
2,463,426 FENOSA SA 11,426,279
1,050 Fomento Construcciones y Contratas SA 86,862
1,840,907 Fuerzas Electricas de Cataluna SA 11,693,176
61,186 Grupo Duro Felguera SA * 266,736
28,400 Hornos Ibericos Alba SA 339,509
172,983 Huarte SA 1,516,486
1,537,580 Iberdrola SA 11,800,660
1,550 Koipe SA 91,413
24,248 Prosegur Cia SA 597,141
296,257 Repsol SA 9,290,854
257,110 Sarrio SA * 1,292,976
1,998,064 Sevillana de Electricidad 12,659,566
178,126 Tabacalera S Namen-Akt. 6,572,803
114,301 Tableros Defibras Series B 1,389,192
8,400 Telefonica de Espana ADR 341,250
43,312 Telefonica de Espana SA 586,813
397,275 Uralita SA 4,400,969
115,306 Vallehermoso SA 2,035,485
148,684,764
SWEDEN - 0.7%
80,040 AGA AB Series A 963,834
15,000 AGA AB Series B 179,602
90,100 Bilspedition AB Series B * 320,561
7,000 Celsius Industrier AB Class B 100,098
67,920 Electrolux AB Series B 2,960,191
11,900 Esselte AB Series A 153,069
23,000 Esselte AB Series B 292,700
119,191 Fastighets AB (Hufvudstaden) Series A 650,772
35,900 Hennes and Mauritz AB Series B 2,127,135
97,720 Marieberg Tidnings AB Series A 2,005,799
12,300 Mo Och Domsjoe AB Series B 706,915
21,300 Pharmacia AB Class A 581,480
8,000 Pharmacia AB Class B 216,754
27,875 Sandvik AB Class B 532,110
22,000 Skandia Group Foersaekrings AB 451,572
562,660 Skandinaviska Enskilda Banken Series A 2,910,385
24,200 Skandinaviska Enskilda Banken Series C * 114,248
139,940 Skanska AB Series B 3,513,910
47,720 SKF AB Class B 966,440
16,000 Stora Kopparberg Bergslags Series B 199,239
168,600 Svenska Handelsbanken Series A 2,630,117
19,800 Svenska Handelsbanken Series B 295,328
28,800 Trelleborg AB 313,309
23,185,568
SWITZERLAND - 4.6%
2,875 Adia SA * 509,524
350 Baer Holdings AG 365,217
3,420 Baloise Holdings 6,825,839
1,288 Banque Cantonale Vaudoise 632,533
1,345 Bobst SA (Bearer) 2,088,509
1,530 Bobst SA (Registered) 1,051,677
2,775 CIBA-GEIGY AG (Bearer) 1,964,907
210,286 CS Holdings (Registered) 17,197,302
890 Danzas Holding AG 707,578
3,635 Elektrowatt AG 1,059,644
410 Fischer (George) AG (Bearer) 517,805
350 Fischer (George) AG (Registered) 84,058
850 Forbo Holdings AG (Registered) 366,749
700 Helvetia Schweizerische Versicherungsgesellschaft 339,130
254 Hero AG (Bearer) 117,797
4,650 Hilti AG, Schaan (Participating Certificate) 3,927,950
3,650 Holderbank Financiere Glarus AG (Bearer) 2,856,522
16,370 Holderbank Financiere Glarus AG (Registered) 2,548,704
36,230 Holderbank Warrants 12/20/95 * 45,006
595 Interdiscount Holding SA (Bearer) 633,188
770 Interdiscount Holding SA (Participating Certificate) 80,348
1,675 Intershop Holding AG 810,104
460 Kuoni Reisen Holdings AG (Registered) 697,143
770 Magazine zum Globus (Registered) 484,638
6,490 Merkur Holding AG 1,564,050
2,340 Pargesa Holding SA 2,839,006
1,100 Sandoz AG Basel (Bearer) 803,478
650 Saurer Group Holdings 209,938
110 Schindler Holding AG (Bearer) (a) 601,242
1,540 Schindler Holding AG (Participating Certificate) 1,249,855
1,485 Schindler Holding AG (Registered) 1,254,410
4,450 Schweizerische Rueckversicherungsgesellschaft (Bearer) 3,596,853
235 Schweizerische Rueckversicherungsgesellschaft (Registered) 189,946
700 SGS Holdings (Registered) 227,246
1,843 Sika Finanz AG 506,730
3,200 Sika Finanz AG (Registered) 151,056
4,034 SMH AG (Bearer) 2,722,741
17,050 SMH AG (Registered) 2,442,774
2,142 Sulzer Gebrueder AG 1,192,070
32,664 Swiss Bank Corp (Bearer) 11,090,882
37,768 Swiss Bank Corp (Registered) 6,435,417
22,863 Union Bank of Switzerland (Bearer) 20,354,224
2,768 Union Bank of Switzerland (Registered) 538,700
19,735 Winterthur Insurance (Registered) 11,702,079
6,540 Winterthur Schweizerische Versicherungs-Gesellschaft 3,980,870
129,625 Zurich Vericher Namen (Registered) 33,063,768
152,629,207
UNITED KINGDOM - 19.7%
4,650 Allied Domecq Plc 36,248
374,401 AMEC Plc 359,742
68,764 Amersham International 1,136,804
729,579 Amstrad Plc 2,951,037
33,785 Anglian Water Plc 282,735
4,580,591 Argyll Group 24,987,688
20,674,166 ASDA Group Plc 34,763,190
75,400 Associated British Foods 838,992
1,830,640 Bass Plc 18,355,623
2,177,993 BAT Industries Plc 16,977,993
363,381 Berisford International Plc 1,027,749
567,754 Boots Co Plc 4,953,709
2,567,836 British Aerospace Plc 26,224,945
266,823 British Land Co Plc 1,649,902
9,210,408 British Petroleum Co Plc 68,942,637
1,500 British Petroleum Co Plc ADR 135,188
1,112,696 British Steel Plc 3,103,923
2,367,697 BTR 12,512,451
440,892 Bunzl Plc 1,397,293
6,987,754 Burton Group Plc 11,045,863
55,007 Carlton Communications 886,570
117,848 Charter Plc (Registered) 1,714,943
297,507 Cobham Group Plc 1,936,459
488,231 Costain Group * 786,902
566,443 Dixons Group Plc 2,962,729
11,828 East Midland Electric Plc 145,361
638,148 English China Clays Plc 3,748,198
27,925 First Leisure Plc 143,246
1,371,958 Fisons 5,443,054
2,646,690 Forte Plc 10,541,395
2,563,988 General Electric Co Plc 12,357,718
7,802,945 Glaxo Wellcome Plc 92,478,318
1,344,972 Grand Metropolitan Plc 8,504,236
1,146,370 Great Portland Estates Plc 3,073,497
874,339 Great Universal Stores Plc 8,279,097
231,335 Greenalls Group Plc 1,794,351
384,098 Greycoat Plc 845,264
1,833,766 Hammerson Property Investment and Development Corp Plc 10,117,094
425,277 Hillsdown Holdings Plc 1,258,830
480,436 Imperial Chemical Industries Plc 5,710,745
2,151,478 Ladbroke Group Plc 5,568,206
288,905 Laing (John) Plc Class A 1,002,917
4,676,108 Lasmo Plc 12,826,840
7,555 Lex Service Plc 36,998
48,136 Lex Service Plc (Ordinary) 240,208
223,540 London Electricity Plc 2,916,952
1,134,215 London International Group Plc 2,249,921
4,500,297 Lonrho Plc 11,298,430
1,623,499 Marks & Spencer Plc 10,944,683
185,141 Meyer International Plc 1,004,229
141,052 Midland Electricity 1,868,991
1,101,499 National Power Plc 8,962,007
442,952 Norcros Plc 597,225
20,959 Northern Electric Plc 300,451
565,230 Northern Foods Plc 1,699,373
20,534 Northumbrian Water Group Plc 289,586
187,003 NORWEB Plc 2,512,636
219,164 Ocean Group Plc 1,127,637
1,433,394 Peninsular and Oriental Steam Navigation Co 12,339,897
1,789,865 Pilkington Plc 5,852,813
991,053 Powergen Plc 8,981,089
464,432 Reckitt & Colman Plc 4,786,363
554,266 Redland Plc 3,341,410
1,155,868 Sainsbury Plc 8,304,949
126,439 Scottish & Newcastle Plc 1,163,937
17,005 Scottish & Newcastle (Participating Certificte) 81,696
110,686 Securicor Group Plc 1,878,316
2,078,057 Signet Group Plc * 466,968
775,765 Simon Engineering Plc * 1,142,130
413,091 Slough Estates Plc 1,414,816
3,212,212 Smith & Nephew Plc 9,533,116
3,225,076 Smithkline Beecham Plc Class A 29,938,406
3,916,066 Smithkline Beecham Plc Equity Units 34,243,919
6,986 South West Water Plc 54,349
34,092 Southern Water Plc 368,782
76,621 Suter Plc 229,175
7,330,168 Tarmac Plc 11,587,133
3,212,421 Taylor Woodrow Plc 5,725,220
2,307,866 Tesco 11,695,539
135,767 Thorn Emi 3,109,786
3,436,987 Trafalgar House Plc 2,024,060
318,252 Unigate Plc 2,046,827
733,718 Unilever Plc 13,815,523
723,433 United Biscuits Holdings Plc 3,060,715
735,273 Whitbread Plc Class A (Limited Voting) 7,007,863
266,675 Wilson (Connolly) Holdings Plc 661,248
988,519 Wimpey (George) Plc 1,623,876
28,111 Wolseley 164,240
656,503,170
TOTAL STOCK AND EQUIVALENTS (Cost $2,669,278,662) 2,878,570,879
Par Value SHORT-TERM INVESTMENTS - 9.0%
UNITED STATES - 9.0%
$ 124,900,000 First National Bank of Chicago Time Deposit, 5.81% due 9/1/95 124,900,000
128,382,434 The Prime Portfolio of Short-Term Investments Co 128,382,434
47,300,000 U.S. Treasury Bill, 5.26% due 02/08/96 (b) 46,175,311
299,457,745
TOTAL SHORT-TERM INVESTMENTS (Cost $298,443,727) 299,457,745
TOTAL INVESTMENTS - 95.6%
(Cost $2,967,722,389) * * 3,178,028,624
Other Assets and Liabilities (net) - 4.4% 147,996,489
TOTAL NET ASSETS - 100.0% $ 3,326,025,113
Notes to the Schedule of Investments:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
(c) Restricted security - This security is restricted as to resale. At
August 31, 1995, restricted securities amounted to 102,294.
(d) Security valued by management (Note 1).
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is
$2,967,722,389, resulting in gross unrealized appreciation and depreciation
of $356,820,684 and $146,514,449, respectively, and net unrealized
appreciation of $210,306,235.
</TABLE>
See accompanying notes to the financial statements.
At August 31, 1995, industry sector diversification of the Fund's equity
investments was as follows:
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
<S> <C>
Banking 12.4 %
Services 9.8
Health Care 6.4
Oil and Gas 6.2
Retail Trade 5.3
Construction 5.3
Transportation 5.0
Chemicals 3.5
Real Estate 3.4
Utilities 3.4
Food and Beverage 3.1
Technology 2.9
Metals and Mining 2.6
Consumer Goods 2.5
Machinery 2.3
Insurance 2.3
Automotive 2.2
Telecommunications 1.7
Paper and Allied Products 1.2
Aerospace 1.1
Electric 0.9
Financial Services 0.9
Pharmaceuticals 0.9
Textiles 0.8
Miscellaneous 0.3
Primary Processing 0.2
86.6 %
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995
</TABLE>
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $2,669,278,662) (Note 1) $ 2,878,570,879
Short-term investments, at value (cost $298,443,727) (Note 1) 299,457,745
Foreign currency, at value (cost $295,007,738) (Note 1) 274,997,527
Cash 58,964
Receivable for Fund shares sold 89,007,654
Receivable for investments sold 20,488,644
Dividends and interest receivable 3,797,455
Foreign withholding taxes receivable 4,934,455
Receivable for open forward foreign currency contracts (Note 5) 13,869,351
Receivable for variation margin on open futures contracts 772,080
Receivable for expenses waived or borne by Manager (Note 2) 397,250
Total assets 3,586,352,004
LIABILITIES:
Payable upon return of securities loaned (Note 1) 128,382,434
Payable for investments purchased 106,205,654
Payable for open forward foreign currency contracts (Note 5) 19,371,359
Payable for Fund shares repurchased 3,808,273
Payable to affiliate for management fee 2,051,986
Accrued expenses 507,185
Total liabilities 260,326,891
NET ASSETS (equivalent to $23.65 per share based
on 140,653,201 shares outstanding, unlimited shares authorized) $ 3,326,025,113
NET ASSETS CONSIST OF:
Paid-in capital $ 3,040,520,339
Accumulated undistributed net investment income 38,912,911
Accumulated undistributed net realized gain 43,084,700
Net unrealized appreciation 203,507,163
NET ASSETS $ 3,326,025,113
</TABLE>
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $5,809,542) $ 48,619,227
Interest (including securities lending income of $371,027) 4,003,560
Total income 52,622,787
EXPENSES:
Management fee (Note 2) 11,237,128
Custodian fees 1,181,496
Legal fees 50,550
Stamp duties and transfer taxes 37,000
Audit fees 36,196
Insurance 15,108
Transfer agent fees 13,800
Registration fees 7,480
Trustee fee (Note 2) 6,354
Miscellaneous 1,010
Total expenses 12,586,122
Less: expenses waived or borne by Manager (Note 2) (2,119,656)
Net expenses 10,466,466
Net investment income 42,156,321
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss)on:
Investments 30,000,234
Closed futures contracts 15,208,471
Foreign currency, forward contracts and foreign
currency related transactions (17,349,672)
Net realized gain 27,859,033
Change in net unrealized appreciation (depreciation)on:
Investments 160,922,429
Open futures contracts 17,749,841
Foreign currency, forward contracts and foreign
currency related transactions (12,875,967)
Net unrealized gain 165,796,303
Net realized and unrealized gain 193,655,336
Net increase in net assets resulting from operations $ 235,811,657
</TABLE>
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 42,156,321 $ 39,517,111
Net realized gain 27,859,033 238,738,544
Change in net unrealized appreciation (depreciation) 165,796,303 (424,074,855)
Net increase (decrease) in net assets resulting from
operations 235,811,657 (145,819,200)
Distributions to shareholders from:
Net investment income (3,243,410) (38,432,195)
Net realized gains (85,496,279) (172,566,881)
(88,739,689) (210,999,076)
Fund share transactions: (Note 4)
Proceeds from sale of shares 719,584,951 1,196,755,657
Net asset value of shares issued to shareholders
in payment of distributions declared 84,353,988 191,594,151
Cost of shares repurchased (216,631,646) (726,316,370)
Net increase in net assets resulting
from Fund share transactions 587,307,293 662,033,438
Total increase in net assets 734,379,261 305,215,162
NET ASSETS:
Beginning of period 2,591,645,852 2,286,430,690
End of period (including accumulated undistributed
net investment income of $38,912,911 and
$0, respectively) $ 3,326,025,113 $ 2,591,645,852
</TABLE>
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTH ENDED
AUGUST 31,1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 22.32 $ 25.56 $ 18.51 $ 18.80 $ 18.73 $ 18.79
Income (loss) from investment operations:
Net investment income (a) 0.30 0.27 0.29 0.29 0.29 0.55
Net realized and unrealized gain (loss)
on investments 1.72 (1.57) 7.44 (0.04) 0.22 0.69
Total from investment operations 2.02 (1.30) 7.73 0.25 0.51 1.24
Less distributions to shareholders:
From net investment income (0.03) (0.35) (0.27) (0.20) (0.28) (0.54)
From net realized gains (0.66) (1.59) (0.41) (0.34) (0.16) (0.76)
Total distributions (0.69) (1.94) (0.68) (0.54) (0.44) (1.30)
Net asset value, end of period $ 23.65 $ 22.32 $ 25.56 $ 18.51 $ 18.80 $ 18.73
Total Return (b) 9.05% (5.31%) 42.10% 1.43% 2.84% 7.44%
Ratios/Supplemental Data:
Net assets, end of period (000's) $ 3,326,025 $2,591,646 $ 2,286,431 $ 918,332 $ 414,341 $ 173,792
Net expenses to average
daily net assets (a) 0.70%* 0.70% 0.71%(c) 0.70% 0.70% 0.78%
Net investment income to average
daily net assets (a) 2.81%* 1.48% 1.48% 2.36% 2.36% 3.32%
Portfolio turnover rate 6% 53% 23% 23% 35% 0.81%
* Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.02 $ 0.03 $ 0.03 $ 0.03 $ 0.02 $ 0.01
(b) Calculation excludes subscription fees. The total returns would have been
lower had certain expenses not been waived during the periods shown.
(c) Includes stamp duties and transfer taxes not waived or borne by the Manager,
which approximates .01% of average daily net assets.
</TABLE>
See accompanying notes to the financial statements.
GMO INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO International Core Fund (the "Fund") is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940,
as amended, as an open-end, diversified management investment company. The
Trust was established as a Massachusetts Business Trust under the laws of
the Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust
permits the Trustees to create an unlimited number of series ("Funds"), each
of which issues a separate series of shares. The following is a summary of
significant accounting policies consistently followed by the Fund in the
preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price. Securities
which are primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
and those values are then translated into U.S. dollars at the current
exchange rate. Short-term investments with a remaining maturity of sixty
days or less are valued at amortized cost which approximates market value.
Other assets and securities for which no quotations are readily available
are valued at fair value as determined in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The
market values of foreign securities, currency holdings and other assets and
liabilities are translated to U.S. dollars based on the prevailing exchange
rates each business day. Income and expenses denominated in foreign
currencies are translated at prevailing exchange rates when accrued or
incurred. The Fund does not isolate realized and unrealized gains and losses
attributable to changes in exchange rates from gains and losses that arise
from changes in the market value of investments. Such fluctuations are
included with net realized and unrealized gain or loss on investments. Net
realized gains and losses on foreign currency transactions represent net
exchange gains and losses on disposition of foreign currencies and the
difference between the amount of investment income and foreign withholding
taxes recorded on the Fund's books and the U.S. dollar equivalent amounts
actually received or paid.
FUTURES CONTRACTS
The Fund may purchase stock index futures contracts. Stock index futures
contracts represent commitments for future delivery of cash based upon the
level of a specified index of equity securities at a given date. The Fund
may use futures contracts to manage its exposure to the stock and currency
markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's exposure
to the underlying instrument or hedge other Fund instruments. Upon purchase
of a futures contract, the Fund is required to deposit with its custodian,
in a segregated account in the name of the futures broker, an amount of cash
or U.S. government obligations in accordance with the initial margin
requirements of the broker. Futures contracts are marked to market daily and
an appropriate payable or receivable for the change in value ("variation
margin") is recorded by the Fund. The payable or receivable is liquidated on
the following business day. Gains or losses are recognized but not
considered realized until the contracts expire or are closed. Futures
contracts involve, to varying degrees, risk of loss in excess of the
variation margin disclosed in the Statement of Assets and Liabilities.
Losses may arise from the changes in the value of the underlying instrument,
if there is an illiquid secondary market for the contracts, or if
counterparties do not perform under the contract terms. Futures contracts
are valued at the settlement price established each day by the board of
trade or exchange on which they are traded. See Note 5 for all open futures
contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with
settling planned purchases or sales of securities or to hedge the currency
exposure associated with some or all of the Fund's portfolio securities. A
forward currency contract is an agreement between two parties to buy and
sell a currency at a set price on a future date. The market value of a
forward currency contract fluctuates with changes in forward currency
exchange rates. Forward currency contracts are marked to market daily and
the change in value is recorded by the Fund as an unrealized gain or loss.
When a forward currency contract is extinguished, through delivery or offset
by entering into another forward currency contract, the Fund records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value of the contract at the time
it was extinguished or offset. These contracts may involve market risk in
excess of the unrealized gain or loss reflected in the Fund's Statement of
Assets and Liabilities. In addition, the Fund could be exposed to risk if
the counterparties are unable to meet the terms of the contracts or if the
value of the currency changes unfavorably to the U.S. dollar. The U.S.
dollar value of the currencies the Fund has committed to sell is shown under
Note 5 and represents the currency exposure the Fund has acquired or hedged
through currency contracts as of August 31, 1995.
Security lending
The Fund may lend its securities to certain qualified brokers. The loans
are collateralized at all times with cash or securities with a market value
at least equal to the market value of the securities on loan. As with other
extensions of credit, the Fund may bear the risk of delay in recovery or
even loss of rights in the collateral should the borrower of the securities
fail financially. The Fund receives compensation for lending its
securities. At August 31, 1995, the Fund loaned securities having a market
value of $114,152,121, collateralized by cash in the amount of
$128,382,434, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended (the
"Code"). It is the policy of the Fund to distribute all of its taxable
income, including any net realized gain on investments not offset by loss
carryovers, to shareholders within the prescribed time periods. Therefore,
no provision for federal income or excise tax is necessary. Taxes on foreign
interest and dividend income have been withheld in accordance with the
applicable country's tax treaty with the United States. Dividends received
by shareholders of the Fund which are derived from foreign source income and
foreign taxes paid by the Fund are to be treated, to the extent allowable
under the Code, as if paid and received by the shareholders of the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income semi-annually, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions and redemptions
in-kind.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date, or when the Fund is informed of the
ex-dividend date. Interest income is recorded on the accrual basis. In
determining the net gain or loss on securities sold, the cost of securities
is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .75% of the amount invested.
The Manager may waive such premium to the extent that a transaction results
in minimal brokerage and transaction costs to the Fund. All purchase
premiums are paid to and recorded as paid in capital by the Fund. For the
six months ended August 31, 1995, the Fund received $4,786,743 in purchase
premiums. There is no premium for cash redemptions, reinvested distributions
or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments of domestic securities.
These risks may involve adverse political and economic developments and the
possible imposition of currency exchange blockages or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times more
volatile than securities of comparable U.S. companies and U.S. securities
markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager"), for management and investment advisory services is paid monthly
at the annual rate of .75% of average daily net assets. The Manager has
agreed to waive a portion of its fee until further notice to the extent that
the Fund's annual expenses (including management and custody fees but
excluding brokerage commissions and transfer taxes) exceed .69% of average
daily net assets. Prior to June 27, 1995, this voluntary expense limitation
was .70% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $6,354. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the six months ended August 31, 1995 aggregated
$299,182,410 and $171,592,966, respectively.
4. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 30,026,350 47,709,816
Shares issued to shareholders in reinvestment of
distributions 3,603,331 8,245,854
Shares repurchased (9,080,579) (29,287,818)
Net increase 24,549,102 26,667,852
Fund shares:
Beginning of period 116,104,099 89,436,247
End of period 140,653,201 116,104,099
</TABLE>
5. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995 is as
follows:
FUTURES CONTRACTS
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
<S> <C> <C> <C> <C>
Buys
399 All Ords September 1995 $ 16,191,943 $ 170,741
70 DAX September 1995 10,672,678 1,804
613 FT-SE 100 September 1995 82,448,872 1,109,769
5,492 IBEX September 1995 15,081,102 215,741
926 TOPIX September 1995 135,189,382 15,820,955
679 TOPIX December 1995 99,406,432 1,340,073
18,659,083
Sales
213 CAC September 1995 15,954,424 440,787
651 Hang Seng September 1995 38,411,607 (379,273)
$ 61,514
At August 31, 1995 the Fund has cash and/or securities to cover any margin
requirements on open futures contracts.
</TABLE>
FORWARD CURRENCY CONTRACTS
<TABLE>
<CAPTION>
Net Unrealized
SETTLEMENT UNITS OF IN EXCHANGE FOR APPRECIATION
DELIVER CURRENCY (IN U.S. DOLLARS) (DEPRECIATION)
DATE
BUYS
<S> <C> <C> <C> <C> <C>
9/6/95 Australian Dollars 770,454 554,741 $ 25,070
9/6/95 British Pounds 1,666,933 2,622,758 (40,122)
3/6/96 French Francs 3,200,835 635,454 (1,726)
3/6/96 German Deutsche Marks 1,015,489 713,149 (16,662)
9/6/95 Hong Kong Dollar 4,702,009 592,915 14,455
11/1/95 Japanese Yen 6,523,139,000 140,197,715 (17,351,045)
11/6/95 Norwegian Krone 391,700,000 62,823,782 (1,745,677)
10/5/95 Swedish Krona 318,400,000 43,648,128 (216,127)
$ (19,331,834)
Sales
2/1/96 British Pounds 90,300,000 143,200,665 $ 1,671,128
12/1/95 German Deutsche Marks 226,450,000 160,122,987 5,380,606
10/2/95 Swiss Francs 23,600,000 21,255,517 1,659,070
$ 8,710,804
FORWARD CROSS CURRENCY CONTRACTS
</TABLE>
<TABLE>
<CAPTION>
Settlement Net
Date Deliver/Receive Units In Unrealized
of Exchange Appreciation
Currency for
<S> <C> <C> <C> <C>
9/6/95 Australian Dollars/
Japanese Yen AUD 5,718,522 JPY 393,491,483 $ 554,743
9/6/95 British Pounds/
Japanese Yen GBP 13,179,516 JPY 1,967,438,121 2,622,758
3/6/96 German Deutsche Marks/
Japanese Yen DEM 13,028,511 JPY 830,697,864 713,151
3/6/96 French Francs/
Japanese Yen FRF 43,867,178 JPY 786,977,178 635,455
9/6/95 Hong Kong Dollars/
Japanese Yen HKD 32,349,920 JPY 393,491,483 592,915
$ 5,119,022
</TABLE>
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
<S> <C> <C>
STOCK AND EQUIVALENTS - 50.2%
AUSTRALIA - 2.9%
6,463 Ampolex Ltd 15,327
144,970 Australia and New Zealand Banking Group Ltd 589,360
102,862 Boral Ltd 262,520
4,509 Burns Philp & Co Ltd 9,607
101,092 Coles Myer Ltd 28,022
6,432 Commonwealth Bank of Australia 47,600
110,262 CSR Ltd 390,150
2,342 Email Ltd 6,259
443,848 Fosters Brewing Group Ltd 414,347
56,489 Goodman Fielder Ltd 51,459
4,137 Hardie (James) Industries Ltd 7,132
9,527 Mim Holdings Ltd 13,628
179,973 News Corp Ltd 1,035,164
90,561 News Corp Ltd Preferred 1.19% 467,707
20,664 North Ltd 58,338
6,737 Pacific Dunlop Ltd 15,926
11,534 Pasminco Ltd * 14,675
204,352 Pioneer International Ltd 532,308
51,979 QCT Resources Ltd 63,394
2,130 Renison Goldfields Consolidated 8,900
65,535 Santos Ltd 173,176
4,031 Schroders Property * 6,246
42,744 Schroders Property Fund 69,187
1,381 Smith (Howard) Ltd 6,612
4,014 Southcorp Holdings Ltd 8,552
24,960 Stockland Trust Group 57,313
7,000 TNT Ltd * 9,539
97,479 Western Mining Corp Holdings Ltd 655,346
26,026 Westfield Trust Units 45,849
20,250 Westpac Banking Corp 76,226
5,439,869
AUSTRIA - 0.9%
187 Austrian Airlines * 30,587
1,082 Bank Austria AG (Participating Certificate) 36,652
1,099 Bau Holding AG (Non Voting) 56,480
1,136 Brau Union AG 63,439
2,512 Creditanstalt-Bankverein 136,878
1,925 Creditanstalt-Bankverein Preferred 1.65% 99,117
166 EA-Generali AG 48,841
877 EVN Energie-Versorgung Niederoesterreich AG 114,503
354 Lenzing AG 31,863
226 Leykam-Muerztaler Papier und Zellstoff AG * 9,996
2,242 OEMV AG 213,519
122 Oesterreichische Brau Beteiligungs AG 6,175
3,759 Oesterreichische Elektrizitaetswirschafts AG 255,032
5,034 Oesterreichische Laenderbank AG 399,514
998 Oesterreichische Laenderbank AG Preferred (Non Voting) 44,722
934 Radex-Heraklith AG 33,266
262 RAS Versicherungs AG 37,808
51 Strabag Oesterreich AG 6,886
338 Veitsch-Radex AG 8,113
393 Wienerberger Baustoffindustrie AG 92,238
1,725,629
BELGIUM - 0.2%
762 Banque Bruxelles Lambert 120,938
39 Banque Nationale de Belgique 50,280
850 Groupe Bruxelles Lambert SA 108,599
983 Powerfin SA 105,094
384,911
CANADA - 1.0%
1,998 Abitibi-Price Inc 33,467
4,995 Alberta Energy Ltd 76,231
2,997 Bank of Montreal 65,819
5,994 Bank of Nova Scotia 130,523
1,998 BCE Inc 64,332
5,994 Canadian Imperial Bank of Commerce 147,256
10,989 Cominco Ltd 217,817
17,982 Domtar Inc 169,010
6,993 Fletcher Challenge Class A 113,882
1,998 Gulf Canada Resources Ltd 9,111
6,993 Imperial Oil Ltd 250,540
18,981 Macmillan Bloedel Ltd 250,819
3,996 National Bank of Canada - Montreal 33,095
999 Noranda Forest Inc 7,902
1,998 Norcen Energy Resource 30,121
999 Petro Canada 9,854
5,994 Royal Bank of Canada 133,312
5,994 Teck Corp Class B 117,136
4,995 Toronto Dominion Bank 80,415
999 United Dominion Inds Ltd 24,078
1,964,720
FINLAND - 0.3%
3,000 Amer Group Class A 51,103
1,500 Cultor OY Series 1 50,898
3,996 Nokia Corp Class A 273,004
4,000 Partek AB 55,566
200 Stockmann AB Series B 9,109
200 Stockmann Series A 10,612
5,000 Valmet 143,470
593,762
FRANCE - 3.7%
45 Accor SA 5,621
92 Air Liquide 14,661
143 Air Liquide L Shares 22,788
6,183 Alcatel Alsthom Cie Generale d'Electricite SA 619,340
3,638 Axa SA 201,291
19,398 Banque Nationale de Paris 794,890
76 BIS SA * 7,056
784 Carrefour Supermarche SA 437,202
27,060 Compagnie de Suez SA 1,114,220
276 Credit Foncier De France (Bearer) 7,376
5,176 Credit Lyonnais * 256,264
878 Credit National 61,181
60 CSF Thompson Temp (Participating Certificates) * 1,247
134 Dollfus-Mieg and Cie 6,473
192 Elf Gabon 29,647
3,399 Elf Sanofi SA 209,868
1,388 Eridania Beghin-Say SA 204,978
6,514 Financiere de Paribas SA 351,394
741 FINEXTEL 10,562
42 Labinal SA 6,485
4,837 Lafarge Coppee SA 360,992
1,336 LVMH Moet Hennessy Louis Vuitton 240,144
7,722 Michelin SA Class B 334,775
457 Parisienne de Reescompte (CPR-Cie) 32,116
1,067 Pechiney International SA 25,579
1,153 Pechiney International SA Preferred (without Warrants) 3.43% 74,637
2,235 Pernod-Ricard 140,210
3,666 Peugeot SA 484,059
14 Salomon SA 6,707
70 SIMCO 5,640
1,574 Societe Generale d 'Entreprise SA 42,065
3,455 Societe Generale Paris 360,444
664 SOVAC SA 49,818
4,203 SPIE Batignolles * 173,062
11,107 Thomson CSF 235,267
108 Total SA 6,337
90 Union Immobiliere de France 7,394
1,443 Worms et Compagnie SA 63,416
7,052,348
GERMANY - 3.9%
1,700 Bankgesellschaft Berlin AG 442,890
10,750 Bayer AG 2,778,220
10,000 Bayer Vereinsbank 271,889
2,900 Bayerische Hypotheken-und Wechselbank AG 711,110
600 Bayerische Motorenwerke AG 333,617
7,000 Berliner Handels- und Frankfurter Bank * 180,318
850 Berliner Kraft und Licht AG Class A 202,470
4,450 Commerzbank AG 1,004,873
50 Daimler-Benz AG 24,688
29,600 Dresdner Bank 782,632
150 IKB Deutsche Industriebank AG 28,074
1,500 Klockner-Humboldt Deutz * 10,678
50 Kugelfischer George Schaefer AG * 7,554
450 Porsche AG Preferred (Non Voting) * 210,705
100 Puma AG Preferred * 29,605
500 Sap AG 76,054
500 Sap AG Preferred 73,910
500 Siemens AG 254,466
50 Volkswagen AG Preferred .79% 11,553
7,435,306
HONG KONG - 2.6%
45,000 Cathay Pacific Airways Ltd 67,724
40,000 Chinese Estates Holdings Ltd 27,128
4,000 Cross Harbour Tunnel Co Ltd 7,854
42,000 Dickson Concepts (International) Ltd 27,942
228,000 Elec and Eltek International Holdings Ltd * 33,283
20,202 Goldlion Holdings Ltd 10,178
71,000 Hang Lung Development Co Ltd 110,063
33,000 Henderson Land Development Co Ltd 179,473
27,000 Hong Kong and China Gas Co Ltd 42,553
45,000 Hong Kong Ferry Co Ltd 48,250
2,000 Hongkong Aircraft Engineering Co Ltd 4,702
8,000 Hongkong and Shanghai Hotels Ltd Preferred 1.95% 9,766
51,000 Hongkong Electric Holdings Ltd 176,896
324,700 Hopewell Holdings Ltd 234,895
134,000 Hutchison Whampoa Ltd 645,679
8,000 Jardine International Motor Holdings Ltd 8,371
18,800 Kowloon Motor Bus Co Ltd 33,272
57,000 Kumagai Gumi Hong Kong Ltd 44,180
40,000 Lai Sun Garment (International) Ltd 41,338
56,000 National Mutual Asia Ltd 40,150
61,000 New World Development Co Ltd 222,219
5,000 Realty Development Corp Ltd Class A 14,339
370,000 Regal International Ltd 66,916
14,800 San Miguel Brewery Ltd 8,604
12,000 Shun Tak Holdings Ltd 10,076
136,000 Sino Land Co Ltd * 94,871
64,000 South China Morning Post Ltd 35,344
84,000 Sun Hung Kai Properties Ltd 610,386
185,000 Swire Pacific Ltd Class A 1,386,126
47,000 Tai Cheung Holdings Ltd 40,680
14,000 Television Broadcasts Ltd 51,725
206,000 Wharf Holdings Ltd 592,107
4,000 Wing On International Holdings Ltd 7,131
30,000 Winsor Industrial Corp Ltd 32,941
32,000 World International Holdings Ltd 48,573
5,015,735
ITALY - 2.1%
110,000 Alitalia Linee Aeree Italiane Class A * 51,513
2,500 Assicurazioni Generali SPA 60,155
110,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 6.39% 128,782
18,000 Banca Commerciale Italiana SPA 42,480
472,500 Banca di Roma * 448,074
2,400 Banca Popolare di Bergamo Credit 31,647
2,500 Banca Toscana * 5,407
271,224 Banco di Napoli (Non Convertible) * 124,006
6,000 Bco Ambros Veneto Di Risp (Non Convertible) 8,060
21,500 Benetton Group SPA 227,202
21,000 Cartiere Burgo SPA 142,662
5,000 Comau Finanziaria SPA 7,394
47,000 Edison SPA 198,959
250 Ericsson SPA 4,098
108,000 Fiat SPA 396,957
101,000 Fiat SPA (Non Convertible) 216,576
84,000 Fiat SPA (Private Placement) (a) 189,698
21,000 FIDIS SPA 46,066
45,518 Finmeccanica SPA * 32,843
27,500 Gilardini SPA 53,207
195,000 Industriali Riunite SPA * 141,183
22,500 Industriali Riunite (Cie) SPA (Non Convertible) * 10,273
31,500 Istituto Bancario San Paolo 169,738
15,750 Italcementi Fabbriche Riunite Cemento SPA 110,199
9,250 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 30,493
1,000 Marzotto and Figli SPA 6,347
55,000 Montedison SPA (Non Convertible) * 34,127
335,000 Montedison SPA * 249,150
52,500 Olivetti and Co SPA * 44,416
114,200 Parmalat Finanziaria SPA 101,260
59,000 Pirelli and Co 87,797
3,900 Ratti SPA 7,642
11,000 Rinascente per l'Esercizio di Grandi Magazzini SPA 64,865
13,000 Rinascente per l'Esercizio di Grandi Magazzini SPA Preferred 5.59% 34,445
10,000 Rinascente per l'Esercizio di Grandi Magazzini SPA (Non Convertible) 31,610
8,000 SAFFA SPA * 27,358
5,000 Saipem SPA 10,937
8,000 Sasib SPA 37,710
21,500 Sirti SPA 156,458
135,000 Snia BPD SPA * 165,537
2,500 STET SPA 7,671
3,000 Unione Cementi Marchino Emiliane e di Augusta-Casale (Non Convertible) * 10,333
5,000 Unione Cementi Marchino Emiliane e di Augusta-Casale * 33,890
3,989,225
JAPAN - 11.2%
2,000 Alps Electric Co Ltd 24,710
12,000 Amada Co Ltd 124,981
65,000 Aoki Corp * 316,588
1,400 Arabian Oil Co 58,181
9,000 Asahi Breweries Ltd 103,844
5,000 Bank of Yokohama Ltd 39,261
5,000 Banyu Pharmaceutical Co Ltd 55,139
11,000 Canon Sales Co Inc 293,154
3,000 Chiba Bank Ltd 28,182
404 Chubu Electric Power Co Inc 9,405
23,000 Cosmo Oil Co Ltd 119,773
9,900 CSK Corp 295,175
2,000 Dai Nippon Ink & Chemicals 8,863
18,000 Dai Nippon Printing Co Ltd 284,883
34,000 Daicel Chemical Industries Ltd 185,388
2,000 Daiichi Seiyaku Co Ltd 27,569
1,000 Daikin Industries Ltd 8,710
3,000 Daikyo Inc 24,169
6,000 Daiwa Bank Ltd 49,073
1,000 Daiwa Kosho Lease 9,721
79 East Japan Railway Co 375,096
1,000 Eisai Co Ltd 16,133
9,000 Fuji Photo Film Co Ltd 225,149
33,000 Fujisawa Pharmaceutical Co Ltd 330,219
7,000 Fujita Corp 35,595
1,000 Fujita Kanko Inc 21,851
57,000 Fujitsu Ltd 616,940
5,000 Fukuyama Transporting Co Ltd 44,979
2,000 Furukawa Electric Co Ltd 11,518
7,000 Gakken Co Ltd * 45,602
5,000 General Sekiyu (KK) 48,246
22,000 Hankyu Corp 123,551
32,000 Haseko Corp 147,036
7,000 Hazama-Gumi Ltd 31,878
1,000 Hiroshima Bank Ltd 5,504
7,000 Hitachi Cable Ltd 52,177
73,000 Hitachi Ltd 797,570
2,000 Honda Motor Co Ltd 35,534
2,000 Hoya Corp 57,385
7,000 INAX Corp 69,689
2,000 Intec Inc 27,569
10,000 Itochu Corp 62,082
40,000 Japan Energy Co Ltd 124,572
25,000 Japan Synthetic Rubber Co Ltd 142,952
33 Japan Tobacco Inc 279,338
4,000 Joshin Denki Co Ltd 51,054
5,000 Kajima Corp 50,442
3,000 Kamigumi Co 27,814
9,000 Kankaku Securities Co Ltd * 33,451
9,000 Keihin Electric Express Railway 56,058
16,000 Keio Teito Electric Railway Co Ltd 94,430
5,000 Keisei Electric Railway 40,639
40,000 Kinki Nippon Railway 328,790
12,000 Kirin Brewery Co Ltd Com 124,981
5,000 Kokusai Kogyo Co Ltd 46,561
1,000 Kokuyo Co 21,647
37,000 Komatsu Ltd 304,886
7,000 Koyo Seiko Co Ltd 62,827
94,000 Kumagai Gumi Co Ltd 448,236
18,000 Kurabo Industries Ltd 73,334
33,000 Kureha Chemical Industry Co Ltd 145,229
3,000 Kyowa Hakko Kogyo Co Ltd 29,132
1,000 Lion Corp 5,708
5,000 Maeda Corp 53,607
7,000 Makino Milling Machine Co Ltd * 52,177
25,000 Marubeni Corp 128,146
7,000 Marudai Food Co Ltd 49,962
22,000 Marui Co Ltd 386,379
37,000 Matsushita Electric Industrial Co Ltd 578,036
47,000 Matsushita Electric Works Ltd 484,709
7,000 Mazda Motor Corp * 29,019
25,000 Minebea Co Ltd 194,006
36,000 Mitsubishi Electric Corp 269,444
51,000 Mitsubishi Estate 598,867
26,000 Mitsubishi Gas Chemical Co Inc 108,848
113,000 Mitsubishi Materials Corp 560,760
16,000 Mitsubishi Oil Co 137,071
1,000 Mitsubishi Rayon Co 4,146
17,000 Mitsubishi Trust & Banking Corp 282,943
1,000 Mitsubishi Warehouse 15,010
22,000 Mitsui Fudosan Co Ltd 283,045
30,000 Mitsui Petrochemical Industries Ltd 229,744
16,000 Mitsui Trust & Banking Co Ltd 165,007
19,000 Nagoya Railroad Co Ltd 95,839
8,000 Nakkai Electric Rail 55,302
33,000 NEC Corp 431,306
8,000 New Japan Securities Co Ltd * 42,069
13,000 Nichiei Co Ltd 54,158
26,000 Nippon Express Co 224,067
183,000 Nippon Oil Co Ltd 1,033,328
46,000 Nippon Sheet Glass Co Ltd 208,546
6,000 Nippon Suisan Kaisha Ltd * 27,998
81,000 Nissan Motor Co Ltd 620,309
17,000 Nisshinbo Industries Inc 152,581
2,000 Nissho Iwai Corp 8,067
16,000 Nitto Denko Corp 253,229
25,000 NSK Ltd 168,224
17,000 Odakyu Electric Railway 118,385
1,000 Okamoto Industries 6,596
37,000 Renown Inc * 119,008
4,000 Ricoh Co Ltd 39,822
3,000 Royal Co Ltd 39,822
7,000 Sagami Railway 31,378
3,000 Sankyo Co Ltd 66,779
18,000 Sanyo Electric Co Ltd 99,250
1,000 Sapporo Breweries Ltd 9,088
1,500 Secom Co 98,484
1,000 Seibu Railway Co Ltd 43,702
11,000 Seino Transportation Co Ltd 183,081
11,000 Sekisui Chemical Co Ltd 138,153
23,000 Sekisui House Ltd 288,865
25,000 Settsu Corp * 77,347
5,000 Shionogi and Co Ltd 45,183
5,000 Shiseido Co Ltd 52,075
12,000 Showa Shell Sekiyu 105,499
3,000 Skylark Co Ltd 47,787
2,000 Sony Corp 109,052
46,000 Sumitomo Corp 429,305
22,000 Sumitomo Metal Industries Ltd * 61,326
2,000 Sumitomo Osaka Cement Co 8,026
7,000 Sumitomo Realty and Development 51,320
12,000 Sumitomo Trust & Banking Co Ltd 162,965
7,000 Taisei Corp 47,174
2,000 Taisho Pharmaceutical Co Ltd 35,534
9,000 Takeda Chemical Industries Ltd 121,305
17,000 Tanabe Seiyaku Co Ltd 120,641
98,000 Teijin Ltd 475,315
7,000 Teikoku Oil Co 43,386
1,000 Terumo Corp 7,832
23,000 Toa Nenryo Kogyo (KK) 345,229
22,000 Tobu Railway Co 132,986
110 Toho Co 17,185
2,000 Tokyo Broadcasting System Inc 32,062
2,000 Tokyo Dome Corp 33,287
8,000 Tokyo Electric Co Ltd * 37,168
1,000 Tokyo Tatemono Ltd 4,697
1,000 Tokyotokeiba Co 3,972
23,000 Tokyu Construction Co Ltd 120,948
29,000 Tokyu Corp 204,319
5,000 Tokyu Department Store Co Ltd 32,215
8,000 Tokyu Land Corp 41,660
16,000 Toppan Printing Co Ltd 218,921
7,000 Toyo Ink Manufacturing Co Ltd 39,598
1,000 Toyo Trust & Banking Co Ltd 8,373
15,000 Toyota Motor Corp 297,136
3,000 Victor Co of Japan Ltd * 37,065
6,000 Wacoal Corp 71,068
3,000 Yakult Honsha Co Ltd 41,354
2,000 Yamaguchi Bank Ltd 34,717
50,000 Yamaichi Securities Co Ltd 321,131
11,000 Yamanouchi Pharmaceutical Co Ltd 232,501
6,000 Yamato Transport Co 62,490
7,000 Yasuda Trust and Banking Co Ltd 45,459
1,000 Yokogawa Electric Corp 9,394
21,434,522
MALAYSIA - 0.3%
118,000 Amcol Holdings Ltd 320,648
212,000 Faber Group Berhad * 203,928
524,576
NETHERLANDS - 0.0%
381 Stockland Trust Group 840
NEW ZEALAND - 0.4%
222,562 Fletcher Challenge Ltd 604,561
90,839 Lion Nathan Ltd 188,311
1,992 Telecom Corp of New Zealand 7,896
800,768
NORWAY - 1.5%
2,100 Aker AS Class A 27,321
600 Aker AS Class B (Non-Voting) 7,666
9,400 Bergesen d y AS Class A 225,549
4,000 Bergesen d y AS Class B 97,225
2,400 Det Norske Luftfartsselskab AS Class B 119,661
4,000 Dyno Industrier AS 83,514
4,600 Elkem AS Class A 55,904
6,700 Hafslund Nycomed AS Class A 161,807
9,250 Hafslund Nycomed AS Class B 219,067
3,100 Kvaerner Industrier 120,752
6,900 Leif Hoegh and Co AS 106,433
28,000 Norsk Hydro AS 1,182,277
1,400 Norske Skogindustrier AS Series A 43,954
4,000 Orkla AS Class A 186,971
1,100 Orkla-Borregaard AS Series B (Non Voting) 48,675
6,600 Unitor AS 93,065
2,779,841
SINGAPORE - 2.2%
149,000 Chuan Hup Holdings Ltd 145,801
206,000 DBS Land Ltd 591,679
58,000 First Capital Corp Ltd 166,589
68,000 Fraser and Neave Ltd 770,715
70,000 Hai Sun Hup Group Ltd 49,771
80,000 Haw Par Brothers International Ltd 163,323
139,000 Hotel Properties Ltd 224,083
25,000 Inchcape Berhad 82,013
34,000 Jurong Shipyard Ltd 236,959
62,000 Lum Chang Holdings Ltd 56,304
18,000 Metro Holdings 80,465
255,000 Neptune Orient Lines Ltd 310,560
11,000 Prima Ltd 42,203
22,000 Robinson and Co Ltd 86,730
11,000 Shangri-La Hotel Ltd 39,106
16,000 Singapore Land Ltd 90,109
135,000 Straits Trading Co Ltd 309,820
7,000 Times Publishing Ltd 16,262
540,000 United Industrial Corp Ltd 494,192
82,000 United Overseas Land Ltd 143,738
25,000 Wearne Brothers Ltd 58,430
4,158,852
SPAIN - 2.6%
13,222 Argentaria Corporacion Bancaria de Espana SA 504,748
2,426 ASLAND SA 41,956
4,082 Autopistas Cesa (Registered) 39,364
107 Autopistas Conces * 1,010
8,854 Autopistas del Mare Nostrum SA 103,023
230 Azucarera de Espana SA 6,544
24,251 Banco Bilbao Vizcaya SA 733,472
11,236 Banco Central Hispanoamericano SA 234,167
401 Banco Exterior de Espana Namen 9,715
1,328 Bankinter SA 115,363
589 Cristaleria Espanola SA * 38,962
15,965 Dragados y Construcciones SA 255,109
3,427 Ebro Agricolas Compania de Alimentacion SA 34,960
2,272 Empresa Nacional de Celulosa SA * 58,033
3,245 Empresa Nacional de Electricidad SA 168,360
5,375 Ercros SA * 5,783
214 Fabricacion de Automoviles Renault de Espana SA 6,652
86,197 FENOSA SA 399,813
64,413 Fuerzas Electricas de Cataluna SA 409,142
4,817 Huarte SA 42,229
53,800 Iberdrola SA 412,906
262 Prosegur Cia SA 6,452
10,363 Repsol SA 324,992
7,161 Sarrio SA * 36,012
69,913 Sevillana de Electricidad 442,963
6,230 Tabacalera S Namen-Akt 229,885
2,899 Tableros Defibras Series B 35,234
468 Telefonica de Espana SA 6,341
13,900 Uralita SA 153,983
3,210 Vallehermoso SA 56,666
4,913,839
SWEDEN - 0.4%
2,550 AGA AB Series A 30,707
2,700 Electrolux AB Series B 117,675
1,609 Fastighets AB (Hufvudstaden) Series A 8,785
1,000 Hennes and Mauritz AB Series B 59,252
2,800 Marieberg Tidnings AB Series A 57,473
100 Mo Och Domsjoe AB Series B 5,747
23,500 Skandinaviska Enskilda Banken Series A 121,555
5,800 Skanska AB Series B 145,639
600 SKF AB Class B 12,151
6,800 Svenska Handelsbanken Series A 106,078
665,062
SWITZERLAND - 2.7%
25 Adia SA * 4,431
150 Baloise Holdings 299,379
45 Bobst SA (Bearer) 69,876
90 CIBA-GEIGY AG (Bearer) 63,727
9,890 CS Holdings (Registered) 808,810
10 Danzas Holding AG 7,950
125 Elektrowatt AG 36,439
150 Hilti AG, Schaan (Participating Certificate) 126,708
170 Holderbank Financiere Glarus AG (Bearer) 133,043
760 Holderbank Financiere Glarus AG (Registered) 118,327
5 Interdiscount Holding SA (Bearer) 5,321
20 Intershop Holding AG 9,673
5 Magazine zum Globus (Registered) 3,147
220 Merkur Holding AG 53,019
70 Pargesa Holding SA 84,928
10 Sandoz AG Basel (Bearer) 7,304
25 Schindler Holding AG (Participating Certificate) 20,290
25 Schindler Holding AG (Registered) 21,118
150 Schweizerische Rueckversicherungsgesellschaft (Bearer) 121,242
20 Sika Finanz AG 5,499
186 SMH AG 125,540
600 SMH AG (Registered) 85,963
78 Sulzer Gebrueder AG 43,409
1,500 Swiss Bank Corp (Bearer) 509,317
1,650 Swiss Bank Corp (Registered) 281,149
1,065 Union Bank of Switzerland (Bearer) 948,137
32 Union Bank of Switzerland (Registered) 6,228
915 Winterthur Insurance (Registered) 542,559
300 Winterthur Schweizerische Versicherungs-Gesellschaft 182,609
1,425 Zurich Vericher Namen (Registered) 363,478
5,088,620
UNITED KINGDOM - 11.3%
1,731 Amersham International 28,617
20,195 Amstrad Plc 81,686
144,427 Argyll Group 787,867
667,358 ASDA Group Plc 1,122,149
760 Associated British Foods 8,457
59,090 Bass Plc 592,489
100,971 BAT Industries Plc 787,094
9,153 Berisford International Plc 25,887
18,324 Boots Co Plc 159,879
82,887 British Aerospace Plc 846,513
6,720 British Land Co Plc 41,553
296,013 British Petroleum Co Plc 2,215,745
35,916 British Steel Plc 100,190
76,425 BTR 403,879
11,029 Bunzl Plc 34,954
225,562 Burton Group Plc 356,556
554 Carlton Communications 8,929
7,494 Cobham Group Plc 48,778
14,268 Dixons Group Plc 74,627
20,598 English China Clays Plc 120,984
44,284 Fisons 175,691
85,433 Forte Plc 340,268
82,762 General Electric Co Plc 398,890
263,175 Glaxo Wellcome Plc 3,119,076
43,037 Grand Metropolitan Plc 272,122
37,002 Great Portland Estates Plc 99,205
28,220 Great Universal Stores Plc 267,215
5,827 Greenalls Group Plc 45,197
3,873 Greycoat Plc 8,523
59,193 Hammerson Property Investment and Development Corp Plc 326,574
10,561 Hillsdown Holdings Plc 31,261
15,506 Imperial Chemical Industries Plc 184,313
69,447 Ladbroke Group Plc 179,735
150,941 Lasmo Plc 414,040
5,630 London Electricity Plc 73,465
28,570 London International Group Plc 56,674
144,666 Lonrho Plc 363,198
52,404 Marks & Spencer Plc 353,277
1,827 Meyer International Plc 9,910
3,553 Midland Electricity 47,079
35,554 National Power Plc 289,274
13,847 Northern Foods Plc 41,631
4,709 NORWEB Plc 63,272
5,520 Ocean Group Plc 28,401
46,268 Peninsular and Oriental Steam Navigation Co 398,315
56,899 Pilkington Plc 186,058
31,391 Powergen Plc 284,471
14,849 Reckitt & Colman Plc 153,031
17,442 Redland Plc 105,150
37,309 Sainsbury Plc 268,066
3,184 Scottish & Newcastle Plc 29,310
2,788 Securicor Group Plc 47,312
19,541 Simon Engineering Plc * 28,770
10,405 Slough Estates Plc 35,637
102,639 Smith & Nephew Plc 304,609
104,103 Smithkline Beecham Plc Class A 966,389
183,369 Smithkline Beecham Plc Equity Units 1,603,465
234,010 Tarmac Plc 369,910
103,029 Taylor Woodrow Plc 183,620
73,678 Tesco 373,377
3,721 Thorn Emi 85,231
86,579 Trafalgar House Plc 50,987
8,016 Unigate Plc 51,555
23,682 Unilever Plc 445,920
23,011 United Biscuits Holdings Plc 97,355
23,732 Whitbread Plc Class A (Limited Voting) 226,189
2,689 Wilson (Connolly) Holdings Plc 6,668
24,901 Wimpey (George) Plc 40,906
21,377,425
TOTAL STOCK AND EQUIVALENTS (Cost $96,166,475) 95,345,850
PAR VALUE SHORT-TERM INVESTMENTS - 4.2%
$ 6,400,000 Republic Bank of New York Time Deposit, 5.81% due 9/1/95 6,400,000
1,500,000 U.S. Treasury Bill, 5.26% due 02/08/96 (b) 1,464,333
7,864,333
TOTAL SHORT-TERM INVESTMENTS (Cost $7,857,312) 7,864,333
TOTAL INVESTMENTS - 54.4%
(Cost $104,023,787) * * 103,210,183
Other Assets and Liabilities (net) - 45.6% 86,638,249
TOTAL NET ASSETS - 100.0% $ 189,848,432
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) Restricted security - This security is restricted as to resale. At
August 31, 1995, restricted securities amounted to $189,698.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
** The aggregate identified cost for federal income tax
purposes is $104,023,787 resulting in gross
unrealized appreciation and depreciation of
$1,344,953 and $2,158,557, respectively, and net
unrealized depreciation of $813,604.
</TABLE>
See accompanying notes to the financial statements.
At August 31, 1995, industry sector diversification of the Fund's equity
investments was as follows:
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
<S> <C>
Banking 7.5 %
Services 5.3
Health Care 3.8
Oil and Gas 3.7
Construction 2.9
Retail Trade 2.9
Transportation 2.8
Chemicals 2.5
Real Estate 2.2
Utilities 2.0
Technology 1.8
Food and Beverage 1.7
Automotive 1.5
Metals and Mining 1.4
Consumer Goods 1.3
Machinery 1.3
Insurance 1.0
Telecommunications 0.9
Paper and Allied Products 0.8
Electric 0.7
Aerospace 0.6
Financial Services 0.5
Pharmaceuticals 0.4
Textiles 0.4
Miscellaneous 0.2
Primary Processing 0.1
50.2 %
</TABLE>
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments, at value (cost $96,166,475) (Note 1) $ 95,345,850
Short-term investments, at value, (cost $7,857,312) (Note 1) 7,864,333
Foreign currency, at value (cost $12,222) (Note 1) 12,319
Cash 81,622
Receivable for Fund shares sold 86,406,305
Dividends and interest receivable 56,662
Foreign withholding taxes receivable 10,150
Receivable for investments sold 2,706,305
Receivable for open forward foreign currency contracts (Note 6) 2,939,040
Receivable for variation margin on open futures contracts (Note 1) 41,451
Receivable for expenses waived or borne by Manager (Note 2) 27,805
Total assets 195,491,842
LIABILITIES:
Payable for investments purchased 5,412,610
Payable for open forward foreign currency contracts (Note 6) 142,136
Payable to affiliate for management fee (Note 2) 43,758
Accrued expenses 44,906
Total liabilities 5,643,410
NET ASSETS (equivalent to $10.80 per share based
on 17,583,602 shares outstanding, unlimited shares authorized) $ 189,848,432
NET ASSETS CONSIST OF:
Paid-in capital $ 187,273,305
Accumulated undistributed net investment income 77,402
Accumulated undistributed net realized gain 339,950
Net unrealized appreciation 2,157,775
Net assets $ 189,848,432
</TABLE>
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - PERIOD FROM JUNE 30, 1995 (COMMENCEMENT OF OPERATIONS)
TO AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of foreign tax expense $16,739) 104,997
Interest $ 31,665
Total income 136,662
EXPENSES:
Management fee (Note 2) 63,323
Custodian fees 25,783
Audit fees 12,390
Transfer agent fees 4,484
Registration fees 2,478
Stamp duties and transfer taxes 1,003
Legal fees 649
Insurance 177
Trustee fee (Note 2) 59
Miscellaneous 236
Total expenses 110,582
Less: expenses waived or borne by Manager (Note 2) (51,322)
Net expenses 59,260
Net investment income 77,402
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 3,678
Closed futures contracts 344,380
Foreign currency, forward contracts and foreign currency
related transactions (8,108)
Net realized gain 339,950
Change in net unrealized appreciation (depreciation) on:
Investments (813,604)
Open futures contracts 175,513
Foreign currency, forward contracts and foreign currency
related transactions 2,795,866
Net unrealized gain 2,157,775
Net realized and unrealized gain 2,497,725
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,575,127
</TABLE>
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS - PERIOD FROM JUNE 30, 1995 (COMMENCEMENT OF
OPERATIONS) TO AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 77,402
Net realized gain 339,950
Change in net unrealized appreciation (depreciation) 2,157,775
Net increase in net assets resulting from operations 2,575,127
Fund share transactions: (Note 5)
Proceeds from sale of shares 187,273,305
Net asset value of shares issued to shareholders
in payment of distributions declared -
Cost of shares repurchased -
Net increase in net assets resulting
from Fund share transactions 187,273,305
Total increase in net assets 189,848,432
NET ASSETS:
Beginning of period -
End of period (including accumulated undistributed
net investment income of $77,402) $ 189,848,432
</TABLE>
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
PERIOD FROM JUNE 30, 1995
(COMMENCEMENT OF OPERATIONS)
TO AUGUST 31, 1995
(UNAUDITED)
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
Income from investment operations:
Net investment income (a) -
Net realized and unrealized gain (loss)
on investments 0.80
Total from investment operations 0.80
NET ASSET VALUE, END OF PERIOD $ 10.80
TOTAL RETURN (B) 8.00%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 189,848
Net expenses to average
daily net assets (a) 0.70%* (c)
Net investment income to average
daily net assets (a) 0.91%*
Portfolio turnover rate -
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of less
than $.01 per share.
(b) Calculation excludes subscription fees. The
total return would have been lower had certain
expenses not been waived during the period
shown.
(c) Includes stamp duties and transfer taxes not
waived or borne by the Manager, which
approximates .01% of average daily net assets.
</TABLE>
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL CORE FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Currency Hedged International Core Fund (the "Fund"), which
commenced operations on June 30, 1995, is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940,
as amended, as an open-end, non-diversified management investment company.
The Trust was established as a Massachusetts Business Trust under the laws
of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of
Trust permits the Trustees to create an unlimited number of series
("Funds"), each of which issues a separate series of shares. The following
is a summary of significant accounting policies consistently followed by
the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Securities which are primarily traded on foreign exchanges are generally
valued at the preceding closing values of such securities on their
respective exchanges, and those values are then translated into U.S.
dollars at the current exchange rate. Short-term investments with a
remaining maturity of sixty days or less are valued at amortized cost which
approximates market value. Other assets and securities for which no
quotations are readily available are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The
market values of foreign securities, currency holdings and other assets and
liabilities are translated to U.S. dollars based on the prevailing exchange
rates each business day. Income and expenses denominated in foreign
currencies are translated at prevailing exchange rates when accrued or
incurred. The Fund does not isolate realized and unrealized gains and
losses attributable to changes in exchange rates from gains and losses that
arise from changes in the market value of investments. Such fluctuations
are included with net realized and unrealized gain or loss on investments.
Net realized gains and losses on foreign currency transactions represent
net exchange gains and losses on disposition of foreign currencies and the
difference between the amount of investment income and foreign withholding
taxes recorded on the Fund's books and the U.S. dollar equivalent amounts
actually received or paid.
FUTURE CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and
currency markets. Buying futures tends to increase the Fund's exposure to
the underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instrument or hedge other Fund instruments. Upon
purchase of a futures contract, the Fund is required to deposit with its
custodian, in a segregated account in the name of the futures broker, an
amount of cash or U.S. government obligations in accordance with the
initial margin requirements of the broker. Futures contracts are marked to
market daily and an appropriate payable or receivable for the change in
value ("variation margin") is recorded by the Fund. Gains or losses are
recognized but not considered realized until the contracts expire or are
closed. Futures contracts involve, to varying degrees, risk of loss in
excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. See Note 6 for
all open futures contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts and forward cross
currency contracts in connection with settling planned purchases or sales
of securities or to hedge the currency exposure associated with some or all
of the Fund's portfolio securities. A forward currency contract is an
agreement between two parties to buy and sell a currency at a set price on
a future date. The market value of a forward currency contract fluctuates
with changes in forward currency exchange rates. Forward currency contracts
are marked to market daily and the change in value is recorded by the Fund
as an unrealized gain or loss. When a forward currency contract is
extinguished, through delivery or offset by entering into another forward
currency contract, the Fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and
the value of the contract at the time it was extinguished or offset. These
contracts may involve market risk in excess of the unrealized gain or loss
reflected in the Fund's Statement of Assets and Liabilities. In addition,
the Fund could be exposed to risk if the counterparties are unable to meet
the terms of the contracts or if the value of the currency changes
unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the
Fund has committed to buy or sell is shown under Note 6 and represents the
currency exposure the Fund has acquired or hedged through currency
contracts as of August 31, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision
for federal income or excise tax is necessary. Taxes on foreign interest
and dividend income have been withheld in accordance with the applicable
country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income semi-annually, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net
realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date, or when the Fund is informed of the
ex-dividend date. Interest income is recorded on the accrual basis. In
determining the net gain or loss on securities sold, the cost of securities
is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such a manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .75% of the amount
invested. The Manager may waive such premium to the extent that a
transaction results in minimal brokerage and transaction costs to the Fund.
All purchase premiums are paid to and recorded as paid-in capital by the
Fund. For the period ended August 31, 1995, the Fund received $627,750 in
purchase premiums. There is no premium for cash redemptions, reinvested
distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments of domestic securities.
These risks may involve adverse political and economic developments and the
possible imposition of currency exchange blockages or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times more
volatile than securities of comparable U.S. companies and U.S. securities
markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager"), for management and investment advisory services is paid monthly
at the annual rate of .75% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses exceed .69% of average
daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the period ended August 31, 1995, was $59. No remuneration is paid
to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the period ended August 31, 1995, aggregated
$96,180,013 and $13,518, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 75% of the outstanding shares of the Fund were held by
three shareholders, each holding in excess of 10% of the Fund's outstanding
shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits Trustees to issue an unlimited number of
shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Period from June 30, 1995
(Commencement of Operations) to
August 31, 1995
(Unaudited)
<S> <C>
Shares sold 17,583,602
Shares issued to shareholders in reinvestment
of distributions --
Shares repurchased --
Net increase 17,583,602
Fund shares:
Beginning of period --
End of period 17,583,602
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995 is as
follows:
FUTURES CONTRACTS
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
<S> <C> <C> <C> <C>
14 All-Ords September 1995 $ 568,138 $ 3,465
200 IBEX September 1995 549,203 (5,538)
30 FT-SE 100 September 1995 4,035,018 (561)
33 TOPIX September 1995 4,817,764 119,319
30 TOPIX December 1995 4,392,037 47,567
3 DAX September 1995 457,401 480
$ 164,732
Sales
6 CAC September 1995 449,420 23,022
21 Hang Seng September 1995 1,239,084 (12,241)
10,781
$
</TABLE>
At August 31, 1995, the Fund has cash and/or securities to cover any margin
requirements on open futures contracts.
FORWARD CURRENCY CONTRACTS
<TABLE>
<CAPTION>
Net Unrealized
Settlement Units of In Exchange for Appreciation
Date Deliver/Receive Currency (in U.S. Dollars) (Depreciation)
Buys
<S> <C> <C> <C> <C>
10/5/95 Norwegian Kroner 8,996,054 $ 1,832,310 $ (26,269)
Sales
10/5/95 Austrian Schillings 4,689,182 467,142 12,557
10/5/95 Australian Dollars 4,539,945 3,300,455 (114,321)
10/5/95 Belgian Francs 41,817,514 1,429,187 42,881
10/5/95 Great British Pounds 22,682,750 35,392,789 302,334
10/5/95 Danish Krone 5,719,390 1,025,592 22,208
10/5/95 Finnish Markka 3,947,539 914,209 14,567
10/5/95 French Francs 50,414,132 10,175,892 186,789
10/5/95 German Deutsche Marks 29,026,982 20,198,239 422,497
10/5/95 Hong Kong Dollars 27,734,728 3,583,024 651
10/5/95 Irish Pounds 445,086 726,005 20,416
10/5/95 Italian Lira 4,518,531,843 2,774,243 (1,262)
10/5/95 Japanese Yen 3,171,569,227 34,154,313 1,486,520
10/5/95 Malaysian Ringgit 7,213,197 2,924,140 32,731
10/5/95 Netherlands Guilder 7,985,166 5,017,200 157,974
10/5/95 New Zealand Dollars 797,509 523,025 5,968
10/5/95 Singapore Dollars 1,953,315 1,391,331 12,066
10/5/95 Spanish Pesetas 277,352,746 2,246,782 42,277
10/5/95 Swiss Francs 8,571,535 7,295,819 176,604
10/5/95 Swedish Krona 6,374,295 870,117 (284)
$ 2,823,173
</TABLE>
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
<S> <C> <C>
STOCK AND EQUIVALENTS - 91.6%
AUSTRALIA - 2.4%
43,600 Aberfoyle Ltd 95,190
43,131 Adelaide Brighton Ltd 40,914
93,846 Australian Gas & Light 316,521
97,600 Australian National Industry Ltd 85,969
99,000 Bougainville Copper Ltd * 50,682
152,756 Burns Philp & Co Ltd 325,457
91,800 Caltex Australia Ltd 284,049
2,900 Coal & Allied Industries Ltd 30,566
44,900 Crusader Ltd * 43,606
86,106 Email Ltd 230,128
46,733 Fairfax (John) Holdings 96,753
414,610 Goodman Fielder Ltd 377,688
101,875 Hardie (James) Industries Ltd 175,635
23,200 Metal Manufactures Ltd 55,892
30,800 Opsm Protector Ltd 50,086
78,642 Pacific Magazines and Printing 155,119
266,000 Pasminco Ltd * 338,436
63,483 Pioneer International Ltd 165,364
52,800 Publishing & Broadcasting Preferred * 159,797
246,074 QCT Resources Ltd 300,116
18,050 Rothmans Holdings 64,004
252,887 Santos Ltd 668,255
96,500 Seven Network Ltd 247,010
189,800 Southcorp Holdings Ltd 404,381
47,200 WD&HO Wills 71,424
6,800 Weston (George) Foods Ltd 31,791
4,864,833
AUSTRIA - 2.4%
777 Allgemeine Baugesellschaft AG 94,002
888 Allgemeine Baugesellschaft AG Preferred 7.00% 45,121
800 Austrian Airlines * 130,852
11,700 Bank Austria AG (Participating Certificate) 396,332
700 Bau Holding AG (Non Voting) 35,975
1,150 Brau Union AG 64,221
200 BWT AG 24,351
500 Constantia Verpackungen AG * 33,391
1,000 Constantia-Iso Holdings AG * 55,457
2,800 Creditanstalt-Bankverein 152,571
1,200 Creditanstalt-Bankverein Preferred 1.65% 61,787
100 EA-Generali AG 29,422
1,100 EA-Generali AG Preferred 6.00% 176,728
500 EVN Energie-Versorgung Niederoesterreich AG 65,281
2,300 Flughafen Wien AG 125,326
1,100 Jenbacher Werke AG 182,051
200 Lenzing AG 18,002
300 Leykam-Muerztaler Papier und Zellstoff AG * 13,269
800 Miba Holding AG Preferred Series B 1.34% 32,597
7,000 OEMV AG 666,651
1,100 Oesterreichische Brau Beteiligungs AG 55,680
3,000 Oesterreichische Elektrizitaetswirschafts AG 203,537
7,200 Oesterreichische Laenderbank AG 571,415
700 Oesterreichische Laenderbank AG Preferred (Non Voting) 31,368
110 Perlmooser Zement 8,464
10,375 Radex-Heraklith AG 369,523
300 RAS Versicherungs AG 43,292
2,400 Steyr-Daimler-Puch AG * 43,205
1,942 Strabag Oesterreich AG 262,198
3,662 Universale Bau AG * 132,909
1,700 Va Technologie AG (Bearer) 187,568
11,045 Veitsch-Radex AG 265,108
200 Wiener Allianz Versicherungs AG 44,424
330 Wienerberger Baustoffindustrie AG 77,452
4,699,530
CANADA - 2.0%
6,000 Abitibi-Price Inc 100,503
5,000 Avenor Inc 111,204
17,000 Brunswick Mng & Smlt Ltd 181,928
18,900 Cameco Corp 590,955
3,100 Canadian Marconi Co 28,271
38,300 Canadian Tire Ltd Class A 463,335
900 Canfor Corp 9,631
1,900 CCL Industries Class B 18,035
21,900 Cominco Ltd 434,087
18,100 Dominion Textile Inc 124,642
24,400 Domtar Inc 229,332
13,000 Gulf Canada Resources Ltd 59,278
6,400 Hudsons Bay Co 128,643
13,900 Inter-City Prods Corp 29,492
1,700 International Forest Products A * 14,712
9,400 Ipsco Inc 174,949
15,300 Molson Co Ltd Class A 257,705
2,900 Molson Co Ltd Class B 48,576
11,300 Noranda Forest Inc 89,382
30,100 Nova Scotia Power Inc 257,696
15,800 Oshawa Group Ltd Class A 251,424
10,600 Power Corp of Canada 162,758
1,700 Scotts Hospitality Inc 11,390
10,200 Sears Canada Inc 59,799
3,600 Semi-Tech Class A 28,811
1,280 Slocan Forest Products Ltd 11,554
6,600 Total Petroleum North America 71,859
3,949,951
DENMARK - 0.0%
800 Hafnia Holdings Class A (a) * 1
FINLAND - 3.2%
29,000 Amer Group Class A 493,993
9,500 Cultor 320,189
25,000 Cultor OY Series 1 848,297
4,000 Huhtamaki 141,193
700 Instrumentarium Class B 16,260
79,000 Kesko 881,545
63,700 Partek AB 884,893
132,400 Rautaruukki 904,546
62,600 Valmet 1,796,248
6,287,164
HONG KONG - 5.8%
3,170,000 Applied International Holdings Ltd 331,701
518,000 Applied International Holdings Ltd Warrants 12/30/99 * 32,120
103,000 Cathay Pacific Airways Ltd 155,012
59,000 Cross Harbour Tunnel Co Ltd 115,851
201,993 Dairy Farm International 187,853
5,094,000 Denway Investments 401,413
333,000 Dickson Concepts (International) Ltd 221,541
12,460,000 Elec and Eltek International Holdings Ltd * 1,818,861
16,780 Furama Hotel Enterprises Ltd 19,509
1,338,100 Goldlion Holdings Ltd 674,149
19,000 Harbour Centre Development Ltd 20,740
44,500 Hong Kong Ferry Co Ltd 47,713
3,100 Hong Kong Ferry Co Ltd Warrants 6/30/96 * 801
49,000 Hongkong and Shanghai Hotels Ltd Preferred 1.95% 59,818
420,000 Jardine International Motor Holdings Ltd 439,478
113,937 Jardine Strategic Warrants 5/02/98 * 51,841
40,800 Kowloon Motor Bus Co Ltd 72,208
1,341,000 Kumagai Gumi Hong Kong Ltd 1,039,401
548,000 Lai Sun Garment (International) Ltd 566,335
203,000 Lane Crawford International Ltd Series A 304,198
2,952,000 Laws International Holdings Ltd 472,869
77,012 Mandarin Oriental 69,696
766,000 Playmate Toys Holding 163,273
211,455 Playmates Properties Holdings 29,775
40,000 Realty Development Corp Ltd Class B 20,411
6,366,509 Regal International Ltd 1,151,416
76,000 San Miguel Brewery Ltd 44,180
864,000 Shun Tak Holdings Ltd 725,488
130,000 South China Morning Post Ltd 71,793
1,933,595 Stelux Holdings International 555,774
172,500 Swire Pacific Ltd Class A 1,292,469
22,000 Television Broadcasts Ltd 81,281
85,000 Wing On International Holdings Ltd 151,531
211,500 Winsor Industrial Corp Ltd 232,237
11,622,736
ITALY - 6.4%
69,000 Alitalia Linee Aeree Italiane Class A * 32,313
118,000 Alitalia Linee Aeree Italiane Class B (Private Placement) (b) * 35,628
350,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 6.39% 409,761
474,400 Banca Nazionale dell'Agricoltura di Risp * 163,697
589,800 Banca Nazionale dell'Agricoltura SPA (Non Convertible) * 199,883
36,500 Banca Nazionale dell'Agricoltura SPA (Private Placement) (b) * 16,058
70,000 Caffaro SPA 83,031
12,000 Calcestruzzi SPA * 57,453
264,200 Caltagirone SPA 232,797
58,000 Cantoni ITC SPA * 71,477
31,500 Cartiere Burgo SPA 213,992
200,000 Cementir Cementerie del Tirreno SPA 190,400
41,100 Cia Italiana dei Grandi Alberghi Cigahotels SPA * 23,755
197,100 COFIDE SPA (Non Convertible) * 63,154
24,000 Cogefar Impresit Costruzioni Generali SPA * 23,794
335,000 Comau Finanziaria SPA 495,410
38,000 Danieli and Co SPA (Non Convertible) 114,850
30,000 Falck Acciaierie and Ferriere Lombarde * 58,414
273,000 Fiat SPA (Non Convertible) 585,398
165,000 Fiat SPA (Private Placement) (b) 372,621
439,500 Finmeccanica SPA (Non Convertible) * 281,644
102,000 Fornara SPA (a) * 4,525
230,000 Gemina SPA (Non Convertible) * 102,040
75,833 Gilardini SPA 146,723
213,400 Grassetto SPA * 132,414
88,000 Industriali Riunite SPA * 63,713
32,000 Industriali Riunite (Cie) SPA (Non Convertible) * 14,611
33,500 Italcementi Fabbriche Riunite Cemento SPA 234,391
53,000 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 174,718
71,800 Latina di Assicurazioni SPA (Non Convertible) 137,150
3,000 Marzotto and Figli SPA (Convertible) 18,485
830,000 Montedison SPA (Non Convertible) * 515,011
315,000 Montefibre SPA 238,934
60,000 Montefibre SPA (Non Convertible) 34,383
38,000 Olivetti and Co SPA Preferred * 41,444
166,000 Olivetti and Co SPA (Non Convertible) * 103,411
177,000 Parmalat Finanziaria SPA 156,943
57,750 Pirelli and Co 85,937
77,000 Pirelli and Co (Non Convertible) 79,235
151,000 Pirelli SPA (Non Convertible) * 156,034
123,000 Ratti SPA 241,013
16,000 Recordati Industria Chimica e Farmaceutica SPA 97,603
75,500 Recordati Industria Chimica e Farmaceutica SPA (Non Convertible) 251,217
30,000 Rinascente per l'Esercizio di Grandi Magazzini SPA 176,906
220,000 Rinascente per l'Esercizio di Grandi Magazzini SPA Preferred 5.59% 582,908
140,000 Rinascente per l'Esercizio di Grandi Magazzini SPA (Non Convertible) 442,542
167,000 SAFFA SPA * 571,108
13,000 Sasib SPA 61,279
39,000 Sirti SPA 283,807
100,000 Snia BPD SPA (Convertible) 121,388
605,000 Snia BPD SPA (Non Convertible) 413,797
375,000 Societa Metallurgica Italia * 193,404
42,000 Sorin Biomedica SPA 111,282
26,000 Stefanel SPA 47,261
12,000 Tosi (Franco) SPA 113,538
840,274 Unione Cementi Marchino Emiliane e di Augusta-Casale (Non Convertible) * 2,894,288
4,900 Unione Cementi Marchino Emiliane e di Augusta-Casale * 33,212
12,802,185
JAPAN - 19.9%
6,000 Aida Engineering Ltd 44,417
7,000 Ajinomoto Co Inc 72,191
5,000 Alps Electric Co Ltd 61,776
8,000 Amada Co Ltd 83,321
56,000 Aoki Corp * 272,752
5,700 Arabian Oil Co 236,882
31,000 Asahi Breweries Ltd 357,686
6,000 Asics Corp * 18,318
3,000 Bank of Kyoto Ltd 21,749
19,000 Bank of Yokohama Ltd 149,191
8,000 Banyu Pharmaceutical Co Ltd 88,222
5,000 Canon Sales Co Inc 133,252
14,000 Chiba Bank Ltd 131,516
1,000 Chudenko Corp 39,312
7,000 Chugai Pharmaceutical Co 66,830
3,000 Chugoku Bank Ltd 52,075
68,000 Cosmo Oil Co Ltd 354,112
3,000 CSK Corp 89,447
27,000 Dai Nippon Ink & Chemicals 119,651
36,000 Daicel Chemical Industries Ltd 196,293
9,000 Daiichi Seiyaku Co Ltd 124,062
5,000 Dainippon Pharmaceutical Co Ltd 50,646
4,000 Dainippon Screen Manufacturing Co Ltd * 32,593
4,000 Daito Trust Construction Co 49,829
23,000 Daiwa Bank Ltd 188,115
8,000 Denki Kagaku Kogyo * 27,202
1,000 Dennys Japan 27,569
2,000 Descente 10,415
8,000 Eisai Co Ltd 129,065
37,000 Fuji Heavy Industries Ltd * 147,720
21,000 Fujisawa Pharmaceutical Co Ltd 210,139
15,000 Fujita Corp 76,275
7,000 Fujita Kanko Inc 152,959
60,000 Fujiya Co Ltd * 257,314
1,000 Fukuoka City Bank Ltd 7,352
21,000 Fukuyama Transporting Co Ltd 188,911
22,000 Furukawa Electric Co Ltd 126,696
95,000 Gakken Co Ltd * 618,880
40,000 General Sekiyu (KK) 385,970
39,000 Godo Shusei Co Ltd 173,227
6,000 Green Cross Corp 46,561
64,000 Hankyu Corp 359,422
5,000 Hankyu Department Stores 63,818
11,000 Hanwa Co Ltd * 36,055
22,000 Haseko Corp 101,087
9,000 Hazama-Gumi Ltd 40,986
4,000 Higo Bank Ltd 32,471
8,000 Hiroshima Bank Ltd 44,029
50,600 Hitachi Ltd 552,836
22,000 Hitachi Maxell Ltd 352,683
6,000 Hokkaido Bank Ltd 21,688
8,000 Hokuriku Bank Ltd 52,035
2,000 Honen Corp 11,212
1,000 House Food Corporation 18,992
3,000 Hoya Corp 86,078
25,000 Hyogo Bank Ltd * 0
4,000 INAX Corp 39,822
46,000 Intec Inc 634,094
8,000 Itoham Foods Inc 59,468
25,000 Japan Airport Terminal Co Ltd 288,457
119,000 Japan Energy Co Ltd 370,603
119,000 Japan Synthetic Rubber Co Ltd 680,451
35,000 Joshin Denki Co Ltd 446,725
2,000 Kaken Pharmaceutical Co Ltd 19,156
13,000 Kamigumi Co 120,529
7,000 Kao Corp 80,768
37,000 Keihin Electric Express Railway 230,459
49,000 Keio Teito Electric Railway Co Ltd 289,192
20,000 Keisei Electric Railway 162,557
1,000 Kissei Pharmaceutical Co 31,960
2,000 Kobori Juken Co Ltd 20,626
16,000 Koito Manufacturing Co Ltd 121,877
59,000 Kokusai Kogyo Co Ltd 549,426
5,000 Kokuyo Co 108,235
34,000 Komatsu Ltd 280,165
1,000 Konami Co 20,422
10,000 Konica Corp 71,272
58,000 Koyo Seiko Co Ltd 520,570
22,000 Kumagai Gumi Co Ltd 104,906
123,000 Kurabo Industries Ltd 501,118
268,000 Kureha Chemical Industry Co Ltd 1,179,435
4,000 Kyodo Printing Co Ltd 45,745
15,000 Kyowa Hakko Kogyo Co Ltd 145,658
19,000 Lion Corp 108,449
66,000 Maeda Corp 707,612
61,000 Makino Milling Machine Co Ltd * 454,689
50,000 Marubeni Corp 256,292
112,000 Marudai Food Co Ltd 799,387
15,000 Matsushita Electric Works Ltd 154,694
26,000 Matsushita Refrigeration Co 184,510
7,000 Matsuzakaya Co Ltd 75,765
36,000 Mazda Motor Corp * 149,242
9,000 Mercian Corp 62,490
13,000 Mitsubishi Gas Chemical Co Inc 54,424
200 Mitsubishi Kasei Corp 915
37,000 Mitsubishi Materials Corp 183,612
48,000 Mitsubishi Oil Co 411,212
20,000 Mitsubishi Rayon Co 82,912
25,000 Mitsubishi Trust & Banking Corp 416,092
8,000 Mitsubishi Warehouse 120,080
54,000 Mitsuboshi Belting Ltd 299,403
13,000 Mitsui Mining Ltd * 57,610
25,000 Mitsui Toatsu Chemicals Inc 94,450
22,000 Mitsui Trust & Banking Co Ltd 226,885
6,000 Mitsui-Soko Co Ltd 45,091
3,000 Mochida Pharmaceutical 43,192
83,000 Nagasakiya Co Ltd (Tokyo) * 381,375
60,000 Nagoya Railroad Co Ltd 302,650
35,000 Nakkai Electric Rail 241,946
2,000 Namco 51,667
155,000 Nichiei Co Ltd 645,734
9,000 Nichii Co Ltd 102,925
6,000 Nihon Cement Co Ltd 38,291
1,000 Nippon Beet Sugar Manufacturing Co Ltd 4,391
121,000 Nippon Chemi-Con Corp * 767,254
3,000 Nippon Denko Co Ltd 11,947
5,000 Nippon Kayaku Co Ltd 30,939
2,000 Nippon Meat Packers 27,569
4,000 Nippon Metal Industry Co Ltd 16,337
174,000 Nippon Oil Co Ltd 982,509
13,000 Nippon Piston Ring Co Ltd 66,503
12,000 Nippon Sheet Glass Co Ltd 54,403
8,000 Nippon Suisan Kaisha Ltd * 37,331
4,000 Nippon Yakin Kogyo Co Ltd * 20,013
50,000 Nissan Fire & Marine Insurance Co Ltd 304,283
2,000 Nisshin Flour Mill 21,851
25,000 Nissho Iwai Corp 100,832
1,000 Nissin Food Products 22,872
7,000 Nitto Boseki Co Ltd * 18,441
5,000 Nitto Denko Corp 79,134
19,000 NSK Ltd 127,850
54,000 Odakyu Electric Railway 376,045
17,000 Okamoto Industries 112,136
7,000 Olympus Optical Co Ltd 63,471
3,000 Ono Pharmaceutical Co Ltd 119,773
10,000 Onoda Cement Co Ltd 50,748
265,000 Renown Inc * 852,351
21,000 Ricoh Co Ltd 209,067
56,000 Royal Co Ltd 743,350
4,000 Ryobi Ltd 21,810
31,000 Sagami Railway 138,960
25,000 Sanden Corp 134,017
4,000 Sankyo Aluminum Industry 19,605
35,000 Sanrio Co Ltd 418,134
4,000 Sanwa Shutter Corp 30,183
145,000 Sanyo Securities Co Ltd * 546,332
13,000 Sapporo Breweries Ltd 118,140
5,000 Secom Co 328,279
10,000 Seino Transportation Co Ltd 166,437
11,000 Sekisui Chemical Co Ltd 138,153
256,000 Settsu Corp * 792,036
36,000 Shionogi and Co Ltd 325,318
14,000 Shiseido Co Ltd 145,811
4,000 Shochiku Co 44,928
4,000 Shokusan Jutaku Sogo Co Ltd * 15,725
134,000 Showa Denko * 413,213
40,250 Showa Shell Sekiyu 353,860
5,000 Skylark Co Ltd 79,645
3,000 Snow Brand Milk 20,800
5,000 Stanley Electric Ltd 33,338
7,000 Sumitomo Coal Mining Ltd 36,381
3,000 Sumitomo Forestry 47,480
25,000 Sumitomo Osaka Cement Co 100,322
22,000 Sumitomo Trust & Banking Co Ltd 298,770
6,000 Sumitomo Warehouse 36,024
34,000 Taisei Corp 229,132
11,000 Taisho Pharmaceutical Co Ltd 195,436
6,000 Taiyo Yuden Co Ltd 63,103
7,000 Takara Shuzo Co 56,323
28,000 Tanabe Seiyaku Co Ltd 198,703
28,000 Teikoku Oil Co 173,544
10,000 Terumo Corp 78,317
64,000 Tobu Railway Co 386,869
7,000 Toei Company 46,459
880 Toho Co 137,479
5,000 Tokai Carbon Co Ltd 21,902
9,000 Tokyo Dome Corp 149,793
90,000 Tokyo Electric Co Ltd * 418,134
43,000 Tokyo Rope Mfg Co Ltd 244,999
8,000 Tokyo Sowa Bank Ltd 39,210
13,000 Tokyotokeiba Co 51,636
113,000 Tokyu Construction Co Ltd 594,221
84,000 Tokyu Corp 591,821
7,000 Tokyu Department Store Co Ltd 45,101
35,000 Toppan Printing Co Ltd 478,889
28,000 Toshiba Tungaloy Co Ltd * 177,260
4,000 Tostem Corp 124,981
7,000 Toto 102,211
13,000 Toyo Engineering Corp 80,972
4,000 Toyo Kanetsu 20,013
10,000 Toyo Trust & Banking Co Ltd 83,729
31,000 Tsugami Corp 163,016
4,000 Tsumura and Co 70,251
1,000 Unicharm 20,524
193,000 Victor Co of Japan Ltd * 2,384,541
7,000 Wacoal Corp 82,912
3,000 Yamaguchi Bank Ltd 52,075
5,000 Yamaha Corp 66,371
10,000 Yamanouchi Pharmaceutical Co Ltd 211,365
27,000 Yamato Transport Co 281,207
2,000 Yamazaki Baking Co Ltd 35,534
19,000 Yasuda Trust and Banking Co Ltd 123,388
7,000 Yokogawa Electric Corp 65,758
4,000 Yoshitomi Pharmaceutical 34,717
39,678,174
MALAYSIA - 0.1%
42,000 Amcol Holdings Ltd 114,129
6,000 Boustead Holdings Berhad 12,376
126,505
NEW ZEALAND - 0.6%
25,000 Air New Zealand Ltd Class B 82,856
4,500 Ceramco Corp Ltd 6,317
658,000 DB Group Ltd * 367,737
15,510 Fernz Corp Ltd 42,131
9,411 Fisher and Paykel Industries Ltd 28,744
42,500 Fletcher Challenge Ltd (Forest Division) 52,475
14,500 Independent Newspapers Ltd 41,460
218,000 Lion Nathan Ltd 451,919
2,500 Steel and Tube Holdings Ltd 11,697
8,500 Wilson and Horton Ltd 49,437
1,134,773
NORWAY - 4.1%
11,100 Aker AS Class A 144,411
4,000 Aker AS Class B (Non-Voting) 51,105
13,700 Bergesen d y AS Class A 328,725
8,000 Bergesen d y AS Class B 194,449
123,700 Den Norske Bank Series A 321,868
8,600 Det Norske Luftfartsselskab AS Class B 428,786
5,800 Dyno Industrier AS 121,095
14,700 Elkem AS Class A 178,650
30,233 Hafslund Nycomed AS Class A 730,138
11,675 Hafslund Nycomed AS Class B 276,498
3,050 Kvaerner Industrier 118,804
1,200 Kvaerner Industrier AS, Oslo -B- Stimmrechtslos 44,499
11,900 Leif Hoegh and Co AS 183,558
79,750 Norsk Hydro AS 3,367,380
12,430 Norske Skogindustrier AS Series A 390,246
2,780 Norske Skogindustrier AS Series B 83,165
6,050 Orkla AS Class A 282,793
3,100 Orkla-Borregaard AS Series B (Non Voting) 137,174
35,300 Unitor AS 497,755
18,571 Vard AS Class A * 20,978
9,760 Vital Forsikring AS Series A 161,194
8,063,271
SINGAPORE - 5.0%
2,391,000 Chuan Hup Holdings Ltd 2,339,662
21,000 Fraser and Neave Ltd 238,015
494,000 Hai Sun Hup Group Ltd 351,243
16,500 Haw Par Brothers International Ltd 33,685
145,000 Hotel Properties Ltd 233,756
122,000 Inchcape Berhad 400,225
141,766 Jardine Matheson 1,020,715
805,437 Jardine Strategic 2,529,072
47,000 Kulim Berhad 71,468
45,000 Low Keng Huat Singapore Ltd 30,253
24,000 Natsteel Ltd 49,842
170,000 Neptune Orient Lines Ltd 207,040
210,000 Parkway Holdings Ltd 490,813
97,000 Prima Ltd 372,158
223,000 Robinson and Co Ltd 879,127
34,000 Straits Trading Co Ltd 78,029
245,000 Times Publishing Ltd 569,166
46,000 Wearne Brothers Ltd 107,511
10,001,780
SPAIN - 6.0%
11,050 Acerinox Rights 9/15/95 * 138,263
11,050 Acerinox SA 1,406,402
7,500 Asland SA 129,707
36,403 Asturiana del Zinc SA * 385,861
9,300 Azucarera de Espana SA 264,602
27,600 Banco Zaragozano SA * 433,329
1,125 Bodegas Y Bebidas SA 31,381
15,650 Cristaleria Espanola SA * 1,035,225
22,000 Empresa Nacional de Celulosa SA * 561,944
40,400 Ercros SA * 43,467
19,950 Espanola de Carburos Metalicos SA 801,338
138,100 Espanola de Tubos por Extrusion SA * 176,099
3,500 Fabricacion de Automoviles Renault de Espana SA 108,786
3,783 Grupo Anaya SA 87,433
27,400 Grupo Duro Felguera SA * 119,448
261,727 Huarte SA 2,294,476
1,010 Koipe SA 59,566
275,820 Sarrio SA * 1,387,067
55,799 Tableros Defibras Series B 678,170
167,515 Uralita SA 1,855,713
11,998,277
SWEDEN - 4.3%
24,900 Bilspedition AB Series B * 88,590
40,700 Celsius Industrier AB Class B 582,000
1,000 Esselte AB Series A 12,863
600 Esselte AB Series B 7,636
21,400 Euroc Industri AB Series A 453,898
57,860 Marieberg Tidnings AB Series A 1,187,633
3,300 Mo Och Domsjoe AB Series B 189,660
34,600 Pharmacia AB Class B 937,463
117,420 Skandinaviska Enskilda Banken Series A 607,360
3,000 SKF AB Class B 60,757
3,600 SKF AB Series A 73,647
295,400 Stena Line AB Class B 1,475,421
40,600 Svenska Handelsbanken Series B 605,571
64,300 Sydkraft AB Series A 1,126,247
55,600 Sydkraft AB Series C 836,913
31,900 Trelleborg AB 347,033
8,592,692
SWITZERLAND - 6.5%
900 Adia SA * 159,503
500 Ascom Holding AG * 111,387
50 Ascom Holding AG * 56,522
2,840 Bobst SA (Registered) 1,952,133
550 CIBA-GEIGY AG (Bearer) 389,441
2,625 CS Holdings (Registered) 214,674
100 Danzas Holding AG 79,503
350 Elektrowatt AG 102,029
150 EMS-Chemie Holdings AG 621,118
250 Fischer (George) AG (Registered) 60,041
200 Forbo Holdings AG (Registered) 86,294
150 Hero AG (Bearer) 69,565
500 Hero Lenzburg (Registered) 57,143
1,050 Hilti AG, Schaan (Participating Certificate) 886,957
550 Holderbank Financiere Glarus AG (Bearer) 430,435
2,400 Holderbank Financiere Glarus AG (Registered) 373,665
5,150 Holderbank Warrants 12/20/95 * 6,398
50 Interdiscount Holding SA (Bearer) 53,209
2,950 Interdiscount Holding SA (Participating Certificate) 307,826
1,160 Kuoni Reisen Holdings AG (Registered) 1,758,012
150 Landis and Gyr AG 91,553
830 Magazine zum Globus (Participating Certificate) 501,781
300 Magazine zum Globus (Registered) 188,820
20 Merkur Holding AG 4,820
4,260 Saurer Group Holdings 1,375,901
10 Schindler Holding AG (Bearer) 54,658
190 Schindler Holding AG (Participating Certificate) 154,203
270 Schindler Holding AG (Registered) 228,075
750 SGS Holdings (Registered) 243,478
250 SGS Societe Generale de Surveillance Holdings Ltd, Geneva 448,240
20 SIG AG (Bearer) 21,366
20 SIG AG (Registered) 43,230
450 Sika Finanz AG 123,727
4,600 Sika Finanz AG (Registered) 217,143
96 SMH AG 64,795
3,300 SMH AG (Registered) 472,795
175 Sulzer Gebrueder AG 97,391
350 Swiss Bank Corp (Bearer) 118,841
250 Swiss Bank Corp (Registered) 42,598
2,150 Swissair AG (Participating Certificate) * 235,031
485 Union Bank of Switzerland (Bearer) 431,781
250 Union Bank of Switzerland (Registered) 48,654
10 Zellweger Luwa AG * 8,696
12,993,432
UNITED KINGDOM - 22.9%
199,204 AMEC Plc 191,404
96,926 Amstrad Plc 392,051
6,040 Anglian Water Plc 50,552
53,964 Argyll Group 294,380
1,187,000 ASDA Group Plc 1,995,916
2,700 Associated British Foods 30,043
80,900 Astec (BSR) Plc 156,719
43,990 Barratt Developments Plc 126,803
22,060 Bass Plc 221,193
129,275 BAT Industries Plc 1,007,731
121,863 Berisford International Plc 344,665
28,620 Boots Co Plc 249,712
336,596 British Aerospace Plc 3,437,607
89,643 Bunzl Plc 284,100
595,125 Burton Group Plc 940,741
10,550 Carlton Communications 170,039
27,430 Charter Plc (Registered) 399,166
46,540 Cobham Group Plc 302,927
89,502 Costain Group * 144,254
41,081 Dawson International Plc 82,128
140,902 Dixons Group Plc 736,975
2,640 East Midland Electric Plc 32,444
130,126 English China Clays Plc 764,302
6,200 First Leisure Plc 31,804
961,550 Forte Plc 3,829,719
116,243 Glaxo Wellcome Plc 1,377,679
75,560 Grand Metropolitan Plc 477,765
92,220 Greenalls Group Plc 715,305
35,302 Greycoat Plc 77,687
39,270 Hammerson Property Investment and Development Corp Plc 216,657
109,620 Hazlewood Foods Plc 220,849
85,340 Hillsdown Holdings Plc 252,608
1,545,823 Ladbroke Group Plc 4,000,720
38,563 Laing (John) Plc 131,479
9,127 Laing (John) Plc Class A 31,118
1,195,200 Lasmo Plc 3,278,504
12,580 Lex Service PLC 61,607
75,480 Lex Service PLC (Ordinary) 376,660
45,080 London Electricity Plc 588,245
210,687 London International Group Plc 417,936
957,438 Lonrho Plc 2,403,740
46,660 Manweb Plc 699,974
90,660 Marks & Spencer Plc 611,177
50,656 Marley Plc 88,710
23,500 McAlpine (Alfred) Plc 49,166
41,981 Meyer International Plc 227,710
28,640 Midland Electricity 379,491
200,497 Norcros Plc 270,327
53,100 Northern Electric Plc 761,199
114,085 Northern Foods Plc 342,998
32,898 Northumbrian Water Group Plc 463,952
78,520 NORWEB Plc 1,055,021
44,480 Ocean Group Plc 228,857
59,565 Reckitt & Colman Plc 613,868
59,014 Sainsbury Plc 424,018
4,440 Scottish & Newcastle Plc 40,873
634 Scottish & Newcastle (Participating Certificte) 3,046
140,100 Sears Plc 243,175
22,320 Securicor Group Plc 378,765
75,420 SEEBOARD Plc 572,723
412,040 Signet Group Plc * 92,591
109,894 Simon Engineering Plc * 161,793
30,750 Smithkline Beecham Plc Class A 285,452
24,842 Smithkline Beecham Plc Equity Units 217,230
27,460 South Wales Electricity 389,389
18,316 South West Water Plc 142,494
18,300 Storehouse Plc 87,917
166,106 T and N Plc 482,668
774,600 Tarmac Plc 1,224,446
672,580 Taylor Woodrow Plc 1,198,681
378,217 Trafalgar House Plc 222,734
117,600 Transport Development Group Plc 400,040
27,855 Unilever Plc 524,495
147,418 United Biscuits Holdings Plc 623,699
11,683 Welsh Water Plc 137,785
12,618 Welsh Water Plc Preferred 6.42% * 19,995
12,040 Whitbread Plc Class A (Limited Voting) 114,753
128,180 Wilson (Connolly) Holdings Plc 317,835
352,235 Wimpey (George) Plc 578,629
5,333 Wolseley 31,158
45,554,768
TOTAL STOCK AND EQUIVALENTS (Cost $182,285,614) 182,370,072
PAR VALUE SHORT-TERM INVESTMENTS - 6.6%
$ 9,800,000 First National Bank of Chicago Time Deposit, 5.81%. due 9/1/95 9,800,000
900,000 Republic Bank of New York Time Deposit, 5.81% due 9/1/95 900,000
2,375,000 U.S. Treasury Bill, 5.22% due 12/14/95 (c) 2,338,568
13,038,568
TOTAL SHORT-TERM INVESTMENTS (Cost $13,018,412) 13,038,568
TOTAL INVESTMENTS - 98.2%
(Cost $195,304,026) * * 195,408,640
Other Assets and Liabilities (net) - 1.8% 3,615,373
TOTAL NET ASSETS - 100.0% $ 199,024,013
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) Security is valued by management (Note 1).
(b) Restricted security - This security is restricted as
to resale. At August 31, 1995, restricted securities
amounted to $424,307 or 0.2% of net assets.
(c) This security is held as collateral for open futures
contracts.
** The aggregate identified cost for federal income
tax purposes is $195,304,026, resulting in gross
unrealized appreciation and depreciation of
$17,450,099 and $17,345,485, respectively, and net
unrealized appreciation of $104,614. See
accompanying notes to the financial statements. At
August 31, 1995, industry sector diversification of
the Fund's equity investments was as follows:
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
<S> <C>
Services 11.5 %
Transportation 11.0
Construction 10.7
Machinery 7.5
Retail Trade 6.1
Oil and Gas 6.0
Consumer Goods 4.9
Utilities 3.8
Food and Beverage 3.3
Banking 3.1
Chemicals 2.9
Paper and Allied Products 2.8
Metals and Mining 2.5
Health Care 2.5
Technology 2.5
Aerospace 2.2
Textiles 1.6
Telecommunications 1.5
Primary Processing 1.3
Automotive 0.9
Pharmaceuticals 0.7
Miscellaneous 0.6
Insurance 0.5
Real Estate 0.4
Financial Services 0.3
Electric 0.4
Manufacturing 0.1
91.6 %
</TABLE>
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31,1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $182,285,614) (Note 1) $ 182,370,072
Short-term investments, at value (cost $13,018,412) (Note 1) 13,038,568
Foreign currency, at value (cost $1,724,917) (Note 1) 1,660,161
Cash 64,463
Receivable for Fund shares sold 2,373,000
Dividends and interest receivable 261,341
Receivable for variation margin on open futures contracts (Note 6) 112,776
Receivable for open forward foreign currency contracts (Note 6) 436,022
Receivable for foreign tax reclaims 97,397
Receivable for expenses waived or borne by Manager (Note 2) 127,015
Total assets 200,540,815
LIABILITIES:
Payable for investments purchased 57,389
Payable for open forward foreign currency contracts (Note 6) 1,113,381
Payable to affiliate for management fee (Note 2) 205,345
Accrued expenses 140,687
Total liabilities 1,516,802
NET ASSETS (equivalent to $12.68 per share based
on 15,691,530 shares outstanding, unlimited shares authorized) $ 199,024,013
NET ASSETS CONSIST OF:
Paid-in capital $ 195,623,335
Accumulated undistributed net investment income 3,137,700
Accumulated undistributed net realized gain 86,339
Net unrealized appreciation 176,639
NET ASSETS $ 199,024,013
</TABLE>
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $403,092) $ 2,990,500
Interest 167,555
Total income 3,158,055
EXPENSES:
Management fee (Note 2) 1,203,901
Custodian fees 215,450
Audit fees 23,942
Transfer agent fees 13,800
Stamp duties and transfer taxes 4,460
Legal fees 3,590
Insurance 1,014
Registration fees 940
Trustee fee (Note 2) 368
Miscellaneous 278
Total expenses 1,467,743
Less: expenses waived or borne by Manager (Note 2) (740,931)
Net expenses 726,812
Net investment income 2,431,243
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 578,108
Closed futures contracts 568,091
Foreign currency, forward contracts and foreign
currency related transactions (1,037,120)
Net realized gain 109,079
Change in net unrealized appreciation (depreciation) on:
Investments 8,884,325
Open futures contracts 821,868
Foreign currency, forward contracts and foreign
currency related transactions (13,549)
Net unrealized gain 9,692,644
Net realized and unrealized gain 9,801,723
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 12,232,966
</TABLE>
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 2,431,243 $ 2,536,514
Net realized gain 109,079 9,647,409
Change in net unrealized appreciation (depreciation) 9,692,644 (31,826,852)
Net increase (decrease) in net assets
resulting from operations 12,232,966 (19,642,929)
Distributions to shareholders from:
Net investment income - (2,988,635)
Net realized gains (1,004,007) (13,044,663)
(1,004,007) (16,033,298)
Fund share transactions: (Note 4)
Proceeds from sale of shares 25,195,063 110,097,988
Net asset value of shares issued to shareholders
in payment of distributions declared 972,321 14,268,183
Cost of shares repurchased (24,557,530) (35,149,466)
Net increase in net assets resulting
from Fund share transactions 1,609,854 89,216,705
Total increase in net assets 12,838,813 53,540,478
NET ASSETS:
Beginning of period 186,185,200 132,644,722
End of period (including accumulated undistributed
net investment income of $3,137,700 and
$706,457, respectively) $ 199,024,013 $ 186,185,200
</TABLE>
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29
(UNAUDITED) 1995 1994 1993 1992 *
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.95 $ 14.45 $ 8.91 $ 9.62 $ 10.00
Income (loss) from investment operations:
Net investment income (a) 0.15 0.18 0.15 0.35 0.06
Net realized and unrealized gain (loss) 0.65 (1.52) 5.59 (0.68) (0.43)
Total from investment operations 0.80 (1.34) 5.74 (0.33) (0.37)
Less distributions to shareholders from:
Net investment income -- (0.20) (0.12) (0.38) (0.01)
Net realized gains (0.07) (0.96) (0.08) -- --
Total distributions (0.07) (1.16) (0.20) (0.38) (0.01)
NET ASSET VALUE, END OF PERIOD $ 12.68 $ 11.95 $ 14.45 $ 8.91 $ 9.62
TOTAL RETURN (B) 6.69% (9.66%) 64.67% (3.30%) (3.73%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's $199,024 $186,185 $132,645 $35,802 $24,467
Net expenses to average
daily net assets (a) 0.75%** 0.76%(c) 0.75% 0.75% 0.85%**
Net investment income to average
daily net assets (a) 2.52%** 1.45% 1.50% 4.02% 1.91%**
Portfolio turnover rate 5% 58% 38% 20% 1%
* For the period from the commencement of operations, October 15, 1991
through February 29, 1992.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of
the following per share amounts: $ 0.05 $ 0.08 $ 0.09 $ 0.09 $ 0.05
(b) Calculation excludes subscription and redemption fees. The total returns
would have been lower had certain expenses not been waived during the
periods shown.
(c) Includes stamp duties and transfer taxes not waived or borne by the
Manager, which approximate .01% of average daily net assets.
</TABLE>
See accompanying notes to the financial statements.
GMO INTERNATIONAL SMALL COMPANIES FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO International Small Companies Fund (the "Fund") is a series of GMO
Trust (the "Trust"). The Fund is registered under the Investment Company
Act of 1940, as amended, as an open-end, diversified management investment
company. The Trust was established as a Massachusetts Business Trust under
the laws of the Commonwealth of Massachusetts on June 24, 1985. The
Declaration of Trust permits the Trustees to create an unlimited number of
series ("Funds"), each of which issues a separate series of shares. The
following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Securities which are primarily traded on foreign exchanges are generally
valued at the preceding closing values of such securities on their
respective exchanges, and those values are then translated into U.S.
dollars at the current exchange rate. Short-term investments with a
remaining maturity of sixty days or less are valued at amortized cost which
approximates market value. Other assets and securities for which no
quotations are readily available are valued at fair value as determined in
good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The
market values of foreign securities, currency holdings and other assets and
liabilities are translated to U.S. dollars based on the prevailing exchange
rates each business day. Income and expenses denominated in foreign
currencies are translated at prevailing exchange rates when accrued or
incurred. The Fund does not isolate realized and unrealized gains and
losses attributable to changes in exchange rates from gains and losses that
arise from changes in the market value of investments. Such fluctuations
are included with net realized and unrealized gain or loss on investments.
Net realized gains and losses on foreign currency transactions represent
net exchange gains and losses on disposition of foreign currencies and the
difference between the amount of investment income and foreign withholding
taxes recorded on the Fund's books and the U.S. dollar equivalent amounts
actually received or paid.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with
planned purchases or sales of securities or to hedge the currency exposure
associated with some or all of the Fund's portfolio securities. A forward
currency contract is an agreement between two parties to buy and sell a
currency at a set price on a future date. The market value of a forward
currency contract fluctuates with changes in forward currency exchange
rates. Forward currency contracts are marked to market daily and the change
in value is recorded by the Fund as an unrealized gain or loss. When a
forward currency contract is extinguished, through delivery or offset by
entering into another forward currency contract with the same broker, the
Fund records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value of the
contract at the time it was extinguished or offset. These contracts may
involve market risk in excess of the unrealized gain or loss reflected in
the Fund's Statement of Assets and Liabilities. In addition, the Fund could
be exposed to risk if the counterparties are unable to meet the terms of
the contracts or if the value of the currency changes unfavorably to the
U.S. dollar. The U.S. dollar value of the currencies the Fund has committed
to sell is shown under Note 5, and represents the currency exposure the
Fund has acquired or hedged through currency contracts as of August 31,
1995.
FUTURES CONTRACTS
The Fund may purchase index futures contracts. Stock index futures
contracts represent commitments for future delivery of cash based upon the
level of a specified index of equity securities at a given date. The Fund
may use futures contracts to manage its exposure to the stock and currency
markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instrument or hedge other Fund instruments. Upon
purchase of a futures contract, the Fund is required to deposit with its
custodian, in a segregated account in the name of the futures broker, an
amount of cash or U.S. government obligations in accordance with the
initial margin requirements of the broker. Futures contracts are marked to
market daily and an appropriate payable or receivable for the change in
value ("variation margin") is recorded by the Fund. The payable or
receivable is liquidated on the following business day. Gains or losses are
recognized but not considered realized until the contracts expire or are
closed. Futures contracts involve, to varying degrees, risk of loss in
excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. See Note 5 for
all open futures contracts held as of August 31, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended (the
"Code"). It is the policy of the Fund to distribute all of its taxable
income, including any net realized gain on investments not offset by loss
carryovers, to shareholders within the prescribed time periods. Therefore,
no provision for federal income or excise tax is necessary. Taxes on
foreign interest and dividend income have been withheld in accordance with
the applicable country's tax treaty with the United States. Dividends
received by shareholders of the Fund which are derived from foreign source
income and foreign taxes paid by the Fund are to be treated, to the extent
allowable under the Code, as if paid and received by the shareholders of
the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income semi-annually, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions. There is no premium
incurred on reinvested distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net
realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date, or when the Fund is informed of the
ex-dividend date. Interest income is recorded on the accrual basis. In
determining the net gain or loss on securities sold, the cost of securities
is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is 1.25% of the amount
invested. In the case of cash redemptions, the premium is .75% of the
amount redeemed. The Manager may waive such premium to the extent that a
transaction results in minimal brokerage and transaction costs to the Fund.
All purchase and redemption premiums are paid to and recorded as paid-in
capital by the Fund. For the six months ended August 31, 1995, the Fund
received $106,657, in purchase premiums and no redemption premiums. There
is no premium for reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments of domestic securities.
These risks may involve adverse political and economic developments and the
possible imposition of currency exchange blockages or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times more
volatile than securities of comparable U.S. companies and U.S. securities
markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager"), for management and investment advisory services is paid monthly
at the annual rate of 1.25% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses (including management
and custody fees but excluding brokerage commissions and transfer taxes)
exceed .75% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $368. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the six months ended August 31, 1995,
aggregated $8,500,691 and $21,200,087, respectively.
4. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 2,011,931 7,848,879
Shares issued to shareholders in reinvestment
of distributions 79,633 1,117,555
Shares repurchased (1,985,467) (2,560,141)
Net increase 106,097 6,406,293
Fund shares:
Beginning of period 15,585,433 9,179,140
End of period 15,691,530 15,585,433
</TABLE>
5. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995 is as
follows:
FORWARD CURRENCY CONTRACTS
<TABLE>
<CAPTION>
In Exchange for Net Unrealized
Settlement Units of (in U.S. Dollars) Appreciation
Date Deliver/Receive Currency (Note 1) (Depreciation)
Sales
<S> <C> <C> <C> <C>
2/1/96 British Pounds 6,200,000 $ 9,830,960 $ 116,462
12/1/95 Deutsche Marks 6,675,000 4,481,983 (79,313)
2/1/96 Deutsche Marks 1,450,000 971,720 (21,907)
10/2/95 Swiss Francs 5,100,000 4,554,385 319,560
$ 334,802
Buys
11/1/95 Japanese Yen 692,000,000 $ 8,063,154 $ (940,845)
11/6/95 Norwegian Kroner 13,300,000 2,145,196 (71,316)
$ (1,012,161)
</TABLE>
FUTURES CONTRACTS
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
<S> <C> <C> <C> <C>
12 All-Ords September 1995 $ 486,976 $ (3,150)
111 IBEX September 1995 304,807 (185)
49 TOPIX September 1995 7,153,650 817,588
27 TOPIX December 1995 3,952,833 64,399
$ 878,652
Sales
9 FT - SE 100 September 1995 1,210,506 $ (16,512)
72 Hang Seng September 1995 4,248,288 (40,272)
$ (56,784)
</TABLE>
At August 31, 1995, the Fund has cash and/or securities to cover any margin
requirements on open futures contracts.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 96.7%
<S> <C> <C>
AUTOMOTIVE - 7.2%
21,000 Fuji Heavy Industries Ltd * 83,841
14,000 Honda Motor Co Ltd 248,736
192,000 Mazda Motor Corp (a) * 795,957
503,000 Nissan Motor Co Ltd 3,852,045
112,000 Toyota Motor Corp 2,218,614
7,199,193
BANKING - 4.4%
78,000 Asahi Bank Ltd 812,376
30,000 Bank of Fukoka 242,916
29,000 Bank of Tokyo (a) 447,133
4,000 Bank of Yokohama Ltd 31,409
7,000 Daiwa Bank Ltd (a) 57,252
14,000 Gunma Bank 145,811
20,000 Hiroshima Bank Ltd 110,073
14,000 Mitsubishi Trust & Banking Corp 233,012
35,000 Sanwa Bank Ltd 668,300
74,000 Sumitomo Trust & Banking Co Ltd 1,004,952
20,000 Tokai Bank 222,597
2,000 Yamaguchi Bank Ltd 34,717
68,000 Yasuda Trust and Banking Co Ltd 441,599
4,452,147
CHEMICALS - 4.6%
30,000 Dai Nippon Ink & Chemicals 132,945
42,000 Daicel Chemical Industries Ltd 229,009
39,000 Denki Kagaku Kogyo * 132,608
20,000 Japan Synthetic Rubber Co Ltd 114,362
14,000 Kansai Paint Co Ltd 67,187
35,000 Kureha Chemical Industry Co Ltd 154,031
96,000 Mitsubishi Gas Chemical Co Inc 401,899
369,000 Mitsubishi Kasei Corp 1,687,977
23,000 Mitsubishi Rayon Co 95,349
64,000 Mitsui Petrochemical Industries Ltd 490,121
8,000 Shin-Etsu Chemical Co Ltd 159,289
162,000 Teijin Ltd 785,725
3,000 Toagosei Chemical Industry Co Ltd 15,286
18,000 Toray Industries Inc 117,078
5,000 Toyo Ink Manufacturing Co Ltd 28,284
4,611,150
CONSTRUCTION - 7.4%
68,000 Aoki Corp * 331,198
2,000 Chudenko Corp 78,624
5,800 Daito Trust Construction Co 72,252
90,000 Fujita Corp 457,650
42,000 Haseko Corp 192,985
20,000 Hazama-Gumi Ltd 91,081
14,000 INAX Corp 139,378
35,000 Kajima Corp 353,091
100,000 Kumagai Gumi Co Ltd 476,847
24,000 Maeda Corp (a) 257,314
14,000 Nichiei Co Ltd 58,324
6,000 Nihon Cement Co Ltd 38,291
29,000 Obayashi Corp 227,712
10,000 Okumura Corp 95,982
14,000 Onoda Cement Co Ltd 71,047
4,000 Sanwa Shutter Corp 30,183
112,000 Sekisui Chemical Co Ltd 1,406,647
108,000 Sekisui House Ltd 1,356,410
21,000 Shimizu Corp 220,861
48,000 Sumitomo Osaka Cement Co 192,618
121,000 Taisei Corp 815,439
27,000 Tokyu Construction Co Ltd 141,982
5,000 Tostem Corp 156,226
8,000 Toto 116,812
7,378,954
CONSUMER GOODS - 6.2%
8,000 Ajinomoto Co Inc 82,504
18,000 Ezaki Glico Co Ltd 156,226
56,000 Fuji Photo Film Co Ltd 1,400,929
2,000 Hitachi Maxell Ltd 32,062
8,000 Kao Corp 92,306
37,000 Konica Corp 263,706
1,700 Nintendo Co Ltd 105,887
10,000 Olympus Optical Co Ltd 90,672
332,000 Sanyo Electric Co Ltd 1,830,602
20,000 Sony Corp 1,090,519
67,000 Victor Co of Japan Ltd * 827,794
13,000 Yakult Honsha Co Ltd 179,200
7,000 Yamaha Corp 92,919
6,245,326
ELECTRIC - 5.5%
10,000 Alps Electric Co Ltd 123,551
162,000 Matsushita Electric Industrial Co Ltd 2,530,862
62,000 Matsushita Electric Works Ltd (a) 639,404
251,000 Mitsubishi Electric Corp 1,878,624
56,000 Tokyo Electric Co Ltd * 260,173
10,000 Yokogawa Electric Corp 93,940
5,526,554
FINANCIAL SERVICES - 1.0%
7,000 Kankaku Securities Co Ltd * 26,017
46,000 Mitsui Trust & Banking Co Ltd 474,396
6,000 New Japan Securities Co Ltd * 31,552
33,000 Nippon Shinpan Co 212,284
43,000 Yamaichi Securities Co Ltd 276,173
1,020,422
FOOD AND BEVERAGE - 3.5%
45,000 Asahi Breweries Ltd (a) 519,222
125 Japan Tobacco Inc 1,058,100
8,000 Katokichi Co Ltd 147,853
64,000 Kirin Brewery Co Ltd Com 666,565
5,000 Marudai Food Co Ltd 35,687
5,000 Mercian Corp 34,717
16,000 Nippon Meat Packers 220,554
59,000 Nippon Suisan Kaisha Ltd * 275,315
1,000 Nissin Food Products 22,872
7,700 QP Corporation 65,100
16,000 Sapporo Breweries Ltd (a) 145,403
27,000 Snow Brand Milk 187,196
10,000 Takara Shuzo Co 80,462
2,000 Yamazaki Baking Co Ltd 35,534
3,494,580
HEALTH CARE - 2.4%
18,000 Daiichi Seiyaku Co Ltd 248,124
10,000 Eisai Co Ltd 161,332
8,000 Green Cross Corp 62,082
7,000 Hoya Corp 200,848
21,000 Kyowa Hakko Kogyo Co Ltd 203,921
21,000 Lion Corp (a) 119,865
21,000 Sankyo Co Ltd 467,453
21,000 Shionogi and Co Ltd 189,769
64,000 Shiseido Co Ltd 666,565
2,000 Unicharm 41,048
2,361,007
INSURANCE - 0.4%
21,000 Dai Tokyo Fire and Marine Insurance Co Ltd 139,378
21,000 Nichido Fire & Marine 166,182
8,000 Sumitomo Marine & Fire Insurance 60,775
366,335
MACHINERY - 3.2%
8,000 Aida Engineering Ltd 59,223
33,000 Aisin Seiki Co Ltd 404,350
77,000 Amada Co Ltd 801,960
21,000 Daikin Industries Ltd 182,907
24,000 Furukawa Electric Co Ltd 138,214
8,000 Hitachi Cable Ltd 59,631
55,000 Komatsu Ltd 453,209
24,000 Koyo Seiko Co Ltd 215,408
2,000 Kurita Water Industries 53,913
5,000 Makino Milling Machine Co Ltd * 37,270
21,000 Minebea Co Ltd 162,965
23,000 NHK Spring Co Ltd 107,561
42,000 NSK Ltd 282,616
32,000 Stanley Electric Ltd (a) 213,366
3,172,593
METALS AND MINING - 2.1%
207,000 Mitsubishi Materials Corp 1,027,232
18,000 Mitsui Mining Ltd * 79,767
70,000 Nippon Sheet Glass Co Ltd 317,353
13,000 Nitto Denko Corp (a) 205,749
7,000 Sumitomo Coal Mining Ltd 36,381
13,000 Toyo Seikan Kaisha Ltd 439,373
2,105,855
OIL AND GAS - 7.6%
8,700 Arabian Oil Co 361,556
103,000 Cosmo Oil Co Ltd 536,376
56,000 General Sekiyu K K 540,358
179,000 Japan Energy Co Ltd 557,462
73,000 Mitsubishi Oil Co (a) 625,384
471,000 Nippon Oil Co Ltd 2,659,550
60,400 Showa Shell Sekiyu 531,009
42,000 Teikoku Oil Co 260,316
105,000 Toa Nenryo Kogyo K K 1,576,045
7,648,056
PAPER AND ALLIED PRODUCTS - 0.4%
37,000 Mitsubishi Paper Mills 213,080
24,000 Settsu Corp * 74,253
10,000 Sumitomo Forestry 158,268
445,601
PHARMACEUTICALS - 3.2%
16,000 Banyu Pharmaceutical Co Ltd 176,444
10,000 Chugai Pharmaceutical Co 95,471
7,000 Dainippon Pharmaceutical Co Ltd 70,904
83,000 Fujisawa Pharmaceutical Co Ltd 830,551
3,000 Kaken Pharmaceutical Co Ltd 28,733
5,000 Kissei Pharmaceutical Co 159,800
4,000 Mochida Pharmaceutical 57,589
5,000 Nippon Kayaku Co Ltd 30,939
5,000 Ono Pharmaceutical Co Ltd 199,622
17,000 Taisho Pharmaceutical Co Ltd 302,037
46,000 Takeda Chemical Industries Ltd 620,003
24,000 Tanabe Seiyaku Co Ltd 170,317
14,000 Terumo Corp 109,644
17,000 Yamanouchi Pharmaceutical Co Ltd (a) 359,320
4,000 Yoshitomi Pharmaceutical 34,717
3,246,091
PRIMARY PROCESSING - 1.2%
18,000 Daido Steel Co Ltd 90,979
29,000 Nippon Yakin Kogyo Co Ltd * 145,096
62,000 Nisshin Steel Co Ltd 250,697
246,000 Sumitomo Metal Industries Ltd * 685,741
1,172,513
REAL ESTATE - 4.2%
17,000 Daikyo Inc 136,958
14,000 Daiwa Kosho Lease 136,090
10,000 Heiwa Real Estate (a) 75,050
160,000 Mitsubishi Estate 1,878,797
99,000 Mitsui Fudosan Co Ltd 1,273,702
49,000 Sumitomo Realty and Development 359,238
21,000 Tokyo Tatemono Ltd 98,637
56,000 Tokyu Land Corp 291,622
4,250,094
RETAIL TRADE - 1.6%
7,000 Hankyu Department Stores (a) 89,345
3,000 Joshin Denki Co Ltd 38,291
56,000 Marui Co Ltd 983,509
5,000 Matsuzakaya Co Ltd 54,118
10,000 Nichii Co Ltd 114,362
18,000 UNY Co Ltd (a) 286,721
1,566,346
SERVICES - 7.3%
8,000 Canon Sales Co Inc 213,203
14,600 CSK Corp 435,309
64,000 Dai Nippon Printing Co Ltd 1,012,917
10,000 Hanwa Co Ltd * 32,777
2,000 Intec Inc 27,569
75,000 Itochu Corp 465,615
16,000 Kamigumi Co 148,343
4,000 Kokusai Kogyo Co Ltd 37,249
10,000 Kokuyo Co 216,470
5,000 Kyodo Printing Co Ltd 57,181
173,000 Marubeni Corp 886,772
10,000 Mitsubishi Warehouse 150,100
8,000 Mitsui-Soko Co Ltd 60,122
29,000 Nissho Iwai Corp 116,965
20,000 Okamoto Industries 131,924
8,000 Secom Co 525,246
172,000 Sumitomo Corp 1,605,228
6,000 Sumitomo Warehouse 36,024
84,000 Toppan Printing Co Ltd 1,149,334
7,308,348
TECHNOLOGY - 8.4%
4,000 Dainippon Screen Manufacturing Co Ltd * 32,593
143,000 Fujitsu Ltd 1,547,761
315,000 Hitachi Ltd 3,441,568
2,000 Makita Corp 32,062
300 Murata Manufacturing Co Ltd 11,947
115,000 NEC Corp (a) 1,503,038
5,000 Omron Corp 109,767
46,000 Ricoh Co Ltd 457,957
16,000 Rohm Co (a) 985,143
5,000 TDK Corp 256,803
8,378,639
TELECOMMUNICATIONS - 0.3%
6,000 Gakken Co Ltd * 39,087
17,000 Tokyo Broadcasting System Inc 272,528
311,615
TEXTILES - 1.4%
20,000 Kurabo Industries Ltd 81,483
40,000 Nisshinbo Industries Inc 359,014
20,000 Onward Kashiyama Co Ltd 265,482
29,000 Renown Inc * 93,276
13,000 Tokyo Style Co Ltd 184,510
10,000 Tokyu Department Store Co Ltd 64,430
26,000 Wacoal Corp 307,959
1,356,154
TRANSPORTATION - 12.6%
1,000 Dennys Japan 27,569
338 East Japan Railway Co 1,604,840
10,000 Fujita Kanko Inc 218,512
32,000 Fukuyama Transporting Co Ltd 287,864
99,000 Hankyu Corp (a) 555,981
7,000 Japan Airport Terminal Co Ltd 80,768
56,000 Keihin Electric Express Railway (a) 348,803
74,000 Keio Teito Electric Railway Co Ltd (a) 436,739
29,000 Keisei Electric Railway (a) 235,707
182,000 Kinki Nippon Railway 1,495,992
91,000 Nagoya Railroad Co Ltd (a) 459,019
52,000 Nakkai Electric Rail (a) 359,463
2,900 Namco (a) 74,917
125,000 Nippon Express Co 1,077,245
81,000 Odakyu Electric Railway (a) 564,068
3,000 Royal Co Ltd 39,822
45,000 Sagami Railway (a) 201,715
29,000 Seibu Railway Co Ltd 1,267,371
39,000 Seino Transportation Co Ltd (a) 649,104
5,000 Shochiku Co (a) 56,160
11,000 Skylark Co Ltd 175,218
99,000 Tobu Railway Co 598,438
10,000 Toei Company 66,371
1,100 Toho Co 171,849
11,000 Tokyo Dome Corp 183,081
20,000 Tokyotokeiba Co 79,440
127,000 Tokyu Corp 894,777
40,000 Yamato Transport Co (a) 416,603
12,627,436
UTILITIES - 0.6%
11,600 Chugoku Electric Power Co Inc 277,163
11,000 Kyushu Electric Power Co Inc 263,951
3,600 Tohoku Electric Power Co Inc 86,384
627,498
TOTAL STOCK AND EQUIVALENTS (Cost $95,532,023) 96,872,507
PAR VALUE SHORT-TERM INVESTMENTS - 6.6%
$ 600,000 First National Bank of Chicago Time Deposit, 5.81%. due 9/1/95 600,000
5,288,750 The Prime Portfolio of Short-Term Investments Co 5,288,750
690,000 U.S. Treasury Bill, 5.26% due 2/8/96 673,593
TOTAL SHORT-TERM INVESTMENTS (Cost $6,540,173) 6,562,343
TOTAL INVESTMENTS - 103.3%
(Cost $102,072,196) * * 103,434,850
Other Assets and Liabilities (net) - (3.3%) (3,300,531)
TOTAL NET ASSETS - 100.0% $ 100,134,319
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
** The aggregate identified cost for federal income tax
purposes is $102,072,196, resulting in gross unrealized
appreciation and depreciation of $4,903,141 and
$3,540,487, respectively, and net unrealized
appreciation of $1,362,654.
</TABLE>
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $95,532,023) (Note 1) $ 96,872,507
Short-term investments, at value (cost $1,251,423) (Note 1) 6,562,343
Foreign currency, at value (cost $2,589,915) (Note 1) 2,449,865
Cash 99,287
Receivable from variation margin on open futures contracts 166,301
Dividends and interest receivable 50,913
Receivable for expenses waived or borne by Manager (Note 2) 6,107
Total assets 106,207,323
LIABILITIES:
Payable upon return of securities loaned (Note 1) 5,288,750
Payable for investments purchased 675,984
Payable to affiliate for management fee (Note 2) 47,891
Accrued expenses 60,379
Total liabilities 6,073,004
NET ASSETS (equivalent to $9.69 per share based
on 10,333,221 shares outstanding, unlimited shares authorized) $ 100,134,319
NET ASSETS CONSIST OF:
Paid-in capital $ 87,478,963
Distributions in excess of net investment income (411,556)
Accumulated undistributed net realized gain 11,742,908
Net unrealized appreciation 1,324,004
NET ASSETS $ 100,134,319
</TABLE>
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $50,723) $ 293,006
Interest (including securities lending income of $17,486) 52,715
Total income 345,721
EXPENSES:
Management fee (Note 2) 270,489
Custodian fees 83,192
Audit fees 24,932
Transfer agent fees 13,800
Stamp duties and transfer taxes 2,250
Registration 1,002
Legal fees 564
Insurance 368
Trustee fee (Note 2) 94
Miscellaneous 94
Total expenses 396,785
Less: expenses waived or borne by Manager (Note 2) (40,854)
Net expenses 355,931
Net investment loss (10,210)
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments (8,690)
Closed futures contracts 262
Foreign currency and foreign currency related
transactions 103,488
Net realized gain 95,060
Change in net unrealized appreciation (depreciation) on:
Investments 3,982,090
Open futures contracts 95,233
Foreign currency and foreign currency related
transactions (151,017)
Net unrealized gain 3,926,306
Net realized and unrealized gain 4,021,366
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 4,011,156
</TABLE>
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment loss $ (10,210) $ (92,986)
Net realized gain 95,060 151,486,989
Change in net unrealized appreciation (depreciation) 3,926,306 (156,391,026)
Net increase (decrease) in net assets resulting from
operations 4,011,156 (4,997,023)
Distributions to shareholders:
From net realized gains - (42,616,601)
- (42,616,601)
Fund share transactions: (Note 4)
Proceeds from sale of shares 36,000,000 95,499,568
Net asset value of shares issued to shareholders
in payment of distributions declared - 41,776,818
Cost of shares repurchased - (479,890,795)
Net increase (decrease) in net assets resulting
from Fund share transactions 36,000,000 (342,614,409)
Total increase (decrease) in net assets 40,011,156 (390,228,033)
NET ASSETS:
Beginning of period 60,123,163 450,351,196
End of period (including distributions in excess of net
investment income of $411,556 and $401,346,
respectively) $ 100,134,319 $ 60,123,163
</TABLE>
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991 *
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.12 $ 11.13 $ 7.37 $ 7.73 $ 9.48 $ 10.00
Income (loss) from investment operations:
Net investment income (loss) (a) - - (d) -- 0.01 -- (0.01)
Net realized and unrealized gain (loss) 0.57 (1.08) 3.94 (0.36) (1.74) (0.39)
Total from investment operations 0.57 (1.08) 3.94 (0.35) (1.74) (0.40)
Less distributions to shareholders:
From net investment income - -- -- (0.01) -- --
In excess of net investment income - -- (0.01) -- -- --
From net realized gains - (0.93) (0.17) -- -- --
From paid-in capital (c) - -- -- -- (0.01) (0.12)
Total distributions - (0.93) (0.18) (0.01) (0.01) (0.12)
NET ASSET VALUE, END OF PERIOD $ 9.69 $ 9.12 $ 11.13 $ 7.37 $ 7.73 $ 9.48
TOTAL RETURN (B) 6.25% (10.62%) 53.95% (4.49%) (18.42%) (3.79%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 100,134 $ 60,123 $ 450,351 $ 306,423 $129,560 $ 60,509
Net expenses to average
daily net assets (a) 1.00%** 0.83% 0.87% 0.88% 0.93% 0.95%**
Net investment income to average
daily net assets (a) (0.03%)** (0.02%) (0.01%) 0.12% (0.11%) (0.32%) **
Portfolio turnover rate 0% 60% 8% 17% 25% 11%
* For the period from the commencement of operations, June 8, 1990 through
February 28, 1991.
** Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the
following per share amounts: $ 0.01 $ 0.01 $ 0.01 $ 0.01 $ 0.01 $ 0.01
(b) Calculation excludes subscription and redemption fees. The total returns
would have been lower had certain expenses not been waived during the
periods presented.
(c) Return of capital for book purposes only. A distribution was required for
tax purposes to avoid the payment of federal excise tax.
(d) Based on average month end shares outstanding.
</TABLE>
See accompanying notes to the financial statements.
GMO JAPAN FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Japan Fund (the "Fund") is a series of GMO Trust (the "Trust"). The
Fund is registered under the Investment Company Act of 1940, as amended, as
an open-end, non-diversified management investment company. The Trust was
established as a Massachusetts Business Trust under the laws of the
Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust
permits the Trustees to create an unlimited number of series ("Funds"),
each of which issues a separate series of shares. The following is a
summary of significant accounting policies consistently followed by the
Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Securities which are primarily traded on foreign exchanges are generally
valued at the preceding closing values of such securities on their
respective exchanges. Those values are then translated into U.S. dollars at
the current exchange rate. Short-term investments with a remaining maturity
of sixty days or less are valued at amortized cost which approximates
market value. Other assets and securities for which no quotations are
readily available are valued at fair value as determined in good faith by
the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The
market values of foreign securities, currency holdings and other assets and
liabilities are translated to U.S. dollars based on the prevailing exchange
rates each business day. Income and expenses denominated in foreign
currencies are translated at prevailing exchange rates when accrued or
incurred. The Fund does not isolate realized and unrealized gains and
losses attributable to changes in exchange rates from gains and losses that
arise from changes in the market value of investments. Such fluctuations
are included with net realized and unrealized gain or loss on investments.
Net realized gains and losses on foreign currency transactions represent
net exchange gains and losses on disposition of foreign currencies and the
difference between the amount of investment income and foreign withholding
taxes recorded on the Fund's books and the U.S. dollar equivalent amounts
actually received or paid.
FUTURES CONTRACTS
The Fund may purchase Japanese futures contracts. Japanese futures
contracts represent commitments for future delivery of cash based upon the
level of a specified index of equity securities at a given date. The Fund
may use futures contracts to manage its exposure to the stock and currency
markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instruments or hedge other Fund instruments.
Upon purchase of a futures contract, the Fund is required to deposit with
its custodian, in a segregated account in the name of the futures broker,
an amount of cash and U.S. government obligations in accordance with the
initial margin requirements of the broker. Futures contracts are marked to
market daily and an appropriate payable or receivable for the change in
commitment value ("variation margin") is recorded by the Fund. The payable
or receivable is liquidated on the following business day. Gains or losses
are recognized but not considered realized until the contracts expire or
are closed. Futures contracts involve, to varying degrees, risk of loss in
excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. See Note 6 for
all open futures contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with
planned purchases or sales of securities or to hedge the currency exposure
associated with some or all of the Fund's portfolio securities. A forward
currency contract is an agreement between two parties to buy and sell a
currency at a set price on a future date. The market value of a forward
currency contract fluctuates with changes in forward currency exchange
rates. Forward currency contracts are marked to market daily and the change
in value is recorded by the Fund as an unrealized gain or loss. When a
forward currency contract is extinguished, through delivery or offset by
entering into another forward currency contract with the same broker, the
Fund records a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value of the
contract at the time it was extinguished or offset. These contracts may
involve market risk in excess of the unrealized gain or loss reflected in
the Fund's Statement of Assets and Liabilities. In addition, the Fund could
be exposed to risk if the counterparties are unable to meet the terms of
the contracts or if the value of the currency changes unfavorably to the
U.S. dollar. At August 31, 1995, there were no outstanding forward currency
contracts.
OPTIONS
The Fund may write call and put options on securities it owns or in which
it may invest. When the Fund writes a call or put option, an amount equal
to the premium received is recorded as a liability and subsequently marked
to market to reflect the current value of the option written. Premiums
received from writing options which expire are treated as realized gains.
Premiums received from writing options which are exercised or closed are
offset against the proceeds or amounts paid on the transaction to determine
the realized gain or loss. If a written put option is exercised, the
premium reduces the cost basis of the securities purchased by the Fund. The
Fund as a writer of an option has no control over whether the underlying
securities may be sold (call) or purchased (put) and as a result bears the
market risk of an unfavorable change in the price of the security
underlying the written option. There is the risk the Fund may not be able
to enter into a closing transaction because of an illiquid market.
The Fund may also purchase put and call options. The Fund pays a premium
which is included in the Fund's Statement of Assets and Liabilities as an
investment and subsequently marked to market to reflect the current value
of the option. The risk associated with purchasing put and call options is
limited to the premium paid.
SECURITY LENDING
The Fund may lend its securities to certain qualified brokers. The loans
are collateralized at all times with cash or securities with a market value
at least equal to the market value of the securities on loan. As with other
extensions of credit, the Fund may bear the risk of delay in recovery or
even loss of rights in the collateral should the borrower of the securities
fail financially. The Fund receives compensation for lending its
securities. At August 31, 1995, the Fund loaned securities having a market
value of $4,990,483, collateralized by cash in the amount of $5,288,750,
which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision
for federal income or excise tax is necessary. Taxes on foreign interest
and dividend income has been withheld in accordance with the applicable
country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income semi-annually, and net realized
short-term and long-term capital gains, if any, at least annually. All
distributions will be paid in shares of the Fund, at net asset value,
unless the shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions and redemptions
in-kind.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net
realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date, or when the Fund is informed of the
ex-dividend date. Interest income is recorded on the accrual basis. In
determining the net gain or loss on securities sold, the cost of securities
is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .40% of the amount
invested. In the case of cash redemptions, the premium is .70% of the
amount redeemed. The Manager may waive such premium to the extent that a
transaction results in minimal brokerage and transaction costs to the Fund.
All purchase and redemption premiums are paid to and recorded as paid-in
capital by the Fund. For the six months ended August 31, 1995 the Fund
received $24,000 in purchase premiums and no redemption premiums. There is
no premium for reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities.
These risks may involve adverse political and economic developments and the
possible imposition of currency exchange blockages or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times more
volatile than securities of comparable U.S. companies and U.S. securities
markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager"), for management and investment advisory services is paid monthly
at the annual rate of .75% of average daily net assets. The Manager has
agreed to waive a portion of its fee until further notice to the extent
that the Fund's annual expenses (including management fee but excluding
brokerage commissions, transfer taxes and custodian fees) exceed .75% of
average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $94. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
short-term investments, for the six months ended August 31, 1995,
aggregated $41,254,120 and $41,940, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 94% of the outstanding shares of the Fund were held by
three shareholders, each holding in excess of 10% of the Fund's outstanding
shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended Year Ended
August 31, 1995 February 28, 1995
(Unaudited)
<S> <C> <C>
Shares sold 3,741,979 8,607,105
Shares issued to shareholders in reinvestment
of distributions -- 4,075,787
Shares repurchased -- (46,537,969)
Net increase (decrease) 3,741,979 (33,855,077)
Fund shares:
Beginning of period 6,591,242 40,446,319
End of period 10,333,221 6,591,242
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995 is as
follows:
FUTURES CONTRACTS
<TABLE>
<CAPTION>
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
Buys
<S> <C> <C> <C> <C>
9 TOPIX September 1995 $ 1,313,936 $ 82,627
5 TOPIX December 1995 732,006 12,606
$ 95,233
</TABLE>
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 89.6%
ARGENTINA - 5.3%
<S> <C> <C>
6,446,978 Acindar Industria Argentina de Aceros SA Class A * 4,585,865
7,031,520 Alpargatas SA * 2,849,048
749,900 Astra Cia Argentina 1,301,662
731,815 Atanor Cia Naci * 1,500,896
10,199,657 Cia Celulosa Argentina SA Class B * 3,857,206
858,556 Ciadea SA (Bearer) 3,521,664
172,954 Corcemar Class B * 865,159
83,622 Fiplasto Class B 217,515
194,381 Garovaglio Y Zorraquin * 637,857
1,874,900 Indupa SA Industrial y Comercial * 1,069,174
392,906 Industrias Petroq Koppers * 1,729,565
327,321 Juan Minetti SA (1 Vote) 1,038,075
1,823,160 Ledesma SA 2,061,098
67,983 Pirelli Cables Industria * 133,987
688,358 Polledo * 592,254
450,430 Quimica Estrella Class B 292,911
468,308 Rigolleau Christalerias Preferred * 243,630
6,679,418 Siderca 5,446,176
15,703 YPF Sociedad Anonima ADR 276,765
32,220,507
BRAZIL - 13.0%
65,000,000 Acesita Cia Acos Espec Preferred 489,185
5,521,000 Acos Villares SA Preferred 2,016,570
170,000,000 Avipal SA Common 429,451
199,446,000 Banco de Brasil SA Preferred * 3,186,769
354,319,000 Banco Estado Sao Paulo Preferred * 2,647,929
148,940,000 Banco Nacional Preferred 2,712,133
4,400,000 Belgo Mineira Common (Registered) 426,037
7,770,000 Belgo Mineira Preferred (Registered) 654,281
55,136 Brahma Preferred New * 14,543
3,000,000 Brahma Preferred (Registered) 1,120,994
2,319,000 Brasinca Industrial SA Preferred 432,044
7,802,000 Caemi Min E Metal Preferred 613,451
50,700,000 Cemig Preferred 1,147,361
35,700,000 Cia Energetica de Sao Paulo SA Preferred (Registered) * 1,333,982
90,500,000 Cia Hering Preferred (Registered) 995,448
1,770,000 Cimento Port Itau Preferred (Registered) 530,972
51,400 Cofap Cia Fabricadora Pecas Preferred 378,717
75,000,000 Companhia Paranaense Common 603,126
2,236,000 Copene-Petroquimica do Nordeste SA Class A Preferred 1,470,975
6,700,000 Duratex Preferred 352,401
60,053,771 Electrobras Class B Preferred (Registered) 16,561,326
9,800,000 Electrobras Common 2,712,910
1,300,000 Iochpe Maxion Preferred 435,135
147,000,000 Iparanga Brasil De Petroleo Preferred 1,547,287
2,380,000 Itaubanco Preferred (Registered) 749,034
395,000 Klabin Preferred 582,075
42,420,000 Mesbla Preferred (Registered) * 1,374,782
13,600,000 Metal Leve Industry Preferred 2.50% (Registered) 267,691
335,746,000 Olvebra Preferred * 81,282
141,700,000 Paranapanema Preferred 2,088,101
40,500,000 Petroleo Brasileiro SA Preferred 3,900,584
3,930,000 Sider Tubarao Class B Preferred 2,709,489
56,700,000 Siderurgica Nacional Common 1,265,239
31,700,000 Siderurgica Riograndense Preferred (Registered) 707,373
16,000 Telebras Sponsored ADR 660,000
410,031,000 Telecomunicacoes Brasileiras SA Common 15,105,610
93,200,000 Telecomunicacoes Brasileiras SA Preferred 4,041,724
249,222 Telecomunicacoes de Sao Paulo SA Preferred 40,923
857,400,000 Usiminas Preferred 875,404
251,000 Varig Preferred (Registered) * 937,898
1,000,000 Weg Preferred (Registered) 513,657
78,713,893
CHINA - 1.1%
6,100,000 Champion Technology 583,129
1,066,000 Chengdu Telecom Cable * 275,417
866,650 China First Pencil Class B 282,528
24,000 China Tire Hldgs Ltd 219,000
4,526,000 Maanshan Iron & Steel Series H 754,236
2,070,000 Qingling Motor Co Ltd 541,500
1,172,900 Shanghai Chlor-Alkali Chemical Co Series B 368,291
1,639,990 Shanghai Erfangji Textile Class B * 285,358
434,160 Shanghai Haixin Co Class B 184,952
2,408,000 Shanghai Haixin Shipping Class H 264,410
1,140,100 Shanghai Hero Co Ltd Class B 348,871
1,000,000 Shanghai Petrochemical Co Series H 326,185
437,800 Shanghai Phoenix Bicycle Series B 91,938
612,500 Shenzhen China Bicycle Co Class B 213,635
770,000 Shenzhen Konka Electronic B * 442,643
316,000 Sime Darby H.K. 383,723
4,810,000 Tianjin Bohai Chemical Industry 553,016
1,900,000 Yizheng Chemical Fibre Co 564,527
6,683,359
CZECH REPUBLIC - 0.7%
20,300 Ceske Energeticke Zavody * 792,674
45,700 Czech Republic Fund Inc 554,113
2,300 IPS Praha 183,897
27,200 Komercni Bank As GDR 144A 489,600
950 Metrostav AS 75,604
1,600 Sepap AS * 100,558
13,300 SPT Telecom AS * 1,271,142
1,380 Stavby Silnic A Zeleznic SA * 56,452
9,600 Synthesia * 295,961
3,700 Vertex SA * 154,797
3,974,798
GREECE - 4.3%
18,220 Aktor 316,121
34,820 Alpha Leasing 881,153
32,400 Aluminum of Greece Preferred 7.83% 1,529,452
11,000 Aluminum of Greece (Registered) 535,318
26,200 Atti-Kat SA 288,268
750,470 Balkan Export * 444,613
236,900 Boutaris Wine Co * 973,432
211,246 Commercial Bank of Greece (Registered) 7,804,120
10,029 Credit Bank Athens (Registered) 592,467
50,270 Ergo Bank SA (Registered) 2,308,128
108,880 Etba Leasing (Registered) 1,955,902
87,500 Etma Rayon Manufacturing 444,335
79,600 Hellenic Technodom SA 1,876,245
28,850 Ionian Bank (Registered) 656,824
64,100 Klonatex SA Preferred 781,217
67,975 National Bank of Greece (Registered) 3,758,199
6,250 National Investment Bank for Industrial Development (Registered) 132,772
2,275 National Mortgage Bank of Greece * 60,652
88,750 Petzetakis SA Preferred * 319,234
14,500 Petzetakis SA * 68,724
83,800 Shelman * 521,294
26,248,470
HUNGARY - 0.3%
25,500 Danubus Hotel (Registered) 245,183
13,771 Egis Gyogysergyar 323,076
7,600 Graboplast (Registered) 93,535
1,943 Matav (Registered) * 294,428
8,460 Pannonplast Muanyagipari 104,119
10,000 Pick Szeged (Bearer) 510,750
11,267 Richter Gedeon Vegyeszeti Gyar 199,332
5,874 Zalakeramia AG 151,363
1,921,786
INDIA - 5.9%
238,000 Arvind Mills Ltd GDR * 892,500
25,000 Ashok Leyland GDR 144A 312,500
55,000 Ashok Leyland Ltd GDR 687,500
7,000 Bajaj Auto GDR 144A 211,750
185,300 Bombay Dyeing and Manufacturing GDR * 1,899,325
95,000 Bombay Dyeing and Manufacturing Warrants 12/2/95 * 142,500
45,000 DCW * 315,000
16,000 Finolex Cables Ltd GDR * 112,000
166,000 Garden Silk Mills GDR * 871,500
63,500 Grasim Industries Ltd GDS 144A 1,476,375
45,000 Great Eastern Shipping Co GDR 144A 360,000
131,000 Great Eastern Shipping Co GDR * 1,048,000
55,000 Hindalco Industries GDR * 1,925,000
20,000 Hindalco Industry Ltd Warrants 11/2/95 375,000
100,000 Hindustan Development Corp GDR * 66,000
300,000 Hindustan Development Corp GDR 144A 198,000
97,000 Hindusthan Development Corp GDR 126,100
81,000 India Cements GDR 719,280
30,000 India Fund Inc 292,500
40,000 Indian Aluminum 144A 280,000
189,100 Indian Petrochemical GDR * 2,694,675
20,000 Indian Rayon & Industries GDR * 270,000
90,000 Indo Gulf Fertilizers GDR 144A 189,000
100,000 Indo Gulf Fertilizers GDR 210,000
100,000 Jain Irrigation Systems Ltd EDR * 388,000
176,000 Jct Limited GDR (Registered) * 2,244,000
115,200 Larsen & Toubro GDR * 2,246,400
90,500 Mahindra Mahindra GDR * 1,153,875
87,400 Morgan Stanley India Fund Inc 906,775
100,000 NEPC Micon Ltd GDR 144A 160,000
40,000 Raymond Woolens GDR * 680,000
295,500 Reliance Industries GDR * 5,466,750
50,000 Sanghi Polyesters GDS 144A 150,000
265,000 Siv Industries GDR * 1,166,000
168,500 Southern Petrochemical GDR (Registered) * 1,474,375
20,000 Sterlite Industrieltd GDR * 270,000
161,000 TATA Engineering Warrants expires 8/3/96 * 1,070,650
43,000 Tube Investment GDR 144A 236,500
25,000 Tube Investments of India GDR 137,500
28,000 Usha Beltron GDR 144A 112,000
655,000 Videocon International GDR * 2,259,750
26,000 Wockhart GDR * 195,000
35,992,080
INDONESIA - 6.3%
428,000 Andayani Megah (Foreign Registered) 339,907
1,746,500 Astra International (Foreign Registered) 3,486,835
104,500 Bank Bali Warrants 8/29/00 (Foreign Registered) * 59,938
705,375 Bank Bali (Foreign Registered) 1,680,576
1,013,250 Bank Dagang Nasional Ind (Foreign Registered) 1,028,226
825,000 Bank Danamon Pt (Foreign Registered) 1,273,991
250,400 Bank International Indonesia (Foreign Regestered) 900,402
800,250 Bank Private Development Finance (Foreign Registered) 688,501
700,000 Barito Pacific Timber (Foreign Registered) 756,673
50,000 Cipendawa Farm Enterprise (Foreign Registered) 63,975
370,000 Ciputrav Devlopment (Foreign Registered) 808,074
1,270,000 Dharmala Intiland (Foreign Registered) 784,469
2,854,000 Duta Anggada (Foreign Registered) 2,046,217
3,839,000 Gadjah Tunggal (ForeignRegistered) 2,794,772
1,870,000 Great River Industries (Foreign Registered) 1,175,711
3,816,500 Hadtex Indosyntec (Foreign Registered) 2,020,649
2,373,100 Indah Kiat Pulp and Paper (Foreign Registered) * 3,271,978
204,000 Indocement Tunggal (Foreign Registered) 724,553
95,700 Indorama Synthetics (Foreign Registered) 316,678
2,838,000 Jakarta International Hotel and Development (Foreign Registered) 3,318,200
2,079,000 JAPFA Comfeed Indonesia (Foreign Registered) 1,261,251
223,000 Kawsan Industri Jabeka (Foreign Registered) 383,719
552,000 Metrodata Electronics (Foreign Registered) 401,853
2,123,500 Multipolar (Foreign Registered) 1,124,289
287,000 Pabrik Kertas Tjiwi (Foreign Registered) 633,135
1,991,500 Pan Brothers Textile (Foreign Registered) * 527,201
3,498,000 Polysindo Eka Perkasa (Foreign Registered) 1,543,349
221,500 Pt Jaya Real Property (Foreign Registered) * 693,867
1,258,500 Rig Tenders Indonesia (Foreign Registered) 263,749
806,000 Semen Gresik (Foreign Registered) 2,418,178
352,000 Sinar Mas Agro (Foreign Registered) 264,019
2,500 Trafindo Perkasa (Foreign Registered) * 1,875
1,859,550 Ungul Indah Corp (Foreign Registered) 1,558,855
38,615,665
KOREA - 9.7%
5,160 Asia Cement Manufacturing 221,028
57,892 Boram Bank 782,762
8,860 Central Investment and Finance 194,801
13,215 Cho Hung Bank Co Ltd 175,212
68,300 Coryo Securities Preferred * 781,758
70,760 Daegu Bank 1,123,082
11,805 Daegu Bank New * 176,251
172,400 Daewoo Heavy Ind Ltd Preferred * 1,398,019
151,250 Daewoo Sec Ltd Preferred 15.98% * 3,268,248
24,600 Daihan Investment and Finance Preferred 23.40% * 397,698
140,900 Daishin Secs Preferred 18.00% * 1,640,067
47,640 Dong Shin Construction 597,656
12,900 Dongbu Construction Co Preferred * 141,813
29,990 Dongbu Industrial Co Preferred 4.84% * 274,999
73,370 Dongbu Steel Preferred * 1,053,294
193,600 Dongsuh Securities Preferred * 2,391,205
17,770 Haitai Confectionary Preferred 153,982
62,120 Haitai Confectionery Co Ltd 972,131
30,000 Han Dok Preferred 174,599
40,000 Han Wha Corp 641,490
6,328 Han Wha Corp Preferred New 101,484
111,176 Hana Bank 2,377,660
94,250 Hanbo Steel & General Construct 1,243,339
108,407 Hanil Bank 1,373,279
66,000 Hanil Synthetic Fiber Preferred * 388,386
8,500 Hannong 626,617
33,500 Hanshin Securities Co Preferred * 437,597
16,700 Hanwha Chemical Preferred * 155,510
63,700 Hyundai Motor Service Preferred * 1,705,367
29,350 Inkel 421,346
31,890 Inkel Corp Preferred 255,301
48,500 Kang Won Industrial Preferred (Non Voting) * 461,039
10,600 Keum Kang Ltd 792,532
35,000 Kia Motors GDS 144A 647,500
39,500 Kolon Construction Co Ltd Preferred 2.03% * 388,257
41,200 Kolon Industries Preferred * 559,493
21,200 Kolon International Corp * 205,639
246,814 Korea First Bank 2,518,575
48,290 Korea Fund 977,873
69,400 Korea Kumho Petrochemical 813,197
68,325 Korea Long Term Credit Bank 2,080,546
69,600 Kum Ho & Co Inc Preferred 2.02% * 427,574
56,800 Kumho Construction & Engineering Preferred * 454,723
48,800 Kumho Petrochemical Preferred 382,473
7,106 Kwangju Bank New * 81,886
34,000 Kwanju Bank 391,800
20,000 Kyung Nam Bank 239,524
11,910 Kyungnam Wool Text Preferred * 117,067
54,000 Lg Securities Co Preferred 50.00% * 712,364
122,400 Lucky Chemical Ltd Preferred * 1,424,728
37,400 Oriental Brewing Co Ltd Preferred * 377,289
29,900 Pacific Chemical Co Ltd Preferred * 336,433
28,882 Sam Hee Investment and Finance Co Ltd 466,923
31,000 Sam Whan Preferred * 376,875
65,800 Sammi Corp Preferred * 314,873
33,139 Samsung Display Devices Preferred * 1,354,576
4,755 Samsung Electronic New Preferred * 406,115
176 Samsung Electronic New Common * 35,572
50,352 Samsung Electronics Preferred (Non Voting) * 4,530,833
35,439 Shin Han Investment and Finance Co Ltd 806,682
26,022 Shin Poong Paper Manufacturing 1,228,405
20,161 Shinhan Bank (New) * 393,729
109,800 Shinhan Bank * 2,577,431
7,387 Shinhan Investment and Finance Preferred New * 79,297
12,700 Shinhan Investment & Financial Preferred 136,330
27,000 Shinwon Preferred * 421,657
92,300 Shinyoung Securities Preferred * 1,193,740
56,600 Ssangyong Investment Securities Co Preferred 59.90% * 724,703
29,330 STC Corp 660,039
27,100 STC Corp Preferred (Non Voting) * 281,445
9,350 Sung Bo Chemical Co 279,339
47,300 Sunkyong Ltd Preferred * 593,391
14,350 Sunkyong Securities 243,126
70,700 Sunkyong Securities Preferred 13.11% (Non Voting) * 757,108
46,060 Tong Yang Cement Corp Preferred * 696,976
22,700 Tong Yang Investment & Financial Preferred * 278,906
42,000 Tong Yang Securities Co Preferred 77.36% * 470,409
59,344,973
MALAYSIA - 10.2%
731,000 Amsteel Corporation Berhad 641,639
584,800 Amsteel New A Shares * 513,311
146,200 Amsteel Rights Expires 10/95 * -
243,666 Amsteel Rights to Warrants Expire 10/95 * -
1,746,000 Berjaya Group 1,357,611
1,062,000 Berjaya Industrial Berhad 744,890
94,000 Berjaya Leisure 81,002
285,000 Cement Industries of Malaysia Berhad 930,962
22,000 Esso Malaysia Bhd 63,928
2,178,000 Golden Hope Plantations Berhad 3,648,914
1,144,000 Guinness Anchor Berhad 2,044,986
1,243,000 IGB Corp Bhd 1,120,942
483,000 Kedah Cement Bhd 801,451
961,000 Kuala Lumpur Kepong 2,869,519
2,225,000 Kumpulan Guthrie Berhad 3,477,956
1,345,000 Malayan Cement Berhad 2,479,760
1,292,000 Malaysia Mining Berhad 2,102,413
1,165,000 Malaysian International Ship (Alien Market) 3,338,577
363,000 Malaysian Tobacco Co Berhad 611,062
1,601,000 Malaysian United Industries 2,913,242
1,916,000 MBF Capital Berhad 2,227,014
571,000 Metroplex Berhad 503,487
350,000 Nestle Malaysia 2,637,275
1,302,000 Nylex Berhad 4,174,750
1,032,000 Olympia Industries 972,024
139,000 Perusahaan Otomobil 532,044
247,000 Public Bank Berhad (Foreign Registered) 544,489
488,000 Rothmans of Pall Mall Malaysia Berhad 3,833,587
373,000 Shell Refinery Co 1,173,567
2,591,200 Sime Darby Berhad 6,594,838
1,156,000 Sime UEP Properties Berhad 2,339,800
1,047,000 Tan Chong Motor 1,233,739
1,196,000 Tractors Malaysia Holdings Berhad 1,831,150
133,600 UMW Holding Berhad Warrants 1/26/00 (a) * 156,893
1,125,600 UMW Holdings Berhad 3,699,367
62,196,189
MEXICO - 7.1%
6,680,000 Aerovias de Mexico SA de CV Class A * 542,484
432,000 Alfa SA Class A 5,915,924
59,300 Celanese Mexicana Series B 1,057,580
2,262,480 Cydsa SA Class A * 7,493,564
946,000 Gigante SA Class B * 228,968
588,963 Grupo Fin Bancomer SA Class L 224,144
780,600 Grupo Financiero Banamex Class B 1,588,546
39,030 Grupo Financiero Banamex Class L 77,811
12,972,000 Grupo Financiero Bancomer Class B 5,164,013
60,400 Grupo Financiero Invermex Series L 26,353
992,000 Grupo Financiero Invermexico Class B 432,815
722,700 Grupo Financiero Serfin SA de CV Class B * 616,827
90,886 Grupo Mexico Class B Warrants 8/9/01 * 376,280
2,430,000 Grupo Situr SA Class B 1,354,299
67,000 Sears Roebuck Mexico Series Class B * 224,045
118,500 Telefonos de Mexico ADR Series L 3,880,875
1,133,100 Tubos de Acero de Mexico SA * 7,758,487
1,763,280 Vitro SA 5,306,687
112,600 Vitro SA ADR 1,041,550
43,311,252
PERU - 0.9%
463,853 Banco De Credito Del Peru * 904,726
219,430 Banco Weise * 406,443
1,048,410 CNC Trabajo * 673,827
595,000 CPT Telefonica Del Peru B Shs 1,165,834
11,642 El Pacifico Peruano * 285,789
176,689 Enrique Ferreyos 236,584
69,419 Milpo Minera T Shs 534,469
47,128 Minsur Trab 656,279
111,000 Southern Peru Copper T Shs * 479,572
5,343,523
PHILIPPINES - 0.0%
492,000 Philex Mining Corp Class B * 64,537
322,000 Robinsons Land Corp Class B * 45,965
159,000 Sime Darby Pilipinas Inc 153,356
263,858
POLAND - 3.1%
98,100 Agros Holdings Series C * 1,091,544
6,800 Bank Przemyslowo Handlowy 220,109
102,685 Bank Rozwoju Eksportu SA 1,582,965
58,200 Bank Slaski 3,296,783
58,284 Debica Series A 707,473
96,000 Drosed 1,013,797
608,300 Elektrim SA (Bearer) 1,919,782
202,835 Exbud SA * 1,846,566
106,309 Jelfa * 1,225,898
17,200 Polfa Kunto Series A * 222,699
144,076 Polifarb Cieszyn (Bearer) 641,245
314,300 Polifarb Wroclaw 826,603
531,300 Sokolow * 479,385
174,513 Universal SA 462,497
175,100 Vistula 680,138
1,064,600 Wielkopolski 2,175,290
54,495 Wolczanka SA 529,185
18,921,959
PORTUGAL - 2.8%
171,700 Banco Chemical (Registered) 1,710,256
45,750 Banco Commercial Portugues (Registered) 565,432
140,100 Banco De Fomento Exterior SA 1,198,108
63,840 Banco Espirito Santo e Commercial de Lisboa (Registered) 848,415
212,800 Banco Espirito Santo e Commercial de Lisboa (Registered) 2,828,049
287,100 Banco Totta & Acores (Registered) 5,531,308
71,000 Banif Banco Internacional Funchal (Registered) 633,233
15,400 Cel-Cat Fabrica Nacional de Condutores Electricos SA * 273,487
19,900 Cimpor Cimentos De Portugal SA (Registered) 308,412
19,000 Cristais Alcobaca * 261,469
12,666 Cristais Alcobaca Preferred 6/2/95 New * 174,304
67,400 Empresa Fabril de Maquinas Electricas 618,351
44,500 Fisipe Fibra Sint 303,278
27,700 Investimentos Participacoes Gestao SA 490,107
60,700 Sonae Investimentos 1,378,286
17,122,495
RUSSIA - 0.4%
7 Chernogorneft RDC 144A 525,000
10 Irkutsken Ergo 144A (Participating Certificates) 565,000
8 Lukoil Holding RDC 144A 1,100,000
80 Mosengergo RDC 144A 236,000
6 Rostelecom RDC 144A 288,000
2,714,000
SOUTH AFRICA - 10.4%
58,400 AECI Ltd 387,178
553,585 Amalgamated Bank of South Africa 2,149,110
115,500 Anglo American Corp (Registered) 6,173,262
40,900 Anglo American Platinum * 318,680
64,000 Beatrix Mines Ltd 564,281
348,800 De Beers Centenary Link Units 8,939,922
106,000 De Beers Cons Mines Ltd ADR 2,722,875
335,300 Del Monte Royal Foods Ltd 394,174
169,500 Driefontein Consolidated Ltd 2,509,309
56,300 Eastvaal Gold Holdings * 103,126
258,600 Elandsrand Gold Mining Co Ltd 1,413,984
160,300 Engen Ltd 997,013
117,700 First National Bank 748,144
328,800 Free State Consolidated Gold Mines 3,851,843
30,000 Free State Consolidated Gold Mines ADR 348,750
439,700 Genbel Investments Ltd 1,045,831
19,700 Harmony Gold Mining 177,732
72,800 Impala Platinum Hldings Ltd 1,850,974
40,900 JCI Ltd * 324,270
40,900 Johnnies Industrial Corp (Registered) 469,633
82,800 Kloof Gold Mining Company 939,430
10,000 Kloof Gold Mining Ltd ADR 113,750
392,900 Lebowa Platinum Mines * 440,405
239,800 Loraine Gold Mines Ltd * 917,832
13,600 Nedcor Ltd Units 144A 693,600
50,000 Pick'N Pay Stores Ltd 148,999
77,600 Polifin * 158,053
84,600 Randfontein Estates Goldmine 543,531
373,500 Rembrandt Group Ltd 2,986,775
76,300 Richemont Secs AG Series A 923,047
88,900 Sappi Ltd 1,701,319
517,321 Sasol Ltd 4,419,734
3,857,300 South African Iron & Steel 4,429,133
36,600 Southvaal Ltd 1,050,646
34,100 Standard Bank Investment Corp 1,128,043
372,000 Sun International Ltd 2,339,143
15,369 Tongaat-Hulett Group Ltd 192,231
241,383 Western Areas Gold Mining 3,778,054
27,400 Western Deep Levels 943,859
63,337,675
SRI LANKA - 0.4%
121,000 Aitken Spence & Co 442,769
1,009,700 Blue Diamonds Jewelery Ltd * 420,301
26,500 Development Finance Corp 156,486
86,700 Hayleys Ltd 320,614
124,000 John Keells Holdings Ltd 470,552
116,900 Lanka Walltile Ltd 140,325
96,000 National Development Bank 479,535
2,430,582
TAIWAN - 4.7%
393,800 Asia Cement 640,151
10,534 Asia Cement Corp GDR 144A * 197,513
2,864,000 Chia Hsin Flour 1,593,541
1,326,000 Chia Hsin Livestock * 728,148
4,660,000 China Steel 3,558,804
28,300 China Steel Corp GDR 144A * 537,700
384,000 China Wire & Cable 234,606
3,988,000 Chung Shing Textile * 1,805,608
297,000 Ensure Co Ltd * 224,656
330,000 Feng An Metal Industrial Co Ltd 262,819
739,000 Formosa Chemicals and Fiber Co 693,367
2,225,000 Goldsun Development & Construction 1,456,470
402,320 Hua Engineering Wire and Cable 277,987
2,028,350 Kwong Fong Industries Corp 1,113,830
525,330 Laelae Enterprise Co Ltd * 435,578
292,600 Li Peng 167,060
240,000 Megamedia Corp 260,954
1,007,360 Pacific Construction 670,401
820,600 Pacific Elec Wire 584,907
412,385 Pao Shiang Construction & Industrial 241,450
15,600 President Enterprises Corp GDS 175,500
545,600 Prince Housing Develop Corp 331,352
365,900 R O C Taiwan Fund 3,796,213
430,000 Shin Yih Fiber 323,696
21,000 Taiwan Cement 26,424
387,000 Taiwan Match & Woodwork Co Ltd 865,536
587,000 Taroko Textile * 279,646
6,731 Tuntex Distinct Corp GDR 144A 45,434
74,421 Tuntex Distinct Corp GDS * 502,342
1,723,210 Universal Cement 1,366,135
867,000 Wan Yu Paper * 425,649
1,918,000 Yieh Loong Co 1,136,934
5,523,000 Yue Loong Motor * 3,394,381
367,000 Yuen Foong Yu Manufacturing 304,298
28,659,090
THAILAND - 0.2%
165,400 Bangkok Rubber Public Co Ltd (Foreign Registered) 117,153
142,400 CP Feedmill Public Co Ltd (Foreign Registered) 767,119
227,600 GFPT Pub Co Ltd (Foreign Registered) * 122,610
304,100 NEP Realty and Industry Co Ltd (Foreign Registered) * 145,619
87,200 Prasit Development (Foreign Registered) * 121,788
175,600 Saha Union Public Co Ltd (Foreign Registered) 231,237
1,505,526
TURKEY - 1.7%
2,005,000 Akal Tekstil 563,027
1,000,000 Akbank 254,810
2,100,000 Bagfas 917,317
2,520,000 Eczacibasi Ilac * 283,058
7,365,000 Eregli Demir ve Celik Fabrikalari Turk Anonim Sirketi 1,026,427
4,400,000 Global Menkul Degerler * 384,399
12,000,000 Hurriyet Gazette * 636,505
25,170,000 Izmir Demir Celik 667,535
1,130,000 Netas Telekomunik 423,089
1,080,000 Petkim 842,434
10,024,000 Tofas Otomobil Fab 1,522,105
2,000,000 Turk Sise Cam 426,417
2,700,000 Turkiye Garanti Bankasi AS 241,498
38,000,000 Yapi Ve Kredi Bankasi AS 1,995,840
10,184,461
UNITED KINGDOM - 0.3%
830,322 Lonrho Plc 2,084,603
VENEZUELA - 0.8%
384,799 Ceramica Carabobo Class A ADR 404,039
1,030,000 Ceramica Carabobo Class B ADR 1,071,200
11,040 Mantex SAICA ADR 40,020
174,975 Siderurgica Venezolana Sivensa 65,956
1,028,000 Siderurgica Venezuela ADR 1,562,560
82,500 Sudamtex de Venezuela ADR 360,938
124,800 Venezolana de Cementos 166,121
527,000 Venezolano de Pulpa y Papel GDS 144A 1,054,000
2,333 Veprecar GDS * 13,065
4,737,899
TOTAL STOCK AND EQUIVALENTS (Cost $577,157,441) 546,528,643
Par Value CONVERTIBLE BONDS - 0.9%
INDIA - 0.4%
$ 1,950,000 Essar Gujarat, 5.5% due 8/5/98 1,940,250
700,000 Sterlite, 3.50% due 6/30/99 598,500
2,538,750
KOREA - 0.3%
800,000 Samsung Display Devices, 0.50% due 4/12/02 850,000
945,000 Ssangyong Oil Refining, 3.75% due 12/31/08 987,525
1,837,525
SOUTH AFRICA - 0.2%
350,000 Liblife International, 6.50% due 9/30/04 396,375
845,000 Sappi Bvi Finance Ltd, 7.50% due 8/1/02 870,350
1,266,725
THAILAND - 0.0%
566,000 Bangkok Land Ltd, 4.50% due 10/13/03 (Foreign Registered) 299,980
TOTAL CONVERTIBLE BONDS (Cost $6,818,763) 5,942,980
Principal Amount
of Contracts
(000's omitted) CALL OPTIONS PURCHASED - 0.2%
South Africa - 0.2%
SAR 5 South Africian Index, Expires 3/15/96 Strike 5550 * 662,620
TOTAL CALL OPTIONS PURCHASED (Cost $965,636) 662,620
SHORT-TERM INVESTMENTS - 1.5%
United States - 1.5%
$ 8,700,000 First National Bank of Chicago Time Deposit, 5.81% due 9/1/95 8,700,000
TOTAL SHORT-TERM INVESTMENTS (Cost $8,700,000) 8,700,000
TOTAL INVESTMENTS - 92.2%
(Cost $593,641,840) * * 561,834,243
Other Assets and Liabilities (net) - 7.8% 47,795,350
TOTAL NET ASSETS - 100.0% $ 609,629,593
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
EDR European Depositary Receipt
GDR Global Depositary Receipt
GDS Global Depositary Shares
Currency Abbreviation
SAR South African Rand
144A Securities exempt from registration under rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt
from registration, normally to qualified institutional buyers.
(a) Security valued by management (Note 1).
* Non-income producing security.
* * The aggregate identified cost for federal income tax purposes is $593,641,840,
resulting in gross unrealized appreciation and depreciation of $32,453,001
and $64,260,598, respectively, and net unrealized depreciation of $31,807,597.
See accompanying notes to the financial statements.]
At August 31, 1995, industry sector diversification of the Fund's
equity investments was as follows:
</TABLE>
<TABLE>
<CAPTION>
Percentage of
INDUSTRY SECTOR Net Assets
<S> <C>
Banking 12.8 %
Services 10.6
Primary Processing 6.6
Metals and Mining 6.5
Construction 5.7
Financial Services 5.1
Textiles 4.5
Utilities 4.2
Telecommunications 3.9
Automotive 3.7
Chemicals 3.5
Oil and Gas 3.1
Consumer Goods 3.0
Miscellaneous 3.0
Real Estate 2.3
Food and Beverage 2.0
Transportation 1.9
Machinery 1.9
Technology 1.9
Paper and Allied Products 1.0
Manufacturing 0.9
Computers and Office Equipment 0.5
Retail Trade 0.4
Insurance 0.4
Health Care 0.2
89.6 %
See accompanying notes to the financial statements.
</TABLE>
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31,1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $584,941,840) (Note 1) $ 553,134,243
Short-term investments, at cost (Note 1) 8,700,000
Foreign currency, at value (cost $21,309,695) (Note 1) 21,300,056
Cash 1,060,170
Receivable for investments sold 16,259,749
Receivable for Fund shares sold 21,321,000
Dividends and interest receivable 1,664,747
Receivable for open forward foreign currency contracts (Note 6) 2,333,982
Foreign withholding taxes receivable 23,372
Receivable for expenses waived or borne by Manager (Note 2) 10,117
Total assets 625,807,436
LIABILITIES:
Payable for investments purchased 15,073,192
Payable for open forward foreign currency contracts (Note 6) 440,524
Payable to affiliate for management fee (Note 2) 501,912
Accrued expenses 162,215
Total liabilities 16,177,843
NET ASSETS (equivalent to $10.53 per share based
on 57,879,323 shares outstanding, unlimited shares authorized) $ 609,629,593
NET ASSETS CONSIST OF:
Paid-in capital $ 659,958,844
Accumulated undistributed net investment income 6,289,965
Accumulated undistributed net realized loss (26,585,344)
Net unrealized depreciation (30,033,872)
NET ASSETS $ 609,629,593
See accompanying notes to the financial statements.
</TABLE>
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $1,158,614) $ 8,819,966
Interest 884,849
Total income 9,704,815
EXPENSES:
Management fee (Note 2) 2,504,377
Custodian fees 562,962
Stamp duties and transfer taxes 297,070
Audit fees 30,452
Transfer agent fees 13,800
Legal fees 8,930
Registration fees 7,180
IOF Fees Brazil (Note 1) 7,122
Insurance 2,490
Trustee fee (Note 2) 916
Miscellaneous 818
Total expenses 3,436,117
Less: expenses waived by Manager (Note 2) (21,267)
Net expenses 3,414,850
Net investment income 6,289,965
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss on:
Investments (23,189,158)
Foreign currency, forward contracts and foreign
currency related transactions (821,147)
Net realized loss (24,010,305)
Change in net unrealized appreciation (depreciation) on:
Investments 61,876,602
Foreign currency, forward contracts and foreign
currency related transactions 1,808,800
Net unrealized gain 63,685,402
Net realized and unrealized gain 39,675,097
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 45,965,062
See accompanying notes to the financial statements.
</TABLE>
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
<S> <C> <C>
Operations:
Net investment income $ 6,289,965 $ 2,567,359
Net realized gain (loss) (24,010,305) 10,748,639
Change in net unrealized appreciation (depreciation) 63,685,402 (99,215,818)
Net increase (decrease) in net assets
resulting from operations 45,965,062 (85,899,820)
Distributions to shareholders from:
Net investment income - (2,332,870)
Net realized gains (7,081,456) (7,201,224)
(7,081,456) (9,534,094)
Fund share transactions: (Note 5)
Proceeds from sale of shares 180,160,147 374,416,514
Net asset value of shares issued to shareholders
in payment of distributions declared 6,828,994 8,065,981
Cost of shares repurchased (501,916) (17,198,392)
Net increase in net assets resulting
from Fund share transactions 186,487,225 365,284,103
Total increase in net assets 225,370,831 269,850,189
NET ASSETS:
Beginning of period 384,258,762 114,408,573
End of period (including accumulated undistributed
net investment income of $6,289,965 and $0, $ 609,629,593 $ 384,258,762
respectively)
See accompanying notes to the financial statements.
</TABLE>
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD FROM DECEMBER 9, 1993
AUGUST 31, 1995 YEAR ENDED (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) FEBRUARY 28, 1995 TO FEBRUARY 28, 1994
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.52 $ 12.13 $ 10.00
Income (loss) from investment operations:
Net investment income 0.11 (a) 0.05 0.02 (a)
Net realized and unrealized gain (loss)
on investments 1.03 (2.37) 2.11
Total from investment operations 1.14 (2.32) 2.13
Less distributions to shareholders from:
Net investment income - (0.07) (0.00)(c)
Net realized gains (0.13) (0.22) -
Total distributions (0.13) (0.29) (0.00)
Net asset value, end of period $ 10.53 $ 9.52 $ 12.13
TOTAL RETURN (B) 12.03% (19.51%) 21.35%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 609,630 $ 384,259 $ 114,409
Net expenses to average
daily net assets 1.42%* (a) 1.58% 1.64%* (a)
Net investment income to average
daily net assets 2.61%* (a) 0.85% 0.87%* (a)
Portfolio turnover rate 26% 50% 2%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the manager of
the following per share amounts $ - - $ 0.003
(b) Calculation excludes subscription and redemption fees.
The total returns would have been lower had certain
expenses not been waived during the periods shown.
(c) The per share income distribution was $ 0.004.
See accompanying notes to the financial statements.
</TABLE>
GMO EMERGING MARKETS FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31,
1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Emerging Markets Fund (the "Fund") is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940, as
amended, as an open-end, non-diversified management investment company. The
Trust was established as a Massachusetts Business Trust under the laws of the
Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits
the Trustees to create an unlimited number of series ("Funds"), each of which
issues a separate series of shares. The following is a summary of significant
accounting policies consistently followed by the Fund in the preparation of its
financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations
are available are valued at the last quoted sale price on each business day, or
if there is no such reported sale, at the most recent quoted bid price. Unlisted
securities for which market quotations are readily available are valued at the
most recent quoted bid price. Securities which are primarily traded on foreign
exchanges are generally valued at the preceding closing values of such
securities on their respective exchanges, and those values are then translated
into U.S. dollars at the current exchange rate. Short-term investments with a
remaining maturity of sixty days or less are valued at amortized cost which
approximates market value. Other assets and securities for which no quotations
are readily available are valued at fair value as determined in good faith by
the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market
values of foreign securities, currency holdings and other assets and liabilities
are translated to U.S. dollars based on the prevailing exchange rates each
business day. Income and expenses denominated in foreign currencies are
translated at prevailing exchange rates when accrued or incurred. The Fund does
not isolate realized and unrealized gains and losses attributable to changes in
exchange rates from gains and losses that arise from changes in the market value
of investments. Such fluctuations are included with net realized and unrealized
gain or loss on investments. Net realized gains and losses on foreign currency
transactions represent net exchange gains and losses on disposition of foreign
currencies and the difference between the amount of investment income and
foreign withholding taxes recorded on the Fund's books and the U.S. dollar
equivalent amounts actually received or paid.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with settling
planned purchases or sales of securities or to hedge the currency exposure
associated with some or all of the Fund's portfolio securities. A forward
currency contract is an agreement between two parties to buy and sell a currency
at a set price on a future date. The market value of a forward currency contract
fluctuates with changes in forward currency exchange rates. Forward currency
contracts are marked to market daily and the change in value is recorded by the
Fund as an unrealized gain or loss. When a forward currency contract is
extinguished, through delivery or offset by entering into another forward
currency contract, the Fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value of the contract at the time it was extinguished or offset. These contracts
may involve market risk in excess of the unrealized gain or loss reflected in
the Fund's Statement of Assets and Liabilities. In addition, the Fund could be
exposed to risk if the counterparties are unable to meet the terms of the
contracts or if the value of the currency changes unfavorably to the U.S.
dollar. The U.S. dollar value of the currencies the Fund has committed to sell
is shown under Note 6, and represents the currency exposure the Fund has
acquired or hedged through currency contracts as of August 31, 1995.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to exchange the
return generated by one instrument for the return generated by another
instrument. The Fund enters into equity swap agreements which involve a
commitment by one party in the agreement to pay interest in exchange for a
market linked return based on anotional amount. To the extent that the total
return of the security or index underlying the transaction exceeds or falls
short of the offsetting interest rate obligation, the Fund will receive a
payment from or make a payment to the counterparty, respectively. Equity swaps
are marked to market daily based upon quotations from market makers and the
change, if any, is recorded as unrealized gain or loss in the Statement of
Operations. Payments received or made at the end of the measurement period are
recorded as realized gain or loss in the Statement of Operations. Entering into
these agreements involves, to varying degrees, elements of credit and market
risk in excess of the amounts recognized on the Statement of Assets and
Liabilities. Such risks involve the possibility that there is no liquid market
for these agreements, that the counterparty to the agreements may default on its
obligation to perform or that there may be unfavorable changes in the price of
the security or index underlying these transactions. As of August 31, 1995,
there were no outstanding swap agreements.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may
invest. When the Fund writes a call or put option, an amount equal to the
premium received is recorded as a liability and subsequently marked to market to
reflect the current value of the option written. Premiums received from writing
options which expire are treated as realized gains. Premiums received from
writing options which are exercised or closed are offset against the proceeds or
amounts paid on the transaction to determine the realized gain or loss. If a
written put option is exercised, the premium reduces the cost basis of the
securities purchased by the Fund. The Fund as a writer of an option has no
control over whether the underlying securities may be sold (call) or purchased
(put) and as a result bears the market risk of an unfavorable change in the
price of the security underlying the written option. There is the risk the Fund
may not be able to enter into a closing transaction because of an illiquid
market.
The Fund may also purchase put and call options. The Fund pays a premium which
is included in the Fund's Statement of Assets and Liabilities as an investment
and subsequently marked to market to reflect the current value of the option.
The risk associated with purchasing put and call options is limited to the
premium paid.
TAXES
The Fund intends to qualify each year as a regulated investment company under
Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code"). It
is the policy of the Fund to distribute all of its taxable income, including any
net realized gain on investments not offset by loss carryovers, to shareholders
within the prescribed time periods. Therefore, no provision for federal income
or excise tax is necessary. Taxes on foreign interest and dividend income have
been withheld in accordance with the applicable country's tax treaty with the
United States.
The Fund is subject to an Imposto Sobre Operacues Financeiras (IOF) tax which is
imposed on certain investment transactions in Brazil.
Dividends received by shareholders of the Fund which are derived from foreign
source income and foreign taxes paid by the Fund are to be treated, to the
extent allowable under the Code, as if paid and received by the shareholders of
the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income
and net realized short-term and long-term capital gains, if any, after giving
effect to any available capital loss carryover for federal income tax purposes.
The Fund's present policy is to declare and pay distributions from net
investment income semi-annually, and net realized short-term and long-term
capital gains at least annually. All distributions will be paid in shares of the
Fund, at net asset value, unless the shareholder elects to receive cash
distributions.
Income distributions and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
foreign currency transactions.
Distributions in excess of tax basis earnings and profits will be reported in
the Fund's financial statements as a return of capital. Furthermore, differences
in the recognition or classification of income between the financial statements
and tax earnings and profits which result in temporary over-distributions for
financial statement purposes are classified as distributions in excess of net
investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date, or when the Fund is informed of the
ex-dividend date. Interest income is recorded on the accrual basis. In
determining the net gain or loss on securities sold, the cost of securities is
determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual
Fund. Expenses which are not readily identifiable to a specific Fund are
allocated in such manner as deemed equitable by the Trustees, taking into
consideration, among other things, the nature and type of expense and the
relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is 1.60% of the amount invested. In
the case of cash redemptions, the premium is .40% of the amount redeemed. For
shares acquired on or prior to June 1, 1995, the premium on cash purchases was
2% and there was no premium on cash redemptions. The Manager may waive such
premium to the extent that a transaction results in minimal brokerage and
transaction costs to the Fund. All purchase and redemption premiums are paid to
and recorded as paid-in capital by the Fund. For the six months ended August 31,
1995, the Fund received $3,127,882 in purchase premiums and no redemption
premiums. There is no premium for reinvested distributions or in-kind
transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities
that are not inherent in investments of domestic securities. These risks may
involve adverse political and economic developments and the possible imposition
of currency exchange blockages or other foreign governmental laws or
restrictions. In addition, the securities of some foreign companies and
securities markets are less liquid and at times more volatile than securities of
comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager"), for management and investment advisory services is paid monthly at
the annual rate of 1.00% of average daily net assets. Effective June 27, 1995,
the Manager has agreed to reduce to .98% of its 1.00% management fee. The
Manager has also agreed to waive a portion of its fee until further notice to
the extent that the Fund's annual expenses (including management but excluding
custody fees, brokerage commissions and transfer taxes) exceed 1.18% of average
daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $916. No remuneration is paid
to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding short-term
investments, for the six months ended August 31, 1995, aggregated $264,730,220
and $119,442,509, respectively.
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 14% of the outstanding shares of the Fund were held by one
shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number of
shares of beneficial interest (without par value). Transactions in Fund shares
were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 16,922,728 31,656,227
Shares issued to shareholders in reinvestment of
distributions 653,492 708,112
Shares repurchased (52,350) (1,438,354)
Net increase 17,523,870 30,925,985
Fund shares:
Beginning of period 40,355,453 9,429,468
End of period 57,879,323 40,355,453
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding forward currency contracts at August 31, 1995 is
as follows:
<TABLE>
<CAPTION>
Net Unrealized
Units of In Exchange for Appreciation
Settlement Date Deliver/Receive currency (in U.S. Dollars) (Depreciation)
<S> <C> <C> <C> <C>
Buys
5/9/96 Malaysian Ringgit 142,193,046 $ 57,589,546 $ (440,524)
Sales
2/1/96 Deutsche Marks 80,080,600 $ 57,545,901 $ 2,333,982
</TABLE>
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
STOCK AND EQUIVALENTS - 78.2%
AUSTRALIA - 3.0%
<C> <S> <C>
22,157 Adelaide Brighton Ltd 21,018
148,874 Australia and New Zealand Banking Group Ltd 605,231
12,464 Australian Gas & Light 42,038
95,218 Australian National Industry Ltd 83,871
54,300 Boral Ltd 138,582
66,600 Burns Philp & Co Ltd 141,896
156,026 Coles Myer Ltd 506,271
245,350 CSR Ltd 868,145
34,851 Email Ltd 93,143
566,400 Fosters Brewing Group Ltd 528,754
227,298 Goodman Fielder Ltd 207,057
49,002 Hardie (James) Industries Ltd 84,481
8,547 Memtec Ltd 15,700
10,998 Metal Manufactures Ltd 26,496
2,500 Newcrest Mining Ltd * 10,954
288,569 News Corp Ltd 1,659,783
182,424 News Corp Ltd Preferred 1.19% 942,138
18,521 Opsm Protector Ltd 30,118
243,513 Pacific Dunlop Ltd 575,652
29,859 Pacific Magazines and Printing 58,896
40,800 Pasminco Ltd * 51,911
293,500 Pioneer International Ltd 764,527
54,018 Publishing & Broadcasting Ltd 164,703
3,562 QBE Insurance Group Ltd 15,393
39,462 QCT Resources Ltd 48,129
7,985 Rothmans Holdings 28,314
59,762 Santos Ltd 157,921
23,140 Schroders Property * 35,854
92,560 Schroders Property Fund 149,820
32,641 Seven Network Ltd 83,551
22,531 Smith (Howard) Ltd 107,881
70,942 Southcorp Holdings Ltd 151,147
80,273 Stockland Trust Group 184,322
44,600 TNT Ltd * 60,775
17,209 WD&HO Wills 26,041
112,100 Western Mining Corp Holdings Ltd 753,643
13,398 Westfield Holdings 126,084
224,680 Westfield Trust Units 395,812
2,585 Weston (George) Foods Ltd 12,085
107,100 Westpac Banking Corp 403,151
10,361,288
AUSTRIA - 1.0%
100 Allgemeine Baugesellschaft AG 12,098
399 Austrian Airlines * 65,263
2,809 Bank Austria AG (Participating Certificate) 95,154
2,404 Bau Holding AG (Non Voting) 123,548
3,972 Brau Union AG 221,815
266 Constantia-Iso Holdings AG * 14,752
4,998 Creditanstalt-Bankverein 272,339
3,830 Creditanstalt-Bankverein Preferred 1.65% 197,204
340 EA-Generali AG 100,036
197 EA-Generali AG Preferred 6.00% 31,650
1,774 EVN Energie-Versorgung Niederoesterreich AG 231,617
162 Jenbacher Werke AG 26,811
700 Lenzing AG 63,007
1,291 Leykam-Muerztaler Papier und Zellstoff AG * 57,102
523 Miba Holding AG Preferred Series B 1.34% 21,310
3,507 OEMV AG 333,992
3,328 Oesterreichische Brau Beteiligungs AG 168,457
7,499 Oesterreichische Elektrizitaetswirschafts AG 508,776
5,060 Oesterreichische Laenderbank AG 401,578
2,650 Oesterreichische Laenderbank AG Preferred (Non Voting) 118,750
440 Perlmooser Zement 33,855
1,300 Radex-Heraklith AG 46,302
662 RAS Versicherungs AG 95,530
1,217 Steyr-Daimler-Puch AG * 21,908
292 Strabag Oesterreich AG 39,424
547 Universale Bau AG * 19,853
1,300 Veitsch-Radex AG 31,203
177 Wiener Allianz Versicherungs AG 39,315
667 Wienerberger Baustoffindustrie AG 156,546
3,549,195
BELGIUM - 0.1%
136 Banque Bruxelles Lambert 21,585
20 Banque Nationale de Belgique 25,784
200 Barco NV 21,217
400 Electrabel SA 84,867
160 Petrofina SA Bruxelles 47,663
50 Solvay Et Cie 26,231
50 Tractebel 17,419
244,766
CANADA - 1.5%
6,600 Abitibi-Price Inc 110,553
6,600 Air Canada Inc 24,567
11,000 Alberta Energy Ltd 167,876
500 Avenor Inc 11,120
11,800 Bank of Montreal 259,148
14,490 Bank of Nova Scotia 315,528
600 BC Telecom Inc 10,720
5,310 BCE Inc 170,972
2,500 Brascan Ltd Class A (Convertible) 40,945
3,800 Cae Industries Inc 25,461
20,400 Canadian Imperial Bank of Commerce 501,173
1,400 Canadian Marconi Co 12,768
3,300 Canadian Tire Ltd Class A 39,922
1,100 Canfor Corp 11,772
1,600 CCL Industries Class B 15,187
17,400 Cominco Ltd 344,891
600 Dofasco Inc 7,649
4,100 Dominion Textile Inc 28,234
22,800 Domtar Inc 214,294
900 Donohue Inc Class A 12,563
10,600 Fletcher Challenge Class A 172,622
8,500 Gulf Canada Resources Ltd 38,759
3,100 Hees International Bancorp Inc 33,752
1,900 Hudsons Bay Co 38,191
8,100 Imasco Ltd 147,739
12,800 Imperial Oil Ltd 458,589
8,100 Inco Ltd 282,663
4,500 Laidlaw Inc Class B (Non Voting) 40,620
19,200 Macmillan Bloedel Ltd 253,713
2,300 Mitel Corp 12,414
800 Molson Co Ltd Class A 13,475
16,800 National Bank of Canada 139,140
7,700 Noranda Forest Inc 60,906
2,200 Noranda Inc 44,631
5,000 Norcen Energy Resource 75,377
1,600 Nova Scotia Power Inc 13,698
2,600 Numac Energy Inc 12,339
900 Oshawa Group Ltd Class A 14,322
4,300 Petro Canada 42,416
1,800 Power Corp of Canada 27,638
5,900 Ranger Oil Ltd 33,492
1,700 Repap Enterprises Inc 12,498
11,280 Royal Bank of Canada 250,877
1,100 Sceptre Resources Ltd 6,961
1,700 Sears Canada Inc 9,967
900 Sherritt Inc 10,720
8,900 Teck Corp Class B 173,925
2,100 Telus Corp 25,600
1,000 Thomson Corp 13,307
14,300 Toronto Dominion Bank 230,216
3,200 Transcanada Pipelines Ltd 44,072
4,300 United Dominion Inds Ltd 103,639
800 Westcoast Energy Inc 12,209
5,175,830
FINLAND - 0.0%
1,400 Amer Group Class A 23,848
500 Cultor OY Series 1 16,966
24,600 Kansallis-Osake-Pankki * 23,809
500 Kymmene Corp 14,689
860 Nokia Corp Class A 58,755
6,000 Unitas Bank Ltd Class A * 17,080
155,147
FRANCE - 2.5%
200 Accor SA 24,983
150 Agache Financiere * 39,226
47 Air Liquide L Shares 7,490
190 Air Liquide (Registered) 30,278
7,480 Alcatel Alsthom Cie Generale d'Electricite SA 749,259
11 Axa SA 609
17,081 Banque Nationale de Paris 699,944
25 Bongrain 13,486
255 Bouygues 30,995
1,000 Carnaudmetal Box SA 42,463
1,025 Carrefour Supermarche SA 571,598
1,950 Casino Guichard Perrachon 55,394
235 Cetelem 36,379
450 Club Mediterranee SA * 43,294
27,785 Compagnie de Suez SA 1,144,072
2,879 Credit Commercial de France 122,421
2,019 Credit Foncier De France (Bearer) 53,957
1,377 Credit Local de France SA 116,397
8,980 Credit Lyonnais * 444,600
1,822 Credit National 126,961
78 CSF Thompson Temp (Participating Certificates) * 1,621
250 Dassault Electronique SA 10,096
3,671 Elf Sanofi SA 226,662
739 Eridania Beghin-Say SA 109,135
522 Essilor International 88,145
7,466 Financiere de Paribas SA 402,749
1,311 FINEXTEL 18,686
1,032 Gruope Danone 169,157
200 Labinal SA 30,882
5,899 Lafarge Coppee SA 440,250
3,270 LVMH Louis Vuitton Moet Hennessy 587,778
15 Lyonnaise Des Eaux * 1,406
9,640 Michelin SA Class B 417,927
364 Parisienne de Reescompte (CPR-Cie) 25,581
1,600 Pechiney International SA 38,357
1,594 Pechiney International SA Preferred 3.43% 103,185
1,824 Pernod-Ricard 114,427
2,449 Peugeot SA 323,366
150 Radiotechnique 12,893
100 Saint Louis 29,516
200 Saint-Gobain 25,379
301 SIMCO 24,252
24 SIMCO (Registered) 1,753
688 Societe Generale d 'Entreprise SA 18,387
4,156 Societe Generale Paris 433,577
360 SOVAC SA 27,010
1,928 SPIE Batignolles * 79,387
4,494 Thomson CSF 95,191
637 Total SA 37,376
3,800 Worms et Compagnie SA 167,000
8,414,937
GERMANY - 2.3%
250 AEG AG 24,756
660 Bankgesellschaft Berlin AG 171,945
10,390 Bayer AG 2,683,503
20,100 Bayer Vereinsbank AG 546,497
1,370 Bayerische Hypotheken-und Wechselbank AG 335,938
190 Bayerische Motorenwerke AG 105,645
50 Beiersdorf AG (Bearer) 37,432
8,400 Berliner Handels- und Frankfurter Bank * 216,381
100 Boss (Hugo) AG Preferred 3.84% 77,585
350 Bremer Vulkan Verbund AG * 18,937
2,700 Commerzbank AG 609,698
430 Daimler-Benz AG 212,315
500 Douglas Holding AG 18,614
32,100 Dresdner Bank 848,732
100 Gehe AG 45,054
25 Gehe AG New * 11,042
600 Kaufhalle AG * 74,319
350 Kugelfischer George Schaefer AG * 52,881
50 Linotype Hell AG * 9,953
150 Philips Kommunikations Industrie AG 52,064
400 Puma AG Preferred * 118,420
300 RWE AG (Non Voting) 81,281
2,000 Sap AG 304,216
2,500 Sap AG Preferred 369,551
540 Siemens AG 274,824
200 Villeroy and Boch AG 40,018
900 Volkswagen AG 275,142
300 Volkswagen AG Preferred .79% 69,281
7,686,024
HONG KONG - 2.5%
22,500 Amoy Properties Ltd 20,201
109,000 Cathay Pacific Airways Ltd 164,042
60,000 Chinese Estates Holdings Ltd 40,692
55,000 Cross Harbour Tunnel Co Ltd 107,996
163,371 Dairy Farm International 151,935
242,000 Denway Investments 19,070
83,000 Dickson Concepts (International) Ltd 55,219
453,000 Elec and Eltek International Holdings Ltd * 66,127
8,000 Furama Hotel Enterprises Ltd 9,301
190,097 Goldlion Holdings Ltd 95,773
8,000 Great Eagle Holdings Ltd 16,329
126,000 Hang Lung Development Co Ltd 195,324
102,000 Harbour Centre Development Ltd 111,342
32,000 Henderson Land Development Co Ltd 174,034
33,000 Hong Kong and China Gas Co Ltd 52,009
163,000 Hong Kong Ferry Co Ltd 174,771
31,000 Hong Kong Land Holdings 56,420
16,000 Hongkong Aircraft Engineering Co Ltd 37,618
39,500 Hongkong and Shanghai Hotels Ltd Preferred 1.95% 48,221
42,500 Hongkong Electric Holdings Ltd 147,413
232,846 Hopewell Holdings Ltd 168,446
184,000 Hutchison Whampoa Ltd 886,604
72,000 Jardine International Motor Holdings Ltd 75,339
17,250 Jardine Strategic Warrants 5/02/98 * 7,849
56,800 Kowloon Motor Bus Co Ltd 100,524
157,000 Kumagai Gumi Hong Kong Ltd 121,690
118,000 Lai Sun Garment (International) Ltd 121,948
23,000 Lane Crawford International Ltd Series A 34,466
83,327 Mandarin Oriental 75,411
228,000 National Mutual Asia Ltd 163,467
79,897 New World Development Co Ltd 291,060
116,000 Playmate Toys Holding 24,725
15,000 Realty Development Corp Ltd Class A 43,018
916,397 Regal International Ltd 165,735
86,000 San Miguel Brewery Ltd 49,994
98,000 Shun Tak Holdings Ltd 82,289
12,956 Sino Hotel Ltd (c) 2,996
164,614 Sino Land Co Ltd * 114,832
124,000 South China Morning Post Ltd 68,480
319,000 Stelux Holdings International 91,690
62,000 Sun Hung Kai Properties Ltd 450,523
314,000 Swire Pacific Ltd Class A 2,352,668
138,000 Tai Cheung Holdings Ltd 119,442
29,000 Television Broadcasts Ltd 107,144
283,000 Wharf Holdings Ltd 813,429
31,000 Wing On International Holdings Ltd 55,264
105,500 Winsor Industrial Corp Ltd 115,844
93,000 World International Holdings Ltd 141,164
8,589,878
ITALY - 2.3%
282,100 Alitalia Linee Aeree Italiane Class A * 132,107
83,000 Alitalia Linee Aeree Italiane Class B (Private Placement) (b) * 25,060
1,700 Assicurazioni Generali SPA 40,905
380,000 Autostrade Concessioni e Costruzioni SPA Class B Preferred 6.39% 444,883
26,300 Banca Commerciale Italiana SPA 62,067
993,340 Banca di Roma * 941,988
76,000 Banca Nazionale dell'Agricoltura SPA (Non Convertible) * 25,756
1,000 Banca Popolare di Bergamo Credit 13,186
27,500 Banca Toscana * 59,477
1,128,137 Banco di Napoli (Non Convertible) * 515,792
380,000 Bastogi-IRBS SPA * 22,478
11,000 BCO Ambros Veneto Di Risp (Non Convertible) 14,776
14,800 Benetton Group SPA 156,399
20,000 Caffaro SPA 23,723
33,000 Cartiere Burgo SPA 224,182
29,970 Cia Italiana dei Grandi Alberghi Cigahotels SPA * 17,322
40,000 Comau Finanziaria SPA 59,153
16,300 Credito Italiano 20,288
24,590 Credito Italiano (Non Convertible) 26,076
18,000 Danieli and Co SPA (Non Convertible) 54,403
47,000 Edison SPA 198,959
9,000 Editoriale l'Espresso SPA * 17,191
3,500 Ericsson SPA 57,367
155,000 Fiat SPA 569,706
173,000 Fiat SPA Preferred (b) 390,687
237,000 Fiat SPA (Non Convertible) 508,202
22,750 FIDIS SPA 49,905
92,397 Finmeccanica SPA * 66,669
32,500 Gilardini SPA 62,881
12,500 Grassetto SPA * 7,756
193,850 Industriali Riunite SPA * 140,350
40,000 Industriali Riunite (Cie) SPA (Non Convertible) * 18,264
40,420 Istituto Bancario San Paolo 217,804
21,750 Italcementi Fabbriche Riunite Cemento SPA 152,179
46,250 Italcementi Fabbriche Riunite Cemento SPA (Non Convertible) 152,467
1,000 Marzotto and Figli SPA 6,347
215,000 Montedison SPA (Non Convertible) * 133,406
545,000 Montedison SPA * 405,334
105,000 Montefibre SPA 79,645
5,000 Olivetti and Co SPA Preferred * 5,453
33,500 Olivetti and Co SPA (Non Convertible) * 20,869
75,000 Olivetti and Co SPA * 63,451
145,800 Parmalat Finanziaria SPA 129,279
112,400 Pirelli and Co 167,260
22,000 Pirelli and Co (Non Convertible) 22,639
7,000 Pirelli SPA (Non Convertible) * 7,233
6,000 Ratti SPA 11,757
21,000 Rinascente per l'Esercizio di Grandi Magazzini SPA 123,834
18,000 Rinascente per l'Esercizio di Grandi Magazzini SPA Preferred 5.59% 47,692
14,000 Rinascente per l'Esercizio di Grandi Magazzini SPA (Non Convertible) 44,254
5,000 SAFFA SPA * 17,099
30,000 Saipem SPA 65,623
13,000 Sasib SPA 61,279
6,000 Sasib SPA (Non Convertible) 16,452
30,500 Sirti SPA 221,952
221,630 Snia BPD SPA * 271,763
90,000 Societa Metallurgica Italia * 46,417
33,000 Sorin Biomedica SPA 87,436
43,630 STET SPA 133,882
14,000 Telecom Italia Mobile SPA (Non Convertible) * 14,035
11,000 Telecom Italia Mobile SPA * 16,233
11,000 Telecom Italia SPA 17,691
14,000 Telecom Italia Spa di Risp 18,029
6,700 Tosi (Franco) SPA 63,392
4,200 Unione Cementi Marchino Emiliane e di Augusta-Casale (Non Convertible) * 14,467
3,500 Unione Cementi Marchino Emiliane e di Augusta-Casale * 23,723
7,848,334
JAPAN - 7.7%
1,000 Ajinomoto Co Inc 10,313
8,000 Alps Electric Co Ltd 98,841
4,000 Amada Co Ltd 41,660
68,000 Aoki Corp * 331,199
1,900 Arabian Oil Co 78,961
9,000 Asahi Breweries Ltd 103,844
1,000 Bank of Yokohama Ltd 7,852
16,000 Banyu Pharmaceutical Co Ltd 176,444
1,000 Canon Sales Co Inc 26,650
2,828 Chubu Electric Power Co Inc 65,838
2,000 Chugai Pharmaceutical Co 19,094
22,000 Cosmo Oil Co Ltd 114,566
8,100 CSK Corp 241,507
7,000 Dai Nippon Ink & Chemicals 31,021
14,000 Dai Nippon Printing Co Ltd 221,576
4,000 Dai Tokyo Fire and Marine Insurance Co Ltd 26,548
50,000 Daicel Chemical Industries Ltd 272,630
2,000 Daiichi Seiyaku Co Ltd 27,569
3,000 Daikyo Inc 24,169
1,000 Daiwa Bank Ltd 8,179
5,000 Daiwa House Industry Co Ltd 77,092
3,000 Daiwa Kosho Lease 29,162
236 East Japan Railway Co 1,120,539
2,000 Eisai Co Ltd 32,266
7,000 Fuji Photo Film Co Ltd 175,116
25,000 Fujisawa Pharmaceutical Co Ltd 250,166
21,000 Fujita Corp 106,785
1,000 Fujita Kanko Inc 21,851
35,000 Fujitsu Ltd 378,823
7,000 Fukuyama Transporting Co Ltd 62,970
5,000 Furukawa Electric Co Ltd 28,795
12,000 Gakken Co Ltd * 78,174
12,000 General Sekiyu (KK) 115,791
22,000 Hankyu Corp 123,551
16,000 Hanwa Co Ltd * 52,443
46,000 Haseko Corp 211,365
12,000 Hazama-Gumi Ltd 54,648
2,000 Heiwa Real Estate 15,010
9,000 Hitachi Cable Ltd 67,085
12,000 Hitachi Ltd 131,107
8,000 Hitachi Maxell Ltd 128,248
4,000 Hokuriku Bank Ltd 26,017
5,000 Honda Motor Co Ltd 88,834
16,000 INAX Corp 159,289
4,000 Intec Inc 55,139
16,000 Itochu Corp 99,331
7,000 Japan Airport Terminal Co Ltd 80,768
40,000 Japan Energy Co Ltd 124,572
32,000 Japan Synthetic Rubber Co Ltd 182,979
5 Japan Tobacco Inc 42,324
7,000 Joshin Denki Co Ltd 89,345
1,000 Kajima Corp 10,088
3,000 Kamigumi Co 27,814
46,000 Kankaku Securities Co Ltd * 170,971
12,000 Keihin Electric Express Railway 74,743
16,000 Keio Teito Electric Railway Co Ltd 94,430
5,000 Keisei Electric Railway 40,639
42,000 Kinki Nippon Railway 345,229
19,000 Kirin Brewery Co Ltd Com 197,886
7,000 Koito Manufacturing Co Ltd 53,321
7,000 Kokusai Kogyo Co Ltd 65,186
1,000 Kokuyo Co 21,647
9,000 Komatsu Ltd 74,161
1,000 Koyo Seiko Co Ltd 8,975
187,000 Kumagai Gumi Co Ltd 891,704
28,000 Kurabo Industries Ltd 114,076
43,000 Kureha Chemical Industry Co Ltd 189,238
3,000 Kyowa Hakko Kogyo Co Ltd 29,132
15,000 Maeda Corp 160,821
19,000 Marubeni Corp 97,391
12,000 Marudai Food Co Ltd 85,649
21,000 Marui Co Ltd 368,816
5,000 Matsushita Electric Industrial Co Ltd 78,113
22,000 Matsushita Electric Works Ltd 226,885
25,000 Mazda Motor Corp * 103,640
9,000 Meiji Seika Kaisha Ltd 53,484
4,000 Minebea Co Ltd 31,041
28,000 Mitsubishi Electric Corp 209,568
99,000 Mitsubishi Estate 1,162,506
16,000 Mitsubishi Gas Chemical Co Inc 66,983
31,000 Mitsubishi Materials Corp 153,837
16,000 Mitsubishi Oil Co 137,071
19,000 Mitsubishi Trust & Banking Corp 316,230
2,000 Mitsubishi Warehouse 30,020
22,000 Mitsui Fudosan Co Ltd 283,045
4,000 Mitsui Mining Ltd * 17,726
18,000 Mitsui Petrochemical Industries Ltd 137,847
17,000 Mitsui Trust & Banking Co Ltd 175,320
1,000 Mochida Pharmaceutical 14,397
21,000 Nagoya Railroad Co Ltd 105,927
9,000 Nakkai Electric Rail 62,215
30,000 NEC Corp 392,097
16,000 New Japan Securities Co Ltd * 84,137
19,000 Nichiei Co Ltd 79,155
7,000 Nichii Co Ltd 80,053
28,000 Nippon Express Co 241,303
325,000 Nippon Oil Co Ltd 1,835,146
56,000 Nippon Sheet Glass Co Ltd 253,883
12,000 Nippon Suisan Kaisha Ltd * 55,996
42,000 Nissan Motor Co Ltd 321,642
3,000 Nisshinbo Industries Inc 26,926
7,000 Nissho Iwai Corp 28,233
18,000 Nitto Denko Corp 284,883
10,000 NSK Ltd 67,290
17,000 Odakyu Electric Railway 118,385
4,000 Okamoto Industries 26,385
1,000 Ono Pharmaceutical Co Ltd 39,924
3,000 Onoda Cement Co Ltd 15,224
45,000 Renown Inc * 144,739
7,000 Ricoh Co Ltd 69,689
7,000 Royal Co Ltd 92,919
8,000 Sagami Railway 35,861
3,000 Sankyo Co Ltd 66,779
23,000 Sanyo Electric Co Ltd 126,819
3,000 Sapporo Breweries Ltd 27,263
1,000 Secom Co 65,656
23,000 Seibu Railway Co Ltd 1,005,156
5,000 Seino Transportation Co Ltd 83,218
5,000 Sekisui Chemical Co Ltd 62,797
82,000 Sekisui House Ltd 1,029,867
37,000 Settsu Corp * 114,474
14,000 Shionogi and Co Ltd 126,512
28,000 Shiseido Co Ltd 291,622
11,500 Showa Shell Sekiyu 101,103
1,000 Skylark Co Ltd 15,929
4,000 Sony Corp 218,104
18,000 Sumitomo Corp 167,989
37,000 Sumitomo Metal Industries Ltd * 103,140
9,000 Sumitomo Realty and Development 65,983
17,000 Sumitomo Trust & Banking Co Ltd 230,867
24,000 Taisei Corp 161,740
2,000 Taisho Pharmaceutical Co Ltd 35,534
22,000 Takeda Chemical Industries Ltd 296,523
21,000 Tanabe Seiyaku Co Ltd 149,027
193,000 Teijin Ltd 936,080
8,000 Teikoku Oil Co 49,584
8,000 The Japan Steel Works Ltd * 24,424
23,000 Toa Nenryo Kogyo (KK) 345,229
22,000 Tobu Railway Co 132,986
220 Toho Co 34,370
2,000 Tokyo Dome Corp 33,287
4,000 Tokyo Tatemono Ltd 18,788
4,000 Tokyotokeiba Co 15,888
26,000 Tokyu Construction Co Ltd 136,723
28,000 Tokyu Corp 197,274
11,000 Tokyu Department Store Co Ltd 70,874
12,000 Tokyu Land Corp 62,490
11,000 Toppan Printing Co Ltd 150,508
9,000 Toshiba Tungaloy Co Ltd * 56,977
1,000 Tostem Corp 31,245
1,000 Toto 14,602
7,000 Toyo Trust & Banking Co Ltd 58,610
1,000 Toyota Motor Corp 19,809
22,000 Victor Co of Japan Ltd * 271,813
8,000 Wacoal Corp 94,757
4,000 Yakult Honsha Co Ltd 55,139
8,000 Yamaha Corp 106,193
229,000 Yamaichi Securities Co Ltd 1,470,782
10,000 Yamanouchi Pharmaceutical Co Ltd 211,365
8,000 Yamato Transport Co 83,321
12,000 Yasuda Trust and Banking Co Ltd 77,929
3,000 Yokogawa Bridge Corp 42,579
11,000 Yokogawa Electric Corp 103,334
26,372,750
MALAYSIA - 0.4%
192,000 Amcol Holdings Ltd 521,732
29,000 Antah Holdings Berhad 31,150
39,200 Bandar Raya Developments Warrants 9/1/97 * 49,648
65,000 DMIB Berhad 67,735
52,000 Faber Group Berhad * 50,020
46,000 Golden Hope Plantations Berhad 77,066
49,000 Highlands and Lowlands Berhad 86,413
29,000 Kuala Lumpur Kepong 86,593
35,000 Malaysian Mosaics 47,695
61,000 Malaysian Resources Corp 107,086
62,000 Malaysian United Industries 112,818
26,000 Perlis Plantations 85,451
36,000 Selangor Properties 37,804
1,361,211
NETHERLANDS - 0.7%
8,300 Royal Dutch Petroleum Co ADR 989,775
3,253 Stockland Trust Group 7,171
12,400 Unilever Nv 1,532,950
2,529,896
NEW ZEALAND - 0.4%
170,471 DB Group Ltd * 95,271
98,238 Fisher and Paykel Industries Ltd 300,048
8,814 Fletcher Challenge Ltd 23,942
13,006 Independent Newspapers Ltd 37,189
344,538 Lion Nathan Ltd 714,235
4,449 Wilson and Horton Ltd 25,876
1,196,561
NORWAY - 1.7%
3,900 Aker AS Class A 50,739
2,600 Aker AS Class B (Non-Voting) 33,218
12,510 Bergesen d y AS Class A 300,172
7,830 Bergesen d y AS Class B 190,317
37,994 Den Norske Bank Series A 98,861
5,350 Det Norske Luftfartsselskab AS Class B 266,745
5,400 Dyno Industrier AS 112,743
4,300 Elkem AS Class A 52,258
2,365 Hafslund Nycomed AS Class A 57,116
22,821 Hafslund Nycomed AS Class B 540,468
5,310 Kvaerner Industrier 206,836
400 Kvaerner Industrier AS, Oslo -B- Stimmrechtslos 14,833
5,880 Leif Hoegh and Co AS 90,699
70,300 Norsk Hydro AS 2,968,361
11,300 Norske Skogindustrier AS Series A 354,769
5,010 Orkla AS Class A 234,181
2,900 Saga Petroleum Series A 36,600
7,390 Unitor AS 104,204
5,713,120
PHILIPPINES - 0.0%
110,000 Bougainville Copper Ltd * 56,313
SINGAPORE - 2.4%
166,000 Chuan Hup Holdings Ltd 162,436
292,000 DBS Land Ltd 838,691
44,000 Faber Group Berhad * 42,746
144,000 First Capital Corp Ltd 413,601
19,000 Fraser and Neave Ltd 215,347
306,000 Hai Sun Hup Group Ltd 217,571
119,000 Haw Par Brothers International Ltd 242,943
170,000 Hotel Properties Ltd 274,058
61,000 Inchcape Berhad 200,113
79,674 Jardine Matheson 573,653
701,250 Jardine Strategic 2,201,925
10,000 Jurong Shipyard Ltd 69,694
21,000 Lum Chang Holdings Ltd 19,071
38,400 Metro Holdings 171,658
15,000 Natsteel Ltd 31,151
215,000 Neptune Orient Lines Ltd 261,844
7,000 Prima Ltd 26,857
39,000 Robinson and Co Ltd 153,749
18,000 Shangri-La Hotel Ltd 63,992
89,000 Singapore Airlines Ltd 751,848
156,000 Straits Trading Co Ltd 358,015
31,000 Times Publishing Ltd 72,017
42,000 United Engineers 80,718
553,000 United Industrial Corp Ltd 506,089
23,000 United Overseas Land Ltd 40,317
44,000 Wearne Brothers Ltd 102,837
8,092,941
SPAIN - 3.1%
25,470 Argentaria Corporacion Bancaria de Espana SA 972,314
2,150 Asland SA 37,183
13,200 Asturiana del Zinc SA * 139,916
7,250 Autopistas Cesa (Registered) 69,914
483 Autopistas Conces * 4,558
22,069 Autopistas del Mare Nostrum SA 256,790
600 Azucarera de Espana SA 17,071
49,510 Banco Bilbao Vizcaya SA 1,497,432
37,640 Banco Central Hispanoamericano SA 784,447
900 Banco Exterior de Espana Namen 21,805
2,450 Banco Zaragozano SA * 38,466
1,420 Bankinter SA 123,355
2,850 Cristaleria Espanola SA * 188,523
18,330 Dragados y Construcciones SA 292,900
3,100 Ebro Agricolas Compania de Alimentacion SA 31,624
18,950 Empresa Nacional de Celulosa SA * 484,038
5,040 Empresa Nacional de Electricidad SA 261,489
12,300 Ercros SA * 13,234
236,230 FENOSA SA 1,095,722
200 Fomento Construcciones y Contratas SA 16,545
86,350 Fuerzas Electricas de Cataluna SA 548,483
5,150 Huarte SA 45,148
78,480 Iberdrola SA 602,320
15,380 Repsol SA 482,329
22,346 Sarrio SA * 112,375
178,430 Sevillana de Electricidad 1,130,518
17,589 Tabacalera S Namen-Akt. 649,030
9,850 Tableros Defibras Series B 119,715
20,900 Telefonica de Espana SA 283,164
6,600 Uralita SA 73,114
10,600 Vallehermoso SA 187,121
10,580,643
SWEDEN - 0.0%
400 Mo Och Domsjoe AB Series B 22,989
1,450 Pharmacia AB Class A 39,584
3,940 Skandinaviska Enskilda Banken Series A 20,380
960 Skanska AB Series B 24,106
1,500 Svenska Handelsbanken Series A 23,400
1,900 Volvo Aktiebolaget Series B 37,699
168,158
SWITZERLAND - 2.4%
190 Baloise Holdings 379,213
527 Banque Cantonale Vaudoise 258,808
20 CIBA-GEIGY AG (Bearer) 14,161
8,850 CS Holdings (Registered) 723,758
60 Elektrowatt AG 17,491
250 Helvetia Schweizerische Versicherungsgesellschaft 121,118
100 Hero AG (Bearer) 46,377
300 Hero Lenzburg (Registered) 34,286
75 Hilti AG, Schaan (Participating Certificate) 63,354
40 Holderbank Financiere Glarus AG (Bearer) 31,304
170 Holderbank Financiere Glarus AG (Registered) 26,468
40 Interdiscount Holding SA (Bearer) 42,567
50 Intershop Holding AG 24,182
100 Landis and Gyr AG 61,035
40 Merkur Holding AG 9,640
20 Pargesa Holding SA 24,265
125 Schindler Holding AG (Participating Certificate) 101,449
60 Schindler Holding AG (Registered) 50,683
650 Schweizerische Rueckversicherungsgesellschaft (Bearer) 525,383
25 Schweizerische Rueckversicherungsgesellschaft (Registered) 20,207
20 SIG AG (Bearer) 21,366
5 SIG AG (Registered) 10,807
1,060 SMH AG (Bearer) 715,445
4,400 SMH AG (Registered) 630,393
1,260 Swiss Bank Corp (Bearer) 427,826
1,400 Swiss Bank Corp (Registered) 238,551
1,080 Union Bank of Switzerland (Bearer) 961,491
1,150 Winterthur Insurance (Registered) 681,905
270 Winterthur Schweizerische Versicherungs-Gesellschaft 164,348
7,250 Zurich Vericher Namen (Registered) 1,849,275
8,277,156
UNITED KINGDOM - 11.2%
51,925 AMEC Plc 49,892
5,174 Amersham International 85,536
9,000 Amstrad Plc 36,404
8,312 Anglian Water Plc 69,560
280,814 Argyll Group 1,531,875
1,392,738 ASDA Group Plc 2,341,861
4,490 BAA Plc 35,697
25,012 Barratt Developments Plc 72,098
159,126 Bass Plc 1,595,539
91,180 BAT Industries Plc 710,771
13,500 Berisford International Plc 38,182
14,009 Boots Co Plc 122,230
179,945 British Aerospace Plc 1,837,753
31,869 British Land Co Plc 197,062
132,011 British Petroleum Co Plc 988,142
280,188 British Steel Plc 781,599
134,477 BTR 710,664
21,945 Bunzl Plc 69,549
348,723 Burton Group Plc 551,242
2,090 Carlton Communications 33,685
5,079 Charter Plc (Registered) 73,910
3,950 Cobham Group Plc 25,710
26,100 Costain Group * 42,066
28,055 Dixons Group Plc 146,739
48,124 English China Clays Plc 282,659
107,891 Fisons 428,043
296,025 Forte Plc 1,179,026
33,152 General Electric Co Plc 159,784
421,207 Glaxo Wellcome Plc 4,992,027
43,331 Grand Metropolitan Plc 273,981
115,518 Great Portland Estates Plc 309,712
11,308 Great Universal Stores Plc 107,075
6,600 Greenalls Group Plc 51,193
29,691 Guinness 225,927
145,005 Hammerson Property Investment and Development Corp Plc 800,009
165,057 Hillsdown Holdings Plc 488,573
6,211 Imperial Chemical Industries Plc 73,828
339,447 Ladbroke Group Plc 878,517
376,093 Lasmo Plc 1,031,645
3,978 Lex Service Plc 19,481
23,871 Lex Service Plc (Ordinary) 119,121
11,108 London Electricity Plc 144,947
41,512 London International Group Plc 82,347
57,998 Lonrho Plc 145,610
54,750 Marks & Spencer Plc 369,093
13,029 MEPC Plc 76,325
19,907 Meyer International Plc 107,978
7,875 Midland Electricity 104,347
117,740 National Power Plc 957,955
19,500 Norcros Plc 26,292
7,133 North West Water Group Plc 69,200
28,131 Northern Foods Plc 84,576
2,010 Northumbrian Water Group Plc 28,346
9,149 NORWEB Plc 122,929
10,956 Ocean Group Plc 56,371
18,526 Peninsular and Oriental Steam Navigation Co 159,488
315,555 Pilkington Plc 1,031,857
74,395 Powergen Plc 674,180
23,291 Reckitt & Colman Plc 240,033
62,511 Redland Plc 376,850
51,077 Sainsbury Plc 366,990
9,501 Scottish Power Plc 50,209
1,700 Scottish & Newcastle Plc 15,649
242 Scottish & Newcastle (Participating Certificte) 1,163
338,366 Sears Plc 587,309
5,497 Securicor Group Plc 93,283
7,361 Severn Trent Plc 72,097
79,000 Signet Group Plc * 17,752
29,757 Slough Estates Plc 101,916
138,899 Smith & Nephew Plc 412,221
218,477 Smithkline Beecham Plc Class A 2,028,124
238,413 Smithkline Beecham Plc Equity Units 2,084,795
17,594 South Western Electricity Plc 263,120
15,188 Southern Water Plc 164,293
57,964 Storehouse Plc 278,472
512,415 Tarmac Plc 809,998
260,772 Taylor Woodrow Plc 464,751
54,467 Tesco 276,022
6,861 Thorn Emi 157,153
46,000 Trafalgar House Plc 27,090
16,738 Transport Development Group Plc 56,938
10,053 Unigate Plc 64,656
39,838 Unilever Plc 750,129
36,074 United Biscuits Holdings Plc 152,623
5,801 Welsh Water Plc 68,415
6,265 Welsh Water Plc Preferred 6.42% * 9,928
22,011 Whitbread Plc Class A (Limited Voting) 209,786
114,834 Wimpey (George) Plc 188,642
1,139 Wolseley 6,655
38,207,270
UNITED STATES - 33.0%
3,100 20th Century Industries California 48,825
22,800 3Com Corp 889,200
23,000 Abbott Laboratories 891,250
11,300 AES Corp 209,050
11,900 Aetna Life and Casualty 812,175
9,600 Aflac Inc 392,400
1,500 Alco Standard Corp 120,750
17,400 Allegheny Power System 424,125
1,500 Allmerica Property & Casualty 36,188
17,900 Allstate Corp 606,363
2,700 Alltel Corp 76,275
3,900 Ambac Corp 164,775
9,300 Amdahl 84,863
18,500 American Electric Power 631,313
19,000 American General Corp 669,750
19,800 American Home Products 1,524,600
7,800 Ameritech Corp 399,750
30,800 Amgen Inc 1,474,550
11,600 Amoco Corp 739,500
25,600 Anheuser Busch Inc 1,462,400
8,600 Aon Corp 335,400
18,600 Apple Computer Inc 799,800
31,500 Archer Daniels Midland 523,688
11,900 Ashland Inc 389,725
600 Atlanta Gas Light 22,125
2,300 Atlantic Richfield Co 250,988
22,300 AT&T Corp 1,259,950
1,500 Automatic Data Processing Inc 97,500
4,500 Avery Dennison Corp 184,500
14,000 Baltimore Gas & Elec Co 367,500
2,000 Bandag Inc 118,750
10,100 Bear Stearns Co 208,313
6,200 Bell Atlantic Corp 370,450
7,000 Bellsouth Corp 481,250
6,400 Beneficial Corp 314,400
1,500 BHC Communications Inc Class A 136,125
13,600 Black & Decker Corp 440,300
63,000 Boeing Co 4,016,250
45,900 Bristol-Myers Squibb Co 3,149,888
2,800 Brooklyn Union 70,350
6,200 Brown Forman Corp Class B 229,400
2,500 Cabot Corp 120,313
7,500 Capital Cities 862,500
4,300 Carolina Power & Light 131,688
8,100 Centerior Energy Corp 87,075
17,500 Central & South West Corp 428,750
3,600 Chase Manhattan Corp 207,000
9,500 Chemical Banking Corp 553,375
8,000 Chevron Corp 387,000
2,000 Chubb Corp 182,500
6,400 Cigna Corp 619,200
17,900 Cinergy Corp 458,688
1,900 Cipsco 62,463
5,500 Circuit City Stores Inc 189,750
4,800 Cisco Systems Inc 315,000
27,500 Citicorp 1,825,313
3,200 Clorox Co 216,400
7,100 CMS Energy Corp 174,838
200 CNA Financial Corp 19,175
70,500 Coca Cola Co 4,529,625
900 Columbia Gas Systems 31,725
24,800 Conagra Inc 939,300
13,600 Consolidated Edison Co of New York 384,200
3,000 Consolidated Papers Inc 181,500
8,600 CPC International 540,725
15,000 CPL Inc 333,750
5,200 Danaher Corp 171,600
4,700 Dean Foods Co 124,550
23,500 Dean Witter Discover & Co 1,198,500
15,700 Detroit Edison Co 480,813
600 Digital Equipment Corp 25,050
2,400 Dollar General 63,000
10,000 Dominion Resources Inc 361,250
4,600 Dover Corp 366,850
5,800 DQE 138,475
15,100 Duke Power Co 613,438
6,800 Dun & Bradstreet Corp 393,550
30,100 Eastman Kodak 1,734,513
6,300 Edwards AG Inc 153,563
6,700 EGG Inc 127,300
1,700 El Paso Natural Gas Co 47,813
16,500 Entergy Corp 396,000
30,100 Exxon Corp 2,069,375
4,700 F M C Corp 361,900
900 First American Bank Corp 39,825
3,000 First Chicago Corp 190,125
2,300 Fleming Co 66,988
7,600 Florida Progress 230,850
7,400 FPL Group 287,675
1,900 Frontier Corp 52,963
1,400 Fruit of The Loom Class A 32,900
4,900 Gannett Co 262,150
900 Geico Corp 61,425
12,200 General Mills Inc 629,825
9,300 General Public Utilities 266,213
1,500 Glatfelter (PH) Co 33,750
13,600 GTE Corp 498,100
2,300 Harnischfeger Industries Inc 84,525
1,000 Hawaiian Electric Industries 36,125
22,500 Heinz (HJ) Co 953,438
1,800 Hershey Foods Corp 107,775
45,600 Hewlett Packard Co 3,648,000
3,700 Hormel (Geo A) & Co 88,800
12,700 Household International Inc 712,788
2,000 Houston Industries Inc 84,750
1,945 Hubbell Inc Class B 114,026
4,000 IBP Inc 197,000
3,200 Idaho Power 84,400
1,000 IES Industries 25,250
5,700 Illinova Corp 143,213
53,600 International Business Machines Corp 5,540,900
6,700 International Flavors & Fragrances 320,763
1,500 Ipalco Enterprises 51,938
1,800 Jefferson Pilot Corp 113,175
21,600 Johnson & Johnson 1,490,400
5,300 Kansas City Power & Light Co 118,588
11,800 Kellogg Co 796,500
500 Kingworld Productions 19,000
2,400 Kroger Co 78,300
1,200 Ku Energy 32,700
900 LG&E Energy Corp 34,875
32,500 Lilly (Eli) and Co 2,660,938
2,600 Liz Claiborne 59,150
23,823 Lockheed Martin Corp 1,450,225
1,100 Loctite Corp 52,800
3,600 Loews Corp 472,950
19,400 LSI Logic Corp 955,450
3,600 Lyondell Petrochemical 99,000
12,400 Manpower Inc 356,500
400 Marsh & McLennan Cos Inc 32,950
2,300 MBIA Inc 156,400
2,100 Mc Graw Hill Inc 165,375
5,100 MCN Corp 94,988
17,400 Medtronic Inc 1,642,125
13,400 Melville Corp 447,225
42,700 Merck & Co 2,129,663
1,100 MGIC Investment Corp 61,600
40,600 Micron Tech 3,121,125
18,800 Microsoft Corp 1,739,000
3,500 Mid American Resource Inc 49,875
5,400 Minnesota Mining & Manufacturing 294,975
400 Minnesota Power and Light Co 10,750
8,900 Mobil Corp 847,725
5,200 Montana Power Co 114,400
12,600 Morgan Stanley Group Inc 1,094,625
300 Murphy Oil Corp 12,150
6,150 Mylan Laboratories 140,681
1,300 National Fuel Gas Co 36,563
2,900 Natl Service Industries 84,100
2,800 Nevada Power 57,050
3,500 New England Elec Systems 122,500
2,200 New York State Electric & Gas Corp 53,075
5,400 Newell Co 135,000
3,200 Nicor Inc 82,000
4,000 Nike Inc Class B 370,500
4,600 Nipsco Industry 150,650
5,300 Northern States Power 225,913
18,700 Novell Inc 336,600
6,000 Nynex Corp 270,000
3,900 Occidental Petroleum Corp 84,825
1,300 Ohio Edison Co 28,113
4,200 Oklahoma Gas & Electric 148,575
4,900 Old Republic International Corp 135,363
3,000 Omni Group Inc 188,250
47,100 Pacific Corp 853,688
14,600 Pacific Enterprises 350,400
6,000 Pacific Telesis Group 170,250
8,200 Pall Corp Co 179,375
22,600 Panhandle Eastern Corp 565,000
4,050 Parker Hannifin Corp 160,481
100 Pennzoil Co 4,400
1,700 Peoples Energy Corp 46,325
43,800 Pfizer Inc 2,162,625
33,600 Philip Morris Cos Inc 2,507,400
7,100 Polaroid Corp 309,738
23,500 Potomac Electric Power Co 502,313
9,200 PP&L Resources 201,250
2,900 Premark International Inc 151,888
3,700 Provident Life & Accident Insurance Co of America Class B 96,663
5,800 Providian Corp 222,575
9,300 Public Service of Colorado 301,088
4,400 Puget Sound Power & Light 95,150
27,800 Raytheon Co 2,248,325
7,100 Readers Digest Class A (Non-Voting) 328,375
5,300 Reebok International Ltd 188,150
2,700 Rhone Poulenc Rorer Inc 119,475
17,400 Rite Aid Corp 487,200
1,800 Rockwell International Corp 80,550
1,900 SAFECO Corp 122,788
900 San Diego Gas & Electric 19,575
28,200 Sara Lee Corp 782,550
8,500 SBC Communications Inc 430,313
4,800 Scana Corp 111,600
3,400 SCE Corp 56,525
14,800 Silicon Graphics Inc 625,300
69,300 Southern Co 1,463,963
2,000 Southwestern Public Service 60,000
4,900 Sprint Corp 173,950
12,800 St Paul Cos 694,400
4,400 Student Loan Marketing 238,150
13,200 Sun Microsystems Inc 763,950
2,000 Supervalu Inc 59,250
1,100 Tambrands Inc 49,363
23,200 Tandem Computers Inc 284,200
11,400 Teco Energy Inc 246,525
21,500 Tenet Healthcare Corp 341,313
6,900 Tenneco Inc 334,650
4,100 Texaco Inc 265,475
3,100 Textron Inc 212,350
1,000 Thomas & Betts Corp 67,500
9,200 Torchmark Corp 368,000
5,500 Transamerica Corp 374,000
400 Transatlantic Hldg Inc 28,000
14,100 Travelers (The) 676,800
2,300 Tyson Foods Inc Class A 59,225
1,500 UGI Corp 32,063
5,900 Union Electric 210,188
3,400 Universal Foods Corp 107,950
20,200 Upjohn Co 855,975
6,700 US West Inc 291,450
2,200 Utilicorp United Inc 59,675
6,200 V F Corporation 339,450
7,800 Vishay Intertechnology 315,900
1,200 Vulcan Materials 63,150
16,400 Walgreen Co 401,800
1,700 Warner Lambert 153,638
1,000 Washington Gas Light Co 19,125
6,400 Washington Water Power 99,200
1,200 Weis Markets 33,900
5,600 Wellpoint Health Networks Inc Class A 166,600
3,700 Western Resources 111,925
10,500 Whitman Corp 211,313
10,700 Williams Comp Inc 391,888
2,900 Winn-Dixie Stores Inc 172,550
13,600 Wisconsin Energy Corp 365,500
1,000 WPL Holdings Inc 28,500
500 WPS Resources Corp 14,438
2,800 York International Corp 124,600
112,149,064
TOTAL STOCK AND EQUIVALENTS (Cost $242,130,547) 266,730,482
Par Value U.S. GOVERNMENT - 6.3%
UNITED STATES - 6.3%
$ 2,700,000 U.S. Treasury Note, 6.88% due 10/31/96 (a) 2,732,484
13,500,000 U.S. Treasury Note, 6.88% due 2/28/97 (a) 13,700,391
5,000,000 U.S. Treasury Note, 5.88% due 7/31/97 (a) 5,000,781
21,433,656
TOTAL U.S. GOVERNMENT (Cost $21,387,102) 21,433,656
Principal Amount
of Contracts
(000's omitted) CALL OPTIONS PURCHASED - 1.0%
UNITED STATES - 1.0%
250,000 U.S. Treasury Bond, expires 12/04/95 strike $99 * 3,320,313
TOTAL CALL OPTIONS PURCHASED (Cost $3,222,656) 3,320,313
Par Value SHORT-TERM INVESTMENTS - 14.9%
UNITED STATES - 14.9%
$17,000,000 First National Bank of Chicago Time Deposit, 5.81% due 9/1/95 17,000,000
16,700,000 Morgan Guaranty Time Deposit, 5.75% due 9/1/95 16,700,000
17,000,000 Republic Bank of New York Time Depostit, 5.81% due 9/1/95 17,000,000
50,700,000
TOTAL SHORT-TERM INVESTMENTS (at cost) 50,700,000
TOTAL INVESTMENTS - 100.4%
(Cost $317,440,305) * * $ 342,184,451
Other Assets and Liabilities (net) - (0.4%) (1,487,134)
TOTAL NET ASSETS - 100.0% $ 340,697,317
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
(a) All or a portion of this security is held as collateral for open futures
contracts.
(b) Restricted security - This security is restricted as to resale. At August
31, 1995 restricted securities amounted to $415,747 or 0.1% of net assets.
(c) Security valued by management (Note 1).
* Non-income producing security.
** The aggregate identified cost for federal income tax purposes is
$317,440,305, resulting in gross unrealized appreciation and depreciation
of $30,501,029 and $5,756,883, respectively, and net unrealized
appreciation of $24,744,146.
</TABLE>
At August 31, 1995, industry sector
diversification of the Fund's equity
investments was as follows:
<TABLE>
<CAPTION>
Percentage of
Industry Sector Net Assets
<S> <C>
Health Care 6.6 %
Banking 6.4
Utilities 6.1
Food and Beverage 6.0
Services 5.9
Oil and Gas 5.2
Computers and Office Equipment 4.0
Consumer Goods 3.9
Transportation 3.5
Retail Trade 3.3
Aerospace 2.9
Technology 2.7
Construction 2.7
Insurance 2.7
Telecommunications 2.4
Real Estate 2.1
Chemicals 1.6
Financial Services 1.6
Miscellaneous 1.5
Pharmaceuticals 1.4
Metals and Mining 1.4
Automotive 0.9
Machinery 0.9
Manufacturing 0.9
Paper and Allied Products 0.7
Textiles 0.3
Primary Processing 0.4
Electric 0.2
78.2 %
</TABLE>
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $266,740,305) (Note 1) $ 291,484,451
Short-term investments, at cost (Note 1) 50,700,000
Foreign currency, at value (cost $205,728) (Note 1) 186,219
Cash 57,864
Receivable for investments sold 13,599
Dividends and interest receivable 623,918
Foreign withholding taxes receivable 147,615
Receivable for expenses waived or borne by Manager (Note 2) 15,779
Total assets 343,229,445
LIABILITIES:
Payable for investments purchased 18,331
Payable for open swap contracts (Notes 1 and 6 ) 1,951,443
Payable for daily variation margin on open futures contracts (Note 1) 327,025
Payable to affiliate for management fee (Note 2) 180,602
Accrued expenses 54,727
Total liabilities 2,532,128
NET ASSETS (equivalent to $10.50 per share based
on 32,443,087 shares outstanding, unlimited shares authorized) $ 340,697,317
NET ASSETS CONSIST OF:
Paid-in capital $ 328,881,940
Accumulated undistributed net investment income 4,329,441
Accumulated undistributed net realized loss (9,937,977)
Net unrealized appreciation 17,423,913
NET ASSETS $ 340,697,317
</TABLE>
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $298,539) $ 3,668,784
Interest 1,765,857
Total income 5,434,641
EXPENSES:
Management fee (Note 2) 918,184
Custodian fees 170,518
Audit fees 27,552
Registration fees 19,540
Transfer agent fees 13,800
Legal fees 9,474
Insurance 1,190
Trustee fee (Note 2) 646
Miscellaneous 368
Total expenses 1,161,272
Less: expenses waived or borne by Manager (Note 2) (72,570)
Net expenses 1,088,702
Net investment income 4,345,939
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 4,036,461
Closed futures contracts (9,399,239)
Closed swap contracts (4,618,329)
Foreign currency and foreign currency related
transactions (67,556)
Net realized loss (10,048,663)
Change in net unrealized appreciation (depreciation) on:
Investments 22,164,374
Open futures contracts (2,131,450)
Open swap contracts (2,877,763)
Foreign currency and foreign currency related
transactions (34,990)
Net unrealized gain 17,120,171
Net realized and unrealized gain 7,071,508
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 11,417,447
</TABLE>
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 PERIOD ENDED
(UNAUDITED) FEBRUARY 28, 1995*
INCREASE (DECREASE) IN NET ASSETS:
<S> <C> <C>
Operations:
Net investment income $ 4,345,939 $ 1,420,553
Net realized gain (loss) (10,048,663) 130,219
Change in net unrealized appreciation (depreciation) 17,120,171 303,742
Net increase in net assets resulting from operations 11,417,447 1,854,514
Distributions to shareholders from:
Net investment income (761,607) (694,977)
Fund share transactions: (Note 5)
Proceeds from sale of shares 124,685,708 214,025,378
Net asset value of shares issued to shareholders
in payment of distributions declared 454,942 153,241
Cost of shares repurchased (9,737,294) (700,035)
Net increase in net assets resulting
from Fund share transactions 115,403,356 213,478,584
Total increase in net assets 126,059,196 214,638,121
Net assets:
Beginning of period 214,638,121 -
End of period (including accumulated undistributed
net income of $4,329,441 and $745,109, respectively) $ 340,697,317 $ 214,638,121
* Period from July 29, 1994 (commencement of operations) to February 28, 1995.
</TABLE>
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD FROM JULY 29, 1994
AUGUST 31, 1995 (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) TO FEBRUARY 28, 1995
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.12 $ 10.00
Income from investment operations:
Net investment income (a) 0.12 0.11
Net realized and unrealized gain
on investments 0.29 0.08
Total from investment operations 0.41 0.19
Less distributions to shareholders :
From net investment income (0.03) (0.07)
NET ASSET VALUE, END OF PERIOD $ 10.50 $ 10.12
TOTAL RETURN (B) 4.01% 1.92%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $340,697 $214,638
Net expenses to average
daily net assets (a) 0.77%* 0.92%*
Net investment income to average
daily net assets (a) 3.07%* 2.85%*
Portfolio turnover rate 67% 194%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.002 $ 0.006
(b) Calculation excludes subscription fees. The total
returns would have been lower had certain expenses
not been waived during the period shown.
</TABLE>
See accompanying notes to the financial statements.
GMO GLOBAL HEDGED EQUITY FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Global Hedged Equity Fund (the "Fund"), which commenced operations
on July 29, 1994, is a series of GMO Trust (the "Trust"). The Fund is registered
under the Investment Company Act of 1940, as amended, as an open-end,
non-diversified management investment company. The Trust was established as a
Massachusetts Business Trust under the laws of the Commonwealth of Massachusetts
on June 24, 1985. The Declaration of Trust permits the Trustees to create an
unlimited number of series ("Funds"), each of which issues a separate series of
shares. The following is a summary of significant accounting policies
consistently followed by the Fund in the preparation of its financial
statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent quoted
bid price. Unlisted securities for which market quotations are readily available
are valued at the most recent quoted bid price. Securities which are primarily
traded on foreign exchanges are generally valued at the preceding closing values
of such securities on their respective exchanges, and those values are then
translated into U.S. dollars at the current exchange rate. Short-term
investments with a remaining maturity of sixty days or less are valued at
amortized cost which approximates market value. Other assets and securities for
which no quotations are readily available are valued at fair value as determined
in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The
market values of foreign securities, currency holdings, other assets and
liabilities are translated to U.S. dollars based on the prevailing exchange
rates each business day. Income and expenses denominated in foreign currencies
are translated at prevailing exchange rates when accrued or incurred. The Fund
does not isolate realized and unrealized gains and losses attributable to
changes in exchange rates from gains and losses that arise from changes in the
market value of investments. Such fluctuations are included with net realized
and unrealized gain or loss on investments. Net realized gains and losses on
foreign currency transactions represent net exchange gains and losses on
disposition of foreign currencies and the difference between the amount of
investment income and foreign withholding taxes recorded on the Fund's books and
the U.S. dollar equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may purchase index futures contracts. Stock index futures
contracts represent commitments for future delivery of cash based upon the level
of a specified index of equity securities at a given date. The Fund may use
futures contracts to manage its exposure to the stock and currency markets.
Buying futures tends to increase the Fund's exposure to the underlying
instrument. Selling futures tends to decrease the Fund's exposure to the
underlying instrument or hedge other Fund instruments. Upon purchase of a
futures contract, the Fund is required to deposit with its custodian, in a
segregated account in the name of the futures broker, an amount of cash or U.S.
government obligations in accordance with the initial margin requirements of the
broker. Futures contracts are marked to market daily and an appropriate payable
or receivable for the change in value ("variation margin") is recorded by the
Fund. The payable or receivable is liquidated on the following business day.
Gains or losses are recognized but not considered realized until the contracts
expire or are closed. Futures contracts involve, to varying degrees, risk of
loss in excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the underlying
instrument, if there is an illiquid secondary market for the contracts or if
counterparties do not perform under the contract terms. Futures contracts are
valued at the settlement price established each day by the board of trade or
exchange on which they are traded. See Note 6 for all open futures contracts
held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with
settling planned purchases or sales of securities or to hedge the currency
exposure associated with some or all of the Fund's portfolio securities. A
forward currency contract is an agreement between two parties to buy and sell a
currency at a set price on a future date. The market value of a forward currency
contract fluctuates with changes in forward currency exchange rates. Forward
currency contracts are marked to market daily and the change in value is
recorded by the Fund as an unrealized gain or loss. When a forward currency
contract is extinguished, through delivery or offset by entering into another
forward currency contract, the Fund records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value of the contract at the time it was extinguished or offset. These contracts
may involve market risk in excess of the unrealized gain or loss reflected in
the Fund's Statement of Assets and Liabilities. In addition, the Fund could be
exposed to risk if the counterparties are unable to meet the terms of the
contracts or if the value of the currency changes unfavorably to the U.S.
dollar. At August 31, 1995 there were no outstanding forward currency contracts.
OPTIONS
The Fund may write call and put options on securities it owns or in
which it may invest. When the Fund writes a call or put option, an amount equal
to the premium received is recorded as a liability and subsequently marked to
market to reflect the current value of the option written. Premiums received
from writing options which expire are treated as realized gains. Premiums
received from writing options which are exercised or closed are offset against
the proceeds or amounts paid on the transaction to determine the realized gain
or loss. If a written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund as a writer of an option
has no control over whether the underlying securities may be sold (call) or
purchased (put) and as a result bears the market risk of an unfavorable change
in the price of the security underlying the written option. There is the risk
the Fund may not be able to enter into a closing transaction because of an
illiquid market.
The Fund may also purchase put and call options. The Fund pays a
premium which is included in the Fund's Statement of Assets and Liabilities as
an investment and subsequently marked to market to reflect the current value of
the option. The risk associated with purchasing put and call options is limited
to the premium paid.
SWAP AGREEMENTS
The Fund may invest in swap agreements. A swap is an agreement to
exchange the return generated by one instrument for the return generated by
another instrument. The Fund entered into equity swap agreements which involve a
commitment by one party in the agreement to pay interest in exchange for a
market linked return based on a notional amount. To the extent that the total
return of the security or index underlying the transaction exceeds or falls
short of the offsetting interest rate obligation, the Fund will receive a
payment from or make a payment to the counterparty, respectively. Equity swaps
are marked to market daily based upon quotations from market makers and the
change, if any, is recorded as unrealized gain or loss in the Statement of
Operations. Payments received or made at the end of the measurement period are
recorded as realized gain or loss in the Statement of Operations. Entering into
these agreements involves, to varying degrees, elements of credit and market
risk in excess of the amounts recognized on the Statement of Assets and
Liabilities. Such risks involve the possibility that there is no liquid market
for these agreements, that the counterparty to the agreements may default on its
obligation to perform or that there may be unfavorable changes in the price of
the security or index underlying these transactions. See Note 6 for a summary of
all open swap agreements as of August 31, 1995.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended (the
"Code"). It is the policy of the Fund to distribute all of its taxable income,
including any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision for
federal income or excise tax is necessary. Taxes on foreign interest and
dividend income have been withheld in accordance with the applicable country's
tax treaty with the United States. Dividends received by shareholders of the
Fund which are derived from foreign source income and foreign taxes paid by the
Fund are to be treated, to the extent allowable under the Code, as if paid and
received by the shareholders of the Fund.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any, after
giving effect to any available capital loss carryover for federal income tax
purposes. The Fund's present policy is to declare and pay distributions from net
investment income semi-annually, and net realized short-term and long-term
capital gains at least annually. All distributions will be paid in shares of the
Fund, at net asset value, unless the shareholder elects to receive cash
distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments for foreign currency transactions.
Distributions in excess of tax basis earnings and profits will be
reported in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the financial
statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date, or when the Fund is informed of the
ex-dividend date. Interest income is recorded on the accrual basis. In
determining the net gain or loss on securities sold, the cost of securities is
determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific Fund
are allocated in such manner as deemed equitable by the Trustees, taking into
consideration, among other things, the nature and type of expense and the
relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .60% of the amount
invested. In the case of cash redemptions, the premium is 1.40% of the amount
redeemed. The Manager may waive such premium to the extent that a transaction
results in minimal brokerage and transaction costs to the Fund. All purchase and
redemption premiums are paid to and recorded as paid-in capital by the Fund. For
the six months ended August 31, 1995, the Fund received $529,474 in purchase
premiums and no redemption premiums. There is no premium for reinvested
distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities. These
risks may involve adverse political and economic developments and the possible
imposition of currency exchange blockages or other foreign governmental laws or
restrictions. In addition, the securities of some foreign companies and
securities markets are less liquid and at times more volatile than securities of
comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager"), for management and investment advisory services is paid monthly at
the annual rate of 0.65% of average daily net assets. The Manager has agreed to
waive a portion of its fee until further notice to the extent that the Fund's
annual expenses (including management but excluding custody fees, brokerage
commissions and transfer taxes) exceed 0.65% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $646. No remuneration is paid
to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of
investments, other than short-term obligations, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
<S> <C> <C>
U.S. Government securities $116,878,229 $117,051,281
Investments (non-U.S. Government securities) 94,882,240 38,077,055
</TABLE>
4. PRINCIPAL SHAREHOLDER
At August 31, 1995, 28% of the outstanding shares of the Fund were held by
one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest (without par value).
Transactions in Fund shares were as follows:
<TABLE>
<CAPTION>
Period from July 29, 1994
Six Months Ended (Commencement of Operations)
August 31, 1995 to February 28, 1995
(Unaudited)
<S> <C> <C>
Shares sold 12,127,111 21,270,733
Shares issued to shareholders in reinvestment
of distributions 43,913 15,401
Shares repurchased (944,829) (69,242)
Net increase 11,226,195 21,216,892
Fund shares:
Beginning of period 21,216,892 ___
End of period 32,443,087 21,216,892
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995 is as
follows:
<TABLE>
<CAPTION>
FUTURES CONTRACTS
Net Unrealized
Number of Contract Appreciation
Contracts Type Expiration Date Value (Depreciation)
Buys
<S> <C> <C> <C> <C>
4 All Ords September 1995 $ 162,325 $ 2,200
3 CAC September 1995 224,709 (9,245)
3 DAX September 1995 457,400 (5,168)
6 FT-SE 100 September 1995 807,004 (13,875)
39 IBEX September 1995 107,095 (2,710)
6 TOPIX September 1995 875,992 6,287
2 TOPIX December 1995 292,802 5,042
(17,469)
Sales
45 Hang Seng September 1995 $ 2,655,180 $ (26,219)
401 S&P 500 September 1995 91,484,513 (5,297,288)
$ (5,323,507)
</TABLE>
At August 31, 1995, the Fund had cash and/or securities to cover any margin
requirements on open futures contracts.
<TABLE>
<CAPTION>
SWAP AGREEMENTS
UNREALIZED
NOTIONAL EXPIRATION APPRECIATION
AMOUNT DATE DESCRIPTION (DEPRECIATION)
<S> <C> <C> <C>
7,833,465 9/1/95 Agreement with Morgan Stanley & Co. International $ (611,281)
Limited dated 9/1/94 to pay (receive) the notional
amount multiplied by the return on the EASEA index
plus 5.93% of the EASEA dividend yield and to receive
6 month LIBOR plus 0.10%. (a)
8,000,000 9/29/95 Agreement with Union Bank of Switzerland dated 9/30/94 (415,722)
to pay (receive) the notional amount multiplied by the
return on the EAFE Japan index multiplied by a stated
Japan weight (which is a percentage of the EAFE Japan
Index as a proportion of the market capitalization
weighted EAFE Index currently at 23%) plus the return
on the EASEA index multiplied by 1 minus the stated
Japan weighting and to receive LIBOR plus 0.10%.
13,079,036 10/31/95 Agreement with Morgan Stanley & Co. International (309,402)
Limited dated 10/28/94 to pay (receive) the notional
amount multiplied by the return on the EASEA index
plus 5.93% of the EASEA dividend yield and to receive 6
month LIBOR plus 0.05%. (a)
36,043,614 1/31/96 Agreement with Morgan Stanley & Co. International 1,487,303
Limited dated 1/31/95 to pay (receive) the notional
amount multiplied by the return on the EASEA index plus
5.93% of the EASEA dividend yield and to receive 6
month LIBOR minus 0.05%. (a)
50,000,000 1/31/96 Agreement with Swiss Bank Corporation dated 1/31/95 to (2,337,112)
pay (receive) the notional amount multiplied by the
return on the EAFE Index and to receive LIBOR plus 0.05%.
7,000,000 5/15/96 Agreement with Morgan Stanley & Co. International (127,994)
Limited dated 5/15/95 to pay (receive) the notional
amount multiplied by the return on the EASEA index plus
9.0927% of the EASEA dividend yield and to receive 6
month LIBOR minus 0.4293%. (a)
6,000,000 5/31/96 Agreement with Morgan Stanley & Co. International 76,753
Limited dated 5/15/95 to pay (receive) the notional
amount multiplied by the return on the EAFE index plus
8.352% of the EAFE dividend yield and to receive 6
month LIBOR minus 0.1885%. (a)
13,000,000 5/31/96 Agreement with Swiss Bank Corporation dated 5/15/95 to 175,013
pay (receive) the notional amount multiplied by the
return on the EAFE Index and to receive LIBOR.
10,000,000 5/31/96 Agreement with Swiss Bank Corporation dated 5/31/95 to 110,999
pay (receive) the notional amount multiplied by the
return on the EAFE Index and to receive LIBOR.
Net unrealized depreciation $ (1,951,443)
</TABLE>
(a) Notional amount is increased (decreased) by each
periodic payment received or made.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE DESCRIPTION VALUE ($)
<C> <S> <C>
DEBT OBLIGATIONS - 96.5%
ASSET BACKED SECURITIES - 52.2%
$ 10,000,000 Banc One Credit Card Master Trust 94-B, 7.55% due 12/15/99 10,283,984
2,000,000 Carco Auto Loan 92-A Class A, Variable Rate, 6.29% due 9/15/99 2,000,000
10,000,000 Carco Auto Loan 94-2 Class A, 7.88% due 7/15/99 10,296,094
4,500,000 Dilmun Capital Corp, Variable Rate, 7.00% due 11/15/03 4,511,250
6,400,000 Discover Card Master Trust I 94-2 Class A, 6.22% due 10/16/04 6,445,498
3,000,000 EMC Mortgage Corp Trust 93-L2 Class 2, Variable Rate, 7.18% due 2/25/04 3,001,875
5,000,000 European Sovereign Investments, Variable Rate, 6.21% due 1/20/99 5,007,813
2,500,000 Federal National Mortgage Association, 4.62% due 2/25/98 2,421,875
15,000,000 Federal National Mortgage Association, 5.19% due 7/20/98 14,593,935
5,000,000 First USA Credit Card Master Trust 94-4 Class A, Variable Rate, 6.25% due 8/15/03 5,043,295
3,500,000 Fremont SBL Master Trust 93-A Class A, Variable Rate, 6.35% due 3/15/98 3,501,094
10,000,000 Keycorp Student Loan Trust 94-B Certificates, Variable Rate, 6.67% due 11/25/21 10,018,750
10,000,000 Keycorp Student Loan Trust 95-A Class B, Variable Rate, 6.69% due 10/27/21 10,031,250
12,400,000 MBNA Master Credit Card Trust 94-C Class A, Variable Rate, 6.13% due 03/15/04 12,423,250
6,000,000 Navistar Financial Dealer Note Master Trust 95-1 Class A,Variable Rate, 6.24% due 8/25/07 5,996,248
6,000,000 Oakwood Mortgage Investors Inc 95-A Class A4, Variable Rate, 7.70% due 9/15/20 5,925,000
3,000,000 Potomac Mills Finance Corp, Variable Rate, 6.59% due 10/20/04 2,998,125
5,000,000 Premier Auto Trust 95-1 Certificates, 8.10% due 03/04/01 5,226,953
4,689,584 Resolution Trust Corp 94-C1 Class A3, Variable Rate, 6.55% due 6/25/26 4,689,584
10,535,000 Signet Credit Card Master Trust 94-4 Class A, 6.80% due 12/15/00 10,653,519
2,637,000 SMS Student Loan Trust 94-B Certificates, Variable Rate, 6.69% due 10/25/23 2,646,889
4,932,000 SMS Student Loan Trust 95-A Certificates, Variable Rate, 6.59% due 4/25/25 4,932,000
5,888,000 Society Student Loan Trust 93-A Class B, Variable Rate, 6.63% due 7/25/03 5,935,840
4,948,017 UCFC Home Equity Loan 95-B2 Class A8, Variable Rate, 6.39% due 10/10/26 4,941,832
153,525,953
CORPORATE OBLIGATION - 3.3%
8,855,000 New England Telephone & Telegraph, 7.88% due 11/15/29 9,609,765
STRUCTURED NOTES - 16.6%
3,000,000 Federal Home Loan Bank, 4.90% due 2/23/98 2,930,379
3,550,000 Federal Home Loan Bank, Variable Rate, 3.04% due 7/28/98 (d) 3,239,375
10,000,000 Federal National Mortgage Association, 5.00% Step up, due 1/19/99 9,724,160
14,000,000 Sallie Mae, Variable Rate, 0.00% due 1/24/96 (c) 13,737,500
20,000,000 Sallie Mae, Variable Rate, 4.00% due 3/23/98 (e) 18,975,000
48,606,414
U.S. GOVERNMENT - 24.4%
14,000,000 U.S. Treasury Bond 6.25% due 8/15/23 (a) 13,125,000
15,000,000 U.S. Treasury Note 6.25% due 8/31/96 (a) (b) 15,070,290
10,000,000 U.S. Treasury Note 6.38% due 8/15/02 (a) 10,087,500
22,000,000 U.S. Treasury Note 6.88% due 8/31/99 (a) 22,618,750
10,000,000 U.S. Treasury Note 7.25% due 5/15/04 (a) 10,600,000
71,501,540
TOTAL DEBT OBLIGATIONS (Cost $278,176,237) 283,243,672
SHORT-TERM INVESTMENTS - 21.2%
REPURCHASE AGREEMENT - 3.6%
10,648,829 Salomon Brothers Repurchase Agreement, dated
8/31/95, due 9/1/95, with a maturity value of
$10,650,396 and an effective yield of 5.30%,
collateralized by U.S. Treasury Obligations with
rates ranging from 6.25% to 6.50%, with maturity
dates ranging from 4/30/97 to 8/15/23 and with an
aggregate market value of $10,878,828. 10,648,829
CASH EQUIVALENTS - 17.6%
13,406,743 Bank of Boston Time Deposit, 5.95% due 9/1/95 13,406,743
4,616,994 Dreyfus Cash Management Money Market Fund Plus, A Shares 4,616,994
4,149,807 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 4,149,807
11,515,149 Lehman Prime Value Money Market Fund 11,515,149
4,149,807 National Westminster Time Deposit, 5.95% due 9/1/95 4,149,807
13,500,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 13,500,000
51,338,500
TOTAL SHORT-TERM INVESTMENTS (cost $61,987,329) 61,987,329
TOTAL INVESTMENTS - 117.7%
(Cost $340,163,566) * * 345,231,001
Other Assets and Liabilities (net) - (17.7%) (51,804,587)
TOTAL NET ASSETS - 100.0% $ 293,426,414
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) All or a portion of this security is on loan.
(b) A portion of this security is held as collateral for open futures contracts.
(c) Interest rate is linked to changes in the daily 3 month LIBOR rate.
(d) Interest rate is linked to changes in
the daily 3 month LIBOR rate, and the
Constant Maturity Treasury index.
(e) Interest rate is linked to changes in the 5 year German Mark swap rate.
Variable rates - The rates shown on variable rate
notes are the current interest rates at August
31, 1995, which are subject to change based on
the terms of the security.
** The aggregate identified cost for federal
income tax purposes is $340,163,566, resulting
in gross unrealized appreciation and
depreciation of $5,231,627 and $164,192,
respectively, and net unrealized appreciation
of $5,067,435.
See accompanying notes to the financial statements.
</TABLE>
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $278,176,237) (Note 1) $ 283,243,672
Short-term investments, at cost (Note 1) 61,987,329
Receivable from brokers for open futures contracts (Note 1) 393,301
Interest receivable 1,638,683
Receivable for expenses waived or borne by Manager (Note 2) 12,400
Total assets 347,275,385
LIABILITIES:
Payable for investments purchased 2,424,169
Payable upon return of securities loaned (Note 1) 51,335,104
Payable to affiliate for management fee (Note 2) 59,208
Accrued expenses 30,490
Total liabilities 53,848,971
NET ASSETS (equivalent to $10.63 per share based
on 27,611,985 shares outstanding, unlimited shares authorized) $ 293,426,414
NET ASSETS CONSIST OF:
Paid-in capital $ 278,270,504
Accumulated undistributed net investment income 3,284,083
Accumulated undistributed net realized gain 6,034,745
Net unrealized appreciation 5,837,082
NET ASSETS $ 293,426,414
</TABLE>
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest (including securities lending income of $23,621) $ 8,795,627
EXPENSES:
Management fee (Note 2) 318,583
Custodian and transfer agent fees 34,333
Audit fees 18,551
Registration fees 10,849
Legal fees 6,521
Insurance 914
Trustee fee (Note 2) 457
Miscellaneous 283
Total expenses 390,491
Less: expenses waived or borne by Manager (Note 2) (71,908)
Net expenses 318,583
Net investment income 8,477,044
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 1,774,429
Closed futures contracts 5,551,996
Net realized gain 7,326,425
Change in net unrealized appreciation (depreciation) on:
Investments 3,810,078
Open futures contracts (526,360)
Net unrealized gain 3,283,718
Net realized and unrealized gain 10,610,143
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 19,087,187
</TABLE>
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 8,477,044 $ 2,663,941
Net realized gain (loss) 7,326,425 (103,743)
Change in net unrealized appreciation (depreciation) 3,283,718 2,553,364
Net increase in net assets resulting from operations 19,087,187 5,113,562
Distributions to shareholders from:
Net investment income (6,514,968) (1,341,934)
Net realized gains (1,187,937) -
(7,702,905) (1,341,934)
Fund share transactions: (Note 5)
Proceeds from sale of shares 72,331,347 210,727,193
Net asset value of shares issued to shareholders
in payment of distributions declared 6,677,113 957,879
Cost of shares repurchased (6,343,576) (6,079,452)
Net increase in net assets resulting
from Fund share transactions 72,664,884 205,605,620
Total increase in net assets 84,049,166 209,377,248
NET ASSETS:
Beginning of period 209,377,248 -
End of period (including accumulated undistributed
net investment income of $3,284,083 and
$1,322,007, respectively) $ 293,426,414 $ 209,377,248
</TABLE>
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD FROM AUGUST 18, 1994
AUGUST 31, 1995 (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) TO FEBRUARY 28, 1995
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.13 $ 10.00
Income from investment operations:
Net investment income (a) 0.33 0.24
Net realized and unrealized gain 0.49 0.07
Total from investment operations 0.82 0.31
Less distributions to shareholders:
From net investment income (0.27) (0.18)
From net realized gains (0.05) -
Total distributions (0.32) (0.18)
NET ASSET VALUE, END OF PERIOD $ 10.63 $ 10.13
TOTAL RETURN (B) 8.15% 3.16%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 293,426 $ 209,377
Net expenses to average
daily net assets (a) 0.25%* 0.25%*
Net investment income to average
daily net assets (a) 6.65%* 6.96%*
Portfolio turnover rate 34% 65%
* Annualized
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts $ - $ 0.01
(b) The total returns would have been lower had certain
expenses not been waived during the period shown.
</TABLE>
See accompanying notes to the financial statements.
GMO DOMESTIC BOND FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Domestic Bond Fund (the "Fund") is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940,
as amended, as an open-end, non-diversified management investment company.
The Trust was established as a Massachusetts Business Trust under the laws
of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of
Trust permits the Trustees to create an unlimited number of series
("Funds"), each of which issues a separate series of shares. The following
is a summary of significant accounting policies consistently followed by
the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Short-term investments with a remaining maturity of sixty days or less are
valued at amortized cost which approximates market value. Other assets and
securities for which no quotations are readily available are valued at fair
value as determined in good faith by the Trustees.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond
markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instruments or hedge other Fund instruments.
Upon purchase of a futures contract, the Fund is required to deposit with
its custodian, in a segregated account in the name of the futures broker,
an amount of cash or U.S. government obligations in accordance with the
initial margin requirements of the broker. Futures contracts are marked to
market daily and an appropriate payable or receivable for the change in
value ("variation margin") is recorded by the Fund. The payable or
receivable is liquidated on the following business day. Gains or losses are
recognized but not considered realized until the contracts expire or are
closed. Futures contracts involve, to varying degrees, risk of loss in
excess of the variation margin disclosed in the Statement of Assets and
Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. See Note 6 for
all open futures contracts held as of August 31, 1995.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults, the value of the collateral declines or
if the seller enters insolvency proceedings, realization of collateral by
the Fund may be delayed or limited.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values
and/or coupons are linked to the prices of other securities, securities
indicies, or other financial indicators. The Fund uses indexed securities
to increase or decrease its exposure to different underlying instruments
and to gain exposure to markets that may be difficult to invest in through
conventional securities. Indexed securities may be more volatile than their
underlying instruments, but any loss is limited to the amount of the
original investment.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear
the risk of delay in recovery or even loss of rights in the collateral
should the borrower of the securities fail financially. The Fund receives
compensation for lending its securities. At August 31, 1995, the Fund
loaned securities having a market value of $50,221,500, collateralized by
cash in the amount of $51,338,500, which was invested in short-term
instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision
for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income quarterly, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. Distributions in excess of tax basis
earnings and profits will be reported in the Fund's financial statements as
a return of capital. Furthermore, differences in the recognition or
classification of income between the financial statements and tax earnings
and profits which result in temporary over-distributions for financial
statement purposes are classified as distributions in excess of net
investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. In determining the
net gain or loss on securities sold, the cost of securities is determined
on the identified cost basis. Premiums and market discounts are amortized
and accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager") for management and investment advisory services is paid monthly
at the annual rate of .25% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses (including the
management fee but excluding brokerage commissions and transfer taxes)
exceed .25% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $457. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of
investments, other than short-term obligations, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
<S> <C> <C>
U.S. Government securities $ 33,300,775 $ 58,303,669
Investments (non-U.S. Government securities) 154,274,646 22,286,060
</TABLE>
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 70% of the outstanding shares of the Fund were held by
two shareholders, each holding in excess of 10% of the Fund's outstanding
shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Period from
Six Months Ended August 18, 1994
August 31, 1995 (Commencement of Operations)
(Unaudited) to February 28, 1995
<S> <C> <C>
Shares sold 6,894,982 21,191,425
Shares issued to shareholders in
reinvestment of distributions 643,053 98,345
Shares repurchased (597,034) (618,786)
Net increase 6,941,001 20,670,984
Fund shares:
Beginning of period 20,670,984 ---
End of period 27,611,985 20,670,984
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding futures contracts at August 31, 1995, is as
follows:
<TABLE>
<CAPTION>
Number of Net Unrealized
Contracts Type Expiration Date Contract Value Appreciation
<C> <S> <C> <C> <C>
220 U.S. Treasury Note 5 Yr December 1995 $ 23,543,440 $ 213,553
455 U.S. Treasury Note 10 Yr December 1995 49,882,500 104,869
370 U.S. Treasury Bond December 1995 41,717,500 451,225
$ 769,647
</TABLE>
At August 31, 1995, the Fund has sufficient cash and/or securities to cover any
commitments or margin on these contracts.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE DESCRIPTION VALUE ($)
<C> <S> <C>
DEBT OBLIGATIONS - 91.7%
ASSET BACKED SECURITIES - 37.3%
$ 500,000 Dilmun Capital Corp,Variable Rate, 7.00% due 11/15/03 501,250
1,000,000 Fremont SBL Master Trust 93-A Class A, Variable Rate, 6.35% due 3/15/98 1,000,313
1,000,000 Premier Auto Trust 94-4 Class B Certificates, 6.85% due 5/2/99 1,008,988
2,510,551
STRUCTURED NOTES - 28.8%
1,000,000 Sallie Mae, Variable Rate, 0.00% due 1/24/96 (a) 981,250
1,000,000 Toyota Motor Credit, Variable Rate, 1.540% due 7/28/96 (b) 960,000
1,941,250
U.S. GOVERNMENT - 25.6%
1,700,000 U.S. Treasury Note, 6.88% due 10/31/96 1,721,250
TOTAL DEBT OBLIGATIONS (Cost $6,116,955) 6,173,051
SHORT-TERM INVESTMENTS - 7.5%
REPURCHASE AGREEMENTS - 7.5%
336,564 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $336,614 and an
effective yield of 5.3%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with maturity dates
ranging from 4/30/97 to 8/15/23 and with an aggregate market
value of $343,834. 336,564
172,474 Prudential Bache Securities, Inc. Repurchase Agreement
dated 8/31/95, due 9/1/95, with a maturity value of $172,500
and an effective yield of 5.37%, collateralized by a Federal Home
Loan Mortgage Corporation Bond with a rate of 7.38%, a maturity
date of 8/1/23, and with an aggregated market value of $175,924. 172,474
509,038
TOTAL SHORT-TERM INVESTMENTS (at cost) 509,038
TOTAL INVESTMENTS - 99.2%
(Cost $6,625,993) * * 6,682,089
Other Assets and Liabilities (net) - 0.8% 50,520
TOTAL NET ASSETS - 100.0% $ 6,732,609
NOTES TO SCHEDULE OF INVESTMENTS:
Variable rates - The rates shown on variable rate notes are the current interest
rates at August 31, 1995, which are subject to change based on the terms of
the security.
(a) Interest rate linked to changes in the 3 month LIBOR rate.
(b) Interest rate linked to changes in the 3 year Danish Kroner swap rate.
* * The aggregate identified cost for federal income tax purposes is
$6,625,993, resulting in gross unrealized appreciation and depreciation of
$58,292 and $2,196, respectively, and net unrealized appreciation of
$56,096.
</TABLE>
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $6,116,955) (Note 1) $ 6,173,051
Short-term investments, at cost (Note 1) 509,038
Interest receivable 60,096
Receivable for expenses waived or borne by Manager (Note 2) 2,232
Total assets 6,744,417
LIABILITIES:
Payable to affiliate for management fee (Note 2) 1,350
Accrued expenses 10,458
Total liabilities 11,808
NET ASSETS (equivalent to $9.65 per share based
on 697,949 shares outstanding, unlimited shares authorized) $ 6,732,609
NET ASSETS CONSIST OF:
Paid-in capital $ 6,750,598
Accumulated undistributed net investment income 72,013
Accumulated undistributed net realized loss (146,098)
Net unrealized appreciation 56,096
NET ASSETS $ 6,732,609
</TABLE>
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest 256,222
EXPENSES:
Management fee (Note 2) 9,475
Audit fees 10,393
Custodian and transfer agent fees 1,933
Registration fees 740
Legal fees 184
Trustee fee (Note 2) 14
Insurance 14
Miscellaneous 156
Total expenses 22,909
Less: expenses waived or borne by Manager (Note 2) (13,434)
Net expenses 9,475
Net investment income 246,747
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 21,838
Change in net unrealized appreciation (depreciation) on investments 65,271
Net realized and unrealized gain on investments 87,109
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 333,856
</TABLE>
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 246,747 $ 655,082
Net realized gain (loss) 21,838 (168,682)
Change in net unrealized appreciation (depreciation) 65,271 (44,099)
Net increase in net assets resulting from operations 333,856 442,301
Distributions to shareholders from:
Net investment income (273,835) (612,710)
Fund share transactions: (Note 4)
Proceeds from sale of shares 5,246,108 31,888,771
Net asset value of shares issued to shareholders
in payment of distributions declared 252,657 502,424
Cost of shares repurchased (7,019,673) (32,122,310)
Net increase (decrease) in net assets resulting
from Fund share transactions (1,520,908) 268,885
Total increase (decrease) in net assets (1,460,887) 98,476
NET ASSETS:
Beginning of period 8,193,496 8,095,020
End of period (including accumulated undistributed
net investment income of $72,013 and
$99,101, respectively) $ 6,732,609 $ 8,193,496
</TABLE>
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31,1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 (C) 1991 (B)(C)*
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.56 $ 9.79 $ 10.05 $ 10.11 $ 10.00 $ 10.00
Income from investment operations:
Net investment income (a) 0.33 0.63 0.44 0.46 0.56 0.67
Net realized and unrealized gain (loss) 0.10 (0.28) (0.09) 0.30 0.11 -
Total from investment operations 0.43 0.35 0.35 0.76 0.67 0.67
Less distributions to shareholders:
From net investment income (0.34) (0.58) (0.46) (0.38) (0.56) (0.67)
From net realized gains - - (0.15) (0.44) - -
Total distributions (0.34) (0.58) (0.61) (0.82) (0.56) (0.67)
NET ASSET VALUE, END OF PERIOD $ 9.65 $ 9.56 $ 9.79 $ 10.05 $ 10.11 $ 10.00
TOTAL RETURN (D) 4.59% 3.78% 3.54% 8.25% 11.88% 3.83%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 6,733 $ 8,193 $ 8,095 $ 10,499 $ 9,257 $ 40,850
Net expenses to average
daily net assets (a) 0.25%** 0.25% 0.25% 0.25% 0.25% 0.25%**
Net investment income to average
daily net assets (a) 6.51%** 5.02% 4.35% 4.94% 5.83% 7.88%**
Portfolio turnover rate 7% 335% 243% 649% 135% -
* For the period from the commencement of operations, April 17, 1990 to February 28, 1991.
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.02 $ 0.02 $ 0.02 $ 0.03 $ 0.03 $ 0.09
(b) The per share amounts and the number of shares outstanding have been restated to
reflect a one for ten reverse stock split effective
December 1, 1991.
(c) The Fund operated as a money market fund from April 17, 1990 until June 30, 1991.
Subsequently, the Fund became a short-term income fund.
(d) Calculation excludes subscription fees. The total returns
would have been lower had certain expenses not been
waived during the periods shown.
</TABLE>
See accompanying notes to the financial statements.
GMO SHORT-TERM INCOME FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Short-Term Income Fund ( the "Fund") is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940,
as amended, as an open-end, non-diversified management investment company.
The Trust was established as a Massachusetts Business Trust under the laws
of the Commonwealth of Massachusetts on June 24, 1985. The Declaration of
Trust permits the Trustees to create an unlimited number of series
("Funds"), each of which issues a separate series of shares. The following
is a summary of significant accounting policies consistently followed by
the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Short-term investments with a remaining maturity of sixty days or less may
be valued at amortized cost which approximates market value, unless
circumstances dictate otherwise. Other assets and securities for which no
quotations are readily available are valued at fair value as determined in
good faith by the Trustees.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults, the value of the collateral declines or
if the seller enters insolvency proceedings, realization of collateral by
the Fund may be delayed or limited.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values
and/or coupons are linked to the prices of other securities, securities
indicies, or other financial indicators. The Fund uses indexed securities
to increase or decrease its exposure to different underlying instruments
and to gain exposure to markets that may be difficult to invest in through
conventional securities. Indexed securities may be more volatile than their
underlying instruments, but any loss is limited to the amount of the
original investment.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear
the risk of delay in recovery or even loss of rights in the collateral
should the borrower of the securities fail financially. The Fund receives
compensation for lending its securities. At August 31, 1995, the Fund had
no securities on loan.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods.
Therefore, no provision for federal income or excise tax is necessary.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income quarterly, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. Distributions in excess of tax basis
earnings and profits will be reported in the Fund's financial statements as
a return of capital. Furthermore, differences in the recognition or
classification of income between the financial statements and tax earnings
and profits which result in temporary over-distributions for financial
statement purposes are classified as distributions in excess of net
investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is
recorded on the accrual basis. In determining the net gain or loss on
securities sold, the cost of securities is determined on the identified
cost basis. Premium and market discount are amortized and accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager") for management and investment advisory services is paid monthly
at the annual rate of .25% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses (including the
management fee but excluding brokerage commissions and transfer taxes)
exceed .25% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $14. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of
investments, other than short-term obligations, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
<S> <C> <C>
U.S. Government securities $ - $ 1,314,125
Investments (non-U.S. Government securities) 502,750 471,406
</TABLE>
4. PRINCIPAL SHAREHOLDER
At August 31, 1995, 68% of the outstanding shares of the Fund were held by
one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 547,622 3,299,162
Shares issued to shareholders in reinvestment
of distributions 26,602 52,796
Shares repurchased (733,107) (3,322,035)
Net increase (decrease) (158,883) 29,923
Fund shares:
Beginning of period 856,832 826,909
End of period 697,949 856,832
</TABLE>
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE DESCRIPTION VALUE ($)
<S> <C> <C> <C>
DEBT OBLIGATIONS - 97.0%
ARGENTINA - 2.9%
AGP 4,500,000 Argentina Bocon - Pro 1, Variable Rate, Peso Deposit Rate 1 mo., due 4/1/07 2,137,500
USD 5,500,000 Argentina Bocon - Pro 2, Variable Rate, 1 mo. LIBOR, due 4/1/07 3,355,000
5,492,500
BRAZIL - 4.1%
USD 4,752,548 Republic of Brazil Capitalization Bond, 8.00% due 4/15/14 2,317,491
USD 2,112,243 Republic of Brazil Capitalization Bond (Registered), 8.00% due 4/15/14 1,060,144
USD 8,000,000 Republic of Brazil New Money Bond, Variable Rate, 6 mo. LIBOR + 13/16 (7.31%),
due 4/15/09 4,350,000
7,727,635
BULGARIA - 0.4%
USD 1,000,000 Bulgaria Discount Bond, Variable Rate, 6 mo. LIBOR + 13/16 (6.75%), due 7/28/24 500,000
USD 1,000,000 Bulgaria FLIRB Series A (Registered), Variable Rate, 2.00% Step up, due 7/28/12 257,500
757,500
CANADA - 4.1%
CAD 2,000,000 Province of British Columbia, 7.88% due 11/30/23 1,330,678
GBP 2,000,000 Province of Ontario, 6.88% due 9/15/00 2,935,545
CAD 3,000,000 Province of Quebec, 7.50% due 12/1/03 2,080,325
CAD 2,000,000 Societe Quebec D'Ass D'Eaux, 8.13% due 8/11/03 1,421,872
7,768,420
CHINA - 0.5%
USD 1,000,000 Bank of China, 8.25% due 3/15/14 935,486
DENMARK - 1.9%
DKK 20,000,000 Kingdom of Denmark, 8.00% due 11/15/01 3,592,037
ECUADOR - 0.2%
USD 1,021,811 Republic of Ecuador PDI (Registered), Variable Rate, 3.00% Step up, due 2/27/15 319,315
FINLAND - 1.4%
JPY 250,000,000 Republic of Finland, 5.25% due 4/16/98 2,792,241
FRANCE - 12.2%
ECU 4,500,000 Caisse Francaise Development, 5.50% due 2/9/01 5,271,588
SEK 20,000,000 Credit Foncier, 6.50% due 2/22/99 2,439,826
ECU 7,000,000 Government of France, 8.25% due 4/25/22 8,883,974
ECU 4,750,000 Societe Nationale Chemins de France, 9.38% due 3/12/01 6,580,308
23,175,696
GERMANY - 4.9%
JPY 150,000,000 Deutsche Bank Finance NV, 4.38% due 7/16/98 1,647,014
GBP 1,300,000 Dresdner Finance Bank, 6.00% due 12/7/99 1,877,896
ECU 2,000,000 KFW International Finance, 5.50% due 1/31/01 2,349,312
JPY 300,000,000 KFW International Finance, 6.00% due 11/29/99 3,529,862
9,404,084
JAPAN - 5.3%
CAD 7,000,000 Japan Highway Public Corp, 7.88% due 9/27/02 5,119,854
GBP 3,000,000 Kobe City, 9.50% due 10/20/04 4,909,872
10,029,726
JORDAN - 0.7%
USD 2,000,000 Jordan Par, 4.00% Step up, due 12/23/23 850,000
USD 1,000,000 Jordan PDI, Variable Rate, 6 mo. LIBOR + 13/16 (6.69%), due 12/23/05 725,000
1,575,000
MEXICO - 2.4%
FRF 35,000,000 Mexico Par Bond, 6.63% due 12/31/19 3,862,172
CHF 1,500,000 Mexico Par Bond, 3.75% due 12/31/19 630,435
4,492,607
MULTINATIONAL - 2.6%
USD 5,000,000 European Sovereign Investments, Variable Rate, 3 mo. LIBOR + 1/10 (6.16%),
due 7/28/99 4,967,500
NETHERLANDS - 6.7%
USD 13,000,000 Eagle Pier Corp Bv, Variable Rate, 6 mo. LIBOR + 1/4 (6.69%), due 10/3/01 12,948,000
SOUTH AFRICA - 1.0%
SAR 8,000,000 Republic of South Africa Series R153, 13.00% due 8/31/10 1,836,514
SOUTH KOREA - 0.5%
USD 1,200,000 Korea Electric Power, 6.38% due 12/1/03 1,150,500
SPAIN - 5.4%
ESP 650,000,000 Government of Spain, 10.25% due 11/30/98 5,133,134
ESP 650,000,000 Government of Spain, 10.90% due 8/30/03 5,140,391
10,273,525
SUPRANATIONAL - 2.0%
SEK 10,000,000 International Finance Corp, 10.63% due 9/20/99 1,390,468
JPY 200,000,000 World Bank, 6.75% due 6/18/01 2,470,648
3,861,116
SWEDEN - 6.9%
SEK 65,000,000 Kingdom of Sweden, 10.25% due 5/5/20 9,012,220
SEK 40,000,000 Kingdom of Sweden, 6.00% due 2/9/05 4,109,210
13,121,430
THAILAND - 0.5%
THB 25,000,000 Thai Military Bank, 6.75% due 2/28/97 943,984
TURKEY - 0.4%
GBP 600,000 Republic of Turkey, 9.00% due 10/27/03 792,365
UNITED KINGDOM - 2.0%
GBP 2,000,000 Guaranteed Export Financial Corp, 12.88% due 9/29/02 3,816,982
UNITED STATES - 26.9%
ASSET BACKED SECURITIES - 21.9%
USD 1,022,077 BCI Home Equity Loan 94-1 Class A-1, Variable Rate, 6.30% due 4/15/09 1,016,740
USD 8,000,000 Discover Card Master Trust I 94-2 Class A, Variable Rate, 6.15% due 10/16/04 8,056,872
USD 2,500,000 First USA Credit Card Master Trust 94-4 Class A, Variable Rate, 6.25% due 8/15/03 2,521,648
USD 5,500,000 Fremont SBL Master Trust 93-A Class A, Variable Rate, 6.35% due 3/15/98 5,501,719
USD 5,000,000 MBNA Master Credit Card Trust 94-C Class A, Variable Rate, 6.13% due 03/15/04 5,009,375
USD 1,000,000 Potomac Mills Finance Corp, Variable Rate, 6.59% due 10/20/04 999,375
USD 3,000,000 Premier Auto Trust 94-4 Class B Certificates, 6.85% due 5/2/99 3,026,964
USD 2,813,751 Resolution Trust Corp 94-C1 Class A3, Variable Rate, 6.55% due 6/25/26 2,813,751
USD 4,437,904 Resolution Trust Corp 94-C2 Class A1, Variable Rate, 6.45% due 4/25/25 4,436,517
USD 3,766,000 SMS Student Loan 94-A, Variable Rate, 6.84% due 7/26/21 3,770,708
USD 4,500,000 Society Student Loan Trust 93-A Class B, Variable Rate, 6.63% due 7/25/03 4,536,190
41,689,859
CORPORATE OBLIGATIONS - 1.9%
USD 1,500,000 First International Funding Co, Variable Rate, 6.61% due 6/3/98 1,509,450
USD 2,000,000 New England Telephone & Telegraph, 7.88% due 11/15/29 2,170,472
3,679,922
STRUCTURED NOTES - 3.1%
USD 1,000,000 Bankers Trust Medium Term Note, 17.10% due 10/14/97 (a) 1,105,800
USD 5,000,000 Sallie Mae, Variable Rate, 4.00% due 3/23/98 (b) 4,743,750
5,849,550
TOTAL UNITED STATES 51,219,331
VENEZUELA - 1.1%
USD 1,000,000 Republic of Venezuela FLIRB Series A, Variable Rate, 6mo. LIBOR + 13/16 (7.00%),
due 3/31/07 503,750
USD 2,000,000 Republic of Venezuela FLIRB Series B, Variable Rate, 6mo. LIBOR + 13/16 (7.00%),
due 3/31/07 1,007,500
USD 1,000,000 Republic of Venezuela Discount Bond Series W-A, Variable Rate,
6 mo. LIBOR + 13/16 (7.19%), due 3/31/20 523,750
2,035,000
TOTAL DEBT OBLIGATIONS (Cost $178,003,123) 185,028,494
LOAN PARTICIPATIONS - 1.4%
IVORY COAST - 0.2%
FRF 15,000,000 Ivory Coast Syndicated Loan, (Sub-participation with Banque Paribas) * 460,715
MOROCCO - 0.3%
USD 1,000,000 Kingdom of Morocco Registered Loan Agreement Tranche A, LIBOR + 13/16,
(Sub-participation with Banque Paribas) 608,750
RUSSIA - 0.9%
ECU 1,000,000 Russia Vnesheconombank Promissory Note,
(Sub-participation with Bank of America, Illinois) * 357,504
FRF 25,000,000 Russia Vnesheconombank Syndicated Loan,
(Sub-participation with Banque Paribas) * 1,387,100
1,744,604
TOTAL LOAN PARTICIPATIONS (Cost $3,234,354) 2,814,069
Principal Amounts
of Contracts CALL OPTIONS PURCHASED - 1.3%
(000's omitted) CROSS CURRENCY OPTIONS - 0.0%
DEM 30,000 DEM Call / BEF Put, Expires 3/4/96 Strike 21.50 14,291
OPTIONS ON BONDS - 0.9%
USD 3,500 Brazil Par Bond 4.00%, Expires 10/16/95 Strike 30.00 518,942
USD 7,000 Brazil Par Bond 4.00%, Expires 10/16/95 Strike 29.50 1,072,617
1,591,559
OPTIONS ON CURRENCY - 0.4%
USD 15,000 French Francs, Expires 12/19/95 Strike 4.94 214,500
USD 12,000 French Francs, Expires 5/28/96 Strike 5.17 597,000
811,500
TOTAL CALL OPTIONS PURCHASED (Cost $1,744,348) 2,417,350
PUT OPTIONS PURCHASED - 2.6%
OPTIONS ON BONDS - 0.1%
USD 6,650 Brazil IDU, Brady Bond, Expires 10/27/95 Strike 78.63 26,600
USD 2,850 Brazil IDU, Brady Bond, Expires 11/20/95 Strike 80.31 25,080
USD 2,850 Brazil IDU, Brady Bond, Expires 11/21/95 Strike 80.13 23,655
USD 5,700 Brazil IDU, Brady Bond, Expires 11/9/95 Strike 77.94 19,403
94,738
OPTIONS ON CURRENCY - 2.5%
DEM 26,000 DEM Put/ ITL Call, Expires 10/10/95 Strike 1,131.00 417,557
USD 15,000 French Francs, Expires 12/19/95 Strike 4.94 522,000
USD 12,000 French Francs, Expires 5/28/96 Strike 5.17 293,400
JPY 2,000,000 Japanese Yen, Expires 4/18/96 Strike 86.00 2,309,340
JPY 2,000,000 Japanese Yen, Expires 4/30/96 Strike 92.00 1,253,700
4,795,997
TOTAL PUT OPTIONS PURCHASED (Cost $1,939,338) 4,890,735
Shares RIGHTS AND WARRANTS - 0.0%
VENEZUELA - 0.0%
5,000 Republic of Venezuela Warrants, Expires 4/15/20 -
TOTAL RIGHTS AND WARRANTS (Cost $0) -
SHORT-TERM INVESTMENTS - 1.2%
REPURCHASE AGREEMENT - 0.7%
USD 1,244,608 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $1,244,792 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with maturity dates
ranging from 4/30/97 to 8/15/23 and with an aggregate market
value of $1,271,490. 1,244,608
U.S. GOVERNMENT - 0.5%
USD 1,000,000 U. S. Treasury Bill, 5.41% due 5/30/96 (c) 959,275
TOTAL SHORT-TERM INVESTMENTS (Cost $2,206,226) 2,203,883
TOTAL INVESTMENTS - 103.5%
(Cost $187,127,389) * * 197,354,531
Other Assets and Liabilities (net) - (3.5%) (6,670,407)
TOTAL NET ASSETS - 100.0% $ 190,684,124
</TABLE>
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) Principal is linked to the value of the Brazilian Capitalization Bond and
the Brazilian IDU Bond.
(b) Interest rate linked to changes in the daily 3 month LIBOR rate.
(c) This security is held as collateral for open futures contracts.
* Non-performing. Borrower not currently paying interest.
Variable rates - The rates shown on variable rate notes are the current interest
rates at August 31, 1995, which are subject to change based on the terms of
the security.
* * The aggregate identified cost for federal income tax purposes is
$187,127,389, resulting in gross unrealized appreciation and depreciation of
$12,233,438 and $2,006,296, respectively, and net unrealized appreciation of
$10,227,142.
The principal amount of each security is stated in the currency in which the
security is denominated.
AGP - Argentinian Peso FRF - French Franc
CAD - Canadian Dollar GBP - British Pound Sterling
CHF - Swiss Franc JPY - Japanese Yen
DEM - German Mark SAR - South African Rand
DKK - Danish Krone SEK - Swedish Krona
ECU - European Currency Unit THB - Thai Baht
ESP - Spanish Peseta USD - United States Dollar
See accompanying notes to the financial statements.
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $184,921,163) (Note 1) $ 195,150,648
Short-term investments, at value (cost $ 2,206,226) (Note 1) 2,203,883
Foreign currency, at value (cost $573,584) (Note 1) 575,483
Receivable for investments sold 13,465,531
Interest receivable 5,646,353
Receivable for open forward foreign currency contracts (Note 6) 4,445,388
Receivable for expenses waived or borne by Manager (Note 2) 21,793
Total assets 221,509,079
LIABILITIES:
Payable for investments purchased 1,311,302
Written options outstanding, at value (premiums $2,803,876) (Note 6) 1,539,900
Payable to brokers for open futures contracts (Note 1) 165,341
Payable for Fund shares repurchased 11,600,000
Payable for open forward foreign currency contracts (Note 6) 16,093,635
Payable to affiliate for management fee (Note 2) 71,350
Accrued expenses 43,427
Total liabilities 30,824,955
NET ASSETS (equivalent to $10.69 per share based
on 17,840,505 shares outstanding, unlimited shares authorized) $ 190,684,124
NET ASSETS CONSIST OF:
Paid-in capital $ 174,855,008
Accumulated undistributed net investment income 11,494,360
Accumulated undistributed net realized gain 3,697,739
Net unrealized appreciation 637,017
NET ASSETS $ 190,684,124
See accompanying notes to the financial statements.
</TABLE>
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest (including securities lending income of $4,194) $ 8,173,247
EXPENSES:
Management fee (Note 2) 389,741
Custodian and transfer agent fees 67,570
Audit fees 27,510
Legal fees 6,326
Registration fees 5,935
Insurance 825
Trustee fee (Note 2) 366
Miscellaneous 277
Total expenses 498,550
Less: expenses waived or borne by Manager (Note 2) (108,809)
Net expenses 389,741
Net investment income 7,783,506
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments 719,319
Closed futures contracts 5,120,964
Written options 341,678
Foreign currency, forward contracts and foreign
currency related transactions 5,557,582
Net realized gain 11,739,543
Change in net unrealized appreciation
(depreciation) on:
Investments 12,666,582
Open futures contracts 679,178
Written options 1,370,876
Foreign currency, forward contracts and foreign
currency related transactions (12,526,087)
Net unrealized gain 2,190,549
Net realized and unrealized gain 13,930,092
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 21,713,598
See accompanying notes to the financial statements.
</TABLE>
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
INCREASE (DECREASE) IN NET ASSETS:
<S> <C> <C>
Operations:
Net investment income $ 7,783,506 $ 6,486,357
Net realized gain 11,739,543 3,431,159
Change in net unrealized appreciation (depreciation) 2,190,549 (1,159,762)
Net increase in net assets resulting from operations 21,713,598 8,757,754
Distributions to shareholders from:
Net investment income (54,248) (6,618,737)
Net realized gains (4,700,407) (3,028,602)
(4,754,655) (9,647,339)
Fund share transactions: (Note 4)
Proceeds from sale of shares 75,073,554 137,180,193
Net asset value of shares issued to shareholders
in payment of distributions declared 4,676,505 6,467,224
Cost of shares repurchased (57,214,249) (31,018,305)
Net increase in net assets resulting
from Fund share transactions 22,535,810 112,629,112
Total increase in net assets 39,494,753 111,739,527
NET ASSETS:
Beginning of period 151,189,371 39,449,844
End of period (including accumulated undistributed
net investment income of $11,494,360 and
$3,765,102, respectively) $ 190,684,124 $ 151,189,371
See accompanying notes to the financial statements.
</TABLE>
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD FROM DECEMBER 22, 1993
AUGUST 31, 1995 YEAR ENDED (COMMENCEMENT OF OPERATIONS) TO
(UNAUDITED) FEBRUARY 28, 1995 FEBRUARY 28, 1994
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.64 $ 9.96 $ 10.00
Income from investment operations:
Net investment income (a) 0.41 0.98 0.08
Net realized and unrealized gain (loss) 0.90 (0.21) (0.12)
Total from investment operations 1.31 0.77 (0.04)
Less distributions to shareholders:
From net investment income (0.00)(c) (0.75) -
From net realized gains (0.26) (0.34) -
Total distributions (0.26) (1.09) -
NET ASSET VALUE, END OF PERIOD $ 10.69 $ 9.64 $ 9.96
Total Return (b) 13.56% 8.23% (0.40%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 190,684 $ 151,189 $ 39,450
Net expenses to average
daily net assets (a) 0.40%* 0.40% 0.40%*
Net investment income to average
daily net assets (a) 7.99%* 7.51% 5.34%*
Portfolio turnover rate 40% 141% 14%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.01 $ 0.02 $ 0.01
(b) Calculation excludes subscription fees. The total
return would have been lower had certain expenses
not been waived during the periods shown.
(c) The per share income distribution was $0.003.
See accompanying notes to the financial statements.
</TABLE>
GMO INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO International Bond Fund (the "Fund") is a series of GMO Trust (the
"Trust"). The Fund is registered under the Investment Company Act of 1940, as
amended, as an open-end, non-diversified management investment company. The
Trust was established as a Massachusetts Business Trust under the laws of the
Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust permits
the Trustees to create an unlimited number of series ("Funds"), each of which
issues a separate series of shares. The following is a summary of significant
accounting policies consistently followed by the Fund in the preparation of its
financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market quotations
are available are valued at the last quoted sale price on each business day, or
if there is no such reported sale, at the most recent quoted bid price. Unlisted
securities for which market quotations are readily available are valued at the
most recent quoted bid price. Securities which are primarily traded on foreign
exchanges are generally valued at the preceding closing values of such
securities on their respective exchanges, and those values are then translated
into U.S. dollars at the current exchange rate. Short-term investments with a
remaining maturity of sixty days or less are valued at amortized cost which
approximates market value. Other assets and securities for which no quotations
are readily available are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The market
values of foreign securities, currency holdings and other assets and liabilities
are translated to U.S. dollars based on the prevailing exchange rates each
business day. Income and expenses denominated in foreign currencies are
translated at prevailing exchange rates when accrued or incurred. The Fund does
not isolate realized and unrealized gains and losses attributable to changes in
exchange rates from gains and losses that arise from changes in the market value
of investments. Such fluctuations are included with net realized and unrealized
gain or loss on investments. Net realized gains and losses on foreign currency
transactions represent net exchange gains and losses on disposition of foreign
currencies and the difference between the amount of investment income and
foreign withholding taxes recorded on the Fund's books and the U.S. dollar
equivalent amounts actually received or paid.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and
currency markets. Buying futures tends to increase the Fund's exposure to the
underlying instrument. Selling futures tends to decrease the Fund's exposure to
the underlying instrument or hedge other Fund instruments. Upon purchase of a
futures contract, the Fund is required to deposit with its custodian, in a
segregated account in the name of the futures broker, an amount of cash or U.S.
government obligations in accordance with the initial margin requirements of the
broker. Futures contracts are marked to market daily and an appropriate payable
or receivable for the change in value ("variation margin") is recorded by the
Fund. Gains or losses are recognized but not considered realized until the
contracts expire or are closed. Futures contracts involve, to varying degrees,
risk of loss in excess of the variation margin disclosed in the Statement of
Assets and Liabilities. Losses may arise from the changes in the value of the
underlying instrument, if there is an illiquid secondary market for the
contracts, or if counterparties do not perform under the contract terms. Futures
contracts are valued at the settlement price established each day by the board
of trade or exchange on which they are traded. See Note 6 for all open futures
contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts and forward cross currency
contracts in connection with settling planned purchases or sales of securities
or to hedge the currency exposure associated with some or all of the Fund's
portfolio securities. A forward currency contract is an agreement between two
parties to buy and sell a currency at a set price on a future date. The market
value of a forward currency contract fluctuates with changes in forward currency
exchange rates. Forward currency contracts are marked to market daily and the
change in value is recorded by the Fund as an unrealized gain or loss. When a
forward currency contract is extinguished, through delivery or offset by
entering into another forward currency contract, the Fund records a realized
gain or loss equal to the difference between the value of the contract at the
time it was opened and the value of the contract at the time it was extinguished
or offset. These contracts may involve market risk in excess of the unrealized
gain or loss reflected in the Fund's Statement of Assets and Liabilities. In
addition, the Fund could be exposed to risk if the counterparties are unable to
meet the terms of the contracts or if the value of the currency changes
unfavorably to the U.S. dollar. The U.S. dollar value of the currencies the Fund
has committed to buy or sell is shown under Note 6 and represents the currency
exposure the Fund has acquired or hedged through currency contracts as of August
31, 1995.
OPTIONS
The Fund may write call and put options on securities it owns or in which it may
invest. When the Fund writes a call or put option, an amount equal to the
premium received is recorded as a liability and subsequently marked to market to
reflect the current value of the option written. Premiums received from writing
options which expire are treated as realized gains. Premiums received from
writing options which are exercised or closed are offset against the proceeds or
amounts paid on the transaction to determine the realized gain or loss. If a
written put option is exercised, the premium reduces the cost basis of the
securities purchased by the Fund. The Fund as a writer of an option has no
control over whether the underlying securities may be sold (call) or purchased
(put) and as a result bears the market risk of an unfavorable change in the
price of the security underlying the written option. There is the risk the Fund
may not be able to enter into a closing transaction because of an illiquid
market. See Note 6 for a summary of open written option contracts as of August
31, 1995.
The Fund may also purchase put and call options. The Fund pays a premium which
is included in the Fund's Statement of Assets and Liabilities as an investment
and subsequently marked to market to reflect the current value of the option.
The risk associated with purchasing put and call options is limited to the
premium paid.
In some cases, depending upon the executing broker, premiums on purchased and
written options are not paid or received until the contracts expire or are
closed or exercised. These contracts are marked to market daily, and the daily
change in market value is paid to or received from the respective broker. A
corresponding payable or receivable is recorded for the accumulated unrealized
position received or paid. Upon settlement, the net payable or receivable for
original premiums and accumulated unrealized gains and losses is paid to or
received from the broker and a gain or loss is realized.
LOAN AGREEMENTS
The Fund may invest in loan agreements which are indirect interests in amounts
owed by a corporate, governmental, or other borrower to lenders or lending
syndicates. A loan is often administered by a bank or other financial
institution (the lender) that acts as agent for all holders. The lender
administers the terms of the loan, as specified in the loan agreement. The Fund
has the right to receive payments of principal, interest and any fees to which
it is entitled only from the lender selling the loan agreement and only upon
receipt by the lender of payments from the borrower. The Fund generally has no
right to enforce compliance with the terms of the loan agreement with the
borrower. As a result, the Fund may be subject to the credit risk of both the
borrower and the lender that is selling the loan agreement. In addition, if the
Fund invests in the indebtedness of an emerging country, there is a risk that
the governmental entities responsible for the repayment of the debt may be
unable or unwilling to pay the principal and interest when due.
INDEXED SECURITIES
The Fund may invest in indexed securities whose redemption values and/or coupons
are linked to the prices of other securities, securities indices, or other
financial indicators. The Fund uses indexed securities to increase or decrease
its exposure to different underlying instruments and to gain exposure to markets
that may be difficult to invest in through conventional securities. Indexed
securities may be more volatile than their underlying instruments, but any loss
is limited to the amount of the original investment.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an agreed
upon price and date. The Fund, through its custodian, takes possession of
securities collateralizing the repurchase agreement. The collateral is marked to
market daily to ensure that the market value of the underlying assets remains
sufficient to protect the Fund in the event of default by the seller. In
connection with transactions in repurchase agreements, if the seller defaults
and the value of the collateral declines or if the seller enters insolvency
proceedings, realization of collateral by the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York Stock
Exchange. The loans are collateralized at all times with cash or securities with
a market value at least equal to the market value of the securities on loan. As
with other extensions of credit, the Fund may bear the risk of delay in recovery
or even loss of rights in the collateral should the borrower fail financially.
The Fund receives compensation for lending its securities. At August 31, 1995,
the Fund had no securities on loan.
TAXES
The Fund intends to qualify each year as a regulated investment company under
Subchapter M of the Internal Revenue Code of 1986, as amended. It is the policy
of the Fund to distribute all of its taxable income, including any net realized
gain on investments not offset by loss carryovers, to shareholders within the
prescribed time periods. Therefore, no provision for federal income or excise
tax is necessary. Withholding taxes on foreign interest and dividend income have
been withheld in accordance with the applicable country's tax treaty with the
United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment income
and net realized short-term and long-term capital gains, if any, after giving
effect to any available capital loss carryover for federal income tax purposes.
The Fund's present policy is to declare and pay distributions from net
investment income semi-annually, and net realized short-term and long-term
capital gains at least annually. All distributions will be paid in shares of the
Fund, at net asset value, unless the shareholder elects to receive cash
distributions.
Income distributions and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
foreign currency transactions.
Distributions in excess of tax basis earnings and profits will be reported in
the Fund's financial statements as a return of capital. Furthermore, differences
in the recognition or classification of income between the financial statements
and tax earnings and profits which result in temporary over-distributions for
financial statement purposes are classified as distributions in excess of net
investment income or accumulated net realized gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is
recorded on the accrual basis. In determining the net gain or loss on securities
sold, the cost of securities is determined on the identified cost basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an individual
Fund. Expenses which are not readily identifiable to a specific Fund are
allocated in such a manner as deemed equitable by the Trustees, taking into
consideration, among other things, the nature and type of expense and the
relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount invested. The
Manager may waive such premium to the extent that a transaction results in
minimal brokerage and transaction costs to the Fund. All purchase premiums are
paid to and recorded as paid-in capital by the Fund. For the six months ended
August 31, 1995, the Fund received $89,490 in purchase premiums. There is no
premium for cash redemptions, reinvested distributions or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign securities
that are not inherent in investments in domestic securities. These risks may
involve adverse political and economic developments and the possible imposition
of currency exchange blockages or other foreign governmental laws or
restrictions. In addition, the securities of some foreign companies and
securities markets are less liquid and at times more volatile than securities of
comparable U.S. companies and U.S. securities markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager"), formanagement and investment advisory services is paid monthly at
the annual rate of .40% of average daily net assets. The Manager has agreed to
waive a portion of its fee and bear other expenses until further notice to the
extent that the Fund's annual expenses exceed .40% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $366. No remuneration is paid
to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of
investments, other than short-term obligations, were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
<S> <C> <C>
U.S. Government securities $ - $ 3,037,500
Investments (non-U.S. Government securities) 115,773,498 65,916,313
</TABLE>
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 36% of the outstanding shares of the Fund were held by two
shareholders, each holding in excess of 10% of the Fund's outstanding shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits Trustees to issue an unlimited number of
shares of beneficial interest (without par value). Transactions in Fund shares
were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
Shares sold 6,922,449 14,201,980
Shares issued to shareholders in
reinvestment of distributions 426,688 696,838
Shares repurchased (5,196,111) (3,171,314)
Net increase 2,153,026 11,727,504
Fund shares:
Beginning of period 15,687,479 3,959,975
End of period 17,840,505 15,687,479
</TABLE>
A summary of outstanding financial instruments at August 31, 1995 is as
follows:
FORWARD CURRENCY CONTRACTS
<TABLE>
<CAPTION>
In Exchange Net Unrealized
Settlement Units of for Appreciation
Date Deliver/Receive Currency (U.S.Dollars) (Depreciation)
Sales
<S> <C> <C> <C> <C>
9/7/95 Argentinian Pesos 3,000,000 $ 2,992,668 $ (3,567)
9/19/95 Argentinian Pesos 2,043,740 2,000,000 (35,402)
9/22/95 Argentinian Pesos 2,500,000 2,427,184 (60,856)
10/16/95 Australian Dollars 12,000,000 8,872,800 (149,007)
11/1/95 Australian Dollars 8,000,000 5,923,200 (90,032)
10/2/95 Canadian Dollars 34,000,000 24,967,160 (335,354)
9/1/95 Danish Krone 25,000,000 4,368,338 (16,484)
11/2/95 European Currency Units 3,000,000 3,832,500 546
11/2/95 German Deutsche Marks 32,000,000 22,377,462 541,166
10/2/95 Great British Pounds 22,000,000 33,988,090 (66,473)
9/26/95 Japanese Yen 880,000,000 9,833,385 815,217
9/5/95 Spanish Pesetas 70,850,000 563,913 (779)
11/2/95 Swedish Krona 185,000,000 25,766,390 563,662
$ 1,162,637
Buys
11/1/95 Australian Dollars 8,000,000 $ 5,872,000 $ 141,232
10/2/95 Canadian Dollars 30,000,000 21,831,678 494,070
, 9/1/95 Danish Krone 25,000,000 4,658,530 (273,707)
12/1/95 Danish Krone 25,000,000 4,369,254 15,992
11/2/95 European Currency Units 44,000,000 59,049,320 (2,847,328)
11/30/95 French Francs 63,000,000 12,444,936 40,330
11/2/95 German Deutsche Marks 46,000,000 33,330,530 (1,940,854)
10/2/95 Great British Pounds 6,000,000 9,630.480 (342,872)
11/2/95 Italian Lira 27,000,000 16,796,268 (284,122)
9/26/95 Japanese Yen 6,750,000,000 77,545,550 (8,372,106)
$ (13,369,365)
</TABLE>
FORWARD CROSS CURRENCY CONTRACTS
<TABLE>
<CAPTION>
In Exchange Net Unrealized
Settlement Units of for Appreciation
Date Deliver/Receive Currency (U.S.Dollars) (Depreciation)
<S> <C> <C> <C> <C>
9/20/95 Belgian Francs/ BEF 642,719,000 ECU 17,000,000 396,378
European Currency Units
11/6/95 French Francs/ FRF 64,170,500 ECU 10,000,000 56,706
European Currency Unit
9/7/95 German Deutsche DEM 19,000,000 ITL 22,181,500,000 $ 725,840
Marks/Italian Lira
9/7/95 German Deutsche DEM 10,000,000 SEK 51,304,000 216,666
Marks/Swedish Krona
10/4/95 German Deutsche DEM 15,000,000 ECU 8,165,932 205,522
Marks/European Currency
Units
10/10/95 German Deutsche DEM 30,000,000 FRF 103,602,900 79,606
Marks/French Francs
10/10/95 German Deutsche DEM 32,000,000 ESP 2,752,590,000 43,930
Marks/Spanish Pesetas
10/12/95 German Deutsche DEM 3,000,000 ITL 3,512,700,000 108,525
Marks/Italian Lira
9/7/95 Italian Lira/German ITL 22,743,000,000 DEM 19,000,000 (1,071,612)
Deutsche Marks
10/12/95 Italian Lira/German ITL 38,683,180,000 DEM 34,500,000 (197,801)
Deutsche Marks
11/17/95 Netherlands Guilders/ NLG 14,543,100 DEM 13,000,000 (1,616)
German Deutsche Marks
10/6/95 Swiss Francs/German CHF 5,734,470 DEM 7,000,000 (3,663)
Deutsche Marks
$ 558,481
</TABLE>
FUTURES CONTRACTS
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
Buys
<S> <C> <C> <C> <C>
93 Australian Dollar 3 Year September 1995 12,145,991 $ (9,073)
45 Australian Dollar 10 Year September 1995 3,873,297 (14,127)
40 Canadian Government Bond September 1995 3,096,506 (4,227)
50 German Government Bond September 1995 8,538,501 140,525
14 Japanese Yen 10 Year December 1995 17,453,200 (19,654)
94 Italian Government Bond 5 Year September 1995 14,611,363 206,520
64 Italian Government Bond 10 Year September 1995 7,795,862 199,706
215 MATIF ECU Bond September 1995 24,583,930 421,240
30 Spain Government Bond 10 Year September 1995 2,121,715 69,948
54 U.K. Gilt September 1995 4,578,711 37,317
2 U.K. Gilt December 1995 163,656 130
$ 1,028,305
Sales
60 Euro Dollar December 1995 14,142,000 $ 8,550
63 French Government Bond December 1995 7,239,690 (62)
65 Swiss Government Bond September 1995 6,233,866 (87,366)
60 U.S. Treasury Note December 1995 6,570,000 (58,575)
90 U.S. Treasury Bond December 1995 10,711,250 (146,869)
$ (284,322)
At August 31, 1995, the Fund has cash and/or securities to cover any margin
requirements on open futures contracts.
</TABLE>
<TABLE>
<CAPTION>
WRITTEN OPTION TRANSACTIONS
Puts Calls
Numbers of Numbers of
Contracts Premiums Contracts Premiums
<S> <C> <C> <C> <C>
Outstanding, beginning of period 20,000,001 $ 167,576 2 $ 186,584
Options written 26,806,905 1,068,102 4,071,500,000 1,909,876
Options terminated in closing
transactions (6,306,906) (277,488) __ __
Options exercised __ __ (2) (186,584)
Options expired 20,000,000 (64,190) __ __
Outstanding, end of period 20,500,000 $ 894,000 4,071,500,000 $ 1,909,876
SUMMARY OF WRITTEN OPTIONS OUTSTANDING
Principal Amount
of Contracts
(000's omitted) Exercise Price Expiration Date Value
CALLS
DEM Call/ITL Put 25,000 1,235.00 DEM 9/8/95 $ 1,701
DEM Call/ITL Put 26,000 1,219.00 DEM 10/10/95 1,769
Japanese Yen Call 2,000,000 68.00 JPY 4/18/96 4,080
Japanese Yen Call 2,000,000 68.00 JPY 4/30/96 5,100
Swiss Franc Call 8,000 1.17 CHF 5/28/96 345,600
Swiss Franc Call 12,500 1.15 CHF 12/19/95 170,000
$ 528,250
Puts
Swiss Franc Put 8,000 1.17 CHF 5/28/96 $ 370,400
Swiss Franc Put 12,500 1.15 CHF 12/19/95 641,250
$ 1,011,650
</TABLE>
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 87.1%
ARGENTINA - 3.2%
<S> <C> <C>
AGP 8,500,000 Argentina Bocon - Pro 1, Variable Rate, Peso Deposit Rate 1 mo., due 4/1/07 4,037,500
USD 5,000,000 Argentina Bocon - Pro 2, Variable Rate, 1 mo. LIBOR, due 4/1/07 3,050,000
7,087,500
AUSTRIA - 1.5%
SEK 25,000,000 Oesterreich Kontrollbank, 9.25% due 7/15/99 3,334,897
BRAZIL - 3.7%
USD 4,753,068 Republic of Brazil Capitalization Bond, 8.00% due 4/15/14 2,317,491
USD 2,112,474 Republic of Brazil Capitalization Bond (Registered), 8.00% due 4/15/14 1,060,144
USD 9,000,000 Republic of Brazil New Money Bond, Variable Rate, 6 mo. LIBOR + 13/16 (7.31%),
due 4/15/09 4,893,750
8,271,385
BULGARIA - 0.8%
USD 1,400,000 Bulgaria FLIRB Series A (Registered), Variable Rate, 2.00% Step up, due 7/28/12 360,500
USD 5,000,000 Bulgaria FLIRB Series A, Variable Rate, 2.00% Step up, due 7/28/12 1,287,500
1,648,000
CANADA - 6.7%
CAD 8,600,000 Canada (Cayman) Government , 7.25% due 6/1/08 5,689,905
CAD 3,000,000 Government of Canada, 10.25% due 3/15/14 2,640,884
CAD 5,000,000 Province of Quebec, 7.50% due 12/1/03 3,467,208
CAD 4,000,000 Province of Quebec, 10.50% due 11/30/98 3,182,461
14,980,458
DENMARK - 1.6%
DKK 20,000,000 Kingdom of Denmark, 8.00% due 11/15/01 3,592,037
ECUADOR - 0.2%
USD 1,511,258 Republic of Ecuador PDI (Registered), Variable Rate, 3.00% Step up, due 2/27/15 472,268
FINLAND - 2.4%
ECU 4,000,000 Republic of Finland, 8.50% due 2/13/07 5,279,568
FRANCE - 16.5%
ECU 6,000,000 Caisse Francaise Development, 5.50% due 2/9/01 7,028,784
SEK 20,000,000 Credit Foncier, 6.50% due 2/22/99 2,439,826
ECU 16,000,000 Government of France, 8.25% due 4/25/22 20,306,227
ECU 5,250,000 Societe Nationale Chemins de France, 9.38% due 3/12/01 7,272,972
37,047,809
GERMANY - 2.6%
JPY 500,000,000 KFW International Finance, 6.00% due 11/29/99 5,883,104
ITALY - 2.9%
ECU 5,000,000 Government of Italy, 9.25% due 3/7/11 6,540,408
JAPAN - 1.5%
GBP 2,000,000 Kobe City, 9.50% due 10/20/04 3,273,248
JORDAN - 0.2%
USD 1,000,000 Jordan Par, 4.00% Step up, due 12/23/23 425,016
MEXICO - 2.0%
FRF 41,500,000 Mexico Par Bond, 6.63% due 12/31/19 4,579,432
MULTINATIONAL - 2.4%
USD 5,300,000 European Sovereign Investments, Variable Rate, 3 mo. LIBOR + 1/10 (6.16%),
due 7/28/99 5,265,550
NETHERLANDS - 5.3%
USD 12,000,000 Eagle Pier Corp Bv, Variable Rate, 6 mo. LIBOR + 1/4 (6.69%) due 10/3/01 11,952,000
SOUTH AFRICA - 0.8%
SAR 8,000,000 Republic of South Africa Series R153, 13.00% due 8/31/10 1,836,514
SPAIN - 3.5%
ESP 500,000,000 Government of Spain, 10.25% due 11/30/98 3,948,565
ESP 500,000,000 Government of Spain, 10.90% due 8/30/03 3,954,147
7,902,712
SUPRANATIONAL - 0.9%
SEK 15,000,000 International Finance Corp, 10.63% due 9/20/99 2,085,702
SWEDEN - 4.8%
SEK 40,000,000 Kingdom of Sweden, 10.25% due 5/5/20 5,545,981
SEK 50,000,000 Kingdom of Sweden, 6.00% due 2/9/05 5,136,512
10,682,493
UNITED KINGDOM - 3.5%
GBP 4,160,000 Guaranteed Export Financial Corp., 12.88% due 9/29/02 7,939,323
UNITED STATES - 19.2%
ASSET BACKED SECURITIES - 14.8%
USD 4,000,000 Discover Card Master Trust I 94-2 Class A, Variable Rate, 6.15% due 10/16/04 4,028,436
USD 5,000,000 First USA Credit Card Master Trust 95-2 Class A, Variable Rate, 6.12% due 10/15/04 5,021,875
USD 1,950,000 Keycorp Student Loan Trust 94-B Certificates, Variable Rate, 6.67% due 11/25/21 1,953,656
USD 10,500,000 MBNA Master Credit Card Trust 94-C Class A, Variable Rate, 6.13% due 03/15/04 10,519,688
USD 6,892,000 Oakwood Mortgage Investors Inc 95-A Class A4, 7.70% due 9/15/20 6,805,850
USD 2,200,000 SMS Student Loan 94-A, Variable Rate, 6.84% due 7/26/21 2,202,750
USD 2,620,000 SMS Student Loan Trust 94-B Certificates, Variable Rate, 6.69% due 10/25/23 2,629,825
33,162,080
CORPORATE OBLIGATIONS - 1.5%
USD 3,000,000 New England Telephone & Telegraph, 7.88% due 11/15/29 3,255,708
STRUCTURED NOTES - 2.9%
USD 2,000,000 Bankers Trust Medium Term Note, 17.10% due 10/14/97 (b) 2,211,600
USD 4,500,000 Toyota Motor Credit, Variable Rate, 1.54% due 7/28/96 (c) 4,320,000
6,531,600
TOTAL UNITED STATES 42,949,388
VENEZUELA - 0.9%
USD 3,000,000 Republic of Venezuela FLIRB Series B, Variable Rate,
6 mo. LIBOR + 13/16 (7.00%) due 3/31/07 1,511,250
USD 1,000,000 Republic of Venezuela Discount Bond Series W-A, Variable Rate,
6 mo. LIBOR +13/16 (7.19%) due 3/31/20 523,750
2,035,000
TOTAL DEBT OBLIGATIONS (Cost $185,136,142) 195,063,812
LOAN PARTICIPATIONS - 0.8%
RUSSIA - 0.8%
ECU 1,000,000 Russia Vnesheconombank Promissory Note,
(Sub-participation with Bank of America, Illinois) * 357,504
FRF 25,000,000 Russia Vnesheconombank Syndicated Loan,
(Sub-participation with Chase Manhattan Bank) * 1,387,100
1,744,604
TOTAL LOAN PARTICIPATIONS (Cost $1,570,992) 1,744,604
PRINCIPAL AMOUNT
OF CONTRACTS CALL OPTIONS PURCHASED - 1.4%
(000'S OMITTED) CROSS CURRENCY OPTIONS - 0.0%
DEM 40,000 DEM Call / BEF Put, Expires 3/4/96 Strike 21.50 19,054
19,054
OPTIONS ON BONDS - 0.9%
USD 6,000 Brazil Par Bond 4.00%, Expires 10/16/95 Strike 30.00 889,614
USD 8,000 Brazil Par Bond 4.00%, Expires 10/16/95 Strike 29.50 1,225,848
2,115,462
OPTIONS ON CURRENCY - 0.5%
USD 15,000 French Francs, Expires 12/19/95 Strike 4.94 214,500
USD 18,000 French Francs, Expires 5/28/96 Strike 5.17 895,500
1,110,000
TOTAL CALL OPTIONS PURCHASED (Cost $2,268,580) 3,244,516
PUT OPTIONS PURCHASED - 3.1%
OPTIONS ON BONDS - 0.1%
USD 7,600 Brazil IDU, Brady Bond, Expires 10/27/95 Strike 78.63 30,400
USD 4,750 Brazil IDU, Brady Bond, Expires 11/15/95 Strike 79.44 23,750
USD 2,850 Brazil IDU, Brady Bond, Expires 11/20/95 Strike 80.31 25,080
USD 2,850 Brazil IDU, Brady Bond, Expires 11/21/95 Strike 80.13 23,655
USD 8,550 Brazil IDU, Brady Bond, Expires 11/9/95 Strike 77.94 29,104
131,989
OPTIONS ON CURRENCY - 3.0%
DEM 24,000 DEM Put/ ITL Call, Expires 10/10/95 Strike 1,131.00 385,437
USD 15,000 French Francs, Expires 12/19/95 Strike 4.94 522,000
USD 18,000 French Francs, Expires 5/28/96 Strike 5.17 440,100
JPY 3,000,000 Japanese Yen, Expires 4/18/96 Strike 86.00 3,464,010
JPY 3,000,000 Japanese Yen, Expires 4/30/96 Strike 92.00 1,880,550
6,692,097
TOTAL PUT OPTIONS PURCHASED (Cost $2,576,625) 6,824,086
SHARES RIGHTS AND WARRANTS - 0.0%
MEXICO - 0.0%
7,221,000 Mexico Value Recovery Series Rights, Expires 6/30/03 -
VENEZUELA - 0.0%
5,000 Republic of Venezuela Warrants, Expires 4/15/20 -
TOTAL RIGHTS AND WARRANTS (Cost $0) -
SHORT-TERM INVESTMENTS - 5.7%
REPURCHASE AGREEMENT - 4.0%
USD 9,018,169 Salomon Brothers
Repurchase Agreement, dated
8/31/95, due 9/1/95, with a
maturity value of $9,019,497
and an effective yield of
5.30%, collateralized by
U.S. Treasury Obligations
with rates ranging from
6.25% to 6.50%, with
maturity dates ranging from
4/30/97 to 8/15/23 and with
an aggregate market
value of $9,212,949. 9,018,169
U.S. GOVERNMENT - 1.7%
USD 4,000,000 U. S. Treasury Bill, 5.41% due 5/30/96 (a) 3,837,100
TOTAL SHORT-TERM INVESTMENTS (Cost $12,858,973) 12,855,269
TOTAL INVESTMENTS - 98.1%
(Cost $204,411,312) * * 219,732,287
Other Assets and Liabilities (net) - 1.9% 4,193,788
TOTAL NET ASSETS - 100.0% $ 223,926,075
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) This security is held as collateral for open futures contracts.
(b) Principal is linked to the value of the Brazilian Capitalization Bond and the
Brazilian IDU Bond.
(c) Interest rate linked to changes in the 3 year Danish Krone swap rate.
* Non-performing. Borrower not currently paying interest.
Variable rates - The rates shown on variable rate notes
are the current interest rates at August 31,
1995, which are subject to change based on the
terms of the security.
* * The aggregate identified cost for federal
income tax purposes is $204,411,312, resulting in
gross unrealized appreciation and depreciation of
$16,816,868 and $1,495,893, respectively, and net
unrealized appreciation of $15,320,975.
The principal amount of each security is stated in the
currency in which the security is denominated.
AGP - Argentinian Peso FRF - French Franc
CAD - Canadian Dollar GBP - British Pound Sterling
DEM - German Mark JPY - Japanese Yen
DKK - Danish Krone SAR - South African Rand
ECU - European Currency Unit SEK - Swedish Krona
ESP - Spanish Peseta USD - United States Dollar
</TABLE>
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $191,552,339) (Note 1) $ 206,877,018
Short-term investments, at value (cost $12,858,973) (Note 1) 12,855,269
Foreign currency, at value (cost $418,949) (Note 1) 421,302
Receivable for investments sold 525,333
Receivable for Fund shares sold 11,600,000
Interest receivable 6,325,593
Receivable for open forward foreign currency contracts (Note 6) 6,702,024
Receivable for expenses waived or borne by Manager (Note 2) 44,286
Total assets 245,350,825
LIABILITIES:
Payable for investments purchased 15,479,828
Written options outstanding, at value (premiums $3,525,482) (Note 6) 1,902,354
Payable to brokers for open futures contracts (Note 1) 118,188
Payable for open forward foreign currency contracts (Note 6) 3,786,830
Payable to affiliate for management fee (Note 2) 85,815
Accrued expenses 51,735
Total liabilities 21,424,750
NET ASSETS (equivalent to $11.41 per share based
on 19,619,510 shares outstanding, unlimited shares authorized) $ 223,926,075
NET ASSETS CONSIST OF:
Paid-in capital $ 189,819,428
Accumulated undistributed net investment income 9,330,112
Accumulated undistributed net realized gain 4,507,319
Net unrealized appreciation 20,269,216
NET ASSETS $ 223,926,075
</TABLE>
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest (including securities lending income of $5,388) $ 10,697,697
EXPENSES:
Management fee (Note 2) 581,119
Custodian and transfer agent fees 118,253
Audit fees 27,886
Legal fees 8,228
Registration fees 6,845
Insurance 1,100
Trustee fee (Note 2) 550
Miscellaneous 277
Total expenses 744,258
Less: expenses waived or borne by Manager (Note 2) (279,363)
Net expenses 464,895
Net investment income 10,232,802
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 4,162,380
Closed futures contracts 2,990,990
Written options 460,816
Foreign currency, forward contracts and foreign
currency related transactions (3,108,932)
Net realized gain 4,505,254
Change in net unrealized appreciation (depreciation) on:
Investments 16,550,326
Open futures contracts 1,088,185
Written options 1,875,242
Foreign currency, forward contracts and foreign
currency related transactions 2,128,874
Net unrealized gain 21,642,627
Net realized and unrealized gain 26,147,881
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 36,380,683
</TABLE>
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 PERIOD ENDED
(UNAUDITED) FEBRUARY 28, 1995*
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 10,232,802 $ 5,175,342
Net realized gain (loss) 4,505,254 (998,046)
Change in net unrealized appreciation (depreciation) 21,642,627 (1,373,411)
Net increase in net assets resulting from operations 36,380,683 2,803,885
Distributions to shareholders from:
Net investment income (2,975,615) (2,089,096)
Net realized gains (35,020)
(3,010,635) (2,089,096)
Fund share transactions: (Note 5)
Proceeds from sale of shares 70,599,121 251,185,791
Net asset value of shares issued to shareholders
in payment of distributions declared 2,153,531 998,389
Cost of shares repurchased (120,861,063) (14,234,531)
Net increase (decrease) in net assets resulting
from Fund share transactions (48,108,411) 237,949,649
Total increase (decrease) in net assets (14,738,363) 238,664,438
NET ASSETS:
Beginning of period 238,664,438
End of period (including accumulated undistributed
net investment income of $9,330,112 and
$2,072,925, respectively) $ 223,926,075 $ 238,664,438
* Period from September 30, 1994 (commencement of operations) to February 28,
1995.
</TABLE>
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS END PERIOD FROM SEPTEMBER 30, 1994
AUGUST 31, 1995 (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) TO FEBRUARY 28, 1995
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.99 $ 10.00
Income from investment operations:
Net investment income (a) 0.56 0.24
Net realized and unrealized gain (loss) 1.03 (0.09)
Total from investment operations 1.59 0.15
Less distributions to shareholders:
From net investment income (0.17) (0.16)
From net realized gains (0.00)(c)
Total distributions (0.17) (0.16)
NET ASSET VALUE, END OF PERIOD $ 11.41 $ 9.99
TOTAL RETURN (B) 16.02% 1.49%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 223,926 $ 238,664
Net expenses to average
daily net assets (a) 0.40%* 0.40%*
Net investment income to average
daily net assets (a) 8.81%* 8.46%*
Portfolio turnover rate 57% 64%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.02 $ 0.01
(b) Calculation excludes subscription fees. The
total return would have been lower had certain
expenses not been waived during the period
shown.
(c) The per share capital gain distributions was $0.002 per share.
</TABLE>
See accompanying notes to the financial statements.
GMO CURRENCY HEDGED INTERNATIONAL BOND FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Currency Hedged International Bond Fund (the "Fund") is a series of
GMO Trust (the "Trust"). The Fund is registered under the Investment Company
Act of 1940, as amended, as an open-end, non-diversified management
investment company. The Trust was established as a Massachusetts Business
Trust under the laws of the Commonwealth of Massachusetts on June 24, 1985.
The Declaration of Trust permits the Trustees to create an unlimited number
of series ("Funds"), each of which issues a separate series of shares. The
following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price. Securities
which are primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
and those values are then translated into U.S. dollars at the current
exchange rate. Short-term investments with a remaining maturity of sixty
days or less are valued at amortized cost which approximates market value.
Other assets and securities for which no quotations are readily available
are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. The
market values of foreign securities, currency holdings and other assets and
liabilities are translated to U.S. dollars based on the prevailing exchange
rates each business day. Income and expenses denominated in foreign
currencies are translated at prevailing exchange rates when accrued or
incurred. The Fund does not isolate realized and unrealized gains and losses
attributable to changes in exchange rates from gains and losses that arise
from changes in the market value of investments. Such fluctuations are
included with net realized and unrealized gain or loss on investments. Net
realized gains and losses on foreign currency transactions represent net
exchange gains and losses on disposition of foreign currencies and the
difference between the amount of investment income and foreign withholding
taxes recorded on the Fund's books and the U.S. dollar equivalent amounts
actually received or paid.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and
currency markets. Buying futures tends to increase the Fund's exposure to
the underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instrument or hedge other Fund instruments. Upon
purchase of a futures contract, the Fund is required to deposit with its
custodian, in a segregated account in the name of the futures broker, an
amount of cash or U.S. government obligations in accordance with the initial
margin requirements of the broker. Futures contracts are marked to market
daily and an appropriate payable or receivable for the change in value
("variation margin") is recorded by the Fund. Gains or losses are recognized
but not considered realized until the contracts expire or are closed.
Futures contracts involve, to varying degrees, risk of loss in excess of the
variation margin disclosed in the Statement of Assets and Liabilities.
Losses may arise from the changes in the value of the underlying instrument,
if there is an illiquid secondary market for the contracts, or if
counterparties do not perform under the contract terms. Futures contracts
are valued at the settlement price established each day by the board of
trade or exchange on which they are traded. See Note 6 for all open futures
contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts and forward cross
currency contracts in connection with settling planned purchases or sales of
securities or to hedge the currency exposure associated with some or all of
the Fund's portfolio securities. A forward currency contract is an agreement
between two parties to buy and sell a currency at a set price on a future
date. The market value of a forward currency contract fluctuates with
changes in forward currency exchange rates. Forward currency contracts are
marked to market daily and the change in value is recorded by the Fund as an
unrealized gain or loss. When a forward currency contract is extinguished,
through delivery or offset by entering into another forward currency
contract, the Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value of
the contract at the time it was extinguished or offset. These contracts may
involve market risk in excess of the unrealized gain or loss reflected in
the Fund's Statement of Assets and Liabilities. In addition, the Fund could
be exposed to risk if the counterparties are unable to meet the terms of the
contracts or if the value of the currency changes unfavorably to the U.S.
dollar. The U.S. dollar value of the currencies the Fund has committed to
buy or sell is shown under Note 6 and represents the currency exposure the
Fund has acquired or hedged through currency contracts as of August 31,
1995.
OPTIONS
The Fund may write call and put options on securities it owns or in which it
may invest. When the Fund writes a call or put option, an amount equal to
the premium received is recorded as a liability and subsequently marked to
market to reflect the current value of the option written. Premiums received
from writing options which expire are treated as realized gains. Premiums
received from writing options which are exercised or closed are offset
against the proceeds or amounts paid on the transaction to determine the
realized gain or loss. If a written put option is exercised, the premium
reduces the cost basis of the securities purchased by the Fund. The Fund as
a writer of an option has no control over whether the underlying securities
may be sold (call) or purchased (put) and as a result bears the market risk
of an unfavorable change in the price of the security underlying the written
option. There is the risk the Fund may not be able to enter into a closing
transaction because of an illiquid market. See Note 6 for summary of all
open written option contracts as of August 31, 1995.
The Fund may also purchase put and call options. The Fund pays a premium
which is included in the Fund's Statement of Assets and Liabilities as an
investment and subsequently marked to market to reflect the current value of
the option. The risk associated with purchasing put and call options is
limited to the premium paid.
In some cases, depending upon the executing broker, premiums on purchased
and written options are not paid or received until the contracts expire or
are closed or exercised. These contracts are marked to market daily, and the
daily change in market value is paid to or received from the respective
broker. A corresponding payable or receivable is recorded for the
accumulated unrealized position received or paid. Upon settlement, the net
payable or receivable for original premiums and accumulated unrealized gains
and losses is paid to or received from the broker and a gain or loss is
realized.
LOAN AGREEMENTS
The Fund may invest in loan agreements which are indirect interests in
amounts owed by a corporate, governmental, or other borrower to lenders or
lending syndicates. A loan is often administered by a bank or other
financial institution (the lender) that acts as agent for all holders. The
lender administers the terms of the loan, as specified in the loan
agreement. The Fund has the right to receive payments of principal, interest
and any fees to which it is entitled only from the lender selling the loan
agreement and only upon receipt by the lender of payments from the borrower.
The Fund generally has no right to enforce compliance with the terms of the
loan agreement with the borrower. As a result, the Fund may be subject to
the credit risk of both the borrower and the lender that is selling the loan
agreement. In addition, if the Fund invests in the indebtedness of an
emerging country, there is a risk that the governmental entities responsible
for the repayment of the debt may be unable or unwilling to pay the
principal and interest when due.
INDEXED SECURITIES
The Fund may invest in indexed securities whose redemption values and/or
coupons are linked to the prices of other securities, securities indices, or
other financial indicators. The Fund uses indexed securities to increase or
decrease its exposure to different underlying instruments and to gain
exposure to markets that may be difficult to invest in through conventional
securities. Indexed securities may be more volatile than their underlying
instruments, but any loss is limited to the amount of the original
investment.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults and the value of the collateral declines
or if the seller enters insolvency proceedings, realization of collateral by
the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear
the risk of delay in recovery or even loss of rights in the collateral
should the borrower fail financially. The Fund receives compensation for
lending its securities. At August 31, 1995, the Fund had no securities on
loan.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision for
federal income or excise tax is necessary. Taxes on foreign interest and
dividend income have been withheld in accordance with the applicable
country's tax treaty with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income semi-annually, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions and redemptions
in-kind.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is
recorded on the accrual basis. In determining the net gain or loss on
securities sold, the cost of securities is determined on the identified cost
basis.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such a manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .15% of the amount invested.
The Manager may waive such premium to the extent that a transaction results
in minimal brokerage and transaction costs to the Fund. All purchase
premiums are paid to and recorded as paid-in capital by the Fund. For the
six months ended August 31, 1995, the Fund received $55,228 in purchase
premiums. There is no premium for cash redemptions, reinvested distributions
or in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments of domestic securities.
These risks may involve adverse political and economic developments and the
possible imposition of currency exchange blockages or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times more
volatile than securities of comparable U.S. companies and U.S. securities
markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager"), for management and investment advisory services is paid monthly
at the annual rate of .50% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses exceed .40% of average
daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $550. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of
investments, other than short-term obligations, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
<S> <C> <C>
U.S. Government securities $ 3,002,813 $ 5,061,719
Investments (non-U.S. Government securities) 120,633,556 161,656,631
</TABLE>
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 53% of the outstanding shares of the Fund were held by
two shareholders, each holding in excess of 10% of the Fund's outstanding
shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits Trustees to issue an unlimited number of
shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Period from
Six Months Ended September 30, 1994
August 31, 1995 (Commencement of
(Unaudited) Operations) to February 28,
1995
<S> <C> <C>
Shares sold
6,414,653 25,227,397
Shares issued to shareholders in
reinvestment of distributions 198,117 101,052
Shares repurchased (10,878,710) (1,442,999)
Net increase (decrease)
(4,265,940) 23,885,450
Fund shares:
Beginning of period 23,885,450 --
End of period 19,619,510 23,885,450
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995 is as
follows:
FORWARD CURRENCY CONTRACTS
<TABLE>
<CAPTION>
Net Unrealized
Settlement Units of In Exchange for Appreciation
Date Deliver/Receive Currency (in U.S. Dollars) (Depreciation)
<S> <C> <C> <C> <C>
Buys
10/02/95 Canadian Dollars 18,000,000 13,099,007 $ 296,442
9/01/95 French Francs 50,000,000 9,887,635 20,230
10/02/95 Great British Pounds 3,000,000 4,813,200 (169,396)
11/02/95 Italian Lira 9,000,000,000 5,598,756 (94,707)
9/26/95 Japanese Yen 2,650,000,000 28,975,392 (1,818,410)
$ (1,765,841)
Sales
9/07/95 Argentinian Pesos 3,000,000 2,992,668 $ (3,567)
9/19/95 Argentinian Pesos 2,043,740 2,000,000 (35,402)
9/22/95 Argentinian Pesos 2,500,000 2,427,184 (60,856)
10/16/95 Australian Dollars 5,000,000 3,697,000 (62,086)
10/02/95 Canadian Dollars 21,000,000 15,501,092 (126,931)
9/01/95 French Francs 50,000,000 10,464,411 556,546
11/30/95 French Francs 33,000,000 6,518,776 (21,125)
11/02/95 German Deutsche Marks 63,000,000 45,014,229 2,024,021
10/02/95 Great British Pounds 24,000,000 37,785,410 634,978
11/02/95 Italian Lira 9,000,000,000 5,496,015 (8,033)
9/26/95 Japanese Yen 500,000,000 5,969,997 846,038
9/05/95 Spanish Pesetas 54,500,000 433,779 (599)
11/02/95 Swedish Kronas 159,000,000 22,142,398 481,673
$ 4,224,657
</TABLE>
FORWARD CROSS CURRENCY CONTRACTS
<TABLE>
<CAPTION>
Net Unrealized
Settlement Units of In Exchange for Appreciation
Date Deliver/Receive Currency (Depreciation)
<S> <C> <C> <C> <C>
9/20/95 Belgian Francs/ BEF 869,561,000 ECU 23,000,000 $ 536,277
European Currency
Units
11/06/95 French Francs/ FRF 96,255,750 ECU 15,000,000 85,056
European Currency
Units
9/07/95 German Deutsche Marks/ DEM 11,000,000 ITL 12,980,000,000 505,252
Italian Lira
9/07/95 German Deutsche Marks/ DEM 5,000,000 ITL 5,780,750,000 156,226
Italian Lira
10/04/95 German Deutsche Marks/ DEM 15,000,000 ECU 8,165,932 205,522
European Currency
Units
10/10/95 German Deutsche Marks/ DEM 30,000,000 FRF 103,602,900 79,606
French Francs
10/10/95 German Deutsche Marks/ DEM 15,000,000 ESP 1,294,875,000 57,108
Spanish Pesetas
10/12/95 German Deutsche Marks/ DEM 6,000,000 ITL 7,025,400,000 217,049
Italian Lira
9/7/95 Italian Lira/ ITL 25,137,000,000 DEM 21,000,000 (1,184,413)
German Deutsche Marks
10/12/95 Italian Lira/ ITL 27,004,440,000 DEM 24,000,000 (195,483)
German Deutsche Marks
11/17/95 Netherlands Guilders/ NLG 33,561,000 DEM 30,000,000 (3,729)
German Deutsche Marks
11/06/95 Swiss Francs/ CHF 3,276,840 DEM 4,000,000 (2,093)
German Deutsche Marks
$ 456,378
</TABLE>
FUTURES CONTRACTS
<TABLE>
<CAPTION>
Net Unrealized
Number Appreciation
of Type Expiration Date Contract (Depreciation)
Contracts Value
<S> <C> <C> <C> <C>
Buys
75 Australian Dollar 10 year September 1995 6,598,560 $ 91,246 $
99 Australian Dollar 13 year September 1995 8,061,558 (12,010)
40 Canadian Government Bond September 1995 3,092,769 (4,229)
100 Italian 5 year Bond September 1995 15,743,660 220,749
44 Italian 10 year Bond September 1995 5,431,640 156,474
140 MATIF ECU Bond September 1995 16,014,986 281,169
10 U. K. Gilt September 1995 847,707 5,553
40 Greman Government Bond December 1995 6,430,795 8,309
10 Italian 10 year Bond December 1995 1,270,679 (19,843)
16 Japanese 10 year Govt. Bond December 1995 19,946,513 (26,500)
35 U.K. Gilt December 1995 2,868,014 10,068
$ 710,986
Sales
55 Swiss Government Bond September 1995 5,274,794 $ (74,855) $
120 Euro Dollars December 1995 28,284,000 17,100
112 MATIF December 1995 12,858,597 (16,167)
10 Swiss Govrnment Bond December 1995 890,347 (333)
145 U.S. Treasury Bond December 1995 16,348,750 (317,025)
$ (391,280)
</TABLE>
At August 31, 1995, the Fund has cash and/or securities to cover any margin
requirements on open futures contracts.
WRITTEN OPTION TRANSACTIONS
<TABLE>
<CAPTION>
Puts Calls
Numbers Numbers of
of Premiums Contracts Premiums
Contracts
<S> <C> <C> <C> <C>
Outstanding, beginning of 1 $ 103,386 30,000,000 $ 96,285
period
Options written 33,960,357 1,357,153 6,073,500,000 2,429,482
Options expired (9,460,358) (364,539) (30,000,000) (96,285)
Outstanding, end of period 24,500,000 $ 1,096,000 6,073,500,000 $ 2,429,482
</TABLE>
SUMMARY OF WRITTEN OPTIONS OUTSTANDING
<TABLE>
<CAPTION>
Principal Amount
of Contracts Expiration
(000's omitted) Exercise Date Value
Price
<S> <C> <C> <C> <C>
CALLS
DEM Call/ITL Put 25,000 ITL 1,235 ITL 9/8/95 $ 1,700
DEM Call/ITL Put 24,000 ITL 1,219 ITL 10/10/95 1,634
Japanese Yen Call 3,000,000 JPY 68 JPY 4/18/96 6,120
Japanese Yen Call 3,000,000 JPY 68 JPY 4/30/96 7,650
Swiss Francs Call 12,000 CHF 1.17 CHF 5/28/96 518,400
Swiss Francs Call 12,500 CHF 1.15 CHF 12/19/95 170,000
$ 705,504
PUTS
Swiss Francs Put 12,000 CHF 1.17 CHF 5/28/96 $ 555,600
Swiss Francs Put 12,500 CHF 1.15 CHF 12/19/95 641,250
$ 1,196,850
</TABLE>
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
PAR VALUE DESCRIPTION VALUE ($)
DEBT OBLIGATIONS - 71.9%
<S> <C> <C> <C>
ARGENTINA - 17.6%
AGP 45,670,000 Republic of Argentina Bocon - Pro 1, Variable Rate, Peso Deposit Rate 1 mo., due 4/1/07 21,693,250
USD 88,500,000 Republic of Argentina Bocon - Pro 2, Variable Rate, 1 mo. LIBOR, due 4/1/07 53,985,000
USD 4,000,000 Republic of Argentina Series L (Registered) FRB, Variable Rate, 6 mo. LIBOR + 13/16 (7.31%),
due 3/31/05 2,435,000
USD 20,000,000 Republic of Argentina Discount, Variable Rate, 6 mo. LIBOR + 13/16 (6.88%), due 3/31/23 11,350,000
89,463,250
BRAZIL - 11.9%
USD 500,000 Brazil Discount Series L (Registered), Variable Rate, 6 mo. LIBOR + 13/16 (7.31%),
due 4/15/12 258,125
USD 15,000,000 Brazil Exit, 6.00% due 9/15/13 7,350,000
USD 33,799,590 Republic of Brazil Capitalization Bond, 8.00% due 4/15/14 16,926,097
USD 26,180,859 Republic of Brazil Capitalization Bond (Registered), 8.00% due 4/15/14 12,506,362
USD 42,000,000 Republic of Brazil New Money Bond, Variable Rate, 6 mo. LIBOR + 13/16 (7.31%),
due 4/15/09 22,837,500
USD 1,079,000 Republic of Brazil Series L FLIRB, Variable Rate, 4.00% Step up, due 4/15/09 517,920
60,396,004
BULGARIA - 4.6%
USD 10,833,479 Bulgaria Discount Bond Series B, Variable Rate, 6 mo. LIBOR + 1 5/16 (7.25%),
due 7/28/24 5,416,740
USD 27,089,572 Bulgaria FLIRB Series B, Variable Rate, 2.50% Step up, due 7/28/12 6,975,565
USD 6,000,000 Bulgaria FLIRB Series A (Registered), Variable Rate, 2.00% Step up, due 7/28/12 1,545,000
USD 36,000,000 Bulgaria FLIRB Series A, Variable Rate, 2.00% Step up, due 7/28/12 9,270,000
23,207,305
CHINA - 0.4%
USD 2,000,000 Bank of China, 8.25% due 3/15/14
1,870,972
COSTA RICA - 1.8%
USD 2,482,392 Banco Central Costa Rica, Variable Rate, 3 mo. LIBOR + 13/16 (6.94%),
due 5/21/05 1,762,498
USD 5,000,000 Banco Central Costa Rica Par Bond A, 6.25% due 5/21/10 2,500,000
USD 7,371,952 Banco Central Costa Rica Series A, Variable Rate, 3 mo. LIBOR + 13/16 (6.94%),
due 5/21/05 5,307,805
9,570,303
DOMINICAN REPUBLIC - 1.5%
USD 16,057,000 Dominican Republic Discount, Variable Rate, 6 mo. LIBOR + 13/16 (6.88%), due 8/30/24 7,707,360
ECUADOR - 3.2%
USD 9,671,219 Republic of Ecuador PDI, Variable Rate, 3.00% Step up, due 2/27/15 (a) 3,118,968
USD 41,670,377 Republic of Ecuador PDI (Registered), Variable Rate, 3.00% Step up, due 2/27/15 13,020,809
16,139,777
HUNGARY - 0.3%
USD 2,095,000 National Bank of Hungary, 8.88% due 11/1/13 1,710,088
JORDAN - 3.6%
USD 19,250,000 Jordan Par, 4.00% Step up, due 12/23/23 8,181,246
USD 14,585,795 Jordan PDI, Variable Rate, 6 mo. LIBOR + 13/16 (6.69%), due 12/23/05 10,574,701
18,755,947
MEXICO - 9.1%
USD 22,500,000 Mexico Discount Bond Series A, Variable Rate, 6 mo. LIBOR + 13/16 (7.22%),
due 12/31/19 15,946,875
USD 5,000,000 Mexico Par Bond Series A, 6.25% due 12/31/19 3,025,000
USD 5,000,000 Mexico Par Bond Series B, 6.25% due 12/31/19 3,025,000
FRF 213,250,000 Mexico Par Bond, 6.63% due 12/31/19 23,531,661
CHF 1,500,000 Mexico Par Bond, 3.75% due 12/31/19 630,435
46,158,971
NETHERLANDS - 0.4%
USD 2,000,000 Indah Kiat International Finance, 12.50% due 6/15/06 2,040,000
NIGERIA - 1.3%
USD 15,000,000 Central Bank of Nigeria Par Bond, Variable Rate, 6.25% Step up, due 11/15/20 6,581,250
PAKISTAN - 0.5%
USD 2,500,000 Islamic Republic of Pakistan, 11.50% due 12/22/99 2,509,375
PHILIPPINES - 0.4%
USD 3,000,000 Central Bank of the Philippines Par, 5.75% Step up, due 12/1/17 (a) 2,201,250
POLAND - 2.2%
USD 5,000,000 Poland PDI, 3.25%, due 10/27/14 (a) 3,050,000
USD 10,000,000 Poland PDI (Registered), 3.25% due 10/27/14 6,000,000
USD 5,000,000 Poland PDI (Registered), Variable Rate, 2.75% Step up, due 10/27/24 2,162,500
11,212,500
SOUTH AFRICA - 2.2%
SAR 22,000,000 Republic of South Africa ESCOM #169, 15.00% due 10/1/98 5,972,442
SAR 22,000,000 Republic of South Africa Series R153, 13.00% due 8/31/10 5,050,413
11,022,855
SOUTH KOREA - 0.1%
USD 500,000 Korea Electric Power, 6.38% due 12/1/03 479,375
THAILAND - 0.1%
THB 15,000,000 Thai Military Bank, 6.75% due 2/28/97 566,391
TURKEY - 0.8%
GBP 2,900,000 Republic of Turkey, 9.00% due 10/27/03 3,829,762
URUGUAY - 1.0%
USD 7,500,000 Banco Central del Uruguay DCN, Variable Rate, 6 mo. LIBOR + 13/16 (6.75%),
due 2/18/07 5,100,000
UNITED STATES - 0.7%
Structured Notes - 0.7%
USD 3,000,000 Bankers Trust Medium Term Note, 17.10% due 10/14/97 (c) 3,317,400
TOTAL UNITED STATES 3,317,400
VENEZUELA - 8.2%
USD 19,993,000 Republic of Venezuela FLIRB Series A, Variable Rate, 6mo. LIBOR + 13/16 (7.00%),
due 3/31/07 10,059,009
USD 31,971,000 Republic of Venezuela FLIRB Series B, Variable Rate, 6mo. LIBOR + 13/16 (7.00%),
due 3/31/07 16,098,036
USD 28,330,000 Republic of Venezuela New Money Bond Series A, Variable Rate,
6mo. LIBOR + 13/16 (6.94%) due 12/18/05 12,996,391
FRF 1,670,000 Republic of Venezuela Par Bond, 7.71 % due 3/31/20 151,811
USD 1,000,000 Republic of Venezuela Discount Bond Series W-A, Variable Rate,
6 mo. LIBOR + 13/16 (7.19%), due 3/31/20 523,750
USD 3,000,000 Republic of Venezuela Discount Bond Series B, Variable Rate,
USD 3,000,000 6 mo. LIBOR + 13/16 (6.94%), due 3/31/20 1,571,250
41,400,247
TOTAL DEBT OBLIGATIONS (Cost $ 339,225,808) 365,240,382
LOAN PARTICIPATIONS - 16.2%
ALGERIA - 1.0%
FRF 75,000,000 Banque Exterieure d'Algerie Unrestructured Loan, LIBOR + 1.25%,
(Sub participation with Salomon) 5,053,007
CAMEROON - 0.3%
NLG 28,052,902 United Republic of Cameroon Syndicated Loan (Sub-participation with Bank of America
and Salomon) * 1,620,372
CHILE - 0.9%
JPY 463,687,933 Banco del Estado de Chile Syndicated Loan (Sub-participation with Citicorp) 4,414,385
IVORY COAST - 2.2%
FRF 1,150,000 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 26,206
JPY 12,886,580 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 15,130
USD 1,641,700 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 188,795
DEM 361,735 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 28,309
JPY 214,145,671 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 251,422
SDR 2,974,383 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 510,516
JPY 201,259,091 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 236,292
BEF 18,333,554 Ivory Coast Syndicated Loan (Sub-participation with Salomon) * 69,850
FRF 322,149,632 Ivory Coast Syndicated Loan, (Sub-participation with Bank of America, Illinois,
Banque Paribas and Morgan Stanley) * 9,894,619
11,221,139
JAMAICA - 1.2%
USD 9,000,000 Republic of Jamaica Syndicated Loan Tranche B, LIBOR + 13/16,
(Sub-participation with Chase Manhattan Bank and Salomon) 5,850,000
MEXICO - 0.2%
CHF 1,671,811 Petroleos Mexicanos Combined Multi-Year Restructure Agreement of the
United Mexican States, LIBOR + 13/16, (Sub-participation with Salomon) 901,059
MOROCCO - 3.6%
JPY 384,300,844 Kingdom of Morocco Consolidated Tranche A Loans, Prime + 0.2175%,
(Sub Participation with J.P. Morgan) 1,922,485
JPY 2,440,061,143 Kingdom of Morocco Consolidated Tranche A Loans, Yen LIBOR + 0.1175%,
(Sub Participation with Bankers Trust and J.P. Morgan) 12,206,533
USD 7,000,000 Kingdom of Morocco Registered Loan Agreement Tranche A, LIBOR + 13/16,
(Sub-participation with Banque Paribas) 4,261,250
18,390,268
NIGERIA - 1.0%
USD 15,000,000 Nigeria Promissory Notes (Sub-participation with J.P. Morgan and Salomon) 5,175,000
PANAMA - 0.9%
USD 5,000,000 Republic of Panama Syndicated Loan (Sub-participation with Chase Manhattan Bank) * 2,700,000
JPY 386,232,904 Republic of Panama Syndicated Loan (Sub-participation with Chase Manhattan Bank) * 1,873,003
4,573,003
RUSSIA - 4.9%
ECU 6,500,000 Russia Vnesheconombank Promissory Note (Sub-participation with
Bank of America, Illinois, and Chase Manhattan Bank) * 2,323,776
GBP 6,000,000 Russia Vnesheconombank Syndicated Loan (Sub-participation with Bank of America) * 2,602,488
FRF 299,221,000 Russia Vnesheconombank Syndicated Loan (Sub-participation with
Bank of America, Illinois, Banque Paribas and Chase Manhattan Bank) * 16,601,978
NLG 13,276,991 Russia Vnesheconombank Syndicated Loan (Sub-participation with Chase Manhattan Bank
and J.P. Morgan) * 2,098,874
CHF 5,000,000 Russia Vnesheconombank Syndicated Loan (Sub-participation with Chase Manhattan Bank) * 1,160,862
24,787,978
TOTAL LOAN PARTICIPATIONS (Cost $79,765,564) 81,986,211
PRINCIPAL AMOUNT
OF CONTRACTS CALL OPTIONS PURCHASED - 8.9%
(000's omitted) OPTIONS ON BONDS - 8.9%
USD 22,000 Brazil Discount Z, Variable Rate, 6 mo. LIBOR + 13/16 (7.25%),
Expires 11/6/95 Strike 49.13 1,738,000
USD 56,500 Brazil Par Bond, 4.00%, Expires 10/16/95 Strike 30.00 8,377,199
USD 60,000 Brazil Par Bond, 4.00%, Expires 10/16/95 Strike 29.50 9,193,860
USD 100,000 Brazil Par Series Y3, 4.00%, Expires 10/16/95 Strike 30.00 14,826,900
USD 37,500 Mexico Discount Bond, Variable Rate, 6 mo. LIBOR + 13/16 (7.22%),
Expires 10/31/95 Strike 55.00 5,817,038
USD 26,500 Mexico Par Bond 6.25%, Expires 1/08/96 Strike 54.00 1,526,665
USD 25,000 Mexico Par Bond, 6.25%, Expires 10/25/95 Strike 45.00 3,759,550
45,239,212
TOTAL CALL OPTIONS PURCHASED (Cost $25,444,588) 45,239,212
PUT OPTIONS PURCHASED - 0.0%
OPTIONS ON BONDS - 0.0%
USD 9,500 Brazil IDU, Brady Bond, Expires 10/27/95 Strike 78.63 38,000
USD 4,750 Brazil IDU, Brady Bond, Expires 11/15/95 Strike 79.44 23,750
USD 3,800 Brazil IDU, Brady Bond, Expires 11/20/95 Strike 80.31 33,440
USD 3,800 Brazil IDU, Brady Bond, Expires 11/21/95 Strike 80.13 31,540
USD 9,500 Brazil IDU, Brady Bond, Expires 11/9/95 Strike 77.94 32,338
159,068
TOTAL PUT OPTIONS PURCHASED (Cost $319,485) 159,068
Shares RIGHTS AND WARRANTS - 0.0%
MEXICO - 0.0%
70,453,000 Mexico Value Recovery, Series Rights, Expires 6/30/03 -
NIGERIA - 0.0%
15,000 Central Bank of Nigeria Warrants, Expires 11/15/20 -
VENEZUELA - 0.0%
28,350 Republic of Venezuela Warrants, Expires 4/15/20 -
TOTAL RIGHTS AND WARRANTS (Cost $0) -
Par Value SHORT-TERM INVESTMENTS - 7.9%
Cash Equivalents - 1.7%
USD 4,670,144 Bank of Boston Time Deposit, 5.95% due 9/1/95 4,670,144
USD 801,522 Dreyfus Cash Management Money Market Fund Plus, A Shares 801,522
USD 720,417 Fleet Bank of Massachusetts Time Deposit, 5.95% due 9/1/95 720,417
USD 720,417 National Westminster Time Deposit, 5.95% due 9/1/95 720,417
USD 2,000,000 Prudential Securities Group, Inc. Master Note, 5.95% due 9/1/95 2,000,000
8,912,500
REPURCHASE AGREEMENTS - 5.9%
USD 25,117,239 Salomon Brothers Repurchase Agreement, dated 8/31/95,
due 9/1/95, with a maturity value of $25,120,937 and an
effective yield of 5.30%, collateralized by U.S. Treasury
Obligations with rates ranging from 6.25% to 6.50%, with maturity dates
ranging from 4/30/97 to 8/15/23 and with an aggregate market
value of $25,659,736. 25,117,239
USD 4,832,254 Prudential Bache Securities, Inc. Repurchase Agreement
dated 2/28/95, due 3/1/95, with a maturity value of $4,832,974
and an effective yield of 5.75%, collateralized by U.S. Government
Agency Obligations with rates ranging from 3.64% to 11.62% and
maturities ranging from 5/1/00 to 10/25/24, with an aggregate market
value of $4,928,899. 4,832,254
29,949,493
U.S. GOVERNMENT - 0.3%
USD 1,500,000 U. S. Treasury Bill, 5.41% due 5/30/96 (b)
1,438,913
TOTAL SHORT-TERM INVESTMENTS (Cost $40,303,060) 40,300,906
TOTAL INVESTMENTS - 104.9%
(Cost $485,058,505) * * 532,925,779
Other Assets and Liabilities (net) - (4.9%) (25,121,553)
TOTAL NET ASSETS - 100.0% $ 507,804,226
See accompanying notes to the financial statements.
Notes to the Schedule of Investments:
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
(c) Principal is linked to the value of the Brazilian Capitalization Bond and the
Brazilian IDU Bond.
VariableRates - The rates shown on variable rate notes are the current interest
rates at August 31, 1995, which are subject to change based on the terms
of the security.
* Non-performing. Borrower not currently paying interest.
* * The aggregate identified cost for federal income tax purposes is $485,058,505,
resulting in gross unrealized appreciation and depreciation of $52,524,539
and $4,657,265, respectively, and net unrealized appreciation of $47,867,274.
The principal amount of each security is stated in the currency
in which the security is denominated.
AGP - Argentinian Peso JPY - Japanese Yen
BEF - Belgian Franc NLG - Netherlands Guilder
CHF - Swiss Franc SAR - South African Rand
DEM - German Mark SDR - Special Drawing Rights
ECU - European Currency Unit THB - Thai Baht
FRF - French Franc USD - United States Dollar
GBP - British Pound Sterling
See accompanying notes to the financial statements.
</TABLE>
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $444,755,445) (Note 1) $ 492,624,873
Short-term investments, at value (cost $40,303,060) (Note 1) 40,300,906
Foreign currency, at value (cost $267,799) (Note 1) 264,450
Receivable for investments sold 6,079,202
Interest receivable 10,415,634
Receivable for open forward foreign currency contracts (Note 6) 4,104,196
Receivable for expenses waived or borne by Manager (Note 2) 76,508
Total assets 553,865,769
LIABILITIES:
Payable for investments purchased 36,525,178
Payable upon return of securities loaned (Note 1) 8,905,746
Payable to brokers for open futures contracts (Note 1) 84,939
Payable for open forward foreign currency contracts (Note 6) 232,673
Payable to affiliate for management fee (Note 2) 205,514
Accrued expenses 107,493
Total liabilities 46,061,543
NET ASSETS (equivalent to $10.91 per share based
on 46,553,536 shares outstanding, unlimited shares authorized) $ 507,804,226
NET ASSETS CONSIST OF:
Paid-in capital $ 431,280,634
Accumulated undistributed net investment income 29,886,155
Accumulated net realized loss (5,746,027)
Net unrealized appreciation 52,383,464
NET ASSETS $ 507,804,226
See accompanying notes to the financial statements.
</TABLE>
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest (including securities lending income of $73,514) $ 31,969,973
EXPENSES:
Management fee (Note 2) 1,046,340
Custodian and transfer agent fees 230,956
Audit fees 24,844
Registration fees 16,400
Legal fees 14,919
Insurance 1,832
Trustee fee (Note 2) 825
Miscellaneous 461
Total expenses 1,336,577
Less: expenses waived or borne by Manager (Note 2) (290,237)
Net expenses 1,046,340
Net investment income 30,923,633
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 7,041,777
Closed futures contracts (1,970,072)
Written options 497,942
Foreign currency, forward contracts and foreign
currency related transactions (3,571,548)
Net realized gain 1,998,099
Change in net unrealized appreciation (depreciation) on:
Investments 77,652,151
Open futures contracts 320,235
Written options 504,227
Foreign currency, forward contracts and foreign
currency related transactions 5,771,062
Net unrealized gain 84,247,675
Net realized and unrealized gain 86,245,774
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 117,169,407
See accompanying notes to the financial statements.
</TABLE>
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 PERIOD ENDED
(UNAUDITED) FEBRUARY 28, 1995*
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 30,923,633 $ 8,832,634
Net realized gain (loss) 1,998,099 (6,189,201)
Change in net unrealized appreciation (depreciation) 84,247,675 (31,864,211)
Net increase (decrease) in net assets resulting from operations 117,169,407 (29,220,778)
Distributions to shareholders from:
Net investment income (3,395,584) (6,479,050)
In excess of net realized gain (1,550,403)
(3,395,584) (8,029,453)
Fund share transactions: (Note 5)
Proceeds from sale of shares 242,597,879 277,027,720
Net asset value of shares issued to shareholders
in payment of distributions declared 2,126,818 5,095,310
Cost of shares repurchased (94,145,638) (1,421,455)
Net increase in net assets resulting
from Fund share transactions 150,579,059 280,701,575
Total increase in net assets 264,352,882 243,451,344
NET ASSETS:
Beginning of period 243,451,344 -
End of period (including accumulated undistributed
net investment income of $29,886,155 and
$2,358,106, respectively) $ 507,804,226 $ 243,451,344
* Period from April 19, 1995 (Commencement of Operations) to February 28, 1995.
See accompanying notes to the financial statements.
</TABLE>
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED PERIOD FROM APRIL 19, 1994
AUGUST 31, 1995 (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) TO FEBRUARY 28, 1995
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 8.39 $ 10.00
Income from investment operations:
Net investment income (a) 0.64 0.48
Net realized and unrealized gain (loss) 1.96 (1.59)
Total from investment operations 2.60 (1.11)
Less distributions to shareholders:
From net investment income (0.08) (0.40)
In excess of net realized gains - (0.10)
Total distributions (0.08) (0.50)
NET ASSET VALUE, END OF PERIOD $ 10.91 $ 8.39
TOTAL RETURN (B) 30.99% (11.65%)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 507,804 $ 243,451
Net expenses to average
daily net assets (a) 0.50%* 0.50%*
Net investment income to average
daily net assets (a) 14.73%* 10.57%*
Portfolio turnover rate 89% 104%
* Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the following
per share amounts: $ 0.01 $ 0.01
(b) Calculation excludes subscription fees.
The total return would have been lower
had certain expenses not been waived
during the period shown.
See accompanying noteS to the financial statements.
</TABLE>
GMO EMERGING COUNTRY DEBT FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The GMO Emerging Country Debt Fund (the "Fund") is a series of GMO Trust
(the "Trust"). The Fund is registered under the Investment Company Act of
1940, as amended, as an open-end, non-diversified management investment
company. The Trust was established as a Massachusetts Business Trust under
the laws of the Commonwealth of Massachusetts on June 24, 1985. The
Declaration of Trust permits the Trustees to create an unlimited number of
series ("Funds"), each of which issues a separate series of shares. The
following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price. Securities
which are primarily traded on foreign exchanges are generally valued at the
preceding closing values of such securities on their respective exchanges,
and those values are then translated into U.S. dollars at the current
exchange rate. Short-term investments with a remaining maturity of sixty
days or less are valued at amortized cost which approximates market value.
Other assets and securities for which no quotations are readily available
are valued in good faith by the Trustees.
FOREIGN CURRENCY TRANSLATION
The accountingrecords of the Fund are maintained in U.S. dollars. The market
values of foreign securities, currency holdings and other assets and
liabilities are translated to U.S. dollars based on the prevailing exchange
rates each business day. Income and expenses denominated in foreign
currencies are translated at prevailing exchange rates when accrued or
incurred. The Fund does not isolate realized and unrealized gains and losses
attributable to changes in exchange rates from gains and losses that arise
from changes in the market value of investments. Such fluctuations are
included with net realized and unrealized gain or loss on investments. Net
realized gains and losses on foreign currency transactions represent net
exchange gains and losses on disposition of foreign currencies and the
difference between the amount of investment income and foreign withholding
taxes recorded on the Fund's books and the U.S. dollar equivalent amounts
actually received or paid.
FUTURES CONTRACTS
The Fund may use futures contracts to manage its exposure to the bond and
currency markets. Buying futures tends to increase the Fund's exposure to
the underlying instrument. Selling futures tends to decrease the Fund's
exposure to the underlying instrument or hedge other Fund instruments. Upon
purchase of a futures contract, the Fund is required to deposit with its
custodian, in a segregated account in the name of the futures broker, an
amount of cash or U.S. government obligations in accordance with the initial
margin requirements of the broker. Futures contracts are marked to market
daily and an appropriate payable or receivable for the change in value
("variation margin") is recorded by the Fund. Gains or losses are recognized
but not considered realized until the contracts expire or are closed.
Futures contracts involve, to varying degrees, risk of loss in excess of the
variation margin disclosed in the Statement of Assets and Liabilities.
Losses may arise from the changes in the value of the underlying instrument,
if there is an illiquid secondary market for the contracts, or if
counterparties do not perform under the contract terms. Futures contracts
are valued at the settlement price established each day by the board of
trade or exchange on which they are traded. See Note 6 for all open futures
contracts held as of August 31, 1995.
FORWARD CURRENCY CONTRACTS
The Fund may enter into forward currency contracts in connection with
settling planned purchases or sales of securities or to hedge the currency
exposure associated with some or all of the Fund's portfolio securities. A
forward currency contract is an agreement between two parties to buy and
sell a currency at a set price on a future date. The market value of a
forward currency contract fluctuates with changes in forward currency
exchange rates. Forward currency contracts are marked to market daily and
the change in value is recorded by the Fund as an unrealized gain or loss.
When a forward currency contract is extinguished, through delivery or offset
by entering into another forward currency contract, the Fund records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value of the contract at the time
it was extinguished or offset. These contracts may involve market risk in
excess of the unrealized gain or loss reflected in the Fund's Statement of
Assets and Liabilities. In addition, the Fund could be exposed to risk if
the counterparties are unable to meet the terms of the contracts or if the
value of the currency changes unfavorably to the U.S. dollar. The U.S.
dollar value of the currencies the Fund has committed to buy or sell is
shown under Note 6 and represents the currency exposure the Fund has
acquired or hedged through currency contracts as of August 31, 1995.
OPTIONS
The Fund may write call and put options on securities it owns or in which it
may invest. When the Fund writes a call or put option, an amount equal to
the premium received is recorded as a liability and subsequently marked to
market to reflect the current value of the option written. Premiums received
from writing options which expire are treated as realized gains. Premiums
received from writing options which are exercised or closed are offset
against the proceeds or amounts paid on the transaction to determine the
realized gain or loss. If a written put option is exercised, the premium
reduces the cost basis of the securities purchased by the Fund. The Fund as
a writer of an option has no control over whether the underlying securities
may be sold (call) or purchased (put) and as a result bears the market risk
of an unfavorable change in the price of the security underlying the written
option. There is the risk the Fund may not be able to enter into a closing
transaction because of an illiquid market. There were no outstanding written
option contracts as of August 31, 1995.
The Fund may also purchase put and call options. The Fund pays a premium
which is included in the Fund's Statement of Assets and Liabilities as an
investment and subsequently marked to market to reflect the current value of
the option. The risk associated with purchasing put and call options is
limited to the premium paid.
In some cases, depending upon the executing broker, premiums on purchased
and written options are not paid or received until the contracts expire or
are closed or exercised. These contracts are marked to market daily, and the
daily change in market value is paid to or received from the respective
broker. A corresponding payable or receivable is recorded for the
accumulated unrealized position received or paid. Upon settlement, the net
payable or receivable for original premiums and accumulated unrealized gains
and losses is paid to or received from the broker and a gain or loss is
realized.
LOAN AGREEMENTS
The Fund may invest in loan agreements which are indirect interests in
amounts owed by a corporate, governmental, or other borrower to lenders or
lending syndicates. A loan is often administered by a bank or other
financial institution (the lender) that acts as agent for all holders. The
lender administers the terms of the loan, as specified in the loan
agreement. The Fund has the right to receive payments of principal, interest
and any fees to which it is entitled only from the lender selling the loan
agreement and only upon receipt by the lender of payments from the borrower.
The Fund generally has no right to enforce compliance with the terms of the
loan agreement with the borrower. As a result, the Fund may be subject to
the credit risk of both the borrower and the lender that is selling the loan
agreement. In addition, if the Fund invests in the indebtedness of an
emerging country, there is a risk that the governmental entities responsible
for the repayment of the debt may be unable, or unwilling to pay the
principal and interest when due.
INDEXED SECURITIES
The Fund may invest in indexed securities whose redemption values and/or
coupons are linked to the prices of other securities, securities indices, or
other financial indicators. The Fund uses indexed securities to increase or
decrease its exposure to different underlying instruments and to gain
exposure to markets that may be difficult to invest in through conventional
securities. Indexed securities may be more volatile than their underlying
instruments, but any loss is limited to the amount of the original
investment.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults and the value of the collateral declines
or if the seller enters insolvency proceedings, realization of collateral by
the Fund may be delayed or limited.
SECURITY LENDING
The Fund may lend its securities to certain member firms of the New York
Stock Exchange. The loans are collateralized at all times with cash or
securities with a market value at least equal to the market value of the
securities on loan. As with other extensions of credit, the Fund may bear
the risk of delay in recovery or even loss of rights in the collateral
should the borrower of the securities fail financially. The Fund receives
compensation for lending its securities. At August 31, 1995, the Fund loaned
securities having a market value of $8,476,250, collateralized by cash in
the amount of $8,912,500, which was invested in short-term instruments.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision for
federal income or excise tax is necessary. Taxes on foreign interest income
have been withheld in accordance with the applicable country's tax treaty
with the United States.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income semi-annually, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net realized
gains.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on trade date. Interest income is
recorded on the accrual basis. In determining the net gain or loss on
securities sold, the cost of securities is determined on the identified cost
basis. Premium and market discounts are amortized or accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
PURCHASES AND REDEMPTIONS OF FUND SHARES
The premium on cash purchases of Fund shares is .50% of the amount invested.
Effective with shares acquired on or after July 1, 1995, the premium on cash
redemptions is .25% of the amount redeemed. The Manager may waive such
premium to the extent that a transaction results in minimal brokerage and
transaction costs to the Fund. All purchase and redemption premiums are paid
to and recorded as paid-in capital by the Fund. For the six months ended
August 31, 1995, the Fund received $989,869 in purchase premiums and no
redemption premiums. There is no premium for reinvested distributions or
in-kind transactions.
INVESTMENT RISK
There are certain additional risks involved in investing in foreign
securities that are not inherent in investments in domestic securities.
These risks may involve adverse political and economic developments and the
possible imposition of currency exchange blockages or other foreign
governmental laws or restrictions. In addition, the securities of some
foreign companies and securities markets are less liquid and at times more
volatile than securities of comparable U.S. companies and U.S. securities
markets.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager"), for management and investment advisory services is paid monthly
at the annual rate of .50% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses exceed .50% of average
daily net assets.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of
investments, other than short-term obligations, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
<S> <C> <C>
U.S. Government securities $ __ $ 8,098,984
Investments (non-U.S. Government securities) 464,644,751 322,570,040
</TABLE>
4. PRINCIPAL SHAREHOLDERS
At August 31, 1995, 29% of the outstanding shares of the Fund were held by
two shareholders, each holding in excess of 10% of the Fund's outstanding
shares.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended Period from April 19, 1994
August 31, 1995 (commencement of operations) to
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 26,445,537 28,628,219
Shares issued to shareholders in reinvestment
of distributions 201,023 549,064
Shares repurchased (9,117,813) (152,494)
Net increase 17,528,747 29,024,789
Fund shares:
Beginning of period 29,024,789 __
End of period 46,553,536 29,024,789
</TABLE>
6. FINANCIAL INSTRUMENTS
A summary of outstanding financial instruments at August 31, 1995 is as
follows:
<TABLE>
<CAPTION>
FORWARD CURRENCY CONTRACTS
Net Unrealized
Units In Exchange for Appreciation
Settlement Date Deliver/Receive of Currency (in U.S. Dollars) (Depreciation)
<S> <C> <C> <C>
Buys
9/1/95 French Francs 1,795,000 $ 354,358 $ 1,335
Sales
9/7/95 Argentinian Pesos 4,000,000 $ 3,990,224 $ (4,756)
9/19/95 Argentinian Pesos 6,131,220 6,000,000 (106,205)
9/22/95 Argentinian Pesos 5,000,000 4,854,369 (121,712)
1/29/96 French Francs 200,000,000 41,547,218 1,886,827
10/11/95 Japanese Yen 1,300,000,000 15,567,119 2,216,034
$ 3,870,188
</TABLE>
FUTURES CONTRACTS
<TABLE>
<CAPTION>
Net Unrealized
Number of Contract Value Appreciation
Contracts Type Expiration Date (Depreciation)
<S> <C> <C> <C> <C>
Sales
200 Euro Dollar December 1995 $ 47,140,000 $ 28,500
200 MATIF December 1995 10,480,890 (10,477)
200 U.S. Treasury Bill December 1995 22,431,250 (577,531)
$ (559,508)
At August 31, 1995, the Fund has Cash and/or securities to cover any margin
requirements on open futures contracts.
</TABLE>
WRITTEN PUT OPTION TRANSACTIONS
<TABLE>
<CAPTION>
Number of Contracts
Premiums
<S> <C> <C>
Outstanding, beginning of period 2 $ 206,773
Options written 10,511,509 291,170
Options expired 10,511,511 497,943
Outstanding, end of period __ __
</TABLE>
PELICAN FUND
(A SERIES OF GMO TRUST)
SEMI-ANNUAL REPORT
AUGUST 31, 1995
PELICAN FUND
(A SERIES OF GMO TRUST)
SCHEDULE OF INVESTMENTS
(SHOWING PERCENTAGE OF TOTAL NET ASSETS)
AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE ($)
<S> <C> <C>
STOCK - 80.9%
AEROSPACE - 1.5%
25,000 Coltec Inds Inc * 375,000
16,000 Gencorp Inc 190,000
40,000 Rockwell International Corp 1,790,000
2,355,000
AUTOMOTIVE - 1.4%
15,000 General Motors Corp 705,000
15,000 Intermet Corp * 166,875
97,500 Mascotech Industries Inc 1,279,688
2,151,563
BANKING AND FINANCIAL SERVICES - 7.3%
55,000 American Express Co 2,220,603
15,000 Chase Manhattan Corp 862,500
25,000 Chemical Banking Corp 1,456,250
32,205 Citicorp 2,137,607
5,500 Citicorp Convertible Preferred 10.75% 1,003,750
16,769 Citicorp Convertible Preferred $1.21 335,380
4,000 Comerica Inc 142,500
15,000 First Chicago Corp 950,625
10,000 First Interstate Bancorp 955,000
7,500 Nationsbank Corp 460,313
1,000 Salomon 6.75% "DEC" Equity Linked Security (Elks) (a) 39,625
22,500 Travelers Inc 1,080,000
11,644,153
CHEMICALS - 2.1%
15,000 Albemarle Corp 245,625
10,000 Bayer A G 266,875
25,000 Borden Chemical and Plastics LP 443,750
10,000 Cytec Industries Inc * 605,000
2,500 Eastman Chemical Company 161,563
10,000 Georgia Gulf Corp 331,250
10,000 Lubrizol Corp 310,000
10,000 Praxair Inc 260,000
22,500 Wellman Inc 573,750
3,197,813
COMMUNICATIONS - 0.2%
5,000 Motorola Inc 373,750
COMPUTER AND DATA PROCESSING SERVICES - 0.6%
150,000 SHL System House * 993,750
COMPUTER AND OFFICE EQUIPMENT - 0.2%
12,500 Moore Corp Ltd 260,938
CONSTRUCTION - 0.8%
32,500 Owens Corning Fiberglass Corp * 1,275,625
CONSUMER GOODS - 4.2%
15,000 American Safety Razor Co * 150,000
45,000 Black and Decker Corp 1,456,875
15,000 Bombay Inc * 125,625
25,000 Burlington Industries Inc * 309,375
65,000 Eastman Kodak Co 3,745,625
1,500 Fuji Photo Film Co Ltd ADR 74,625
30,000 Maytag Corp 465,000
2,500 Procter and Gamble Co 173,438
10,000 Scotts Company Class A * 225,000
6,725,563
ELECTRONIC EQUIPMENT - 0.0%
1,500 Philips NV ADR 67,500
FOOD AND BEVERAGE - 3.4%
5,000 Anheuser-Busch Cos Inc 285,625
13,125 Archer Daniels Midland Co 218,203
15,000 AuBon Pain Co Inc Class A * 135,000
22,500 Coca Cola Enterprises Inc 520,313
22,500 Coors (Adolph) Co 382,500
5,000 Darden Restaurants Inc * 51,250
42,500 Nestle SA ADR 2,147,920
15,000 Riviana Foods Inc Del 193,125
5,000 RJR Nabisco Holdings Corp 142,500
150,000 RJR Nabisco Holdings Convertible Preferred Series C 9.25% 900,000
15,000 Sara Lee Corp 416,250
5,392,686
FOREST PRODUCTS - 0.0%
2,750 Crown Vantage Inc * 66,000
HEALTH CARE - 3.1%
60,000 Baxter International Inc 2,340,000
75,000 Beverly Enterprises Inc * 993,750
15,000 Caremark International Inc 311,250
10,000 Centocor Inc * 121,250
5,000 Charter Med Corp * 100,625
10,000 Foundation Health Corp * 346,250
5,000 Haemonetics Corp * 107,500
20,000 Laboratory Corporation America Holdings * 277,500
22,500 Owens and Minor Holdings Co 326,250
4,924,375
INSURANCE - 7.7%
10,000 Ace Ltd 307,500
17,500 Aetna Life and Casualty Co 1,194,375
72,500 Alexander & Alexander Services Inc 1,676,563
14,000 Alexander & Alexander Services Inc Convertible
Preferred Series A $3.63 700,000
23,905 Allstate Corp 809,782
7,500 Cigna Corp 725,625
10,000 Gallagher (Arthur J) and Co 367,500
10,000 Hilb Rogal and Hamilton Co 132,500
15,000 Kemper Corp 720,000
7,500 Liberty Corp 247,500
15,000 Life Re Corp 301,875
12,500 National Re Corp 396,875
5,000 Provident Life and Accident Insurance Co Class B 130,625
150,000 Reliance Group Holdings Inc 1,200,000
15,000 Sedgwick Group ADR 140,579
15,000 TIG Holdings Inc 384,375
15,000 Transamerica Corp 1,020,000
35,000 USF & G Corp 634,375
5,000 USLIFE Corp 215,625
21,300 Washington National Corp 484,575
45,000 Willis Corroon Group Plc ADR 478,125
12,268,374
MACHINERY - 1.8%
35,000 CBI Industries Inc 857,500
12,500 Cincinnati Milacron Inc 414,063
10,000 Cummins Engine Inc 392,500
12,500 FMC Corp * 962,500
15,000 Giddings and Lewis Inc 246,563
2,873,126
MANUFACTURING - 7.7%
22,500 Corning Inc 734,063
10,000 Fleetwood Enterprises Inc 196,250
17,500 General Electric Co 1,030,313
15,000 Gerber Scientific Inc 256,875
52,500 Griffon Corp * 420,000
26,000 International Business Machines Corp 2,687,750
2,500 Minnesota Mining and Manufacturing 136,563
65,000 Teledyne Inc 1,543,750
1,965 Teledyne Inc Preferred Series E $1.20 28,984
14,500 Tenneco Inc 703,250
22,500 United Technologies Corp 1,875,938
50,000 Westinghouse Electric Corp 681,250
137,500 Westinghouse Electric Corp Convertible Preferred $1.30 144A 1,925,000
12,219,986
METALS AND MINING - 1.3%
5,000 Alcan Aluminum Ltd 163,125
5,000 Asarco Inc 161,875
1,000 Brascan Ltd 16,375
15,000 Echo Bay Financial Convertible Preferred Series A $1.75 472,500
15,000 Falconbridge Ltd 208,714
10,000 Freeport-McMoran Corp Preferred 358,750
15,000 Pittston Minerals Group 178,125
15,000 Placer Dome Inc 391,875
6,000 Santa Fe Pacific Gold Corp 72,750
2,024,089
MISCELLANEOUS - 0.2%
25,000 OHM Corp * 275,000
OIL AND GAS - 4.8%
8,500 Amerada Hess Corp 402,688
22,500 Atlantic Richfield Co Convertible Preferred 9.00% 601,875
5,000 Dresser Industries Inc 120,000
20,000 Enserch Corp 327,500
10,000 Halliburton Co 423,750
500 Kerr-McGee Corp 27,500
50,000 Lasmo Plc ADR 406,250
10,000 Mitchell Energy Class A 180,000
15,000 Mitchell Energy Class B 262,500
5,000 Mobil Corp 476,250
65,000 Noram Energy Corp 463,125
20,000 Occidental Petroleum Corp 435,000
1,500 Pennzoil Co 66,000
2,500 Texaco Inc 161,875
5,000 Tidewater Inc 123,750
50,000 Unocal Corp 1,456,250
55,000 USX - Marathon Group 1,134,375
20,000 Westcoast Energy Inc 305,000
1,000 Western Atlas Inc * 45,375
15,000 YPF Sociedad Anonima ADR 264,375
7,683,438
PAPER AND ALLIED PRODUCTS - 2.0%
20,000 Asia Pulp and Paper Ltd * 262,500
500,000 Georgia Pacific Corp 524,600
27,500 James River Corp 955,625
28,500 James River Corp Convertible Preferred 9.00% 944,063
10,000 Weyerhaeuser Co 460,000
3,146,788
PHARMACEUTICALS - 1.9%
10,000 Allergan Inc 303,750
15,000 Glaxo Plc ADR 356,250
2,100 Ivax Corp 53,813
12,500 Lilly (Eli) & Co 1,023,438
22,500 Perrigo Co * 300,938
15,000 Smithkline Beecham P L C 671,250
10,000 Teva Pharmaceutical ADR 378,750
3,088,189
PRIMARY PROCESSING - 1.5%
500 Armco Inc Convertible Preferred $3.625 25,188
20,000 Armco Inc * 125,000
2,500 Bethlehem Steel Corp * 36,563
7,500 Du Pont (E I) De Nemours & Co Inc 490,313
20,000 LTV Corp * 312,500
20,000 National Steel Corp Class B * 335,000
25,000 Northwestern Steel and Wire * 243,750
12,500 USX-US Steel Group Inc 409,375
70,000 Weirton Steel Corp * 393,750
2,371,439
PRINTING AND PUBLISHING - 0.2%
5,000 Dun and Bradstreet Corp 289,375
REAL ESTATE - 2.7%
30,000 Crown American Realty 247,500
15,000 Evans Withycombe Residential 292,500
1,250,000 HMH Properties Inc 1,203,125
65,000 JP Realty Inc 1,308,125
25,000 Summit Properties Inc 456,250
40,000 Walden Residential Properties Inc 755,000
4,262,500
REFINING - 0.6%
10,000 Ashland Inc Convertible Preferred $3.125 532,500
10,000 Imperial Oil Ltd 358,750
891,250
RETAIL TRADE - 3.4%
12,500 American Stores Co 367,188
25,000 Federated Department Stores * 675,000
100,000 Food Lion Inc 575,000
50,000 Kmart 681,250
90,000 Price/Costco Inc * 1,518,750
12,500 Sears Roebuck & Co 404,688
10,000 TJX Cos Inc 125,000
27,500 Wal-Mart Stores Inc 677,188
15,000 Williams-Sonoma Inc * 296,250
5,320,314
SERVICES - 1.0%
12,500 Anthony Industries 251,563
27,500 Cordiant Plc * 140,938
10,000 Host Marriott Corp * 115,000
25,000 International Technology Corp * 81,250
10,000 Kellwood Co 210,000
50,000 Morningstar Group Inc * 431,250
5,000 Ogden Corp 116,250
10,000 Pinkertons Inc * 176,250
2,500 Wackenhut Corp Class B 32,188
1,554,689
TECHNOLOGY - 7.2%
2,500 Advanced Micro Devices 84,375
2,800 AMP Inc 113,750
35,000 Avnet Inc 1,802,500
10,000 Compuware Corp * 227,500
15,000 Cray Research Inc * 348,750
27,500 Data General Corp * 268,125
65,000 Digital Equipment Corp * 2,713,750
15,000 Fisher Scientific 489,375
16,100 Intel Corp 988,138
25,000 Intergraph Corp * 309,375
5,000 Novell Inc * 90,313
15,000 SCI Systems Inc * 465,000
7,500 Seagate Technology * 331,875
5,000 Storage Technology Convertible Preferred 7.00% 309,375
150,000 Tandem Computers Inc * 1,837,500
5,000 Texas Instruments Inc * 374,375
5,500 Xerox Corp 664,125
11,418,201
TELECOMMUNICATIONS - 4.7%
12,500 Airtouch Communications Inc * 406,250
10,000 AT & T Corp 565,000
5,000 Bell Atlantic Corp 298,750
90,000 GTE Corp 3,296,250
50,000 MCI Communications Corp 1,203,125
5,200 Pacific Telesis Group 147,550
5,000 Sprint Corp 177,500
25,000 Tele-Communications Class A * 460,938
6,250 Tele-Communications Liberty Media Group Class A * 166,016
15,000 US West Inc 652,500
7,373,879
TOBACCO - 1.0%
20,000 American Brands Inc 840,000
10,000 BAT Industries Plc ADR 157,500
37,500 Hanson Plc ADR 642,188
1,639,688
TRANSPORTATION - 3.2%
13,500 AMR Corp * 951,750
65,000 Canadian Pacific Ltd 1,096,875
5,000 Consolidated Freightways Inc 129,375
7,500 Delta Air Lines Inc 557,813
10,000 Hunt (JB) Transportation Services Inc 160,000
10,000 Navistar International Corp * 130,000
16,500 Navistar International Corp Preferred $6.00 888,938
12,500 Overseas Shipholding Group Inc 260,938
5,000 Pittston Services Group 126,875
17,500 Ryder System Inc 424,375
5,000 Southern Pacific Rail Corp * 122,500
7,500 USAir Group Inc Convertible Preferred Series B $4.38 225,000
5,074,439
UTILITIES - 3.2%
40,000 Centerior Energy Corp 430,000
10,000 CMS Energy Corp 246,250
2,500 DPL Inc 55,625
110,000 Niagara Mohawk Power Corp 1,320,000
12,500 Northeast Utilities 285,938
1,000 PacifiCorp 18,125
82,500 Panhandle Eastern Corp 2,062,500
27,600 TransCanada Pipeline Ltd 376,050
10,000 Unicom Corp 281,250
5,075,738
TOTAL STOCK (Cost $101,017,543) 128,279,218
PAR VALUE LONG-TERM DEBT - 10.4%
BANKING AND FINANCIAL SERVICES - 1.3%
$ 289,000 Citicorp, Variable Rate Note, 6.50% due 5/1/04 290,728
300,000 Citicorp, 10.50% due 2/1/16 310,500
1,000,000 General Motors Acceptance Corp, 5.50% due 12/15/01 927,090
550,000 Standard Credit Card Master Trust I, 3.68% due 9/15/97 552,063
2,080,381
CHEMICALS - 0.5%
500,000 IMC Fertilizer Group Inc, 10.13% due 6/15/01 528,750
300,000 IMC Fertilizer Group Inc, 10.75% due 6/15/03 322,500
851,250
FOOD AND BEVERAGE - 0.9%
550,000 Anheuser-Busch Cos Inc, 8.50% due 3/1/17 597,795
131,000 Anheuser-Busch Cos Inc, 10.00% due 7/1/18 139,653
750,000 General Foods Corp, 7.00% due 6/15/11 706,410
1,443,858
TECHNOLOGY - 0.3%
$ 500,000 Computervision Corp, 10.88% due 8/15/97 512,500
TRANSPORTATION - 1.5%
1,100,000 AMR Corp, 9.00% due 8/1/12 1,164,044
1,100,000 United Air Lines Inc, 9.13% due 1/15/12 1,143,824
2,307,868
UTILITIES - 0.9%
1,700,000 Tennessee Gas Pipeline Co, 6.00% due 12/15/11 1,443,997
U.S. GOVERNMENT - 0.1%
500,000 U.S. Treasury Notes, 5.88% due 5/31/96 500,545
3,850,000 U.S. Treasury Notes, 4.75% due 8/31/98 3,723,682
1,250,000 U.S. Treasury Notes, 7.75% due 2/15/01 1,342,775
850,000 U.S. Treasury Bonds, 11.13% due 8/15/03 1,102,875
750,000 U.S. Treasury Bonds, 10.75% due 8/15/05 987,068
7,656,945
U.S. GOVERNMENT AGENCY - 0.0%
437,577 Federal Home Loan Mortgage Corp., 7.50% due 1/1/23,
Series 146, Interest Only Strip 136,472
TOTAL LONG-TERM DEBT (Cost $15,118,494) 16,433,271
SHORT-TERM INVESTMENTS - 8.0%
REPURCHASE AGREEMENT - 8.0%
12,665,000 State Street Bank and Trust Co. Repurchase Agreement,
dated 8/31/95, due 9/01/95 with a maturity value of
$12,666,847 and an effective yield of 5.25%, collaterized
by a U.S. Treasury Bond with a rate of 12% and a maturity
date of 8/15/13 and with an aggregate market value of
$12,667,682. 12,665,000
TOTAL SHORT-TERM INVESTMENTS (at cost) 12,665,000
TOTAL INVESTMENTS - 99.3%
(Cost $128,801,037) * * 157,377,489
Other Assets and Liabilities (net) - 0.7% 1,114,402
TOTAL NET ASSETS - 100.0% $ 158,491,891
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depositary Receipt
144A Securities exempt from registration under Rule 144A of
the Securities Act of 1933. These securities may be
resold in transactions exempt from registration,
normally to qualified institutional buyers.
Variable rates - The rates shown on variable rate notes are the
current interest rates at August 31, 1995, which are
subject to change based on the terms of the security.
(a) A derivative security whose price is linked to the
common stock of Digital Equipment Corporation. Interest
is paid quarterly at an annual rate of 6.75% of the
offering price of $37.50. The redemption value is
determined by the ten days' average closing prices of
Digital Equipment common stock but not to exceed
$50.625.
* Non-income producing security.
** The aggregate identified cost for federal income tax
purposes is $128,801,037, resulting in gross unrealized
appreciation and depreciation of $30,891,908 and
$2,315,456, respectively, and net unrealized
appreciation of $28,576,452.
</TABLE>
See accompanying notes to the financial statements.
PELICAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF ASSETS AND LIABILITIES - AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (cost $116,136,037) (Note 1) $ 144,712,489
Short-term investments, at cost (Note 1) 12,665,000
Cash 3,358
Receivable for investments sold 1,226,822
Dividends and interest receivable 635,340
Receivable for Fund shares sold 1,000
Receivable for foreign tax reclaims 657
Total assets 159,244,666
LIABILITIES:
Payable for investments purchased 607,478
Payable for Fund shares repurchased 1,500
Payable to affiliate for management fee (Note 2) 29,547
Accrued expenses and other liabilities 114,250
Total liabilities 752,775
NET ASSETS (equivalent to $13.58 per share based
on 11,671,816 shares outstanding, unlimited shares authorized) $ 158,491,891
NET ASSETS consist of:
Paid-in capital $ 126,633,371
Accumulated undistributed net investment income 658,871
Accumulated undistributed net realized gain 2,623,197
Net unrealized appreciation 28,576,452
NET ASSETS $ 158,491,891
</TABLE>
See accompanying notes to the financial statements.
PELICAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF OPERATIONS - SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends (net of foreign tax expense of $22,671) $ 1,762,410
Interest 835,313
Total income 2,597,723
EXPENSES:
Management fee (Note 2) 641,789
Custodian and transfer agent fees 109,210
Audit fees 24,019
Legal fees 3,374
Registration fees 2,411
Insurance 1,684
Trustee fee (Note 2) 292
Miscellaneous 820
Total expenses 783,599
Net investment income 1,814,124
REALIZED AND UNREALIZED GAIN:
Net realized gain on investments 4,390,880
Change in net unrealized appreciation (depreciation)
on investments 13,909,499
Net realized and unrealized gain 18,300,379
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 20,114,503
</TABLE>
See accompanying notes to the financial statements.
PELICAN FUND
(A SERIES OF GMO TRUST)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED
(UNAUDITED) FEBRUARY 28, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
Operations:
Net investment income $ 1,814,124 $ 2,626,763
Net realized gain 4,390,880 5,174,436
Change in net unrealized appreciation (depreciation) 13,909,499 224,762
Net increase in net assets resulting from operations 20,114,503 8,025,961
Distributions to shareholders from:
Net investment income (1,435,525) (2,546,856)
Net realized gains (1,471,339) (5,635,884)
(2,906,864) (8,182,740)
Fund share transactions: (Note 5)
Proceeds from sale of shares 27,021,684 19,359,981
Net asset value of shares issued to shareholders
in payment of distributions declared 2,665,029 7,685,710
Cost of shares repurchased (6,322,232) (10,133,809)
Net increase in net assets resulting
from Fund share transactions 23,364,481 16,911,882
Total increase in net assets 40,572,120 16,755,103
NET ASSETS:
Beginning of period 117,919,771 101,164,668
End of period (including accumulated undistributed
net investment income of $658,871 and
$280,272, respectively) $ 158,491,891 $ 117,919,771
</TABLE>
See accompanying notes to the financial statements.
PELICAN FUND
(A SERIES OF GMO TRUST)
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS ENDED
AUGUST 31, 1995 YEAR ENDED FEBRUARY 28/29,
(UNAUDITED) 1995 1994 1993 1992 1991
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.99 $12.08 $ 11.37 $ 10.70 $ 9.89 $ 9.67
Income from investment operations:
Net investment income 0.16 0.37 0.29 (a) 0.36 (a) 0.42 (a) 0.49 (a)
Net realized and unrealized gain 1.69 0.46 1.4 1.06 1.02 0.24
Total from investment operations 1.85 0.83 1.69 1.42 1.44 0.73
Less distributions to shareholders:
From net investment income (0.13) (0.37) (0.37) (0.38) (0.40) (0.51)
From net realized gains (0.13) (0.55) (0.61) (0.37) (0.23)
Total distributions (0.26) (0.92) (0.98) (0.75) (0.63) (0.51)
NET ASSET VALUE, END OF PERIOD $13.58 $11.99 $ 12.08 $ 11.37 $ 10.70 $ 9.89
TOTAL RETURN 15.53% 7.38% 15.14%(b) 13.93%(b) 15.24%(b) 8.17%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $158,492 $117,920 $101,165 $85,401 $65,907 $ 76,681
Net expenses to average
daily net assets (a) 1.10%** 1.10% 1.10%(a) 1.10%(a) 1.10%(a) 1.10%(a)
Net investment income to average
daily net assets (a) 2.54%** 2.51% 2.42%(a) 3.40%(a) 4.08%(a) 5.13%(a)
Portfolio turnover rate 17% 40% 49% 39% 56% 44%
** Annualized.
(a) Net of fees and expenses voluntarily waived or borne by the Manager of the
following per share amounts: - - $ 0.01 $ 0.01 $ 0.01 $ 0.02
(b) The total returns would have been lower had certain expenses not been
waived during the periods shown.
</TABLE>
See accompanying notes to the financial statements.
PELICAN FUND
(A SERIES OF GMO TRUST)
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
AUGUST 31, 1995
1. SIGNIFICANT ACCOUNTING POLICIES
The Pelican Fund (the "Fund") is a series of GMO Trust (the "Trust"). The
Fund is registered under the Investment Company Act of 1940, as amended, as
an open-end, diversified management investment company. The Trust was
established as a Massachusetts Business Trust under the laws of the
Commonwealth of Massachusetts on June 24, 1985. The Declaration of Trust
permits the Trustees to create an unlimited number of series ("Funds"),
each of which will issue a separate series of shares. The following is a
summary of significant accounting policies consistently followed by the
Fund in the preparation of its financial statements.
PORTFOLIO VALUATION
Portfolio securities listed on a securities exchange for which market
quotations are available are valued at the last quoted sale price on each
business day, or if there is no such reported sale, at the most recent
quoted bid price. Unlisted securities for which market quotations are
readily available are valued at the most recent quoted bid price.
Short-term debt obligations with a remaining maturity of sixty days or less
are valued at amortized cost which approximates market value. Other assets
and securities for which no quotations are readily available are valued at
fair value as determined in good faith by the Trustees.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with certain banks and
broker/dealers whereby the Fund acquires a security for cash and obtains a
simultaneous commitment from the seller to repurchase the security at an
agreed upon price and date. The Fund, through its custodian, takes
possession of securities collateralizing the repurchase agreement. The
collateral is marked to market daily to ensure that the market value of the
underlying assets remains sufficient to protect the Fund in the event of
default by the seller. In connection with transactions in repurchase
agreements, if the seller defaults and the value of the collateral declines
or if the seller enters insolvency proceedings, realization of collateral
by the Fund may be delayed or limited.
TAXES
The Fund intends to qualify each year as a regulated investment company
under Subchapter M of the Internal Revenue Code of 1986, as amended. It is
the policy of the Fund to distribute all of its taxable income, including
any net realized gain on investments not offset by loss carryovers, to
shareholders within the prescribed time periods. Therefore, no provision
for federal income or excise tax is necessary. Taxes on foreign interest
and dividend income have been withheld in accordance with the applicable
country's tax treaty with the United States.
INDEXED SECURITIES
The Fund may also invest in indexed securities whose redemption values
and/or coupons are linked to the prices of other securities, securities
indicies, or other financial indicators. The Fund uses indexed securities
to increase or decrease its exposure to different underlying instruments
and to gain exposure to markets that may be difficult to invest in through
conventional securities. Indexed securities may be more volatile than their
underlying instruments, but any loss is limited to the amount of the
original investment.
DISTRIBUTIONS TO SHAREHOLDERS
The Fund intends to distribute substantially all of its net investment
income and net realized short-term and long-term capital gains, if any,
after giving effect to any available capital loss carryover for federal
income tax purposes. The Fund's present policy is to declare and pay
distributions from net investment income quarterly, and net realized
short-term and long-term capital gains at least annually. All distributions
will be paid in shares of the Fund, at net asset value, unless the
shareholder elects to receive cash distributions.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for market discount, partnership interests and losses
deferred due to wash sales.
Distributions in excess of tax basis earnings and profits will be reported
in the Fund's financial statements as a return of capital. Furthermore,
differences in the recognition or classification of income between the
financial statements and tax earnings and profits which result in temporary
over-distributions for financial statement purposes are classified as
distributions in excess of net investment income or accumulated net
realized gains.
Security transactions and related investment income Security transactions
are accounted for on trade date. Dividend income is recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. In
determining the net gain or loss on securities sold, the cost of securities
is determined on the identified cost basis. Premium, market and original
issue discounts are not amortized or accreted.
EXPENSES
The majority of expenses of the Trust are directly identifiable to an
individual Fund. Expenses which are not readily identifiable to a specific
Fund are allocated in such a manner as deemed equitable by the Trustees,
taking into consideration, among other things, the nature and type of
expense and the relative size of the Funds.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Compensation of Grantham, Mayo, Van Otterloo & Co., the Fund's manager (the
"Manager") for management and investment advisory services is paid monthly
at the annual rate of .90% of average daily net assets. The Manager has
agreed to waive a portion of its fee and bear other expenses until further
notice to the extent that the Fund's annual expenses (including the
management fee but excluding brokerage commissions and transfer taxes)
exceed 1.10% of average daily net assets.
The Fund's portion of the fee paid by the Trust to the unaffiliated Trustee
during the six months ended August 31, 1995, was $292. No remuneration is
paid to any Trustee or officer who is affiliated with the Manager.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended August 31, 1995, purchases and sales of
investments, other than short-term obligations, were as follows:
<TABLE>
<CAPTION>
Purchases Sales
<S> <C> <C>
U.S. Government securities $ 2,394,389 $ 501,563
Investments (non-U.S. Government securities) 31,194,275 21,149,001
</TABLE>
4. PRINCIPAL SHAREHOLDER
At August 31, 1995, 56% of the outstanding shares of the Fund were held by
one shareholder.
5. SHARE TRANSACTIONS
The Declaration of Trust permits the Trustees to issue an unlimited number
of shares of beneficial interest (without par value). Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Six Months Ended
August 31, 1995 Year Ended
(Unaudited) February 28, 1995
<S> <C> <C>
Shares sold 2,119,430 1,641,663
Shares issued to shareholders in reinvestment
of distributions 201,933 672,854
Shares repurchased (480,570) (860,814)
Net increase 1,840,793 1,453,703
Fund shares:
Beginning of period 9,831,023 8,377,320
End of period 11,671,816 9,831,023
</TABLE>
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