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<PAGE> PAGE 10
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<PAGE> PAGE 17
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<PAGE> PAGE 21
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<PAGE> PAGE 22
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<PAGE> PAGE 23
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<PAGE> PAGE 24
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<PAGE> PAGE 25
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<PAGE> PAGE 26
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<PAGE> PAGE 27
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<PAGE> PAGE 28
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<PAGE> PAGE 29
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<PAGE> PAGE 30
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<PAGE> PAGE 31
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<PAGE> PAGE 32
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<PAGE> PAGE 33
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<PAGE> PAGE 34
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<PAGE> PAGE 35
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<PAGE> PAGE 36
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<PAGE> PAGE 37
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<PAGE> PAGE 38
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<PAGE> PAGE 39
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<PAGE> PAGE 40
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<PAGE> PAGE 41
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<PAGE> PAGE 42
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<PAGE> PAGE 43
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<PAGE> PAGE 44
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<PAGE> PAGE 45
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<PAGE> PAGE 46
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<PAGE> PAGE 47
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<PAGE> PAGE 48
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<PAGE> PAGE 49
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<PAGE> PAGE 50
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<PAGE> PAGE 51
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<PAGE> PAGE 52
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<PAGE> PAGE 53
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<PAGE> PAGE 54
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<PAGE> PAGE 55
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<PAGE> PAGE 56
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<PAGE> PAGE 57
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<PAGE> PAGE 58
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<PAGE> PAGE 59
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<PAGE> PAGE 60
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<PAGE> PAGE 61
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<PAGE> PAGE 62
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<PAGE> PAGE 63
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<PAGE> PAGE 64
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<PAGE> PAGE 65
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<PAGE> PAGE 66
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<PAGE> PAGE 67
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<PAGE> PAGE 68
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<PAGE> PAGE 69
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<PAGE> PAGE 70
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<PAGE> PAGE 71
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<PAGE> PAGE 72
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<PAGE> PAGE 73
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<PAGE> PAGE 74
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<PAGE> PAGE 75
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<PAGE> PAGE 76
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<PAGE> PAGE 77
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<PAGE> PAGE 78
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<PAGE> PAGE 79
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<PAGE> PAGE 80
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<PAGE> PAGE 81
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<PAGE> PAGE 82
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<PAGE> PAGE 83
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070 F022000 N
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<PAGE> PAGE 84
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<PAGE> PAGE 85
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<PAGE> PAGE 86
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<PAGE> PAGE 87
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<PAGE> PAGE 88
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070 L022100 Y
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<PAGE> PAGE 89
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008 A002201 GRANTHAM, MAYO, VAN OTTERLOO & CO.
008 B002201 A
008 C002201 801-6003
008 D012201 BOSTON
008 D022201 MA
008 D032201 02110
012 A002201 INVESTORS BANK & TRUST COMPANY
012 B002201 85-720
012 C012201 BOSTON
012 C022201 MA
<PAGE> PAGE 90
012 C032201 02111
015 A002201 INVESTORS BANK & TRUST COMPANY
015 B002201 C
015 C012201 BOSTON
015 C022201 MA
015 C032201 02111
015 E012201 X
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<PAGE> PAGE 91
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<PAGE> PAGE 92
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<PAGE> PAGE 93
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<PAGE> PAGE 94
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SIGNATURE SUSAN RANDALL HARBERT
TITLE ASSISTANT TREASURER
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 1
<NAME> Core Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 2,683,007,287
<INVESTMENTS-AT-VALUE> 3,362,042,325
<RECEIVABLES> 100,847,993
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,462,890,318
<PAYABLE-FOR-SECURITIES> 67,454,307
<SENIOR-LONG-TERM-DEBT> 0
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<TOTAL-LIABILITIES> 283,575,998
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,314,886,733
<SHARES-COMMON-STOCK> 163,404,368
<SHARES-COMMON-PRIOR> 149,509,336
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<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 180,108,269
<OVERDISTRIBUTION-GAINS> 0
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<NET-ASSETS> 3,179,314,320
<DIVIDEND-INCOME> 71,408,642
<INTEREST-INCOME> 6,419,038
<OTHER-INCOME> 0
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<NET-INVESTMENT-INCOME> 64,146,217
<REALIZED-GAINS-CURRENT> 403,829,023
<APPREC-INCREASE-CURRENT> 457,594,296
<NET-CHANGE-FROM-OPS> 925,569,536
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (64,258,886)
<DISTRIBUTIONS-OF-GAINS> (221,987,205)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 25,285,500
<NUMBER-OF-SHARES-REDEEMED> (25,442,869)
<SHARES-REINVESTED> 14,052,401
<NET-CHANGE-IN-ASSETS> 870,066,382
<ACCUMULATED-NII-PRIOR> 9,992,385
<ACCUMULATED-GAINS-PRIOR> (1,721,805)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 14,964,100
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 15,734,114
<AVERAGE-NET-ASSETS> 2,850,304,743
<PER-SHARE-NAV-BEGIN> 15.45
<PER-SHARE-NII> 0.41
<PER-SHARE-GAIN-APPREC> 5.49
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.89)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 19.46
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 4
<NAME> Growth Allocation Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 336,984,327
<INVESTMENTS-AT-VALUE> 413,746,051
<RECEIVABLES> 26,718,669
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 440,464,720
<PAYABLE-FOR-SECURITIES> 27,733,123
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 21,365,684
<TOTAL-LIABILITIES> 49,098,807
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 290,142,619
<SHARES-COMMON-STOCK> 69,297,026
<SHARES-COMMON-PRIOR> 53,657,221
<ACCUMULATED-NII-CURRENT> 1,067,492
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 24,019,748
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 76,136,054
<NET-ASSETS> 391,365,913
<DIVIDEND-INCOME> 5,852,767
<INTEREST-INCOME> 941,958
<OTHER-INCOME> 0
<EXPENSES-NET> 1,617,624
<NET-INVESTMENT-INCOME> 5,177,101
<REALIZED-GAINS-CURRENT> 39,524,050
<APPREC-INCREASE-CURRENT> 61,683,361
<NET-CHANGE-FROM-OPS> 106,384,512
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,668,104)
<DISTRIBUTIONS-OF-GAINS> (23,225,614)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 28,535,818
<NUMBER-OF-SHARES-REDEEMED> (17,613,541)
<SHARES-REINVESTED> 4,717,528
<NET-CHANGE-IN-ASSETS> 152,359,596
<ACCUMULATED-NII-PRIOR> 558,495
<ACCUMULATED-GAINS-PRIOR> 9,725,239
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,685,025
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,858,869
<AVERAGE-NET-ASSETS> 337,004,892
<PER-SHARE-NAV-BEGIN> 4.45
<PER-SHARE-NII> 0.08
<PER-SHARE-GAIN-APPREC> 1.54
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.42)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 5.65
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 8
<NAME> Value Allocation Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 278,983,865
<INVESTMENTS-AT-VALUE> 339,320,642
<RECEIVABLES> 3,324,944
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 342,645,586
<PAYABLE-FOR-SECURITIES> 3,858,071
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 21,175,666
<TOTAL-LIABILITIES> 25,033,737
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 237,295,574
<SHARES-COMMON-STOCK> 22,292,408
<SHARES-COMMON-PRIOR> 29,095,761
<ACCUMULATED-NII-CURRENT> 1,384,221
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 18,914,947
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 60,017,107
<NET-ASSETS> 317,611,849
<DIVIDEND-INCOME> 9,864,421
<INTEREST-INCOME> 869,152
<OTHER-INCOME> 0
<EXPENSES-NET> 2,000,965
<NET-INVESTMENT-INCOME> 8,732,608
<REALIZED-GAINS-CURRENT> 57,961,119
<APPREC-INCREASE-CURRENT> 33,360,660
<NET-CHANGE-FROM-OPS> 100,054,387
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (9,263,106)
<DISTRIBUTIONS-OF-GAINS> (32,854,343)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,619,182
<NUMBER-OF-SHARES-REDEEMED> (11,220,138)
<SHARES-REINVESTED> 2,797,603
<NET-CHANGE-IN-ASSETS> (33,082,612)
<ACCUMULATED-NII-PRIOR> 1,914,719
<ACCUMULATED-GAINS-PRIOR> (4,119,787)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,296,190
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,464,225
<AVERAGE-NET-ASSETS> 328,027,141
<PER-SHARE-NAV-BEGIN> 12.05
<PER-SHARE-NII> 0.39
<PER-SHARE-GAIN-APPREC> 3.71
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.90)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 14.25
<EXPENSE-RATIO> 0.61
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 6
<NAME> Short Term Income Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 10,996,843
<INVESTMENTS-AT-VALUE> 11,019,613
<RECEIVABLES> 73,137
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 11,092,750
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 26,725
<TOTAL-LIABILITIES> 26,725
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 10,991,134
<SHARES-COMMON-STOCK> 1,132,734
<SHARES-COMMON-PRIOR> 856,832
<ACCUMULATED-NII-CURRENT> 146,175
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (94,054)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 22,770
<NET-ASSETS> 11,066,025
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 577,145
<OTHER-INCOME> 0
<EXPENSES-NET> 21,067
<NET-INVESTMENT-INCOME> 556,078
<REALIZED-GAINS-CURRENT> 74,630
<APPREC-INCREASE-CURRENT> 31,945
<NET-CHANGE-FROM-OPS> 662,653
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (509,777)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,044,961
<NUMBER-OF-SHARES-REDEEMED> (2,819,011)
<SHARES-REINVESTED> 49,952
<NET-CHANGE-IN-ASSETS> 2,872,529
<ACCUMULATED-NII-PRIOR> 99,101
<ACCUMULATED-GAINS-PRIOR> (167,936)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 21,431
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 54,513
<AVERAGE-NET-ASSETS> 8,572,412
<PER-SHARE-NAV-BEGIN> 9.56
<PER-SHARE-NII> 0.57
<PER-SHARE-GAIN-APPREC> 0.20
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.56)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 9.77
<EXPENSE-RATIO> 0.25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 3
<NAME> International Core Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 4,181,451,437
<INVESTMENTS-AT-VALUE> 4,528,012,182
<RECEIVABLES> 126,560,571
<ASSETS-OTHER> 279,733,637
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 4,934,306,390
<PAYABLE-FOR-SECURITIES> 39,581,605
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 356,688,562
<TOTAL-LIABILITIES> 396,270,167
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 4,121,905,163
<SHARES-COMMON-STOCK> 184,341,225
<SHARES-COMMON-PRIOR> 116,104,099
<ACCUMULATED-NII-CURRENT> (5,469,509)
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 94,418,541
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 327,182,028
<NET-ASSETS> 4,538,036,223
<DIVIDEND-INCOME> 74,224,279
<INTEREST-INCOME> 14,976,030
<OTHER-INCOME> 0
<EXPENSES-NET> 23,894,111
<NET-INVESTMENT-INCOME> 65,306,198
<REALIZED-GAINS-CURRENT> 109,487,879
<APPREC-INCREASE-CURRENT> 289,471,168
<NET-CHANGE-FROM-OPS> 464,265,245
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (62,905,553)
<DISTRIBUTIONS-OF-GAINS> (102,400,553)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 83,979,899
<NUMBER-OF-SHARES-REDEEMED> (21,748,238)
<SHARES-REINVESTED> 6,005,465
<NET-CHANGE-IN-ASSETS> 1,946,390,371
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 100,721,946
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 25,419,063
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 28,809,394
<AVERAGE-NET-ASSETS> 3,389,208,429
<PER-SHARE-NAV-BEGIN> 22.32
<PER-SHARE-NII> 0.36
<PER-SHARE-GAIN-APPREC> 3.09
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.15)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 24.62
<EXPENSE-RATIO> 0.71
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 7
<NAME> Japan Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 132,821,526
<INVESTMENTS-AT-VALUE> 131,836,083
<RECEIVABLES> 15,085,697
<ASSETS-OTHER> 9,196,965
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 156,118,745
<PAYABLE-FOR-SECURITIES> 16,148,713
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 13,863,073
<TOTAL-LIABILITIES> 30,011,786
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 127,976,536
<SHARES-COMMON-STOCK> 14,792,650
<SHARES-COMMON-PRIOR> 6,591,242
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (189,728)
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> (127,763)
<ACCUM-APPREC-OR-DEPREC> (1,552,086)
<NET-ASSETS> 126,106,959
<DIVIDEND-INCOME> 584,529
<INTEREST-INCOME> 95,895
<OTHER-INCOME> 0
<EXPENSES-NET> 790,268
<NET-INVESTMENT-INCOME> (109,844)
<REALIZED-GAINS-CURRENT> 4,140,734
<APPREC-INCREASE-CURRENT> 1,050,216
<NET-CHANGE-FROM-OPS> 5,081,106
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> (12,090,051)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 8,808,517
<NUMBER-OF-SHARES-REDEEMED> (2,001,579)
<SHARES-REINVESTED> 1,394,470
<NET-CHANGE-IN-ASSETS> 65,983,796
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 11,647,848
<OVERDISTRIB-NII-PRIOR> (401,346)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 647,675
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 915,930
<AVERAGE-NET-ASSETS> 86,356,630
<PER-SHARE-NAV-BEGIN> 9.12
<PER-SHARE-NII> (0.01)
<PER-SHARE-GAIN-APPREC> 0.79
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.38)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 8.52
<EXPENSE-RATIO> 0.92
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 9
<NAME> Tobacco Free Core Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 50,558,803
<INVESTMENTS-AT-VALUE> 62,304,922
<RECEIVABLES> 1,051,797
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 63,356,719
<PAYABLE-FOR-SECURITIES> 2,000,846
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3,870,858
<TOTAL-LIABILITIES> 5,871,704
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 41,371,537
<SHARES-COMMON-STOCK> 4,444,322
<SHARES-COMMON-PRIOR> 4,502,238
<ACCUMULATED-NII-CURRENT> 167,328
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 4,248,984
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 11,697,166
<NET-ASSETS> 57,485,015
<DIVIDEND-INCOME> 1,387,360
<INTEREST-INCOME> 167,012
<OTHER-INCOME> 0
<EXPENSES-NET> 272,934
<NET-INVESTMENT-INCOME> 1,281,438
<REALIZED-GAINS-CURRENT> 9,934,207
<APPREC-INCREASE-CURRENT> 7,259,517
<NET-CHANGE-FROM-OPS> 18,475,162
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,114,110)
<DISTRIBUTIONS-OF-GAINS> (6,201,500)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 781,571
<NUMBER-OF-SHARES-REDEEMED> (1,434,132)
<SHARES-REINVESTED> 594,645
<NET-CHANGE-IN-ASSETS> 9,516,284
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 515,529
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 284,306
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 386,859
<AVERAGE-NET-ASSETS> 56,861,166
<PER-SHARE-NAV-BEGIN> 10.65
<PER-SHARE-NII> 0.28
<PER-SHARE-GAIN-APPREC> 3.71
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.71)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.93
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 10
<NAME> Fundamental Value Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 181,017,167
<INVESTMENTS-AT-VALUE> 223,270,485
<RECEIVABLES> 1,293,014
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 224,563,499
<PAYABLE-FOR-SECURITIES> 143,225
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 11,991,928
<TOTAL-LIABILITIES> 12,135,153
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 161,524,955
<SHARES-COMMON-STOCK> 14,123,445
<SHARES-COMMON-PRIOR> 14,581,927
<ACCUMULATED-NII-CURRENT> 875,858
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 7,774,215
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 42,253,318
<NET-ASSETS> 212,428,346
<DIVIDEND-INCOME> 6,369,970
<INTEREST-INCOME> 324,869
<OTHER-INCOME> 0
<EXPENSES-NET> 1,496,155
<NET-INVESTMENT-INCOME> 5,198,684
<REALIZED-GAINS-CURRENT> 15,932,806
<APPREC-INCREASE-CURRENT> 30,653,753
<NET-CHANGE-FROM-OPS> 51,785,243
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (5,212,954)
<DISTRIBUTIONS-OF-GAINS> (10,547,076)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 616,745
<NUMBER-OF-SHARES-REDEEMED> (1,900,841)
<SHARES-REINVESTED> 825,614
<NET-CHANGE-IN-ASSETS> 29,557,439
<ACCUMULATED-NII-PRIOR> 890,128
<ACCUMULATED-GAINS-PRIOR> 2,388,485
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,496,155
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,604,692
<AVERAGE-NET-ASSETS> 199,487,344
<PER-SHARE-NAV-BEGIN> 12.54
<PER-SHARE-NII> 0.37
<PER-SHARE-GAIN-APPREC> 3.26
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.13)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 15.04
<EXPENSE-RATIO> 0.75
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 13
<NAME> International Small Companies Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 190,949,046
<INVESTMENTS-AT-VALUE> 195,554,669
<RECEIVABLES> 9,699,879
<ASSETS-OTHER> 32,341,641
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 237,596,189
<PAYABLE-FOR-SECURITIES> 17,121,507
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,510,952
<TOTAL-LIABILITIES> 18,632,459
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 210,963,609
<SHARES-COMMON-STOCK> 16,902,821
<SHARES-COMMON-PRIOR> 15,585,433
<ACCUMULATED-NII-CURRENT> 476,295
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 3,752,355
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 3,771,471
<NET-ASSETS> 218,963,730
<DIVIDEND-INCOME> 4,495,477
<INTEREST-INCOME> 628,663
<OTHER-INCOME> 0
<EXPENSES-NET> 1,499,671
<NET-INVESTMENT-INCOME> 3,624,469
<REALIZED-GAINS-CURRENT> 4,417,938
<APPREC-INCREASE-CURRENT> 13,287,476
<NET-CHANGE-FROM-OPS> 21,329,883
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,117,132)
<DISTRIBUTIONS-OF-GAINS> (2,401,896)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,283,845
<NUMBER-OF-SHARES-REDEEMED> (2,315,294)
<SHARES-REINVESTED> 348,837
<NET-CHANGE-IN-ASSETS> 32,778,530
<ACCUMULATED-NII-PRIOR> 706,457
<ACCUMULATED-GAINS-PRIOR> 981,267
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,467,267
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,858,509
<AVERAGE-NET-ASSETS> 197,381,326
<PER-SHARE-NAV-BEGIN> 11.95
<PER-SHARE-NII> 0.18
<PER-SHARE-GAIN-APPREC> 1.16
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.34)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 12.95
<EXPENSE-RATIO> 0.76
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 11
<NAME> Core II Secondaries Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 221,501,092
<INVESTMENTS-AT-VALUE> 241,886,269
<RECEIVABLES> 6,787,969
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 248,674,238
<PAYABLE-FOR-SECURITIES> 6,196,613
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 10,944,194
<TOTAL-LIABILITIES> 17,140,807
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 206,204,739
<SHARES-COMMON-STOCK> 16,666,567
<SHARES-COMMON-PRIOR> 17,325,736
<ACCUMULATED-NII-CURRENT> 686,982
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 4,220,996
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 20,420,714
<NET-ASSETS> 231,533,431
<DIVIDEND-INCOME> 3,243,700
<INTEREST-INCOME> 518,116
<OTHER-INCOME> 0
<EXPENSES-NET> 838,310
<NET-INVESTMENT-INCOME> 2,923,506
<REALIZED-GAINS-CURRENT> 35,136,350
<APPREC-INCREASE-CURRENT> 2,918,309
<NET-CHANGE-FROM-OPS> 40,978,165
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,725,107)
<DISTRIBUTIONS-OF-GAINS> (38,332,108)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 5,303,210
<NUMBER-OF-SHARES-REDEEMED> (8,644,888)
<SHARES-REINVESTED> 2,682,509
<NET-CHANGE-IN-ASSETS> (4,247,216)
<ACCUMULATED-NII-PRIOR> 707,076
<ACCUMULATED-GAINS-PRIOR> 7,270,940
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 873,239
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,064,994
<AVERAGE-NET-ASSETS> 174,647,869
<PER-SHARE-NAV-BEGIN> 13.61
<PER-SHARE-NII> 0.23
<PER-SHARE-GAIN-APPREC> 3.20
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (3.15)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 13.89
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 14
<NAME> U.S. Sector Allocation Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 192,676,752
<INVESTMENTS-AT-VALUE> 229,763,018
<RECEIVABLES> 3,901,002
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 233,664,020
<PAYABLE-FOR-SECURITIES> 6,529,338
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 15,815,966
<TOTAL-LIABILITIES> 22,345,304
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 141,122,078
<SHARES-COMMON-STOCK> 15,503,866
<SHARES-COMMON-PRIOR> 18,734,305
<ACCUMULATED-NII-CURRENT> 774,923
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 32,641,217
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 36,780,498
<NET-ASSETS> 211,318,716
<DIVIDEND-INCOME> 5,849,216
<INTEREST-INCOME> 514,453
<OTHER-INCOME> 0
<EXPENSES-NET> 1,111,279
<NET-INVESTMENT-INCOME> 5,252,390
<REALIZED-GAINS-CURRENT> 52,195,479
<APPREC-INCREASE-CURRENT> 18,654,244
<NET-CHANGE-FROM-OPS> 76,102,113
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (5,069,167)
<DISTRIBUTIONS-OF-GAINS> (19,784,233)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,735,802
<NUMBER-OF-SHARES-REDEEMED> (5,734,152)
<SHARES-REINVESTED> 767,911
<NET-CHANGE-IN-ASSETS> 4,027,618
<ACCUMULATED-NII-PRIOR> 918,110
<ACCUMULATED-GAINS-PRIOR> (96,031)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,134,431
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,281,119
<AVERAGE-NET-ASSETS> 231,516,522
<PER-SHARE-NAV-BEGIN> 11.06
<PER-SHARE-NII> 0.29
<PER-SHARE-GAIN-APPREC> 3.90
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.62)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 13.63
<EXPENSE-RATIO> 0.48
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 16
<NAME> International Bond Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 179,513,993
<INVESTMENTS-AT-VALUE> 192,436,110
<RECEIVABLES> 12,437,036
<ASSETS-OTHER> 582,285
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 205,455,431
<PAYABLE-FOR-SECURITIES> 2,863,675
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 8,671,440
<TOTAL-LIABILITIES> 11,535,115
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 174,300,100
<SHARES-COMMON-STOCK> 17,765,600
<SHARES-COMMON-PRIOR> 15,687,479
<ACCUMULATED-NII-CURRENT> 4,884,754
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 1,966,474
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 12,768,988
<NET-ASSETS> 193,920,316
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 16,699,901
<OTHER-INCOME> 0
<EXPENSES-NET> 779,352
<NET-INVESTMENT-INCOME> 15,920,549
<REALIZED-GAINS-CURRENT> 6,632,580
<APPREC-INCREASE-CURRENT> 14,322,520
<NET-CHANGE-FROM-OPS> 36,875,649
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (10,442,087)
<DISTRIBUTIONS-OF-GAINS> (5,446,434)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 11,762,649
<NUMBER-OF-SHARES-REDEEMED> (10,775,703)
<SHARES-REINVESTED> 1,091,175
<NET-CHANGE-IN-ASSETS> 42,730,945
<ACCUMULATED-NII-PRIOR> 3,765,102
<ACCUMULATED-GAINS-PRIOR> (3,341,397)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 779,352
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,037,010
<AVERAGE-NET-ASSETS> 194,872,468
<PER-SHARE-NAV-BEGIN> 9.64
<PER-SHARE-NII> 0.62
<PER-SHARE-GAIN-APPREC> 1.55
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.89)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.92
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 5
<NAME> Pelican Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 138,264,540
<INVESTMENTS-AT-VALUE> 178,239,841
<RECEIVABLES> 768,978
<ASSETS-OTHER> 4,452
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 179,013,271
<PAYABLE-FOR-SECURITIES> 1,470,267
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 304,711
<TOTAL-LIABILITIES> 1,774,978
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 134,003,101
<SHARES-COMMON-STOCK> 12,204,124
<SHARES-COMMON-PRIOR> 9,831,023
<ACCUMULATED-NII-CURRENT> 646,595
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 2,613,296
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 39,975,301
<NET-ASSETS> 177,238,293
<DIVIDEND-INCOME> 3,397,889
<INTEREST-INCOME> 1,965,985
<OTHER-INCOME> 0
<EXPENSES-NET> 1,628,504
<NET-INVESTMENT-INCOME> 3,735,370
<REALIZED-GAINS-CURRENT> 9,082,971
<APPREC-INCREASE-CURRENT> 25,308,348
<NET-CHANGE-FROM-OPS> 38,126,689
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,369,047)
<DISTRIBUTIONS-OF-GAINS> (6,173,331)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,841,802
<NUMBER-OF-SHARES-REDEEMED> (1,115,726)
<SHARES-REINVESTED> 647,025
<NET-CHANGE-IN-ASSETS> 59,318,522
<ACCUMULATED-NII-PRIOR> 280,272
<ACCUMULATED-GAINS-PRIOR> (296,344)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,390,969
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,628,504
<AVERAGE-NET-ASSETS> 154,549,331
<PER-SHARE-NAV-BEGIN> 11.99
<PER-SHARE-NII> 0.31
<PER-SHARE-GAIN-APPREC> 3.04
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.82)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 14.52
<EXPENSE-RATIO> 1.05
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 15
<NAME> Emerging Markets Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 926,742,924
<INVESTMENTS-AT-VALUE> 898,092,615
<RECEIVABLES> 11,943,059
<ASSETS-OTHER> 3,791,639
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 913,827,313
<PAYABLE-FOR-SECURITIES> 4,631,539
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,016,254
<TOTAL-LIABILITIES> 6,647,793
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 954,919,906
<SHARES-COMMON-STOCK> 86,054,424
<SHARES-COMMON-PRIOR> 40,355,453
<ACCUMULATED-NII-CURRENT> 7,846,974
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (28,277,467)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (27,309,893)
<NET-ASSETS> 907,179,520
<DIVIDEND-INCOME> 13,673,072
<INTEREST-INCOME> 2,192,601
<OTHER-INCOME> 0
<EXPENSES-NET> 8,053,755
<NET-INVESTMENT-INCOME> 7,811,918
<REALIZED-GAINS-CURRENT> (25,051,517)
<APPREC-INCREASE-CURRENT> 66,409,381
<NET-CHANGE-FROM-OPS> 49,169,782
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (615,855)
<DISTRIBUTIONS-OF-GAINS> (7,081,456)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 47,019,289
<NUMBER-OF-SHARES-REDEEMED> (2,004,988)
<SHARES-REINVESTED> 684,670
<NET-CHANGE-IN-ASSETS> 522,920,758
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 4,506,417
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 5,944,710
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 8,143,828
<AVERAGE-NET-ASSETS> 594,471,021
<PER-SHARE-NAV-BEGIN> 9.52
<PER-SHARE-NII> 0.10
<PER-SHARE-GAIN-APPREC> 1.06
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.14)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.54
<EXPENSE-RATIO> 1.35
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 17
<NAME> Emerging Country Debt Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 540,192,223
<INVESTMENTS-AT-VALUE> 623,365,913
<RECEIVABLES> 16,841,240
<ASSETS-OTHER> 1,250,746
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 641,457,899
<PAYABLE-FOR-SECURITIES> 16,231,181
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 9,741,675
<TOTAL-LIABILITIES> 25,972,856
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 496,046,665
<SHARES-COMMON-STOCK> 52,339,284
<SHARES-COMMON-PRIOR> 29,024,789
<ACCUMULATED-NII-CURRENT> 13,630,078
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 17,949,090
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 87,859,210
<NET-ASSETS> 615,485,043
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 67,635,234
<OTHER-INCOME> 0
<EXPENSES-NET> 2,504,494
<NET-INVESTMENT-INCOME> 65,130,740
<REALIZED-GAINS-CURRENT> 61,081,420
<APPREC-INCREASE-CURRENT> 119,723,421
<NET-CHANGE-FROM-OPS> 245,935,581
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (55,195,795)
<DISTRIBUTIONS-OF-GAINS> (30,587,693)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 34,834,354
<NUMBER-OF-SHARES-REDEEMED> (17,191,233)
<SHARES-REINVESTED> 5,671,374
<NET-CHANGE-IN-ASSETS> 372,033,699
<ACCUMULATED-NII-PRIOR> 2,358,106
<ACCUMULATED-GAINS-PRIOR> (7,744,126)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,504,503
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,314,606
<AVERAGE-NET-ASSETS> 500,868,125
<PER-SHARE-NAV-BEGIN> 8.39
<PER-SHARE-NII> 1.35
<PER-SHARE-GAIN-APPREC> 3.84
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.82)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.76
<EXPENSE-RATIO> 0.50
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 18
<NAME> Global Hedged Equity Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 348,492,841
<INVESTMENTS-AT-VALUE> 382,835,454
<RECEIVABLES> 3,012,573
<ASSETS-OTHER> 848,731
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 386,696,758
<PAYABLE-FOR-SECURITIES> 360,615
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3,402,387
<TOTAL-LIABILITIES> 3,763,002
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 358,608,814
<SHARES-COMMON-STOCK> 35,975,948
<SHARES-COMMON-PRIOR> 21,216,892
<ACCUMULATED-NII-CURRENT> 2,926,013
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (10,487,331)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 31,886,260
<NET-ASSETS> 382,933,756
<DIVIDEND-INCOME> 7,173,291
<INTEREST-INCOME> 3,070,970
<OTHER-INCOME> 0
<EXPENSES-NET> 2,477,026
<NET-INVESTMENT-INCOME> 7,767,235
<REALIZED-GAINS-CURRENT> (16,123,360)
<APPREC-INCREASE-CURRENT> 31,582,518
<NET-CHANGE-FROM-OPS> 23,226,393
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (8,135,996)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 18,601,167
<NUMBER-OF-SHARES-REDEEMED> (4,235,364)
<SHARES-REINVESTED> 393,253
<NET-CHANGE-IN-ASSETS> 168,295,635
<ACCUMULATED-NII-PRIOR> 745,109
<ACCUMULATED-GAINS-PRIOR> 110,686
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,071,406
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2,676,295
<AVERAGE-NET-ASSETS> 318,675,757
<PER-SHARE-NAV-BEGIN> 10.12
<PER-SHARE-NII> 0.29
<PER-SHARE-GAIN-APPREC> 0.47
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.24)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.64
<EXPENSE-RATIO> 0.78
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 19
<NAME> Domestic Bond Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 321,777,755
<INVESTMENTS-AT-VALUE> 323,690,023
<RECEIVABLES> 1,501,580
<ASSETS-OTHER> 653,125
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 325,844,728
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 14,895,383
<TOTAL-LIABILITIES> 14,895,383
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 303,088,382
<SHARES-COMMON-STOCK> 29,888,776
<SHARES-COMMON-PRIOR> 20,670,984
<ACCUMULATED-NII-CURRENT> 3,439,616
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 3,567,277
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 854,070
<NET-ASSETS> 310,949,345
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 19,134,985
<OTHER-INCOME> 0
<EXPENSES-NET> 707,127
<NET-INVESTMENT-INCOME> 18,427,858
<REALIZED-GAINS-CURRENT> 14,899,226
<APPREC-INCREASE-CURRENT> (1,699,294)
<NET-CHANGE-FROM-OPS> 31,627,790
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (16,310,249)
<DISTRIBUTIONS-OF-GAINS> (11,149,215)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 10,635,774
<NUMBER-OF-SHARES-REDEEMED> (3,664,474)
<SHARES-REINVESTED> 2,246,492
<NET-CHANGE-IN-ASSETS> 101,572,097
<ACCUMULATED-NII-PRIOR> 1,322,007
<ACCUMULATED-GAINS-PRIOR> (103,743)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 707,127
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 865,518
<AVERAGE-NET-ASSETS> 282,850,898
<PER-SHARE-NAV-BEGIN> 10.13
<PER-SHARE-NII> 0.66
<PER-SHARE-GAIN-APPREC> 0.58
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.97)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.40
<EXPENSE-RATIO> 0.25
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 20
<NAME> Currency Hedged International Bond Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 214,883,688
<INVESTMENTS-AT-VALUE> 237,208,395
<RECEIVABLES> 10,452,575
<ASSETS-OTHER> 186,716
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 247,847,686
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 11,685,828
<TOTAL-LIABILITIES> 11,685,828
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 211,381,989
<SHARES-COMMON-STOCK> 21,628,308
<SHARES-COMMON-PRIOR> 23,885,450
<ACCUMULATED-NII-CURRENT> 2,213,016
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 27,472
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 22,539,381
<NET-ASSETS> 236,161,858
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 20,805,867
<OTHER-INCOME> 0
<EXPENSES-NET> 930,505
<NET-INVESTMENT-INCOME> 19,875,362
<REALIZED-GAINS-CURRENT> 14,407,640
<APPREC-INCREASE-CURRENT> 23,912,792
<NET-CHANGE-FROM-OPS> 58,195,794
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (19,852,732)
<DISTRIBUTIONS-OF-GAINS> (13,715,828)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 9,674,966
<NUMBER-OF-SHARES-REDEEMED> (14,452,061)
<SHARES-REINVESTED> 2,519,953
<NET-CHANGE-IN-ASSETS> (2,502,580)
<ACCUMULATED-NII-PRIOR> 2,072,925
<ACCUMULATED-GAINS-PRIOR> 37,085
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,163,131
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,483,311
<AVERAGE-NET-ASSETS> 232,622,008
<PER-SHARE-NAV-BEGIN> 9.99
<PER-SHARE-NII> 1.05
<PER-SHARE-GAIN-APPREC> 1.62
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (1.74)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.92
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial
information extracted from GMO Trust, form
N-SAR for the period ended February 29, 1996
and is qualified in its entirety by reference
to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 21
<NAME> Currency Hedged International Core Fund
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> FEB-29-1996
<PERIOD-END> FEB-29-1996
<INVESTMENTS-AT-COST> 394,217,295
<INVESTMENTS-AT-VALUE> 404,698,822
<RECEIVABLES> 3,314,295
<ASSETS-OTHER> 561,169
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 408,574,286
<PAYABLE-FOR-SECURITIES> 230,238
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,117,470
<TOTAL-LIABILITIES> 1,347,708
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 385,991,253
<SHARES-COMMON-STOCK> 35,278,555
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 6,114,326
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 2,838,672
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 12,282,327
<NET-ASSETS> 407,226,578
<DIVIDEND-INCOME> 1,782,250
<INTEREST-INCOME> 1,993,262
<OTHER-INCOME> 0
<EXPENSES-NET> 1,013,900
<NET-INVESTMENT-INCOME> 2,761,612
<REALIZED-GAINS-CURRENT> 9,472,130
<APPREC-INCREASE-CURRENT> 12,282,327
<NET-CHANGE-FROM-OPS> 24,516,069
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (1,491,247)
<DISTRIBUTIONS-OF-GAINS> (1,789,497)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 35,069,613
<NUMBER-OF-SHARES-REDEEMED> (44,625)
<SHARES-REINVESTED> 253,567
<NET-CHANGE-IN-ASSETS> 407,226,578
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,097,558
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,647,265
<AVERAGE-NET-ASSETS> 222,244,180
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.23
<PER-SHARE-GAIN-APPREC> 1.44
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> (0.13)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.54
<EXPENSE-RATIO> 0.69
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
April 23, 1996
To the Trustees of GMO Trust
In planning and performing our audits of the financial statements of twenty of
the series [GMO Core Fund, GMO Value Allocation Fund, GMO Growth Allocation
Fund, GMO Short-Term Income Fund, GMO International Core Fund, GMO Japan Fund,
GMO International Small Companies Fund, GMO Tobacco-Free Core Fund, GMO
Domestic Bond Fund, GMO Emerging Country Debt Fund, GMO Global Hedged Equity
Fund, GMO Currency Hedged International Bond Fund, GMO Core II Secondaries Fund,
GMO U.S. Sector Allocation Fund, GMO Fundamental Value Fund, GMO Emerging
Markets Fund, GMO International Bond Fund, GMO Global Bond Fund, GMO Currency
Hedged International Core Fund and Pelican Fund] of the GMO Trust (the "Trust")
for the year ended February 29, 1996, we considered its internal control
structure, including procedures for safeguarding securities, in order to
determine our auditing procedures for the purposes of e xpressing our opinion on
the financial statements and to comply with the requirements of Form N-SAR, and
not to provide assurance on the internal control structure.
The management of the Trust is responsible for establishing and maintaining an
internal control structure. In fulfilling this responsibility, estimates and
judgments by management are required to assess the expected benefits and
related costs of internal control structure policies and procedures. Two of the
objectives of an internal control structure are to provide management with
reasonable, but not absolute, assurance that assets are appropriately
safeguarded against loss from unauthorized use or disposition and that
transactions are executed in accordance with management's authorization and
recorded properly to permit preparation of financial statements in conformity
with generally accepted accounting principles.
Because of inherent limitations in any internal control structure, errors or
irregularities may occur and not be detected. Also, projection of any
evaluation of the structure to future periods is subject to the risk that it may
become inadequate because of changes in conditions or that the effectiveness of
the design and operation may deteriorate.
Our consideration of the internal control structure would not necessarily
disclose all matters in the internal control structure that might be material
weaknesses under standards established by the American Institute of Certified
Public Accountants. A material weakness is a condition in which the design or
operation of the specific internal control structure elements does not reduce to
a relatively low level the risk that errors or irregularities in amounts that
would be material in relation to the financial statements being audited may
occur and not be detected within a timely period by em ployees in the normal
course of performing their assigned functions. However, we noted no matters
involving the internal control structure, including procedures for safeguarding
securities, that we consider to be material weaknesses as defined above as of
February 29, 1996.
This report is intended solely for the information and use of management and the
Securities and Exchange Commission.
/S/
PRICE WATERHOUSE LLP
